COVID-19 and the global recession in 2020 sparked the largest number of collateralized loan obligation (CLO) downgrades since the global financial crisis (GFC) more than 10 years ago. However, ratings on most CLOs have withstood the economic and credit shock of the 2020 pandemic as nearly 90% of CLO ratings were unchanged during the year. Rating downgrades were concentrated among junior tranches that were rated speculative grade at the start of the year, and no 'AAA' tranches were downgraded. The number of annual defaults declined for a fourth consecutive year, with just one CLO tranche defaulting in 2020 (see chart 1).

CLO Default Rate Declined In 2020

• The overall global CLO default rate fell to 0.02% in 2020--down from 0.08% in 2019, and this was the lowest annual CLO default rate since 2008.
• One CLO tranche defaulted in 2020, down from three in 2019.
• This default was from one of the few remaining CLO 1.0 transactions issued before the GFC.

Defaults of CLO tranches continued to decline in 2020, even as the default rate of corporate issuers increased. Credit quality of leveraged corporate borrowers, whose loans are held by CLOs, was particularly challenged by COVID-19, the sudden-stop recession, and the temporary illiquidity in the funding markets. The speculative-grade corporate default rate more than doubled to 5.5% in 2020 (from 2.5% in 2019) while the CLO default rate declined (see chart 2). While CLO ratings showed resilience in 2020, the sudden shock of credit stress and corporate defaults in 2020 may continue to reverberate among CLO performance into 2021, and beyond, as the proportion of CLO tranches rated 'B-' and lower grew.

Leveraged loan defaults rose alongside the speculative-grade default rate. The S&P/LSTA Leveraged Loan Index Default rate climbed to 4.22% (as a percent of total issuers) as of Dec. 31, 2021, up from 1.62% at the beginning of the year. While this was the highest loan default rate since 2010, it remained well-below the highs of the GFC, when the leveraged loan default rate surpassed 8% in 2009.

The corporates that defaulted were concentrated within the lowest rating levels of 'CCC+' and lower, and CLO managers tend to limit their credit exposures to debt rated at that level.

However, the 'BB' and 'B' categories, more broadly held within CLOs, experienced slightly higher than average default rates and elevated rates of downgrade to the 'CCC+' and lower category.

The one CLO default in 2020 was of Strawinsky I PLC Tranche D notes. This defaulting tranche from a European transaction was initially rated 'BBB (sf)' in 2007, was downgraded to 'B (sf)' in 2009, and rated 'B- (sf)' at the start of 2020.

It defaulted as interest and principal proceeds remaining after payment of senior expenses were insufficient to pay full and timely interest on the class D notes in February (see "Strawinsky I's Class D Rating Lowered To 'D (sf)'," March 23, 2020).

With this default, European CLOs defaulted at a rate of 0.11% in 2020, marginally below the long-term average default rate of 0.13%, and considerably lower than the speculative-grade corporate default rate.

Historically, CLO default rates remain low compared with some other structured finance sectors, like residential mortgage-backed securities. Annual CLO default rates have been low and generally steady throughout the sector's history, with the annual default rate remaining below 0.5% (see chart 3). There were no defaults on investment-grade CLO ratings in 2020, and no U.S. or European leveraged loan CLO tranche originally rated 'AAA' has ever defaulted.

CLO Rating Actions Turned Sharply Negative In 2020

• With COVID-19 impacting credit quality globally, 10.6% of CLO ratings were lowered during the year, the highest rate since 2010.
• CLO downgrades exceeded upgrades for the first time in 10 years.
• The CLO upgrade rate dropped to 0.4%--the lowest rate since 2009, and sharply below the long-term average of 12.9%.
• Despite the increase in downgrades, most CLO ratings were stable in 2020: Of the 4,813 global CLO ratings outstanding at the start of 2020, 89.1% were unchanged during the year, and this was higher than the long-term average of 79.4%.
• Most downgrades in 2020 were of speculative-grade tranches, which comprised 79% of the downgrades, even as they accounted for just 21% of CLO ratings at the start of 2020.
• CLO downgrades in 2020 were largely of mezzanine and junior tranches of U.S. CLO 2.0 deals, and many of these downgrades followed the weakening of credit measures and negative rating actions on corporate entities whose loans are held by the downgraded CLOs.
• With this increase in downgrades and drop in upgrades, the average change in credit quality turned negative in 2020, to -0.17 notches at the end of 2020 from +0.05 notches at the end of 2019 (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.)
• While this was the first full year with a negative average change in credit quality since 2010, the average change in credit quality in 2020 was considerably less severe than in 2010 (when it reached -2.9 notches midyear), (For more information on the average change in credit quality, see Appendix I.)

Most of the CLO downgrades in 2020 were of tranches that were already speculative grade. More than 500 tranches were downgraded in 2020, and close to 80% of these began the year rated speculative grade. By rating category, the 'BB' category experienced the highest rate of downgrade, at 40%, followed closely by the 'B' category, with 37.5% (see chart 5). Note that these downgrade rates include tranches downgraded within the rating category. The share of 'B' category issuers that transitioned to the 'CCC' category in 2020 was lower, at 30%.

Among investment grade tranches, the 'BBB' category had the highest downgrade rate (at 11.2%). Just over 7% of 'BBB' CLO classes saw ratings lowered to speculative grade during the year.

Rating actions were considerably less negative at the high end of investment grade. Within the 'AA' category, a higher share of tranches were upgraded (1.1%) than were downgraded (0.3%). No 'AAA' tranches were downgraded during the year.

CLO downgrades were more concentrated in the U.S. than in Europe. The downgrade rate rose to 12.3% in the U.S. (from 1.2% in 2019) while in Europe the rate remained much lower at 2.95%, up from just 0.15% in 2019.

Table 1 shows a summary of 2020 credit performance for global CLOs segmented in various ways and compared with the 1997-2020 one-year weighted-average statistics.

Table 1

Global CLO Transition And Default Summary
2020 versus one-year average
	2020						One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	4,813	89.1	0.4	10.6	0.0	1	79.4	12.9	7.7	0.1
Region
U.S.	3,932	87.5	0.2	12.3	0.0	0	80.9	12.2	6.9	0.1
Europe	881	96.0	1.0	3.0	0.1	1	74.3	15.4	10.2	0.1
Generation
1.0	16	68.8	0.0	31.3	6.3	1	72.2	17.6	10.2	0.1
2.0	4,797	89.1	0.4	10.5	0.0	0	94.2	3.3	2.5	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	71.7	17.6	10.7	0.0
2006	9	100.0	0.0	0.0	0.0	0	68.9	20.0	11.0	0.1
2007	6	33.3	0.0	66.7	16.7	1	67.0	22.1	10.9	0.0
2008	1	0.0	0.0	100.0	0.0	0	65.9	20.2	13.8	0.3
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	33.3	0.0	66.7	0.0	0	92.1	7.6	0.3	0.0
2013	43	72.1	2.3	25.6	0.0	0	94.1	5.2	0.6	0.0
2014	84	45.2	2.4	52.4	0.0	0	94.5	2.6	2.9	0.0
2015	54	42.6	5.6	51.9	0.0	0	95.7	2.2	2.0	0.0
2016	77	76.6	1.3	22.1	0.0	0	98.1	0.9	1.0	0.0
2017	1,206	87.2	0.6	12.2	0.0	0	94.0	2.6	3.5	0.0
2018	1,758	88.7	0.2	11.0	0.0	0	94.0	0.5	5.5	0.0
2019	1,572	96.1	0.0	3.9	0.0	0	96.1	0.0	3.9	0.0
Rating category
AAA	1,207	100.0	N/A	0.0	0.0	0	92.0	0.0	8.0	0.0
AA	988	98.6	1.1	0.3	0.0	0	75.0	20.4	4.6	0.0
A	825	97.3	0.7	1.9	0.0	0	76.0	17.0	7.0	0.0
BBB	785	88.7	0.1	11.2	0.0	0	76.6	14.5	8.9	0.0
BB	696	59.9	0.0	40.1	0.0	0	76.7	12.4	10.9	0.0
B	301	62.5	0.0	37.5	0.3	1	73.9	17.0	9.1	0.1
CCC	10	0.0	0.0	100.0	0.0	0	59.6	34.6	5.7	1.2
CC	1	100.0	0.0	0.0	0.0	0	65.0	4.9	30.1	30.1
Rating grade
Investment-grade	3,805	96.7	0.5	2.8	0.0	0	81.0	12.0	7.1	0.0
Speculative-grade	1,008	60.1	0.0	39.9	0.1	1	73.7	16.4	9.9	0.4
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. Source: S&P Global Ratings Research.

CLO 1.0 Winds Down As Focus Shifts To CLO 2.0

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. For these purposes, we consider CLO 2.0 transactions those issued since the beginning of 2010, and those issued in 2009 or earlier as CLO 1.0 transactions. Aggregating across vintages into the 1.0 and 2.0 generations, there were no CLO 2.0 tranche defaults through year-end 2020. However, after the period covered in this report, the first two CLO 2.0 defaults took place in the second half of 2021.

• As CLO 1.0 transactions wind down, CLO 2.0 transactions accounted for nearly 99.7% of rated CLO tranches as of the beginning of 2020.
• Just 16 CLO 1.0 transactions remained rated as of the beginning of 2020, and just six of these were still rated by year-end (see table 2).
• CLO 2.0 transactions numbered 4,797 at the beginning of 2020, and this number rose to 6,270 by year-end.

Table 2

CLO Default Summary By Original Rating (Year-End 2020)
Global		CLO 1.0			CLO 2.0
		Count of original ratings	Count of default	Currently rated	Count of original ratings	Count of default	Currently rated
	AAA	2,012	0	0	2,883	0	1,472
	AA	838	1	0	2,435	0	1,358
	A	1,029	5	0	1,949	0	1,114
	BBB	1,071	13	0	1,747	0	1,063
	BB	770	39	6	1,500	0	924
	B	39	4	0	533	0	339
	Total	5,759	62	6	11,047	0	6,270
U.S.
	AAA	1,540	0	0	2,486	0	1,218
	AA	616	1	0	2,015	0	1,059
	A	790	5	0	1,661	0	909
	BBB	783	9	0	1,485	0	879
	BB	565	22	5	1,254	0	746
	B	28	3	0	326	0	179
	Total	4,322	40	5	9,227	0	4,990
Europe
	AAA	472	0	0	397	0	254
	AA	222	0	0	420	0	299
	A	239	0	0	288	0	205
	BBB	288	4	0	262	0	184
	BB	205	17	1	246	0	178
	B	11	1	0	207	0	160
	Total	1,437	22	1	1,820	0	1,280
Data through Dec. 31, 2020. Source: S&P Global Ratings Research.

Only a small pool of rated CLO 1.0 transactions remains outstanding (see chart 6). These tranches experienced a downgrade rate of 31.3% (reflecting the one default), with no upgrades in 2020. CLO 2.0 vintages accounted for most of the rating actions in 2020. 10.5% of CLO 2.0 tranches were downgraded in 2020, and 0.4% were upgraded.

Elevated rates of downgrade (including defaults) for CLO 1.0s in recent years reflect the small sample of remaining instruments, and partly reflect a survival bias, in our view. Securities from earlier vintage transactions that performed well will increasingly have paid off by now. Those that remain in the pool have increasingly shown weaker performance to date. Additionally, the underlying collateral pools in some earlier vintage transactions now contain only a handful of loans, increasing idiosyncratic risk.

Credit performance continues to differ by the year of issuance--or vintage--of CLO securities. (For purposes of this study, note that for vintage, we look to the year the CLO was originated regardless of whether the CLO was subsequently reset or refinanced.) 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.

Segmenting global CLO credit performance by transaction vintage reveals that the downgrade rate in 2020 was relatively higher for the 2014 and 2015 vintages, with each exhibiting a downgrade rate in excess of 50% (excluding transactions before 2013 owing to the small number of outstanding tranches at the beginning of the year). Even though the 2014 and 2015 vintages showed relatively higher downgrade rates, these vintages accounted for just over 70 of the tranches downgraded. By contrast, nearly two-thirds of the tranches downgraded were from the 2017 and 2018 vintages, although these vintages had downgrade rates of 12% and 11%, respectively, they accounted for more of the outstanding instruments (see chart 4).

Number Of Rated CLOs Reaches New Highs

Of the 4,813 CLO tranches that were rated globally as of the beginning of 2020, 79% were investment grade (see chart 8). In recent years, the number of rated CLO tranches declined from a peak of 5,286 in 2014 to a trough of 3,425 in 2018, as CLOs were redeemed. However, since 2018, the number of rated CLOs has had sharp annualized growth as more new CLO issuance has come to market.

Following strong issuance in 2018 and 2019, new CLO issuance slowed dramatically in the second quarter of 2020. During that time financing conditions sharply deteriorated as markets recognized the global impact that COVID-19 could have on the economy. New CLO issuance fell by 46% in the U.S., and by 31% in Europe, in the first half of 2020.

However, as monetary and fiscal stimulus measures spurred investors' search for yield, CLO issuance picked-up in the second half of the year, offsetting some of the first half's issuance decline. By the end of 2020, the number of outstanding rated CLO tranches reached a new high of 6,276.

CLO Credit Performance Has Shown Greater Variability Than Corporates' Over Time

Corporate credit performance may broadly affect CLOs. However, the metrics we use to describe credit performance will likely differ between corporate entities and CLOs.

The CLOs included in this study are backed by pools of broadly syndicated loans to a diversified mix of companies, primarily rated speculative grade. Middle-market loan CLOs, collateralized by loans to smaller, typically unrated companies, represent a smaller share of the market, and are excluded from the study.

Globally, the annual default rate for speculative-grade CLO tranches has remained below speculative-grade corporates in each year. The highest annual global speculative-grade default for CLOs was in 2002, reaching 2.56%. However, there were just 78 speculative-grade CLO tranches rated at the beginning of that year. Since 2002, the annual default rate for speculative-grade CLOs globally has held below 1% each year and remained below the default rate of speculative-grade corporate entities in each year (see chart 9).

An increase in CLO defaults tends to lag an increase in corporate defaults. Following the global financial crisis, the annual global speculative-grade corporate default rate reached near 10% at the end of 2009. By contrast, the default rate for CLO tranches reached a peak that was lower and later, as the global speculative-grade CLO default rate rose to 0.63% in 2011 and 0.82% in 2014.

CLO defaults can lag corporate defaults, in part because CLO structures have the ability to defer interest payments on junior tranches. While these act as temporary shock absorbers and allow CLOs to navigate periods of market stress, the deferred payments 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 can have ratings in the 'CCC' category or of 'CC' but not be lowered to 'D' until a payment default on the CLO tranche occurs.

Even with this lag, CLOs have also exhibited lower default rates than corporate issuers over longer horizons. For example, after the global financial crisis, the speculative-grade corporate three-year-trailing default rate rose to a peak of 14.8% in September 2011, the three-year-trailing speculative-grade CLO default rate peaked at 2.3% in November 2011 (see chart 10). During credit stresses of 2020, the corporate 36-month trailing speculative grade default rate seems to have peaked in November 2020 at 8.8% and has already begun to subside. Meanwhile, the 36-month trailing speculative-grade CLO default rate had yet to increase by the end of 2020, as it dropped to 1% during the year.

