Defaults among collateralized loan obligations (CLOs) rated by S&P Global Ratings picked up in 2021 with five tranche defaults. These marked the first defaults of so-called CLO 2.0s, or CLOs originated after the 2008-2009 global financial crisis. The credit quality of each defaulting CLO had weakened during the COVID-19 pandemic as well as in prior downturns.

S&P Global Ratings' CLO ratings remained effective indicators of default risk last year, with each of the defaulting instruments rated 'CCC+' or lower at the beginning of 2021 (see chart 1). Furthermore, none of these defaulters was originally rated higher than 'BB'.

Despite these defaults, credit conditions for CLOs showed overall improvement in 2021, with many sectors well on the path to recovery from the pandemic-related credit shocks of 2020. Upgrades rebounded to their highest in four years and outpaced downgrades.

Defaults Tick Up

The overall global CLO default rate rose to 0.08% in 2021 from 0.02% in 2020, returning to the 2019 level and near its 0.09% long-term average. Meanwhile, however, the speculative-grade ('BB+' or lower) corporate default rate plunged to 1.68% in 2021 (from 5.5% in 2020) (see chart 2).

Leveraged loan defaults also fell during the year. The S&P/LSTA Leveraged Loan Index default rate fell to 0.44% in the U.S. and to 0.95% in Europe (as a percentage of total issuers) as of Dec. 31, 2021--each down from over 4% in 2020.

Corporate defaults in 2021 were unlikely to drag much on CLO performance, given half of the corporate entities that defaulted in 2021 were rated within the lowest rating levels, 'CCC+' and lower, at which CLO managers tend to limit their credit exposures. Meanwhile, the 'B' category (which is much more broadly held within CLOs) showed a default rate of just 0.52%, considerably lower than its long-term weighted average of 3.18%.

CLO tranche defaults tend to lag corporate defaults, and the credit quality of CLOs that defaulted in 2021 had weakened during prior periods of credit stress. In a sign of pandemic-related credit weakening, the population of rated CLOs entered 2021 with a higher proportion of tranches rated 'B-' or lower than before the pandemic.

The five CLO tranches that defaulted in 2021 had each shown deterioration in prior years. All five were junior tranches of U.S. CLOs originated in 2013 or 2014, and all five experienced rapid collateral deterioration amid the energy and commodity downturn in 2015-2016 and subsequently the 2020 pandemic. Each of these CLO tranches was initially rated 'BB' or 'B' but had been downgraded to 'CCC+' or lower by the beginning of 2021. The onset of the COVID-19 pandemic had further weakened vulnerable borrower assets, such as those held by these CLOs (see table 10 in Appendix II for a list of all CLO defaults included in this study).

Historically, CLO default rates have remained low compared with some other structured finance sectors, like residential mortgage-backed securities. Annual CLO default rates have been generally steady throughout the sector's history, with the annual default rate remaining below 0.5% (see chart 3). There were no defaults of investment-grade ('BBB-' or higher) CLO ratings in 2021, and no U.S. or European leveraged loan CLO tranche originally rated 'AAA' has ever defaulted.

Economic And Business Recovery Supported Ratings

• The CLO upgrade rate increased to 4.1% in 2021 (from 0.37% in 2020)--the highest rate since 2017--as global economies increasingly reopened and business activity recovered following the pandemic-related shutdowns of 2020.
• The downgrade rate for CLOs (excluding defaults) fell to 0.18% in 2021 from 10.55% in 2020.
• CLO upgrades have outnumbered downgrades in 10 of the past 11 years.
• Most CLO ratings were stable in 2021: Of the 6,278 global CLO ratings outstanding at the start of 2021, 95.7% were unchanged during the year--higher than the long-term average of 80.7%.
• Most downgrades in 2021 were of speculative-grade tranches, which made up more than four of every five downgrades, even though speculative-grade accounted for closer to one in five CLO ratings at the start of 2021.
• CLO downgrades in 2021 were largely of mezzanine and junior tranches of U.S. CLO 2.0 deals.
• With the increase in upgrades, the average change in credit quality turned positive, to +0.08 notch at the end of 2021 from -0.17 notch at the end of 2020 (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.)
• The average change in credit quality for CLOs has now been positive in nine of the past 10 years. (For more information on the average change in credit quality, see Appendix I.)

Fewer than 20 CLO tranches were downgraded in 2021 (including defaults), compared with more than 500 in 2020. Outside of the 'CCC' category, the 'BBB' rating category experienced the highest rate of downgrades, at 0.30%, followed closely by the 'BB' category at 0.28% and the 'B' category at 0.20% (see chart 5). These downgrade rates include tranches downgraded within the rating category. Two tranches in the 'BBB' category were downgraded to speculative-grade (Madison Park Funding XXI Ltd. C-2-R and C-2F-R), and these ratings were subsequently withdrawn.