The pool of global corporate entities we rate is diverse by sector and country-related risks. For CLOs, while the underlying collateral pool in any given transaction 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 is also a factor that has contributed to the very low default rates to date for CLOs. If even the peak losses experienced in collateral pools so far were insufficient to cause a tranche default in one transaction, then they would also 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 relatively widespread effect on our CLO ratings, and could lead to higher default rates.

While CLOs have displayed lower average rates of downgrade and default than corporate issuers, CLO credit performance has also varied more widely than corporates from year to year, displaying lower minimum transition rates, with higher maxima and standard deviations (see chart 11).

For example, the global corporate downgrade rate peaked at 25% in 2009 in the wake of the financial crisis. However, the CLO downgrade rate peaked in 2010 at a higher rate of nearly 51%, with downgrades resulting from 2009 and the first half of 2010 at a higher rate of nearly 51%, with downgrades resulting from both deteriorating collateral performance following the global financial crisis, and from criteria changes that substantially increased the amount of credit enhancement required to attain a given rating level. In September 2009, S&P Global Ratings published revised CLO methodology that required increased enhancement to get to a given rating level. This criteria change contributed to many of the downgrades that occurred during this period, especially for the CLO 'AA' and 'AAA' rated tranches. In the years since 2010, the CLO downgrade rate has remained markedly lower, reaching a high of 10.6% in 2020.

In 2020, corporate downgrades continued to outpace CLO downgrades (see chart 12). However, with the natural lag between corporate rating actions and CLO rating actions, corporate downgrades peaked in the second quarter, before CLO downgrades peaked in the third.

The global corporate upgrade rate reached a peak of 15% in 2007, but CLOs had even higher double-digit upgrade rates every year from 2011 to 2016, peaking at 47% in 2012. This was largely owing to structural deleveraging among CLO transactions that exited their reinvestment periods, supported by stable underlying corporate credit performance (see chart 13).

CLO Ratings Have Differentiated Default Rates Over Time

With a rating history that goes back to the 1990s, global CLOs have historically had strong credit performance, with few defaults.

Between 1996 and the beginning of 2020, we assigned more than 16,800 ratings on CLO securities. The majority of these tranches have since been paid in full, and the ratings on them have been withdrawn. About 0.4% of the tranches defaulted and had ratings lowered to 'D' (see table 2). (Further details of CLO tranches with ratings that we lowered to 'D' are in table 8 of Appendix II, and tranches with ratings of 'CC' as of year-end 2020 are in table 9.)

Table 3

Global CLO Lifetime Transition And Default Summary
1996-2020
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	16,806	72.6	18.5	8.9	0.4	62	62.3
Region
U.S.	13,549	73.5	19.0	7.6	0.3	40	62.8
Europe	3,257	68.8	16.7	14.5	0.7	22	60.0
Generation
1.0	5,759	41.3	41.8	16.9	1.1	62	98.8
2.0	11,047	88.9	6.4	4.8	0.0	0	43.2
Vintage
Pre-2005	1,669	56.9	24.7	18.4	2.3	38	97.7
2005	744	36.3	48.1	15.6	0.4	3	99.6
2006	1,505	35.7	48.9	15.4	0.8	12	99.1
2007	1,521	33.9	51.7	14.3	0.3	4	99.5
2008	298	34.2	33.9	31.9	1.7	5	98.0
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	99.5
2013	1,105	78.0	20.5	1.5	0.0	0	97.5
2014	886	86.5	8.0	5.5	0.0	0	92.1
2015	586	89.6	5.6	4.8	0.0	0	91.5
2016	767	95.3	2.5	2.2	0.0	0	93.1
2017	1,690	85.8	5.6	8.6	0.0	0	37.8
2018	1,782	88.0	1.1	10.9	0.0	0	7.6
2019	1,580	96.1	0.0	3.9	0.0	0	2.5
2020	1,835	99.4	0.0	0.6	0.0	0	0.4
Rating category
AAA	4,895	95.1	N/A	4.9	0.0	0	69.9
AA	3,274	68.8	29.0	2.2	0.0	1	58.5
A	2,978	63.2	33.4	3.4	0.2	5	62.4
BBB	2,818	60.2	26.8	13.0	0.5	13	61.8
BB	2,269	56.6	17.3	26.1	1.7	39	57.3
B	572	74.7	3.1	22.2	0.7	4	40.0
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	13,965	75.1	19.3	5.6	0.1	19	64.0
Speculative-grade	2,841	60.2	14.5	25.3	1.5	43	53.8
*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. N/A--Not applicable. Source: S&P Global Ratings Research.

All of S&P Global Ratings Research's 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, CLOs that begin the year rated at the lowest rating levels show the highest observed rates of default.

Table 4

Global CLO One-Year Default Rates (1997-2020)
(%)
Year	AAA	AA	A	BBB	BB	B	CCC	CC
1997	0.0	0.0	0.0	NA	NA	NA	NA	NA
1998	0.0	0.0	0.0	0.0	0.0	NA	NA	NA
1999	0.0	0.0	0.0	0.0	0.0	0.0	NA	NA
2000	0.0	0.0	0.0	0.0	0.0	0.0	NA	NA
2001	0.0	0.0	0.0	0.0	0.0	0.0	NA	NA
2002	0.0	0.0	0.0	0.0	0.0	0.0	100.0	NA
2003	0.0	0.0	0.0	0.0	0.0	0.0	NA	NA
2004	0.0	0.0	0.0	0.0	0.0	0.0	0.0	NA
2005	0.0	0.0	0.0	0.0	0.0	0.0	0.0	NA
2006	0.0	0.0	0.0	0.0	0.0	0.0	0.0	NA
2007	0.0	0.0	0.0	0.0	0.0	0.0	0.0	NA
2008	0.0	0.0	0.0	0.0	0.0	0.0	0.0	NA
2009	0.0	0.0	0.0	0.0	0.0	0.0	0.0	37.5
2010	0.0	0.0	0.0	0.1	0.2	0.0	0.0	15.4
2011	0.0	0.0	0.0	0.0	0.2	0.0	0.3	30.8
2012	0.0	0.0	0.0	0.0	0.0	0.3	0.2	0.0
2013	0.0	0.0	0.0	0.0	0.0	0.0	0.5	23.5
2014	0.0	0.0	0.0	0.0	0.0	0.0	1.8	63.6
2015	0.0	0.0	0.0	0.0	0.0	0.0	1.4	NA
2016	0.0	0.0	0.0	0.0	0.0	0.0	7.7	40.0
2017	0.0	0.0	0.0	0.0	0.0	0.4	11.4	66.7
2018	0.0	0.0	0.0	0.0	0.0	0.0	30.0	50.0
2019	0.0	0.0	0.0	0.0	0.0	0.0	33.3	66.7
2020	0.0	0.0	0.0	0.0	0.0	0.3	0.0	0.0
Weighted average	0.0	0.0	0.0	0.0	0.0	0.1	1.2	30.1
Median	0.0	0.0	0.0	0.0	0.0	0.0	0.3	37.5
Standard deviation	0.0	0.0	0.0	0.0	0.0	0.1	24.6	24.6
Minimum	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
Maximum	0.0	0.0	0.0	0.1	0.2	0.4	100.0	66.7
N/A--Not applicable. Source: S&P Global Ratings Research.

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., non-default) 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 2020--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 30.1%, while the default rate sharply falls to 1.22% for the 'CCC' category, and to zero for the 'A' category (see table 4).

Table 5

Global CLO Cumulative Default Rates, Conditional On Survival, 1997-2020 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	0.0	0.0	0.0	0.0	0.0	0.1	0.1	0.1	0.1
A	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	0.1	0.1	0.2	0.3	0.4	0.5	0.7
BB	0.0	0.1	0.2	0.3	0.4	0.6	0.8	1.2	1.7	2.5
B	0.1	0.3	0.5	0.7	1.0	1.4	1.5	1.8	2.2	2.7
CCC	1.2	2.6	4.3	6.0	7.6	8.6	9.8	10.6	11.1	11.2
CC	30.1	43.9	50.9	52.9	54.0	54.0	54.0	54.0	54.0	54.0
IG	0.0	0.0	0.0	0.0	0.0	0.1	0.1	0.1	0.1	0.2
SG	0.4	0.8	1.2	1.6	2.0	2.4	2.8	3.2	3.7	4.4
Overall	0.1	0.2	0.3	0.4	0.5	0.6	0.7	0.8	0.9	1.1
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Regions In Detail

U.S. CLOs

In the U.S., CLOs had challenges from the sudden deterioration in corporate credit quality, as corporates experienced their highest rates of downgrade and default since the GFC. While CLO credit quality weakened, and the downgrade rate was higher, most CLO ratings remained unchanged during the year.

The U.S. CLO tranche downgrade rate rose to a 10-year high of 12.3% in 2020, from 1.21% in 2019, even as the default rate fell to zero. Very few U.S. CLOs were upgraded in 2020, and the upgrade rate plummeted to 0.23%. With upgrades surpassing downgrades and defaults, the overall change in credit quality for U.S. CLOs turned negative in 2020, with an average change of -0.20 notches for the year, which was down from +0.05 notches in 2019 (see chart 15).

There have historically been very few defaults among U.S. CLOs; the annual default rate has not exceeded 0.5%. While the default rate dropped to 0% in 2020, the potential for future defaults increased, as downgrades brought four U.S. tranches into the lowest rating level of 'CC'. These tranches are likely candidates for potential future defaults (see table 11 in Appendix II).

Table 6

U.S. CLO Transition And Default Summary
2020 versus one-year average
	2020						One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	3,932	87.5	0.2	12.3	0.0	0	80.9	12.2	6.9	0
Generation
1.0	11	63.6	0.0	36.4	0.0	0	73.6	17.1	9.4	0
2.0	3,921	87.6	0.2	12.2	0.0	0	93.6	3.7	2.7	0
Vintage
Pre-2005	0	N/A	N/A	N/A	N/A	N/A	84.1	9.1	6.8	0
2005	0	N/A	N/A	N/A	N/A	N/A	71.6	18.1	10.3	0
2006	6	100.0	0.0	0.0	0.0	0	69.5	20.1	10.4	0
2007	4	25.0	0.0	75.0	0.0	0	68.2	21.5	10.3	0
2008	1	0.0	0.0	100.0	0.0	0	68.9	20.1	11.0	1
2009	0	N/A	N/A	N/A	N/A	N/A	70.7	21.3	8.0	0
2010	0	N/A	N/A	N/A	N/A	N/A	87.0	13.0	0.0	0
2011	0	N/A	N/A	N/A	N/A	N/A	84.6	15.4	0.0	0
2012	3	33.3	0.0	66.7	0.0	0	92.1	7.6	0.3	0
2013	43	72.1	2.3	25.6	0.0	0	93.7	5.6	0.7	0
2014	80	42.5	2.5	55.0	0.0	0	94.2	2.8	3.0	0
2015	39	35.9	0.0	64.1	0.0	0	95.4	2.3	2.3	0
2016	61	72.1	1.6	26.2	0.0	0	97.5	1.2	1.3	0
2017	862	83.2	0.5	16.4	0.0	0	92.4	3.0	4.6	0
2018	1,576	87.6	0.1	12.3	0.0	0	93.4	0.4	6.2	0
2019	1,257	96.3	0.0	3.7	0.0	0	96.3	0.0	3.7	0
Rating category
AAA	1,027	100.0	0.0	0.0	0.0	0	93.1	0.0	6.9	0
AA	789	98.7	0.9	0.4	0.0	0	75.7	20.4	3.9	0
A	685	97.4	0.3	2.3	0.0	0	77.8	15.8	6.4	0
BBB	662	87.2	0.0	12.8	0.0	0	77.8	13.9	8.3	0
BB	575	54.6	0.0	45.4	0.0	0	78.1	11.3	10.6	0
B	184	41.3	0.0	58.7	0.0	0	75.2	16.6	8.1	0
CCC	10	0.0	0.0	100.0	0.0	0	57.6	38.4	3.9	1
CC	0	0.0	0.0	0.0	0.0	0	57.5	6.8	35.6	36
Rating grade
Investment-grade	3,163	96.4	0.3	3.3	0.0	0	82.3	11.4	6.3	0
Speculative-grade	769	50.7	0.0	49.3	0.0	0	75.1	15.3	9.5	0
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 7

U.S. CLO Lifetime Transition And Default Summary
1996-2020
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	13,549	73.5	19.0	7.6	0.3	40	62.8
Generation
1.0	4,322	43.9	43.9	12.2	0.9	40	99.0
2.0	9,227	87.3	7.3	5.4	0.0	0	45.9
Vintage
Pre-2005	1,381	59.3	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	99.0
2007	1,021	36.0	54.7	9.3	0.1	1	99.6
2008	207	38.6	42.5	18.8	2.4	5	97.1
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	99.5
2013	988	76.2	22.1	1.7	0.0	0	97.2
2014	839	85.8	8.3	5.8	0.0	0	92.1
2015	481	89.0	5.8	5.2	0.0	0	91.9
2016	591	94.1	3.2	2.7	0.0	0	92.4
2017	1,267	82.7	6.2	11.0	0.0	0	42.1
2018	1,590	86.8	1.0	12.2	0.0	0	7.7
2019	1,265	96.4	0.0	3.6	0.0	0	3.0
2020	1,390	99.4	0.0	0.6	0.0	0	0.6
Rating category
AAA	4,026	96.8	N/A	3.2	0.0	0	69.7
AA	2,632	69.2	29.4	1.4	0.0	1	59.7
A	2,451	64.5	33.2	2.4	0.2	5	62.7
BBB	2,268	61.6	27.8	10.6	0.4	9	60.8
BB	1,818	57.0	18.5	24.4	1.2	22	57.5
B	354	63.6	3.7	32.8	0.8	3	48.6
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	11,377	76.4	19.5	4.1	0.1	15	64.1
Speculative-grade	2,172	58.1	16.1	25.8	1.2	25	56.0
*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. N/A--Not applicable. Source: S&P Global Ratings Research.

European CLOs

In Europe, credit quality of CLOs had a less-pronounced weakening in 2020. The European CLO downgrade rate rose to 2.84% (with 26 downgrades.) While this was Europe's highest downgrade rate since 2014, it remained well-below the U.S. CLO downgrade rate. The default rate for European CLOs fell to 0.11% in 2020 from 0.15% the previous year. With credit quality weakening, few CLOs were upgraded, and the upgrade rate fell to 1.02% (down from 1.91%).

With these actions, the overall average change in credit quality turned slightly negative, with -0.03 notches for the year, down from +0.04 notches in 2019 (see chart 16).

Most of the European CLO downgrades were from CLO 2.0s. The 2019 vintage accounted for most of the downgrades (by volume), as it had 15 tranches downgraded and a downgrade rate of 4.8%. The default of Strawinsky I PLC Tranche D notes was the only downgrade or default from a European CLO 1.0 tranche during the year. Ratings on the other four European CLO 1.0s were unchanged during the year (see table 7).

The European CLO sector experienced its first defaults back in 2015, and the default rate swiftly climbed to 0.81% in 2016. In that year, the defaults included tranches from three separate transactions, two were redeemed or terminated early. Since then, defaults have steadily fallen year over year (see chart 17).

Table 8

European CLO Transition And Default Summary
2020 versus one-year average
	2020						One-year average
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	881	96.0	1.0	3.0	0.1	1	74.3	15.4	10.2	0.1
Generation
1.0	5	80.0	0.0	20.0	20.0	1	68.7	18.8	12.5	0.2
2.0	876	96.1	1.0	2.9	0.0	0	98.1	1.1	0.8	0.0
Vintage
Pre-2005	0	N/A	N/A	N/A	N/A	N/A	78.1	10.0	11.9	0.6
2005	0	N/A	N/A	N/A	N/A	N/A	72.0	16.0	12.0	0.2
2006	3	100.0	0.0	0.0	0.0	0	67.5	19.9	12.6	0.0
2007	2	50.0	0.0	50.0	50.0	1	64.7	23.3	12.1	0.1
2008	0	N/A	N/A	N/A	N/A	N/A	59.9	20.5	19.6	0.0
2009	0	N/A	N/A	N/A	N/A	N/A	0.0	0.0	0.0	0.0
2010	0	N/A	N/A	N/A	N/A	N/A	0.0	0.0	0.0	0.0
2011	0	N/A	N/A	N/A	N/A	N/A	0.0	0.0	0.0	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	4	100.0	0.0	0.0	0.0	0	99.4	0.6	0.0	0.0
2015	15	60.0	20.0	20.0	0.0	0	97.1	1.8	1.1	0.0
2016	16	93.8	0.0	6.3	0.0	0	99.8	0.0	0.2	0.0
2017	344	97.4	0.9	1.7	0.0	0	98.0	1.5	0.5	0.0
2018	182	98.4	1.6	0.0	0.0	0	99.2	0.8	0.0	0.0
2019	315	95.2	0.0	4.8	0.0	0	95.2	0.0	4.8	0.0
Rating category
AAA	180	100.0	0.0	0.0	0.0	0	86.8	0.0	13.2	0.0
AA	199	98.0	2.0	0.0	0.0	0	72.8	20.3	6.9	0.0
A	140	97.1	2.9	0.0	0.0	0	69.6	21.3	9.0	0.0
BBB	123	96.7	0.8	2.4	0.0	0	72.5	16.4	11.1	0.0
BB	121	85.1	0.0	14.9	0.0	0	72.6	15.6	11.8	0.0
B	117	95.7	0.0	4.3	0.9	1	71.4	17.7	10.8	0.1
CCC	0	N/A	N/A	N/A	N/A	N/A	62.2	29.8	8.0	1.8
CC	1	100.0	0.0	0.0	0.0	0	83.3	0.0	16.7	16.7
Rating grade
Investment-grade	642	98.1	1.4	0.5	0.0	0	75.9	14.1	10.0	0.0
Speculative-grade	239	90.4	0.0	9.6	0.4	1	70.3	18.9	10.8	0.5
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. N/A--Not applicable. Source: S&P Global Ratings Research.

Table 9

European CLO Lifetime Transition And Default Summary
2001-2019
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	3,257	68.8	16.7	14.5	0.7	22	60.0
Generation
1.0	1,437	33.5	35.6	31.0	1.5	22	98.4
2.0	1,820	96.8	1.8	1.5	0.0	0	29.7
Vintage
Pre-2005	288	45.1	15.6	39.2	4.9	14	95.1
2005	143	31.5	35.0	33.6	2.1	3	97.9
2006	415	32.8	41.9	25.3	0.5	2	99.5
2007	500	29.6	45.8	24.6	0.6	3	99.2
2008	91	24.2	14.3	61.5	0.0	0	100.0
2009	0	N/A	N/A	N/A	N/A	0	N/A
2010	0	N/A	N/A	N/A	N/A	0	N/A
2011	0	N/A	N/A	N/A	N/A	0	N/A
2012	0	N/A	N/A	N/A	N/A	0	N/A
2013	117	93.2	6.8	0.0	0.0	0	100.0
2014	47	97.9	2.1	0.0	0.0	0	91.5
2015	105	92.4	4.8	2.9	0.0	0	89.5
2016	176	99.4	0.0	0.6	0.0	0	95.5
2017	423	95.0	3.5	1.4	0.0	0	24.6
2018	192	98.4	1.6	0.0	0.0	0	6.8
2019	315	95.2	0.0	4.8	0.0	0	0.3
2020	445	99.6	0.0	0.4	0.0	0	0.0
Rating category
AAA	869	87.3	0.0	12.7	0.0	0	70.8
AA	642	67.3	27.4	5.3	0.0	0	53.4
A	527	57.3	34.3	8.3	0.0	0	61.1
BBB	550	54.5	22.7	22.7	0.7	4	65.8
BB	451	54.8	12.4	32.8	3.8	17	56.5
B	218	92.7	2.3	5.0	0.5	1	26.1
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	2,588	69.3	18.6	12.1	0.2	4	63.4
Speculative-grade	669	67.1	9.1	23.8	2.7	18	46.6
*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. N/A--Not applicable. Source: S&P Global Ratings Research.

Appendix I: Terminology, Data Selection, And Calculation Approaches

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

This global CLO default and ratings transition study uses our database of long-term global scale issue credit ratings. We do not include national and 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 will include statistics for previous years, ensuring that the study is self-consistent and effectively supersedes any previous editions.

Issues included in this study

The study analyzes 16,806 rating histories of CLO securities that S&P Global Ratings first rated in the U.S. and Europe from 1996 until Dec. 31, 2020. 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 backed by a portfolio of broadly syndicated leveraged loans. We do not include transactions backed by loans to small and midsize enterprises (SMEs). 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. In defining a transaction's region, we use the location where we perform surveillance as the primary way to determine its region. We may also consider the transaction's issuer country (unless this is a tax-haven country 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 we may first assign a rating to a security sometime 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 these purposes, we consider CLO 2.0 transactions those issued since the beginning of 2010, and CLO 1.0 transactions issued in 2009 or earlier.

Rating transitions

Our rating transition statistics use a "static pool" approach. To calculate the transition statistics over a given time period (or "transition window"), we consider the static pool of ratings outstanding at the beginning that time 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 2020 transition rates by determining the ratings on each security outstanding at the start of 2020 and determining the ratings on those same securities at the end of 2020. 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 'AA' to 'AA+' as an upgrade and 'BBB+' to '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, for example, because of a lack of sufficient information of satisfactory quality or at the issuer's request. In these cases, the rating may change to 'NR' (not rated).

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 ratings history of all securities in the relevant sector and/or region. This approach contrasts with the approach we used in some previous editions of our wider global structured finance default and transition studies. In those studies, we included the ratings history of all securities on which the original rating was below the 'AAA' level. However, for each structured finance transaction, we generally only included 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 a security rating has moved to 'D', we consider this a terminal state and do not, for example, 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 a different rating.

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 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, for example, to determine 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 report, we also calculate and present 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 0.1% and the 10-year average has been 0.70%.

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 to 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 have moved our ratings to 'D' and 'CC', respectively

Table 10

Global CLO Tranches With Ratings Lowered To 'D', 2001-2020
Date rating lowered to 'D'	Transaction	Tranche	Region	Vintage	Original rating
17-Sep-02	KBC - Orion Commercial Loan Master Trust 1999-1	D-1	U.S.	1999	BB
17-Sep-02	KBC - Orion Commercial Loan Master Trust 1999-1	D-2	U.S.	1999	BB
4-Nov-09	Pine CCS Ltd	A-1	U.S.	2008	A-
4-Nov-09	Pine CCS Ltd	A-2	U.S.	2008	A-
17-Dec-09	Kingfisher Capital CLO Ltd.	A	U.S.	2008	BBB+
15-Oct-10	Landmark II CDO Ltd.	B	U.S.	2002	AA
26-Oct-10	Verano CCS Ltd	Sr Notes	U.S.	2008	A-
26-Oct-10	Spruce CCS Ltd	Sr Nts	U.S.	2008	A
8-Nov-10	GE Commercial Loan Trust Series 2006-1	Pfd Tr Crt	U.S.	2006	BB
19-Apr-11	Sandelman Finance 2006-1 Ltd	E	U.S.	2006	BB
25-Oct-11	Landmark II CDO Ltd.	C	U.S.	2002	BBB
25-Oct-11	Landmark II CDO Ltd.	D	U.S.	2002	BB
25-Oct-11	GE Commercial Loan Trust Series 2006-2	D	U.S.	2006	BBB-
25-Oct-11	GE Commercial Loan Trust Series 2006-2	Pfd Trust	U.S.	2006	BB
25-Oct-11	GE Commercial Loan Trust Series 2006-3	C	U.S.	2006	A
25-Oct-11	GE Commercial Loan Trust Series 2006-3	D	U.S.	2006	BBB-
25-Oct-11	GE Commercial Loan Trust Series 2006-3	Pfd Tr Cer	U.S.	2006	BB
29-May-12	Rosedale CLO II Ltd	E	U.S.	2007	BB
27-Nov-13	Katonah V, Ltd	D	U.S.	2003	BB
27-Nov-13	Longhorn CDO III Ltd	E	U.S.	2003	BB
2-Apr-14	Stanfield Carrera CLO, Ltd.	C-1	U.S.	2002	BBB
2-Apr-14	Stanfield Carrera CLO, Ltd.	C-2	U.S.	2002	BBB
2-Apr-14	Stanfield Carrera CLO, Ltd.	D-1	U.S.	2002	BB
2-Apr-14	Stanfield Carrera CLO, Ltd.	D-2	U.S.	2002	BB
2-May-14	Premium Loan Trust I Ltd	C	U.S.	2004	BBB
2-May-14	Premium Loan Trust I Ltd	D	U.S.	2004	BB
18-Jul-14	Foxe Basin CLO 2003, Ltd.	D	U.S.	2003	BB
12-Aug-14	Highland Loan Funding V Ltd.	C-1	U.S.	2001	BBB
12-Aug-14	Highland Loan Funding V Ltd.	C-2	U.S.	2001	BBB
12-Aug-14	Highland Loan Funding V Ltd.	D	U.S.	2001	BB+
26-Nov-15	Leopard CLO I B.V.	E-1	Europe	2003	BB
26-Nov-15	Leopard CLO I B.V.	E-2	Europe	2003	BB
4-Aug-16	North Westerly CLO I B.V.	IV-A	Europe	2003	BB-
4-Aug-16	North Westerly CLO I B.V.	IV-B	Europe	2003	BB-
10-Aug-16	Avoca CLO II B.V.	C-1	Europe	2004	BBB
10-Aug-16	Avoca CLO II B.V.	C-2	Europe	2004	BBB
10-Aug-16	Avoca CLO II B.V.	D	Europe	2004	BB
10-Aug-16	Avoca CLO II B.V.	R Combo	Europe	2004	BB
10-Aug-16	Avoca CLO II B.V.	T Combo	Europe	2004	BB+
13-Oct-16	Leopard CLO II B.V.	D	Europe	2004	BB
13-Feb-17	Leveraged Finance Europe Capital III B.V.	D	Europe	2004	BBB-
22-Mar-17	Avoca CLO III PLC	E	Europe	2005	BB
15-May-17	Leopard CLO III B.V.	E1	Europe	2005	BB-
15-May-17	Leopard CLO III B.V.	E2	Europe	2005	BB-
26-Sep-17	North Westerly CLO II B.V.	D-1	Europe	2004	BB-
26-Sep-17	North Westerly CLO II B.V.	D-2	Europe	2004	BB-
7-Nov-17	Airlie CLO 2006-II Ltd	D	U.S.	2006	BB
13-Feb-18	BACCHUS 2007-1 PLC	E	Europe	2007	BB-
6-Apr-18	Avoca CLO IV PLC	E Def	Europe	2006	BB
6-Apr-18	Avoca CLO V PLC	F	Europe	2006	B
21-Nov-18	Leveraged Finance Europe Capital III B.V.	E	Europe	2004	BB-
31-Jan-19	Global Leveraged Capital Credit Opportunity Fund I	E-1	U.S.	2006	BB
31-Jan-19	Global Leveraged Capital Credit Opportunity Fund I	E-2	U.S.	2006	BB
15-Oct-19	Munda CLO I B.V.	E	Europe	2007	BB-
23-Mar-20	Strawinsky I PLC	D	Europe	2007	BBB
As of Dec. 31, 2020. Excludes seven defaulting tranches that were rated confidentially. Source: S&P Global Ratings Research.

Table 11

Global CLO Tranches With Ratings At 'CC'*
Date rating lowered to 'CC'	Transaction	Tranche	Region	Vintage	Original rating
2-Oct-15	Strawinsky I PLC	E	Europe	2007	BB+
11-Sep-20	Blue Ridge CLO Ltd. I	E	U.S.	2014	B
8-Jun-20	BNPP IP CLO 2014-1, Ltd.	E	U.S.	2014	B
11-Sep-20	Trinitas CLO II, Ltd.	F	U.S.	2014	B
11-Sep-20	Blue Ridge CLO Ltd. II	E	U.S.	2014	B
* As of Dec. 31, 2020. Source: S&P Global Ratings Research.

Appendix III: Detailed Default And Transition Statistics

Tables 12-31 provide default and transition rate statistics for global CLOs segmented into subsectors.

Global CLOs

Table 12

Global CLO Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.4	99.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.2	98.8	1.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	92.7	6.8	0.5	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	63.1	33.6	3.3	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	69.4	30.2	0.0	0.0	0.3
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	92.0	6.3	1.6	0.1	0.0	0.0	0.0	0.0	0.0	0.0
AA	14.1	81.9	2.8	1.0	0.2	0.0	0.0	0.0	0.0	0.0
A	2.0	11.0	80.8	3.9	1.8	0.3	0.2	0.0	0.0	0.0
BBB	0.4	2.0	8.0	81.8	4.1	1.9	1.8	0.0	0.0	0.0
BB	0.1	0.2	1.4	7.7	80.6	5.3	4.5	0.1	0.0	0.0
B	0.0	0.1	0.4	3.1	11.3	78.4	6.5	0.1	0.0	0.1
CCC	0.0	0.0	0.0	1.3	8.2	18.9	68.9	1.5	0.0	1.2
CC	0.0	0.0	0.0	0.0	1.9	1.9	1.0	65.0	0.0	30.1
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	83.7	13.1	2.9	0.2	0.1	0.0	0.0	0.0	0.0	0.0
AA	26.9	65.2	5.6	1.8	0.3	0.1	0.1	0.0	0.0	0.0
A	6.4	17.7	63.7	7.9	3.4	0.6	0.3	0.0	0.0	0.0
BBB	1.4	5.1	12.9	64.9	7.7	4.1	3.7	0.1	0.0	0.0
BB	0.4	0.9	3.3	13.3	65.4	7.6	8.8	0.2	0.0	0.1
B	0.1	0.3	1.5	7.1	18.8	63.1	8.7	0.2	0.0	0.2
CCC	0.0	0.0	0.3	3.7	14.7	29.8	46.6	2.1	0.0	2.7
CC	0.0	0.0	0.0	0.0	2.9	3.9	1.0	48.0	0.0	44.1
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	77.4	18.9	3.3	0.2	0.2	0.0	0.0	0.0	0.0	0.0
AA	37.0	53.2	7.3	2.0	0.3	0.1	0.1	0.0	0.0	0.0
A	12.0	19.6	52.8	10.6	3.9	0.7	0.4	0.1	0.0	0.0
BBB	3.3	8.3	13.9	53.7	10.5	5.4	4.7	0.1	0.0	0.0
BB	0.8	1.9	5.4	15.2	56.1	8.9	11.1	0.3	0.0	0.2
B	0.4	0.8	2.8	10.6	19.7	57.5	7.6	0.2	0.0	0.4
CCC	0.1	0.2	1.2	6.4	17.8	29.5	38.2	2.3	0.0	4.2
CC	0.0	0.0	0.0	0.0	4.0	5.1	1.0	39.4	0.0	50.5
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	74.9	21.8	2.8	0.2	0.2	0.1	0.0	0.0	0.0	0.0
AA	45.6	44.8	7.3	1.7	0.3	0.2	0.1	0.0	0.0	0.0
A	18.2	19.7	46.1	11.2	3.6	0.7	0.3	0.1	0.0	0.0
BBB	5.6	11.0	13.7	46.9	11.6	5.9	5.0	0.2	0.0	0.1
BB	1.3	3.2	7.6	15.5	50.3	9.6	11.7	0.4	0.0	0.3
B	0.7	1.4	4.1	13.5	19.8	52.5	7.1	0.3	0.0	0.6
CCC	0.3	0.5	2.1	8.7	18.3	28.8	33.5	2.0	0.0	5.7
CC	0.0	0.0	0.0	0.0	5.2	5.2	1.0	36.1	0.0	52.6
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	75.8	21.7	2.0	0.1	0.2	0.1	0.1	0.0	0.0	0.0
AA	53.7	38.2	6.3	1.2	0.2	0.2	0.1	0.0	0.0	0.0
A	24.6	20.1	41.0	10.2	2.8	0.7	0.3	0.1	0.0	0.0
BBB	8.5	12.7	13.6	42.4	11.5	6.0	5.0	0.2	0.0	0.1
BB	2.1	4.8	9.3	15.5	45.1	10.9	11.3	0.5	0.0	0.5
B	1.0	2.5	5.9	15.5	21.0	45.7	7.1	0.5	0.0	0.9
CCC	0.6	0.9	3.1	10.8	18.4	28.4	29.2	1.8	0.0	6.9
CC	0.0	0.0	0.0	0.0	5.3	5.3	1.1	35.1	0.0	53.2
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	88.6	9.8	0.8	0.1	0.3	0.2	0.2	0.0	0.0	0.0
AA	77.0	18.7	2.2	1.1	0.3	0.2	0.4	0.0	0.0	0.1
A	42.9	26.3	24.3	3.5	1.3	0.8	0.5	0.4	0.0	0.1
BBB	13.0	14.1	17.8	32.4	8.9	6.8	5.6	0.5	0.0	0.9
BB	4.0	7.2	10.3	16.1	31.9	15.7	10.0	1.4	0.0	3.4
B	3.7	7.6	15.3	22.4	20.2	20.0	6.8	0.4	0.0	3.7
CCC	1.1	2.3	6.8	15.4	22.4	24.9	17.5	1.3	0.0	8.3
CC	0.0	0.0	0.0	0.0	6.4	6.4	2.1	34.0	0.0	51.1
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 13

Global CLO Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	84.3	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	15.7
AA	0.4	92.8	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	6.8
A	0.0	0.2	94.7	1.0	0.0	0.0	0.0	0.0	0.0	0.0	4.1
BBB	0.0	0.0	0.0	88.5	6.8	0.5	0.0	0.0	0.0	0.0	4.2
BB	0.0	0.0	0.0	0.0	59.1	33.6	3.3	0.0	0.0	0.0	4.0
B	0.0	0.0	0.0	0.0	0.0	65.4	30.2	0.0	0.0	0.3	4.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0	0.0
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	70.2	6.2	1.6	0.1	0.0	0.0	0.0	0.0	0.0	0.0	21.9
AA	11.9	70.2	2.8	1.0	0.2	0.0	0.0	0.0	0.0	0.0	14.0
A	1.4	10.0	70.0	3.9	1.8	0.3	0.2	0.0	0.0	0.0	12.5
BBB	0.2	1.5	7.2	71.8	4.1	1.9	1.8	0.0	0.0	0.0	11.5
BB	0.0	0.1	1.2	7.0	70.6	5.3	4.5	0.1	0.0	0.0	11.1
B	0.0	0.0	0.3	2.7	10.7	66.7	6.4	0.1	0.0	0.1	13.1
CCC	0.0	0.0	0.0	0.9	7.9	18.1	62.0	1.5	0.0	1.2	8.3
CC	0.0	0.0	0.0	0.0	1.0	1.9	1.0	51.5	0.0	30.1	14.6
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	45.4	12.8	2.8	0.2	0.1	0.0	0.0	0.0	0.0	0.0	38.7
AA	16.6	44.4	5.5	1.8	0.2	0.1	0.1	0.0	0.0	0.0	31.4
A	3.7	13.7	43.9	7.8	3.4	0.5	0.2	0.0	0.0	0.0	26.7
BBB	0.7	3.2	10.0	45.8	7.6	4.0	3.6	0.0	0.0	0.0	25.0
BB	0.1	0.6	2.3	10.5	45.3	7.2	8.8	0.2	0.0	0.1	24.9
B	0.0	0.2	0.8	5.3	16.2	40.1	8.3	0.2	0.0	0.2	28.8
CCC	0.0	0.0	0.3	2.7	13.1	26.3	33.9	1.8	0.0	2.7	19.3
CC	0.0	0.0	0.0	0.0	1.0	3.9	1.0	27.5	0.0	44.1	22.5
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	28.1	18.2	3.1	0.2	0.1	0.0	0.0	0.0	0.0	0.0	50.3
AA	15.9	25.8	7.1	1.9	0.3	0.1	0.1	0.0	0.0	0.0	48.8
A	5.0	12.5	26.3	10.4	3.8	0.6	0.3	0.0	0.0	0.0	41.1
BBB	1.1	4.2	8.6	27.5	10.3	5.2	4.4	0.1	0.0	0.0	38.6
BB	0.3	0.9	3.0	9.8	27.7	8.1	11.0	0.3	0.0	0.2	38.7
B	0.1	0.4	1.0	6.3	13.6	24.7	6.2	0.2	0.0	0.4	47.1
CCC	0.0	0.1	0.9	4.0	13.8	21.3	21.1	1.8	0.0	4.2	32.8
CC	0.0	0.0	0.0	0.0	1.0	5.1	0.0	11.1	0.0	50.5	32.3
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	19.5	20.3	2.6	0.1	0.1	0.1	0.0	0.0	0.0	0.0	57.3
AA	13.5	15.5	7.1	1.5	0.2	0.1	0.1	0.0	0.0	0.0	62.0
A	5.8	9.5	17.2	10.9	3.4	0.6	0.2	0.1	0.0	0.0	52.3
BBB	1.3	4.4	6.1	17.6	11.1	5.5	4.4	0.2	0.0	0.1	49.4
BB	0.3	1.3	3.3	7.4	17.4	8.4	11.3	0.4	0.0	0.3	49.8
B	0.1	0.5	1.1	6.1	9.9	14.2	4.6	0.3	0.0	0.6	62.6
CCC	0.0	0.2	0.9	4.6	11.9	15.6	13.3	1.4	0.0	5.7	46.4
CC	0.0	0.0	0.0	0.0	1.0	3.1	0.0	3.1	0.0	52.6	40.2
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	17.6	19.2	1.6	0.1	0.1	0.1	0.1	0.0	0.0	0.0	61.4
AA	11.0	11.5	5.9	1.0	0.2	0.1	0.0	0.0	0.0	0.0	70.2
A	5.7	7.2	14.0	9.6	2.5	0.5	0.1	0.1	0.0	0.0	60.1
BBB	1.7	3.6	4.0	14.0	10.3	5.1	4.0	0.2	0.0	0.1	56.8
BB	0.3	1.7	3.1	4.6	12.4	9.2	10.4	0.4	0.0	0.5	57.4
B	0.1	0.8	1.5	5.1	7.2	7.0	3.4	0.4	0.0	0.9	73.7
CCC	0.1	0.3	1.0	4.2	9.0	10.9	7.5	0.9	0.0	6.9	59.4
CC	0.0	0.0	0.0	0.0	1.1	1.1	0.0	1.1	0.0	53.2	43.6
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	2.0	0.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	97.5
AA	2.0	0.8	0.2	0.1	0.1	0.0	0.0	0.0	0.0	0.1	96.8
A	1.0	1.4	1.1	0.5	0.2	0.2	0.1	0.0	0.0	0.1	95.6
BBB	0.1	0.4	0.8	1.4	1.2	0.9	1.0	0.2	0.0	0.9	93.1
BB	0.0	0.0	0.1	0.5	1.5	2.1	2.0	0.8	0.0	3.4	89.5
B	0.0	0.0	0.0	0.0	0.3	0.4	0.9	0.1	0.0	3.7	94.6
CCC	0.0	0.0	0.0	0.0	0.0	0.5	0.1	0.2	0.0	8.3	90.9
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	51.1	48.9
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 14

Global CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	66.7	16.7	0.0	0.0	16.7
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	88.2	9.3	2.3	0.2	0.0	0.0	0.0	0.0	0.0	0.0
AA	19.7	74.3	4.2	1.5	0.2	0.1	0.0	0.0	0.0	0.0
A	2.9	15.1	72.6	5.8	2.8	0.5	0.2	0.0	0.0	0.0
BBB	0.5	2.8	11.0	74.9	5.3	2.8	2.7	0.0	0.0	0.0
BB	0.1	0.2	2.2	11.7	74.5	4.3	6.7	0.2	0.0	0.0
B	0.0	0.1	0.7	5.2	18.6	68.9	6.2	0.1	0.0	0.1
CCC	0.0	0.0	0.0	1.3	8.3	19.0	68.9	1.3	0.0	1.2
CC	0.0	0.0	0.0	0.0	1.9	1.9	1.0	65.0	0.0	30.1
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	77.6	17.9	4.0	0.3	0.1	0.0	0.0	0.0	0.0	0.0
AA	35.0	54.1	7.8	2.5	0.4	0.1	0.1	0.0	0.0	0.0
A	8.6	22.4	51.9	11.0	4.8	0.8	0.4	0.1	0.0	0.0
BBB	1.9	6.7	16.4	54.4	9.9	5.5	5.1	0.1	0.0	0.0
BB	0.6	1.2	4.7	18.7	54.5	7.5	12.3	0.3	0.0	0.2
B	0.1	0.5	2.2	10.8	28.3	48.7	8.8	0.1	0.0	0.4
CCC	0.0	0.0	0.3	3.7	14.8	29.9	46.7	2.0	0.0	2.7
CC	0.0	0.0	0.0	0.0	2.9	3.9	1.0	48.0	0.0	44.1
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	70.7	24.5	4.2	0.3	0.2	0.0	0.0	0.0	0.0	0.0
AA	46.2	40.9	9.6	2.6	0.4	0.2	0.1	0.0	0.0	0.0
A	15.4	23.0	40.9	14.0	5.2	0.9	0.5	0.1	0.0	0.0
BBB	4.2	10.4	16.5	42.5	13.2	6.9	6.1	0.2	0.0	0.0
BB	1.1	2.6	7.3	19.8	43.6	10.1	14.8	0.4	0.0	0.3
B	0.6	1.1	3.9	14.9	27.3	42.9	8.5	0.1	0.0	0.6
CCC	0.1	0.2	1.2	6.4	17.8	29.5	38.2	2.3	0.0	4.2
CC	0.0	0.0	0.0	0.0	4.0	5.1	1.0	39.4	0.0	50.5
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	69.1	26.8	3.5	0.2	0.2	0.1	0.1	0.0	0.0	0.0
AA	54.7	33.2	9.2	2.1	0.4	0.2	0.1	0.0	0.0	0.0
A	22.5	21.8	35.5	14.2	4.6	0.9	0.4	0.1	0.0	0.0
BBB	6.9	13.2	15.3	36.6	14.3	7.2	6.2	0.2	0.0	0.1
BB	1.7	4.2	9.6	19.0	38.2	11.5	14.8	0.6	0.0	0.4
B	0.9	1.9	5.4	17.6	25.5	39.8	7.9	0.2	0.0	0.8
CCC	0.3	0.5	2.1	8.7	18.3	28.8	33.5	2.0	0.0	5.7
CC	0.0	0.0	0.0	0.0	5.2	5.2	1.0	36.1	0.0	52.6
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	71.7	25.4	2.3	0.2	0.2	0.1	0.1	0.0	0.0	0.0
AA	61.4	29.0	7.5	1.5	0.3	0.3	0.1	0.0	0.0	0.0
A	28.8	21.3	32.8	12.2	3.4	0.9	0.4	0.2	0.0	0.1
BBB	9.8	14.5	14.5	34.5	13.4	7.0	5.8	0.3	0.0	0.1
BB	2.6	5.9	11.2	17.8	35.5	12.6	13.4	0.6	0.0	0.6
B	1.2	3.0	7.2	18.9	25.1	35.8	7.4	0.4	0.0	1.1
CCC	0.6	0.9	3.1	10.8	18.4	28.4	29.2	1.8	0.0	6.9
CC	0.0	0.0	0.0	0.0	5.3	5.3	1.1	35.1	0.0	53.2
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	88.5	9.8	0.8	0.1	0.3	0.2	0.2	0.0	0.0	0.0
AA	77.1	18.6	2.2	1.1	0.3	0.2	0.4	0.0	0.0	0.1
A	43.0	26.2	24.2	3.5	1.3	0.8	0.5	0.4	0.0	0.1
BBB	13.0	14.1	17.7	32.4	9.0	6.8	5.6	0.5	0.0	0.9
BB	4.0	7.2	10.3	16.1	31.9	15.7	10.0	1.4	0.0	3.4
B	3.7	7.6	15.3	22.4	20.2	20.0	6.8	0.4	0.0	3.7
CCC	1.1	2.3	6.8	15.4	22.4	24.9	17.5	1.3	0.0	8.3
CC	0.0	0.0	0.0	0.0	6.4	6.4	2.1	34.0	0.0	51.1
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 15

Global CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
AA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
BB	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
B	0.0	0.0	0.0	0.0	0.0	66.7	16.7	0.0	0.0	16.7	0.0
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	68.1	9.2	2.3	0.2	0.0	0.0	0.0	0.0	0.0	0.0	20.1
AA	16.7	67.3	4.2	1.5	0.2	0.1	0.0	0.0	0.0	0.0	10.1
A	2.0	14.0	66.2	5.8	2.7	0.5	0.2	0.0	0.0	0.0	8.6
BBB	0.3	2.1	10.0	68.4	5.3	2.8	2.7	0.0	0.0	0.0	8.4
BB	0.0	0.2	1.9	10.8	67.8	4.2	6.7	0.2	0.0	0.0	8.3
B	0.0	0.0	0.5	4.4	17.6	58.4	6.1	0.1	0.0	0.1	12.8
CCC	0.0	0.0	0.0	0.9	8.0	18.2	62.0	1.3	0.0	1.2	8.4
CC	0.0	0.0	0.0	0.0	1.0	1.9	1.0	51.5	0.0	30.1	14.6
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	45.0	17.6	3.9	0.3	0.1	0.0	0.0	0.0	0.0	0.0	33.1
AA	22.0	43.1	7.7	2.4	0.3	0.1	0.1	0.0	0.0	0.0	24.3
A	5.0	18.1	41.6	10.9	4.7	0.8	0.3	0.1	0.0	0.0	18.5
BBB	0.9	4.3	13.0	43.4	9.8	5.5	4.9	0.1	0.0	0.0	18.2
BB	0.2	0.8	3.3	15.1	42.4	7.0	12.2	0.3	0.0	0.2	18.5
B	0.0	0.3	1.2	8.0	24.5	30.3	8.2	0.1	0.0	0.4	26.9
CCC	0.0	0.0	0.3	2.7	13.1	26.3	33.9	1.7	0.0	2.7	19.3
CC	0.0	0.0	0.0	0.0	1.0	3.9	1.0	27.5	0.0	44.1	22.5
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	30.4	23.6	4.0	0.3	0.1	0.0	0.0	0.0	0.0	0.0	41.6
AA	20.3	27.4	9.5	2.5	0.3	0.1	0.1	0.0	0.0	0.0	39.9
A	6.5	15.6	27.7	13.8	5.0	0.8	0.4	0.1	0.0	0.0	30.1
BBB	1.4	5.4	10.6	28.0	12.9	6.7	5.7	0.1	0.0	0.0	29.1
BB	0.3	1.3	4.1	13.1	27.3	9.2	14.6	0.4	0.0	0.3	29.4
B	0.1	0.6	1.4	8.9	19.0	19.1	6.7	0.1	0.0	0.6	43.6
CCC	0.0	0.1	0.9	4.0	13.8	21.3	21.1	1.8	0.0	4.2	32.8
CC	0.0	0.0	0.0	0.0	1.0	5.1	0.0	11.1	0.0	50.5	32.3
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	22.7	25.0	3.2	0.1	0.1	0.1	0.1	0.0	0.0	0.0	48.8
AA	16.6	18.1	8.9	1.9	0.3	0.1	0.1	0.0	0.0	0.0	54.0
A	7.3	11.5	20.2	13.8	4.3	0.7	0.2	0.1	0.0	0.0	41.8
BBB	1.6	5.4	7.2	19.6	13.6	6.7	5.4	0.2	0.0	0.1	40.1
BB	0.4	1.7	4.3	9.4	18.7	10.2	14.3	0.5	0.0	0.4	40.1
B	0.1	0.6	1.4	8.0	13.0	12.5	4.8	0.2	0.0	0.8	58.5
CCC	0.0	0.2	0.9	4.6	11.9	15.6	13.3	1.4	0.0	5.7	46.4
CC	0.0	0.0	0.0	0.0	1.0	3.1	0.0	3.1	0.0	52.6	40.2
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	20.3	22.4	1.8	0.1	0.1	0.1	0.1	0.0	0.0	0.0	55.2
AA	12.8	13.5	7.0	1.2	0.2	0.1	0.0	0.0	0.0	0.0	65.2
A	6.8	8.4	16.5	11.5	3.0	0.6	0.1	0.1	0.0	0.1	53.0
BBB	2.0	4.3	4.5	15.8	12.1	6.0	4.7	0.2	0.0	0.1	50.3
BB	0.4	2.0	3.8	5.6	14.2	10.7	12.3	0.5	0.0	0.6	50.1
B	0.1	0.9	1.8	6.2	8.8	6.7	3.0	0.3	0.0	1.1	71.0
CCC	0.1	0.3	1.0	4.2	9.0	10.9	7.5	0.9	0.0	6.9	59.4
CC	0.0	0.0	0.0	0.0	1.1	1.1	0.0	1.1	0.0	53.2	43.6
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	2.0	0.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	97.5
AA	2.0	0.8	0.2	0.1	0.1	0.0	0.0	0.0	0.0	0.1	96.8
A	1.0	1.4	1.1	0.5	0.2	0.2	0.1	0.0	0.0	0.1	95.6
BBB	0.1	0.4	0.8	1.4	1.2	0.9	1.0	0.2	0.0	0.9	93.1
BB	0.0	0.0	0.1	0.5	1.5	2.1	2.0	0.8	0.0	3.4	89.5
B	0.0	0.0	0.0	0.0	0.3	0.4	0.9	0.1	0.0	3.7	94.6
CCC	0.0	0.0	0.0	0.0	0.0	0.5	0.1	0.2	0.0	8.3	90.9
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	51.1	48.9
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 16

Global CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.4	99.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.2	98.8	1.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	92.7	6.8	0.5	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	63.0	33.7	3.3	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	69.5	30.5	0.0	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	3.0	97.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.3	2.9	96.6	0.2	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.3	1.6	96.5	1.5	0.1	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.1	0.7	91.3	7.2	0.7	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.3	92.7	6.9	0.0	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	66.7	33.3	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	6.5	93.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	1.1	6.1	92.6	0.2	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.1	0.8	3.6	93.6	1.8	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.1	1.7	89.2	7.8	1.2	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.7	90.6	8.6	0.2	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	8.8	91.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	1.7	9.1	89.1	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.2	1.2	5.4	91.7	1.3	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.3	2.6	90.2	5.7	1.2	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	1.1	93.0	5.5	0.4	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	10.6	89.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	2.2	11.4	86.3	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.3	1.7	6.9	90.6	0.3	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.6	3.6	91.6	3.1	1.2	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	1.5	93.4	4.5	0.6	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	13.4	86.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	3.2	14.1	82.6	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.5	2.5	8.6	87.8	0.4	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.9	4.9	89.3	3.4	1.6	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	2.4	90.8	5.9	0.9	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	33.3	66.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	33.3	66.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	60.0	40.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	50.0	50.0	0.0	0.0	0.0	0.0	0.0
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
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 17

Global CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	84.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	15.5
AA	0.4	93.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	6.6
A	0.0	0.2	94.7	1.0	0.0	0.0	0.0	0.0	0.0	0.0	4.1
BBB	0.0	0.0	0.0	88.9	6.8	0.5	0.0	0.0	0.0	0.0	3.8
BB	0.0	0.0	0.0	0.0	59.2	33.7	3.3	0.0	0.0	0.0	3.7
B	0.0	0.0	0.0	0.0	0.0	65.4	30.5	0.0	0.0	0.0	4.1
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0	0.0
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	74.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	25.5
AA	2.2	76.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	21.8
A	0.2	2.1	77.5	0.2	0.0	0.0	0.0	0.0	0.0	0.0	20.1
BBB	0.0	0.1	1.2	79.0	1.5	0.1	0.0	0.0	0.0	0.0	18.1
BB	0.0	0.0	0.0	0.5	75.6	7.2	0.7	0.0	0.0	0.0	16.1
B	0.0	0.0	0.0	0.0	0.3	79.3	6.9	0.0	0.0	0.0	13.5
CCC	0.0	0.0	0.0	0.0	0.0	0.0	66.7	33.3	0.0	0.0	0.0
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	46.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	53.6
AA	2.9	47.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	49.4
A	0.5	3.0	49.6	0.2	0.0	0.0	0.0	0.0	0.0	0.0	46.7
BBB	0.0	0.2	1.8	52.5	1.8	0.2	0.0	0.0	0.0	0.0	43.5
BB	0.0	0.0	0.0	0.6	51.7	7.6	1.2	0.0	0.0	0.0	38.9
B	0.0	0.0	0.0	0.0	0.3	58.7	8.4	0.2	0.0	0.0	32.4
CCC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	20.3	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	79.7
AA	2.4	21.1	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	76.5
A	0.3	3.1	22.0	0.1	0.0	0.0	0.0	0.0	0.0	0.0	74.5
BBB	0.0	0.0	1.9	25.8	1.3	0.2	0.0	0.0	0.0	0.0	70.8
BB	0.0	0.0	0.0	0.6	29.0	5.2	1.2	0.0	0.0	0.0	64.1
B	0.0	0.0	0.0	0.0	0.3	38.5	5.1	0.4	0.0	0.0	55.6
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	5.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	94.4
AA	1.8	5.1	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	93.1
A	0.4	2.1	5.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	91.9
BBB	0.0	0.0	1.5	9.0	0.3	0.2	0.0	0.0	0.0	0.0	88.9
BB	0.0	0.0	0.0	0.4	13.0	2.4	1.2	0.0	0.0	0.0	83.0
B	0.0	0.0	0.0	0.0	0.2	19.5	4.1	0.6	0.0	0.0	75.6
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	1.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	98.1
AA	1.7	1.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	97.0
A	0.5	1.5	1.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	96.4
BBB	0.0	0.0	1.2	3.8	0.4	0.2	0.0	0.0	0.0	0.0	94.4
BB	0.0	0.0	0.0	0.2	4.4	2.6	1.6	0.0	0.0	0.0	91.2
B	0.0	0.0	0.0	0.0	0.2	8.1	5.2	0.9	0.0	0.0	85.6
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
N/A--Not applicable. Source: S&P Global Ratings Research.

U.S. CLOs

Table 18

U.S. CLO Cumulative Default Rates, Conditional On Survival, 1997-2020 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	0.0	0.0	0.0	0.0	0.1	0.1	0.1	0.1	0.1
A	0.0	0.0	0.0	0.0	0.1	0.1	0.1	0.1	0.1	0.1
BBB	0.0	0.0	0.0	0.1	0.1	0.2	0.3	0.4	0.6	0.7
BB	0.0	0.1	0.3	0.4	0.6	0.7	0.9	1.2	1.5	2.0
B	0.1	0.3	0.6	0.9	1.2	1.5	1.7	1.9	2.3	2.8
CCC	0.8	1.5	2.5	3.7	4.8	5.2	5.8	6.4	6.9	6.9
CC	35.6	54.8	64.4	67.1	68.5	68.5	68.5	68.5	68.5	68.5
IG	0.0	0.0	0.0	0.0	0.0	0.1	0.1	0.1	0.2	0.2
SG	0.4	0.7	1.1	1.4	1.7	1.9	2.2	2.5	2.9	3.3
Overall	0.1	0.1	0.2	0.3	0.4	0.4	0.5	0.6	0.7	0.8
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 19

U.S. CLO Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.5	99.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.3	98.5	1.2	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	91.4	8.0	0.6	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	56.2	39.8	4.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	50.5	49.5	0.0	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0
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	93.1	5.9	0.9	0.1	0.0	0.0	0.0	0.0	0.0	0.0
AA	14.4	82.2	2.7	0.5	0.0	0.0	0.0	0.0	0.0	0.0
A	1.8	10.3	82.3	4.1	1.1	0.3	0.1	0.0	0.0	0.0
BBB	0.4	2.0	7.5	83.1	3.9	1.5	1.7	0.0	0.0	0.0
BB	0.1	0.1	1.5	6.9	81.6	5.5	4.1	0.2	0.0	0.0
B	0.0	0.1	0.6	3.9	10.6	78.6	6.0	0.1	0.0	0.1
CCC	0.0	0.0	0.0	1.9	12.1	18.9	64.9	1.5	0.0	0.8
CC	0.0	0.0	0.0	0.0	2.7	2.7	1.4	57.5	0.0	35.6
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	86.1	12.0	1.6	0.1	0.1	0.0	0.0	0.0	0.0	0.0
AA	27.4	66.1	5.2	1.0	0.1	0.1	0.1	0.0	0.0	0.0
A	6.0	16.5	66.8	8.1	1.9	0.5	0.2	0.0	0.0	0.0
BBB	1.5	5.1	12.1	67.4	7.3	3.1	3.4	0.0	0.0	0.0
BB	0.4	0.8	3.3	11.7	68.0	7.3	8.0	0.3	0.0	0.2
B	0.1	0.4	2.1	8.7	17.2	64.2	6.7	0.2	0.0	0.3
CCC	0.0	0.0	0.5	6.0	21.0	30.0	38.9	2.2	0.0	1.5
CC	0.0	0.0	0.0	0.0	4.1	5.5	1.4	34.2	0.0	54.8
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	81.1	16.8	1.7	0.1	0.1	0.0	0.0	0.0	0.0	0.0
AA	37.8	54.6	6.2	1.0	0.1	0.2	0.1	0.0	0.0	0.0
A	11.0	18.9	57.1	10.0	2.1	0.6	0.3	0.0	0.0	0.0
BBB	3.3	8.0	13.4	57.4	9.6	4.0	4.2	0.1	0.0	0.0
BB	0.9	1.8	5.3	13.5	60.2	7.8	9.9	0.4	0.0	0.3
B	0.6	1.0	3.7	12.2	17.9	59.0	4.6	0.3	0.0	0.6
CCC	0.3	0.4	2.0	9.9	24.3	30.5	27.9	2.3	0.0	2.5
CC	0.0	0.0	0.0	0.0	5.6	7.0	1.4	22.5	0.0	63.4
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	79.5	18.7	1.4	0.1	0.2	0.1	0.1	0.0	0.0	0.0
AA	46.5	46.5	5.5	0.9	0.1	0.2	0.1	0.0	0.0	0.0
A	17.0	19.4	51.1	9.7	1.9	0.6	0.3	0.0	0.0	0.0
BBB	5.3	10.7	13.5	51.9	10.0	4.2	4.2	0.1	0.0	0.1
BB	1.3	2.9	7.2	13.7	56.1	8.0	9.8	0.5	0.0	0.4
B	1.0	1.6	5.3	15.1	17.2	54.7	3.8	0.4	0.0	0.9
CCC	0.6	0.9	3.4	13.0	23.6	28.9	24.2	1.8	0.0	3.7
CC	0.0	0.0	0.0	0.0	7.0	7.0	1.4	18.3	0.0	66.2
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	81.1	17.5	0.9	0.1	0.2	0.1	0.1	0.0	0.0	0.0
AA	55.3	39.5	3.9	0.7	0.1	0.3	0.1	0.0	0.0	0.0
A	23.2	20.9	45.9	7.7	1.4	0.6	0.3	0.0	0.0	0.1
BBB	7.7	12.7	14.1	47.8	9.5	4.1	3.9	0.2	0.0	0.1
BB	1.9	4.2	8.9	14.3	51.8	9.1	8.7	0.5	0.0	0.6
B	1.3	2.7	7.4	16.9	17.9	48.1	4.2	0.4	0.0	1.1
CCC	1.0	1.4	5.2	14.5	22.0	28.0	21.7	1.3	0.0	4.8
CC	0.0	0.0	0.0	0.0	7.0	7.0	1.4	16.9	0.0	67.6
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	91.7	6.8	0.5	0.1	0.3	0.3	0.3	0.0	0.0	0.0
AA	80.0	16.7	1.3	1.0	0.2	0.2	0.5	0.0	0.0	0.2
A	45.6	25.9	24.9	2.2	0.4	0.4	0.6	0.0	0.0	0.1
BBB	14.0	16.5	19.4	32.9	8.1	4.4	3.5	0.2	0.0	1.0
BB	3.8	7.9	12.2	17.4	35.3	12.7	6.7	1.0	0.0	3.0
B	4.4	8.2	17.8	24.2	18.4	19.1	3.8	0.2	0.0	4.0
CCC	1.3	2.7	9.0	17.6	24.2	22.8	14.0	0.4	0.0	7.9
CC	0.0	0.0	0.0	0.0	7.3	7.3	2.4	24.4	0.0	58.5
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 20

U.S. CLO Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	83.1	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	16.9
AA	0.5	92.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	7.1
A	0.0	0.3	94.3	1.2	0.0	0.0	0.0	0.0	0.0	0.0	4.2
BBB	0.0	0.0	0.0	87.0	8.0	0.6	0.0	0.0	0.0	0.0	4.4
BB	0.0	0.0	0.0	0.0	52.2	39.8	4.0	0.0	0.0	0.0	4.0
B	0.0	0.0	0.0	0.0	0.0	46.2	49.5	0.0	0.0	0.0	4.3
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0	0.0
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	70.7	5.9	0.9	0.1	0.0	0.0	0.0	0.0	0.0	0.0	22.5
AA	12.1	70.1	2.7	0.5	0.0	0.0	0.0	0.0	0.0	0.0	14.4
A	1.2	9.2	70.7	4.1	1.1	0.2	0.1	0.0	0.0	0.0	13.5
BBB	0.3	1.4	6.7	72.5	3.9	1.5	1.6	0.0	0.0	0.0	12.1
BB	0.0	0.1	1.2	6.2	70.8	5.5	4.1	0.2	0.0	0.0	11.9
B	0.0	0.0	0.4	3.3	9.8	67.0	5.9	0.1	0.0	0.1	13.3
CCC	0.0	0.0	0.0	1.4	11.6	18.0	58.4	1.5	0.0	0.8	8.3
CC	0.0	0.0	0.0	0.0	1.4	2.7	1.4	49.3	0.0	35.6	9.6
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	46.2	11.8	1.6	0.1	0.0	0.0	0.0	0.0	0.0	0.0	40.2
AA	17.1	44.4	5.2	0.9	0.1	0.1	0.1	0.0	0.0	0.0	32.1
A	3.3	12.2	45.3	8.1	1.9	0.4	0.2	0.0	0.0	0.0	28.6
BBB	0.7	3.0	9.0	47.0	7.2	3.1	3.3	0.0	0.0	0.0	26.6
BB	0.2	0.6	2.2	8.9	46.0	7.1	8.0	0.3	0.0	0.2	26.7
B	0.0	0.3	1.1	6.4	14.3	40.9	6.3	0.2	0.0	0.3	30.2
CCC	0.0	0.0	0.4	4.4	18.8	26.4	27.0	2.0	0.0	1.5	19.5
CC	0.0	0.0	0.0	0.0	1.4	5.5	1.4	21.9	0.0	54.8	15.1
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	28.9	16.2	1.6	0.1	0.1	0.0	0.0	0.0	0.0	0.0	53.1
AA	16.8	25.9	6.1	0.9	0.1	0.1	0.1	0.0	0.0	0.0	50.0
A	4.3	11.5	27.9	9.9	2.0	0.5	0.2	0.0	0.0	0.0	43.7
BBB	1.0	3.7	7.8	28.9	9.3	3.9	4.0	0.1	0.0	0.0	41.2
BB	0.3	0.8	2.5	8.4	28.4	7.3	9.8	0.3	0.0	0.3	41.8
B	0.1	0.4	1.0	6.9	11.7	24.8	3.7	0.3	0.0	0.6	50.3
CCC	0.0	0.2	1.4	6.3	18.4	22.1	11.7	1.9	0.0	2.5	35.5
CC	0.0	0.0	0.0	0.0	1.4	7.0	0.0	5.6	0.0	63.4	22.5
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	20.2	17.3	1.2	0.1	0.1	0.1	0.1	0.0	0.0	0.0	61.1
AA	14.3	15.8	5.3	0.7	0.1	0.1	0.1	0.0	0.0	0.0	63.6
A	5.5	9.0	18.8	9.3	1.7	0.5	0.2	0.0	0.0	0.0	55.0
BBB	1.1	3.8	5.7	19.4	9.3	3.9	3.8	0.1	0.0	0.1	52.6
BB	0.3	1.1	2.7	6.2	18.4	7.1	9.4	0.4	0.0	0.4	54.0
B	0.2	0.4	1.2	6.4	8.2	13.9	2.3	0.4	0.0	0.9	66.2
CCC	0.0	0.4	1.4	6.9	14.7	16.0	5.5	1.3	0.0	3.7	50.0
CC	0.0	0.0	0.0	0.0	1.4	4.2	0.0	1.4	0.0	66.2	26.8
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	17.8	15.2	0.6	0.1	0.0	0.1	0.1	0.0	0.0	0.0	66.1
AA	11.9	11.7	3.5	0.5	0.1	0.1	0.0	0.0	0.0	0.0	72.1
A	5.4	7.7	15.1	7.1	1.2	0.4	0.1	0.0	0.0	0.1	62.9
BBB	1.5	3.3	4.2	15.7	8.1	3.3	3.2	0.1	0.0	0.1	60.4
BB	0.2	1.1	2.4	4.3	13.4	7.6	7.7	0.5	0.0	0.6	62.2
B	0.1	0.8	1.6	4.9	6.0	6.6	2.2	0.4	0.0	1.1	76.4
CCC	0.1	0.4	1.5	5.7	9.7	11.4	2.2	0.9	0.0	4.8	63.3
CC	0.0	0.0	0.0	0.0	1.4	1.4	0.0	0.0	0.0	67.6	29.6
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	1.5	0.0	0.0	0.0	0.0	0.1	0.0	0.0	0.0	0.0	98.4
AA	1.0	0.4	0.0	0.1	0.1	0.0	0.0	0.0	0.0	0.2	98.3
A	0.7	0.8	0.6	0.1	0.0	0.0	0.1	0.0	0.0	0.1	97.7
BBB	0.1	0.4	0.6	0.8	0.6	0.2	0.2	0.2	0.0	1.0	96.1
BB	0.0	0.0	0.2	0.3	0.8	1.4	0.3	0.7	0.0	3.0	93.3
B	0.0	0.0	0.0	0.0	0.0	0.4	0.4	0.2	0.0	4.0	95.1
CCC	0.0	0.0	0.0	0.0	0.0	0.6	0.1	0.0	0.0	7.9	91.4
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	58.5	41.5
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 21

U.S. CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	80.0	20.0	0.0	0.0	0.0
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	89.5	9.0	1.4	0.1	0.0	0.0	0.0	0.0	0.0	0.0
AA	20.8	73.8	4.3	0.8	0.1	0.1	0.1	0.0	0.0	0.0
A	2.6	14.8	73.7	6.4	1.8	0.4	0.2	0.0	0.0	0.0
BBB	0.6	2.9	10.8	75.7	5.2	2.2	2.6	0.0	0.0	0.0
BB	0.1	0.2	2.5	11.4	75.3	3.6	6.6	0.3	0.0	0.0
B	0.1	0.2	1.0	7.1	18.8	69.4	3.1	0.2	0.0	0.2
CCC	0.0	0.0	0.0	1.9	12.2	19.1	64.9	1.1	0.0	0.8
CC	0.0	0.0	0.0	0.0	2.7	2.7	1.4	57.5	0.0	35.6
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	80.2	17.1	2.4	0.2	0.1	0.0	0.0	0.0	0.0	0.0
AA	36.9	53.6	7.7	1.4	0.1	0.2	0.1	0.0	0.0	0.0
A	8.3	21.5	54.2	12.0	2.9	0.7	0.3	0.0	0.0	0.0
BBB	2.1	6.9	15.9	55.9	9.7	4.5	4.9	0.0	0.0	0.0
BB	0.7	1.3	5.2	17.6	56.2	6.4	12.0	0.4	0.0	0.2
B	0.2	0.7	3.5	14.6	28.3	48.4	3.6	0.2	0.0	0.5
CCC	0.0	0.0	0.5	6.0	21.0	30.0	38.9	2.0	0.0	1.5
CC	0.0	0.0	0.0	0.0	4.1	5.5	1.4	34.2	0.0	54.8
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	74.7	22.6	2.3	0.2	0.2	0.1	0.0	0.0	0.0	0.0
AA	48.8	40.5	8.6	1.4	0.2	0.3	0.2	0.0	0.0	0.0
A	14.7	22.7	44.4	14.1	2.9	0.8	0.4	0.0	0.0	0.0
BBB	4.4	10.4	16.2	45.1	12.6	5.4	5.7	0.1	0.0	0.0
BB	1.3	2.6	7.7	18.8	46.1	8.5	14.1	0.5	0.0	0.4
B	1.0	1.6	5.7	19.0	27.0	41.1	3.3	0.2	0.0	1.0
CCC	0.3	0.4	2.0	9.9	24.3	30.5	27.9	2.3	0.0	2.5
CC	0.0	0.0	0.0	0.0	5.6	7.0	1.4	22.5	0.0	63.4
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	74.0	23.7	1.8	0.2	0.2	0.1	0.1	0.0	0.0	0.0
AA	57.8	32.9	7.3	1.2	0.2	0.3	0.2	0.0	0.0	0.0
A	21.9	21.9	39.6	12.9	2.5	0.8	0.4	0.0	0.0	0.1
BBB	6.8	13.3	15.4	40.5	12.9	5.4	5.5	0.2	0.0	0.1
BB	1.8	4.1	9.9	17.7	42.3	9.8	13.2	0.7	0.0	0.6
B	1.5	2.3	7.7	21.9	24.1	37.8	3.2	0.2	0.0	1.3
CCC	0.6	0.9	3.4	13.0	23.6	28.9	24.2	1.8	0.0	3.7
CC	0.0	0.0	0.0	0.0	7.0	7.0	1.4	18.3	0.0	66.2
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	77.3	21.0	1.0	0.2	0.2	0.2	0.1	0.0	0.0	0.0
AA	65.2	28.3	4.9	0.9	0.2	0.3	0.2	0.0	0.0	0.1
A	28.1	22.5	36.8	9.6	1.7	0.7	0.4	0.0	0.0	0.1
BBB	9.4	14.9	15.3	38.9	11.5	4.9	4.8	0.2	0.0	0.2
BB	2.5	5.4	11.3	17.1	40.8	10.7	10.7	0.7	0.0	0.8
B	1.8	3.6	9.8	22.6	22.9	34.2	3.5	0.2	0.0	1.4
CCC	1.0	1.4	5.2	14.5	22.0	28.0	21.7	1.3	0.0	4.8
CC	0.0	0.0	0.0	0.0	7.0	7.0	1.4	16.9	0.0	67.6
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	91.7	6.8	0.5	0.1	0.3	0.3	0.3	0.0	0.0	0.0
AA	80.1	16.5	1.3	1.0	0.2	0.2	0.5	0.0	0.0	0.2
A	45.6	25.9	24.8	2.2	0.4	0.4	0.6	0.0	0.0	0.1
BBB	14.0	16.5	19.4	32.9	8.1	4.4	3.5	0.2	0.0	1.0
BB	3.8	7.9	12.2	17.3	35.3	12.7	6.7	1.0	0.0	3.0
B	4.4	8.2	17.8	24.2	18.4	19.1	3.8	0.2	0.0	4.0
CCC	1.3	2.7	9.0	17.6	24.2	22.8	14.0	0.4	0.0	7.9
CC	0.0	0.0	0.0	0.0	7.3	7.3	2.4	24.4	0.0	58.5
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 22

U.S. CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
AA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
BB	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
B	0.0	0.0	0.0	0.0	0.0	80.0	20.0	0.0	0.0	0.0	0.0
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	68.9	9.0	1.4	0.1	0.0	0.0	0.0	0.0	0.0	0.0	20.6
AA	17.7	67.2	4.3	0.8	0.1	0.1	0.1	0.0	0.0	0.0	9.8
A	1.8	13.5	66.9	6.4	1.7	0.4	0.2	0.0	0.0	0.0	9.1
BBB	0.4	2.1	9.8	69.2	5.1	2.2	2.6	0.0	0.0	0.0	8.6
BB	0.0	0.1	2.0	10.4	68.2	3.6	6.6	0.3	0.0	0.0	8.8
B	0.0	0.1	0.7	6.1	17.5	59.5	3.1	0.2	0.0	0.2	12.7
CCC	0.0	0.0	0.0	1.4	11.7	18.2	58.3	1.1	0.0	0.8	8.4
CC	0.0	0.0	0.0	0.0	1.4	2.7	1.4	49.3	0.0	35.6	9.6
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	46.2	16.9	2.3	0.1	0.1	0.0	0.0	0.0	0.0	0.0	34.4
AA	23.7	43.4	7.6	1.3	0.1	0.1	0.1	0.0	0.0	0.0	23.6
A	4.7	16.7	43.5	11.9	2.8	0.6	0.2	0.0	0.0	0.0	19.4
BBB	1.0	4.2	12.2	44.7	9.6	4.4	4.8	0.0	0.0	0.0	18.9
BB	0.3	0.9	3.4	13.8	43.2	6.2	11.9	0.4	0.0	0.2	19.5
B	0.1	0.5	1.8	10.7	23.7	30.7	3.2	0.2	0.0	0.5	28.7
CCC	0.0	0.0	0.4	4.4	18.8	26.5	27.0	1.9	0.0	1.5	19.5
CC	0.0	0.0	0.0	0.0	1.4	5.5	1.4	21.9	0.0	54.8	15.1
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	32.0	21.7	2.1	0.2	0.1	0.1	0.0	0.0	0.0	0.0	43.9
AA	22.4	28.3	8.5	1.3	0.1	0.1	0.1	0.0	0.0	0.0	39.2
A	5.9	14.8	30.6	13.9	2.8	0.7	0.3	0.0	0.0	0.0	30.9
BBB	1.4	5.0	10.0	30.1	12.2	5.3	5.4	0.1	0.0	0.0	30.4
BB	0.4	1.2	3.8	12.2	28.4	8.1	13.9	0.5	0.0	0.4	31.0
B	0.2	0.7	1.6	10.8	18.0	18.3	2.2	0.2	0.0	1.0	47.1
CCC	0.0	0.2	1.4	6.3	18.4	22.1	11.7	1.9	0.0	2.5	35.5
CC	0.0	0.0	0.0	0.0	1.4	7.0	0.0	5.6	0.0	63.4	22.5
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	24.0	22.0	1.5	0.1	0.1	0.1	0.1	0.0	0.0	0.0	52.1
AA	18.3	19.2	7.0	1.0	0.1	0.1	0.1	0.0	0.0	0.0	54.1
A	7.2	11.2	23.2	12.4	2.3	0.6	0.2	0.0	0.0	0.1	42.8
BBB	1.5	5.0	6.9	22.4	12.0	5.0	5.0	0.2	0.0	0.1	42.0
BB	0.4	1.5	3.8	8.5	20.4	8.9	12.6	0.6	0.0	0.6	42.8
B	0.2	0.5	1.7	9.2	11.8	11.4	1.3	0.2	0.0	1.3	62.3
CCC	0.0	0.4	1.4	6.9	14.7	16.0	5.5	1.3	0.0	3.7	50.0
CC	0.0	0.0	0.0	0.0	1.4	4.2	0.0	1.4	0.0	66.2	26.8
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	21.0	18.3	0.7	0.1	0.0	0.1	0.1	0.0	0.0	0.0	59.7
AA	14.4	14.2	4.4	0.6	0.1	0.1	0.0	0.0	0.0	0.1	66.1
A	6.6	9.2	18.5	8.9	1.5	0.5	0.1	0.0	0.0	0.1	54.4
BBB	1.8	4.0	4.9	18.4	9.8	4.0	3.9	0.2	0.0	0.2	52.9
BB	0.3	1.4	3.2	5.4	16.1	9.1	9.4	0.6	0.0	0.8	53.7
B	0.1	1.1	2.2	6.5	7.9	6.2	1.0	0.2	0.0	1.4	73.4
CCC	0.1	0.4	1.5	5.7	9.7	11.4	2.2	0.9	0.0	4.8	63.3
CC	0.0	0.0	0.0	0.0	1.4	1.4	0.0	0.0	0.0	67.6	29.6
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	1.5	0.0	0.0	0.0	0.0	0.1	0.0	0.0	0.0	0.0	98.4
AA	1.0	0.4	0.0	0.1	0.1	0.0	0.0	0.0	0.0	0.2	98.3
A	0.7	0.8	0.6	0.1	0.0	0.0	0.1	0.0	0.0	0.1	97.7
BBB	0.1	0.4	0.6	0.8	0.6	0.2	0.2	0.2	0.0	1.0	96.1
BB	0.0	0.0	0.2	0.3	0.8	1.4	0.3	0.7	0.0	3.0	93.3
B	0.0	0.0	0.0	0.0	0.0	0.4	0.4	0.2	0.0	4.0	95.1
CCC	0.0	0.0	0.0	0.0	0.0	0.6	0.1	0.0	0.0	7.9	91.4
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	58.5	41.5
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 23

U.S. CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.5	99.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.3	98.5	1.2	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	91.4	8.0	0.6	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	56.0	40.0	4.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	49.7	50.3	0.0	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	3.4	96.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.3	3.1	96.3	0.3	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.3	1.6	96.2	1.7	0.1	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.1	0.8	90.3	8.1	0.8	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.5	90.1	9.5	0.0	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	66.7	33.3	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	7.3	92.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	1.3	6.5	92.0	0.3	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.1	0.9	3.6	93.2	2.0	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.2	1.8	87.9	8.8	1.4	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.9	87.7	11.2	0.2	0.0	0.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	9.8	90.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	1.9	9.7	88.3	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.2	1.4	5.6	91.2	1.4	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.3	2.7	89.3	6.3	1.4	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	1.4	91.2	6.8	0.6	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	11.5	88.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	2.4	12.0	85.5	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.3	1.9	7.1	90.2	0.4	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.6	3.7	91.1	3.3	1.3	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	1.7	92.3	5.2	0.7	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	14.3	85.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	3.4	14.5	82.0	0.1	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.5	2.7	8.7	87.5	0.4	0.2	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.9	5.0	88.9	3.6	1.7	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	2.7	89.8	6.5	1.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	33.3	66.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	33.3	66.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	60.0	40.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	50.0	50.0	0.0	0.0	0.0	0.0	0.0
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
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 24

U.S. CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	83.1	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	16.9
AA	0.5	92.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	7.0
A	0.0	0.3	94.3	1.2	0.0	0.0	0.0	0.0	0.0	0.0	4.2
BBB	0.0	0.0	0.0	87.3	8.0	0.6	0.0	0.0	0.0	0.0	4.1
BB	0.0	0.0	0.0	0.0	52.4	40.0	4.0	0.0	0.0	0.0	3.7
B	0.0	0.0	0.0	0.0	0.0	45.3	50.3	0.0	0.0	0.0	4.5
CCC	0.0	0.0	0.0	0.0	0.0	0.0	60.0	40.0	0.0	0.0	0.0
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	74.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	26.0
AA	2.5	75.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	22.5
A	0.2	2.2	76.8	0.3	0.0	0.0	0.0	0.0	0.0	0.0	20.5
BBB	0.0	0.2	1.2	78.5	1.7	0.1	0.0	0.0	0.0	0.0	18.3
BB	0.0	0.0	0.0	0.5	74.5	8.0	0.8	0.0	0.0	0.0	16.2
B	0.0	0.0	0.0	0.0	0.4	76.2	9.4	0.0	0.0	0.0	14.0
CCC	0.0	0.0	0.0	0.0	0.0	0.0	66.7	33.3	0.0	0.0	0.0
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	46.3	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	53.7
AA	3.3	46.6	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	50.1
A	0.5	3.2	48.9	0.3	0.0	0.0	0.0	0.0	0.0	0.0	47.1
BBB	0.0	0.2	1.8	52.2	2.0	0.2	0.0	0.0	0.0	0.0	43.5
BB	0.0	0.0	0.0	0.7	50.7	8.5	1.4	0.0	0.0	0.0	38.7
B	0.0	0.0	0.0	0.0	0.5	56.1	10.9	0.2	0.0	0.0	32.3
CCC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	20.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	80.0
AA	2.7	20.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	77.3
A	0.3	3.3	21.3	0.1	0.0	0.0	0.0	0.0	0.0	0.0	75.0
BBB	0.0	0.0	2.0	25.5	1.4	0.2	0.0	0.0	0.0	0.0	70.9
BB	0.0	0.0	0.0	0.6	28.3	5.7	1.4	0.0	0.0	0.0	64.0
B	0.0	0.0	0.0	0.0	0.4	36.6	6.4	0.6	0.0	0.0	56.0
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	5.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	94.1
AA	1.9	5.3	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	92.8
A	0.4	2.3	5.8	0.0	0.0	0.0	0.0	0.0	0.0	0.0	91.5
BBB	0.0	0.0	1.7	9.5	0.4	0.2	0.0	0.0	0.0	0.0	88.3
BB	0.0	0.0	0.0	0.4	13.4	2.6	1.3	0.0	0.0	0.0	82.3
B	0.0	0.0	0.0	0.0	0.2	19.5	4.7	0.7	0.0	0.0	74.9
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	1.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	98.1
AA	1.8	1.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	96.9
A	0.6	1.6	1.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	96.4
BBB	0.0	0.0	1.3	3.8	0.4	0.2	0.0	0.0	0.0	0.0	94.3
BB	0.0	0.0	0.0	0.2	4.5	2.7	1.7	0.0	0.0	0.0	91.0
B	0.0	0.0	0.0	0.0	0.2	7.7	5.8	1.0	0.0	0.0	85.2
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
N/A--Not applicable. Source: S&P Global Ratings Research.

European CLOs

Table 25

European CLO Cumulative Default Rates, Conditional On Survival, 2002-2020 (%)
	Time horizon (years)
	1	2	3	4	5	6	7	8	9	10
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	0.0	0.0	0.0	0.1	0.2	0.4	0.6
BB	0.0	0.0	0.0	0.0	0.0	0.1	0.5	1.2	2.3	3.9
B	0.1	0.2	0.2	0.3	0.6	1.1	1.1	1.5	2.1	2.5
CCC	1.8	4.1	6.6	8.9	11.1	13.1	15.1	16.3	16.9	17.2
CC	16.7	16.7	16.7	16.7	16.7	16.7	16.7	16.7	16.7	16.7
IG	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.1	0.1	0.2
SG	0.5	1.0	1.5	2.1	2.7	3.3	4.0	4.8	5.6	6.8
Overall	0.1	0.3	0.4	0.6	0.8	0.9	1.1	1.4	1.6	1.9
IG--Investment-grade. SG--Speculative-grade. Source: S&P Global Ratings Research.

Table 26

European CLO Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	95.9	4.1	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	99.1	0.0	0.0	0.0	0.9
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	86.8	8.1	4.6	0.4	0.1	0.0	0.0	0.0	0.0	0.0
AA	13.1	80.7	3.1	2.6	0.5	0.0	0.0	0.0	0.0	0.0
A	3.0	13.1	75.3	3.4	4.3	0.5	0.3	0.0	0.0	0.0
BBB	0.3	2.2	9.6	77.4	4.6	3.4	2.5	0.0	0.0	0.0
BB	0.1	0.3	1.3	10.1	77.5	4.9	5.7	0.0	0.0	0.0
B	0.0	0.0	0.2	1.7	12.7	77.9	7.5	0.0	0.0	0.1
CCC	0.0	0.0	0.0	0.4	3.3	18.9	74.0	1.6	0.0	1.8
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	83.3	0.0	16.7
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	72.9	17.7	8.5	0.7	0.2	0.0	0.0	0.0	0.0	0.0
AA	25.4	62.4	6.7	4.6	0.9	0.0	0.0	0.0	0.0	0.0
A	8.0	21.7	53.1	7.1	8.5	0.9	0.5	0.1	0.0	0.0
BBB	1.2	5.4	15.6	56.7	8.9	7.1	4.8	0.2	0.0	0.0
BB	0.4	1.0	3.2	18.1	57.7	8.4	11.1	0.1	0.0	0.0
B	0.0	0.1	0.3	4.1	21.9	60.9	12.6	0.0	0.0	0.1
CCC	0.0	0.0	0.1	0.9	6.9	29.7	56.4	1.9	0.0	4.1
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	82.8	0.0	17.2
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	61.1	28.0	9.9	0.7	0.3	0.0	0.0	0.0	0.0	0.0
AA	34.6	48.6	10.8	5.0	0.9	0.0	0.0	0.0	0.0	0.0
A	15.4	21.8	38.4	12.4	10.2	1.1	0.6	0.3	0.0	0.0
BBB	3.2	9.4	15.8	41.6	13.4	9.8	6.6	0.3	0.0	0.0
BB	0.6	2.3	5.7	19.9	44.5	12.1	14.6	0.2	0.0	0.0
B	0.0	0.3	1.1	7.5	23.1	54.6	13.4	0.0	0.0	0.0
CCC	0.0	0.0	0.2	1.9	9.7	28.3	51.2	2.2	0.0	6.5
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	82.1	0.0	17.9
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	54.8	35.4	9.0	0.4	0.4	0.0	0.0	0.0	0.0	0.0
AA	42.7	38.7	13.4	4.3	0.8	0.1	0.0	0.0	0.0	0.0
A	22.4	20.6	29.2	16.5	9.6	1.1	0.4	0.4	0.0	0.0
BBB	6.8	12.0	14.6	30.8	16.8	11.1	7.4	0.4	0.0	0.0
BB	1.2	4.0	8.5	20.5	34.0	14.3	17.2	0.3	0.0	0.0
B	0.1	1.0	1.8	10.2	25.0	48.2	13.4	0.2	0.0	0.1
CCC	0.0	0.0	0.3	3.3	11.5	28.8	45.4	2.4	0.0	8.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	84.6	0.0	15.4
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	52.5	40.2	6.8	0.2	0.3	0.0	0.0	0.0	0.0	0.0
AA	48.5	33.7	14.1	3.0	0.7	0.1	0.0	0.0	0.0	0.0
A	29.3	17.6	25.1	18.5	7.5	1.2	0.2	0.6	0.0	0.0
BBB	10.7	12.9	12.2	25.7	17.9	11.9	8.3	0.5	0.0	0.0
BB	2.6	6.6	10.5	18.6	26.7	16.0	18.7	0.4	0.0	0.0
B	0.3	2.1	3.0	12.7	26.9	41.3	12.6	0.7	0.0	0.5
CCC	0.0	0.1	0.3	5.9	13.6	28.9	39.0	2.3	0.0	9.7
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	91.3	0.0	8.7
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	77.0	20.5	2.1	0.3	0.2	0.0	0.0	0.0	0.0	0.0
AA	66.8	25.6	5.5	1.5	0.5	0.2	0.0	0.0	0.0	0.0
A	33.9	27.3	22.2	8.0	4.4	2.2	0.2	1.8	0.0	0.0
BBB	10.2	7.0	13.0	31.0	11.5	13.7	11.6	1.3	0.0	0.7
BB	4.7	5.1	5.5	12.8	22.8	23.4	18.8	2.3	0.0	4.6
B	1.9	6.1	8.9	17.8	24.8	22.4	14.5	0.9	0.0	2.8
CCC	0.7	1.1	1.1	9.6	17.8	30.4	26.3	3.7	0.0	9.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 27

European CLO Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	91.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	8.3
AA	0.0	94.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	5.5
A	0.0	0.0	96.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	3.6
BBB	0.0	0.0	0.0	96.7	0.0	0.0	0.0	0.0	0.0	0.0	3.3
BB	0.0	0.0	0.0	0.0	91.7	4.1	0.0	0.0	0.0	0.0	4.1
B	0.0	0.0	0.0	0.0	0.0	95.7	0.0	0.0	0.0	0.9	3.4
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	67.8	8.0	4.5	0.4	0.1	0.0	0.0	0.0	0.0	0.0	19.2
AA	10.9	70.6	3.1	2.6	0.5	0.0	0.0	0.0	0.0	0.0	12.3
A	2.2	12.6	67.6	3.4	4.3	0.5	0.3	0.0	0.0	0.0	8.9
BBB	0.1	2.0	9.0	69.2	4.6	3.4	2.4	0.0	0.0	0.0	9.3
BB	0.0	0.2	1.3	9.5	70.0	4.7	5.7	0.0	0.0	0.0	8.6
B	0.0	0.0	0.2	1.4	12.3	66.1	7.3	0.0	0.0	0.1	12.6
CCC	0.0	0.0	0.0	0.3	3.2	18.2	66.5	1.6	0.0	1.8	8.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	56.7	0.0	16.7	26.7
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	41.7	17.2	8.4	0.6	0.2	0.0	0.0	0.0	0.0	0.0	31.9
AA	14.7	44.2	6.7	4.6	0.9	0.0	0.0	0.0	0.0	0.0	29.0
A	5.1	18.8	39.1	7.0	8.5	0.9	0.5	0.1	0.0	0.0	20.0
BBB	0.4	3.9	13.2	41.9	8.8	7.1	4.6	0.1	0.0	0.0	20.0
BB	0.0	0.5	2.7	15.2	43.2	7.5	11.0	0.0	0.0	0.0	19.7
B	0.0	0.1	0.3	3.1	19.7	38.5	11.9	0.0	0.0	0.1	26.3
CCC	0.0	0.0	0.1	0.6	6.0	26.1	42.6	1.4	0.0	4.1	19.0
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	41.4	0.0	17.2	41.4
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	24.5	27.0	9.6	0.5	0.3	0.0	0.0	0.0	0.0	0.0	38.0
AA	12.9	25.5	10.8	4.9	0.8	0.0	0.0	0.0	0.0	0.0	45.0
A	7.2	15.9	20.7	12.2	9.9	1.0	0.6	0.2	0.0	0.0	32.4
BBB	1.1	5.9	11.1	23.0	13.2	9.5	5.9	0.2	0.0	0.0	30.1
BB	0.2	1.2	4.2	13.6	25.8	10.5	14.4	0.1	0.0	0.0	29.9
B	0.0	0.3	0.8	5.2	17.0	24.6	11.1	0.0	0.0	0.0	41.1
CCC	0.0	0.0	0.2	1.1	8.0	20.3	33.0	1.6	0.0	6.5	29.4
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	25.0	0.0	17.9	57.1
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	16.7	33.4	8.4	0.2	0.3	0.0	0.0	0.0	0.0	0.0	40.9
AA	10.9	14.4	13.3	4.1	0.6	0.0	0.0	0.0	0.0	0.0	56.7
A	7.0	11.4	11.6	16.2	9.1	0.9	0.3	0.2	0.0	0.0	43.2
BBB	1.9	6.2	7.4	11.8	16.5	10.5	6.2	0.3	0.0	0.0	39.2
BB	0.4	2.0	5.2	10.6	14.7	12.2	16.8	0.1	0.0	0.0	38.0
B	0.0	0.6	0.8	5.6	13.3	14.7	9.1	0.2	0.0	0.1	55.5
CCC	0.0	0.0	0.3	1.6	8.2	15.1	23.2	1.5	0.0	8.3	41.8
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	7.7	0.0	15.4	76.9
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	16.9	36.4	5.8	0.0	0.2	0.0	0.0	0.0	0.0	0.0	40.7
AA	8.1	11.0	13.7	2.6	0.5	0.0	0.0	0.0	0.0	0.0	64.1
A	6.7	5.7	10.4	17.8	6.8	0.9	0.1	0.3	0.0	0.0	51.1
BBB	2.6	4.8	3.5	8.8	17.3	10.8	6.5	0.4	0.0	0.0	45.5
BB	0.5	3.3	4.8	5.7	9.6	13.6	17.8	0.2	0.0	0.0	44.5
B	0.1	0.6	1.3	5.4	9.6	7.7	5.9	0.5	0.0	0.5	68.5
CCC	0.0	0.1	0.2	2.3	8.0	10.1	14.3	0.9	0.0	9.7	54.2
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	4.3	0.0	8.7	87.0
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	4.0	1.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	94.5
AA	5.5	2.3	0.6	0.2	0.0	0.0	0.0	0.0	0.0	0.0	91.4
A	2.0	3.5	2.9	1.8	0.8	0.7	0.0	0.2	0.0	0.0	88.2
BBB	0.1	0.4	1.6	3.3	2.9	2.8	3.4	0.3	0.0	0.7	84.5
BB	0.0	0.0	0.0	0.9	3.1	4.1	6.6	1.0	0.0	4.6	79.6
B	0.0	0.0	0.0	0.0	0.9	0.5	2.3	0.0	0.0	2.8	93.5
CCC	0.0	0.0	0.0	0.0	0.0	0.4	0.0	0.7	0.0	9.3	89.6
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 28

European CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
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	83.5	10.2	5.7	0.5	0.1	0.0	0.0	0.0	0.0	0.0
AA	16.5	75.7	3.9	3.2	0.7	0.0	0.0	0.0	0.0	0.0
A	3.7	16.0	69.7	4.2	5.4	0.7	0.4	0.0	0.0	0.0
BBB	0.4	2.6	11.4	72.8	5.6	4.1	3.0	0.0	0.0	0.0
BB	0.2	0.4	1.6	12.4	72.7	5.7	7.0	0.1	0.0	0.0
B	0.0	0.0	0.2	2.5	18.2	68.3	10.7	0.0	0.0	0.1
CCC	0.0	0.0	0.0	0.4	3.3	18.9	74.0	1.6	0.0	1.8
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	83.3	0.0	16.7
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	68.0	20.9	10.1	0.8	0.2	0.0	0.0	0.0	0.0	0.0
AA	30.0	55.4	8.0	5.5	1.1	0.0	0.0	0.0	0.0	0.0
A	9.4	24.9	45.7	8.3	9.9	1.1	0.6	0.1	0.0	0.0
BBB	1.4	6.2	17.6	50.5	10.3	8.2	5.6	0.2	0.0	0.0
BB	0.4	1.2	3.8	21.0	50.9	9.7	12.9	0.2	0.0	0.0
B	0.0	0.1	0.4	5.3	28.5	49.2	16.4	0.0	0.0	0.1
CCC	0.0	0.0	0.1	0.9	6.9	29.7	56.4	1.9	0.0	4.1
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	82.8	0.0	17.2
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	56.0	31.7	11.2	0.7	0.4	0.0	0.0	0.0	0.0	0.0
AA	39.0	41.9	12.2	5.7	1.1	0.0	0.0	0.0	0.0	0.0
A	17.2	24.0	31.4	13.9	11.4	1.2	0.6	0.3	0.0	0.0
BBB	3.5	10.4	17.1	35.5	14.9	10.9	7.3	0.3	0.0	0.0
BB	0.7	2.6	6.4	22.1	38.1	13.5	16.3	0.3	0.0	0.0
B	0.0	0.3	1.4	9.0	27.7	45.5	16.1	0.0	0.0	0.0
CCC	0.0	0.0	0.2	1.9	9.7	28.3	51.2	2.2	0.0	6.5
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	82.1	0.0	17.9
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	51.0	38.4	9.8	0.4	0.4	0.0	0.0	0.0	0.0	0.0
AA	46.0	33.9	14.5	4.6	0.8	0.1	0.0	0.0	0.0	0.0
A	24.0	21.8	24.2	17.8	10.3	1.2	0.4	0.4	0.0	0.0
BBB	7.3	12.9	15.3	26.3	18.0	11.9	8.0	0.4	0.0	0.0
BB	1.3	4.3	9.1	21.9	29.4	15.3	18.4	0.3	0.0	0.0
B	0.1	1.2	2.0	11.3	27.6	42.7	14.8	0.2	0.0	0.1
CCC	0.0	0.0	0.3	3.3	11.5	28.8	45.4	2.4	0.0	8.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	84.6	0.0	15.4
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	50.0	42.2	7.1	0.3	0.3	0.0	0.0	0.0	0.0	0.0
AA	50.7	30.7	14.7	3.1	0.7	0.1	0.0	0.0	0.0	0.0
A	30.6	18.1	22.0	19.4	7.9	1.2	0.2	0.6	0.0	0.0
BBB	11.1	13.5	12.4	22.8	18.6	12.4	8.6	0.5	0.0	0.0
BB	2.7	6.8	11.0	19.3	23.7	16.7	19.5	0.4	0.0	0.0
B	0.4	2.2	3.2	13.4	28.3	38.1	13.3	0.7	0.0	0.5
CCC	0.0	0.1	0.3	5.9	13.6	28.9	39.0	2.3	0.0	9.7
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	91.3	0.0	8.7
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	77.0	20.5	2.1	0.3	0.2	0.0	0.0	0.0	0.0	0.0
AA	66.8	25.6	5.5	1.5	0.5	0.2	0.0	0.0	0.0	0.0
A	33.9	27.3	22.2	8.0	4.4	2.2	0.2	1.8	0.0	0.0
BBB	10.2	7.0	13.0	31.0	11.5	13.7	11.6	1.3	0.0	0.7
BB	4.7	5.1	5.5	12.8	22.8	23.4	18.8	2.3	0.0	4.6
B	1.9	6.1	8.9	17.8	24.8	22.4	14.5	0.9	0.0	2.8
CCC	0.7	1.1	1.1	9.6	17.8	30.4	26.3	3.7	0.0	9.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 29

European CLO 1.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
AA	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0
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	65.3	10.0	5.7	0.5	0.1	0.0	0.0	0.0	0.0	0.0	18.5
AA	13.7	67.6	3.9	3.2	0.7	0.0	0.0	0.0	0.0	0.0	10.8
A	2.8	15.3	64.2	4.2	5.4	0.7	0.4	0.0	0.0	0.0	7.1
BBB	0.1	2.4	10.7	66.4	5.6	4.1	2.9	0.0	0.0	0.0	7.8
BB	0.0	0.2	1.6	11.6	66.9	5.5	7.0	0.0	0.0	0.0	7.2
B	0.0	0.0	0.2	2.0	17.6	56.7	10.4	0.0	0.0	0.1	12.8
CCC	0.0	0.0	0.0	0.3	3.2	18.2	66.5	1.6	0.0	1.8	8.3
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	56.7	0.0	16.7	26.7
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	40.6	20.3	9.9	0.7	0.2	0.0	0.0	0.0	0.0	0.0	28.2
AA	17.3	42.2	7.9	5.4	1.0	0.0	0.0	0.0	0.0	0.0	26.1
A	5.9	21.7	36.4	8.2	9.9	1.1	0.6	0.1	0.0	0.0	16.1
BBB	0.5	4.5	15.0	39.8	10.2	8.2	5.3	0.1	0.0	0.0	16.4
BB	0.1	0.6	3.1	17.7	40.5	8.7	12.8	0.1	0.0	0.0	16.4
B	0.0	0.1	0.4	4.0	25.6	29.8	15.5	0.0	0.0	0.1	24.3
CCC	0.0	0.0	0.1	0.6	6.0	26.1	42.6	1.4	0.0	4.1	19.0
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	41.4	0.0	17.2	41.4
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	24.7	30.5	10.9	0.6	0.4	0.0	0.0	0.0	0.0	0.0	33.0
AA	14.5	24.9	12.2	5.6	1.0	0.0	0.0	0.0	0.0	0.0	41.8
A	8.0	17.6	19.8	13.6	11.1	1.1	0.6	0.2	0.0	0.0	27.9
BBB	1.3	6.6	12.2	22.3	14.7	10.6	6.6	0.2	0.0	0.0	25.6
BB	0.2	1.4	4.7	15.2	24.8	11.7	16.1	0.1	0.0	0.0	25.8
B	0.0	0.3	1.0	6.2	20.4	20.3	13.3	0.0	0.0	0.0	38.5
CCC	0.0	0.0	0.2	1.1	8.0	20.3	33.0	1.6	0.0	6.5	29.4
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	25.0	0.0	17.9	57.1
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	18.0	36.2	9.1	0.2	0.3	0.0	0.0	0.0	0.0	0.0	36.2
AA	11.7	15.2	14.3	4.5	0.7	0.0	0.0	0.0	0.0	0.0	53.6
A	7.6	12.3	12.2	17.4	9.7	1.0	0.3	0.2	0.0	0.0	39.2
BBB	2.0	6.6	8.0	12.4	17.7	11.3	6.6	0.3	0.0	0.0	35.2
BB	0.4	2.1	5.5	11.4	15.2	13.0	18.1	0.2	0.0	0.0	34.1
B	0.0	0.7	0.9	6.2	14.7	14.2	10.1	0.2	0.0	0.1	52.8
CCC	0.0	0.0	0.3	1.6	8.2	15.1	23.2	1.5	0.0	8.3	41.8
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	7.7	0.0	15.4	76.9
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	17.6	38.3	6.1	0.0	0.2	0.0	0.0	0.0	0.0	0.0	37.7
AA	8.5	11.4	14.3	2.8	0.5	0.0	0.0	0.0	0.0	0.0	62.5
A	7.0	6.0	10.8	18.7	7.1	1.0	0.1	0.3	0.0	0.0	49.0
BBB	2.7	5.0	3.6	9.0	18.1	11.2	6.7	0.4	0.0	0.0	43.3
BB	0.5	3.4	5.0	5.9	9.9	14.2	18.6	0.2	0.0	0.0	42.2
B	0.1	0.6	1.3	5.7	10.1	7.5	6.2	0.5	0.0	0.5	67.4
CCC	0.0	0.1	0.2	2.3	8.0	10.1	14.3	0.9	0.0	9.7	54.2
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	4.3	0.0	8.7	87.0
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	4.0	1.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	94.5
AA	5.5	2.3	0.6	0.2	0.0	0.0	0.0	0.0	0.0	0.0	91.4
A	2.0	3.5	2.9	1.8	0.8	0.7	0.0	0.2	0.0	0.0	88.2
BBB	0.1	0.4	1.6	3.3	2.9	2.8	3.4	0.3	0.0	0.7	84.5
BB	0.0	0.0	0.0	0.9	3.1	4.1	6.6	1.0	0.0	4.6	79.6
B	0.0	0.0	0.0	0.0	0.9	0.5	2.3	0.0	0.0	2.8	93.5
CCC	0.0	0.0	0.0	0.0	0.0	0.4	0.0	0.7	0.0	9.3	89.6
CC	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	100.0
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Source: S&P Global Ratings Research.

Table 30

European CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2020
AAA	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.0	95.9	4.1	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.3	99.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	1.2	98.8	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	1.3	98.7	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.2	98.6	1.1	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.8	99.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	3.1	96.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	3.3	96.7	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	0.6	99.1	0.3	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.6	99.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	4.0	96.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	4.2	95.8	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	1.3	98.3	0.4	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	4.5	95.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	4.7	95.3	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	2.1	97.1	0.7	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
AA	0.0	100.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0
A	0.0	7.5	92.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0
BBB	0.0	0.0	7.9	92.1	0.0	0.0	0.0	0.0	0.0	0.0
BB	0.0	0.0	0.0	3.7	95.1	1.2	0.0	0.0	0.0	0.0
B	0.0	0.0	0.0	0.0	0.0	100.0	0.0	0.0	0.0	0.0
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
N/A--Not applicable. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR'. Source: S&P Global Ratings Research.

Table 31

European CLO 2.0 Rating Transitions, 2020 And Multi-Year Averages, NR Included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2020
AAA	92.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	7.8
AA	0.0	94.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	5.1
A	0.0	0.0	96.4	0.0	0.0	0.0	0.0	0.0	0.0	0.0	3.6
BBB	0.0	0.0	0.0	97.5	0.0	0.0	0.0	0.0	0.0	0.0	2.5
BB	0.0	0.0	0.0	0.0	91.7	4.1	0.0	0.0	0.0	0.0	4.1
B	0.0	0.0	0.0	0.0	0.0	96.6	0.0	0.0	0.0	0.0	3.4
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	78.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	22.0
AA	0.3	81.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	17.8
A	0.0	1.2	82.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	16.6
BBB	0.0	0.0	1.3	82.5	0.0	0.0	0.0	0.0	0.0	0.0	16.2
BB	0.0	0.0	0.0	0.2	83.5	1.1	0.0	0.0	0.0	0.0	15.1
B	0.0	0.0	0.0	0.0	0.0	87.8	0.0	0.0	0.0	0.0	12.2
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	47.8	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	52.2
AA	0.6	54.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	44.5
A	0.0	1.7	54.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	43.4
BBB	0.0	0.0	1.8	54.9	0.0	0.0	0.0	0.0	0.0	0.0	43.3
BB	0.0	0.0	0.0	0.3	59.6	0.3	0.0	0.0	0.0	0.0	39.8
B	0.0	0.0	0.0	0.0	0.0	67.2	0.0	0.0	0.0	0.0	32.8
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	23.5	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	76.5
AA	0.3	29.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	70.1
A	0.0	1.2	29.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	69.8
BBB	0.0	0.0	1.3	29.2	0.0	0.0	0.0	0.0	0.0	0.0	69.6
BB	0.0	0.0	0.0	0.4	34.8	0.4	0.0	0.0	0.0	0.0	64.3
B	0.0	0.0	0.0	0.0	0.0	46.1	0.0	0.0	0.0	0.0	53.9
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	1.9	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	98.1
AA	0.0	3.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	97.0
A	0.0	0.0	3.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	96.8
BBB	0.0	0.0	0.0	4.0	0.0	0.0	0.0	0.0	0.0	0.0	96.0
BB	0.0	0.0	0.0	0.0	7.9	0.7	0.0	0.0	0.0	0.0	91.4
B	0.0	0.0	0.0	0.0	0.0	19.6	0.0	0.0	0.0	0.0	80.4
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	1.7	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	98.3
AA	0.0	1.8	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	98.2
A	0.0	0.0	3.2	0.0	0.0	0.0	0.0	0.0	0.0	0.0	96.8
BBB	0.0	0.0	0.0	3.4	0.0	0.0	0.0	0.0	0.0	0.0	96.6
BB	0.0	0.0	0.0	0.0	3.7	1.2	0.0	0.0	0.0	0.0	95.1
B	0.0	0.0	0.0	0.0	0.0	11.1	0.0	0.0	0.0	0.0	88.9
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
N/A--Not applicable. Source: S&P Global Ratings Research.

Related Criteria

• Global Methodology And Assumptions For CLOs And Corporate CDOs, June 21, 2019

Related Research

• 2020 Annual Global Structured Finance Default And Rating Transition Study, May 13, 2021
• 2020 Annual Global Corporate Default And Rating Transition Study, April 8, 2021
• S&P Global Ratings Definitions, Jan. 5, 2021

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