Rating actions were considerably less negative at the high end of investment-grade, with no CLO tranches rated in the 'A' category or higher downgraded during the year. This marked the seventh consecutive year with no downgrades of a CLO tranche rated 'AAA'.

The 'B' category had the highest share of tranches upgraded, with 12.4%, and all rating categories from 'B' to 'AA' experienced higher rates of upgrades than downgrades. Historically, CLO upgrades have primarily stemmed from senior note amortization. Within the past few years, the pace of CLO upgrades has slowed from historical levels, partly due to the wave of CLO reset activity resulting in fewer deals entering their amortization periods.

Only U.S. CLO tranches were downgraded during the year, with no downgrades of European CLOs. The U.S. downgrade rate fell to 0.32% (including defaults) in 2021 from 12.3% in 2020, while in Europe the rate fell to zero from 2.95%.

Table 1 shows a summary of 2021 credit performance for global CLOs, segmented in various ways and compared with the 1997-2021 one-year weighted average statistics.

Table 1

Global CLO Transition And Default Summary
2021 versus one-year average
		--2021--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	6,278	95.7	4.1	0.3	0.08	5	80.7	12.2	7.1	0.09
Region
U.S.	4,997	94.7	5.0	0.3	0.10	5	82.1	11.6	6.4	0.08
Europe	1,281	99.5	0.5	0.0	0.00	0	76.2	14.2	9.6	0.12
Generation
1.0	6	100.0	0.0	0.0	0.0	0	72.3	17.5	10.2	0.1
2.0	6,272	95.6	4.1	0.3	0.1	5	94.5	3.5	2.0	0.0
Vintage
Pre-2005	0	N/A	N/A	N/A	N/A	N/A	82.9	9.2	7.9	0.3
2005	0	N/A	N/A	N/A	N/A	N/A	71.9	17.4	10.7	0.0
2006	1	100.0	0.0	0.0	0.0	0	68.9	20.0	11.0	0.1
2007	4	100.0	0.0	0.0	0.0	0	67.0	22.1	10.9	0.0
2008	1	100.0	0.0	0.0	0.0	0	65.6	20.0	14.4	0.3
2009	0	N/A	N/A	N/A	N/A	N/A	73.2	18.6	8.2	0.0
2010	0	N/A	N/A	N/A	N/A	N/A	83.7	11.4	4.9	0.0
2011	0	N/A	N/A	N/A	N/A	N/A	84.4	15.1	0.5	0.0
2012	3	0.0	33.3	66.7	0.0	0	92.0	7.6	0.4	0.0
2013	28	71.4	14.3	14.3	7.1	2	94.0	5.3	0.7	0.0
2014	70	77.1	14.3	8.6	4.3	3	94.1	2.9	3.0	0.1
2015	50	72.0	28.0	0.0	0.0	0	94.9	3.1	2.0	0.0
2016	53	90.6	9.4	0.0	0.0	0	97.8	1.2	1.0	0.0
2017	1,052	92.5	7.5	0.0	0.0	0	93.7	3.5	2.8	0.0
2018	1,646	92.4	7.6	0.0	0.0	0	93.5	2.7	3.8	0.0
2019	1,541	98.8	0.9	0.3	0.0	0	97.5	0.4	2.1	0.0
2020	1829	99.7	0.3	0.0	0.0	0	99.7	0.3	0.0	0.0
Rating category
AAA	1,499	100.0	0.0	0.0	0.0	0	92.6	0.0	7.4	0.0
AA	1,353	96.6	3.4	0.0	0.0	0	76.9	18.9	4.3	0.0
A	1,093	96.3	3.7	0.0	0.0	0	77.8	15.8	6.4	0.0
BBB	1,007	97.0	2.7	0.3	0.0	0	78.3	13.5	8.2	0.01
BB	703	95.6	4.1	0.3	0.0	0	78.0	11.8	10.2	0.02
B	498	87.3	12.4	0.2	0.0	0	75.5	16.4	8.0	0.07
CCC	120	48.3	44.2	7.5	3.3	4	59.1	34.9	6.0	1.33
CC	5	80.0	0.0	20.0	20.0	1	65.7	4.6	29.6	29.63
Rating grade
Investment-grade	4,952	97.7	2.3	0.1	0.0	0	82.3	11.1	6.5	0.00
Speculative-grade	1,326	88.2	10.9	1.0	0.4	5	74.9	15.9	9.2	0.39
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

The Book Of CLO 1.0 Is Almost Fully Closed

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 to be those issued since the beginning of 2010, and we consider CLO 1.0 transactions to be those issued in 2009 or earlier.

We observed the first defaults of rated CLO 2.0 tranches in 2021, and there were no defaults from CLO 1.0s during the year. CLO 2.0 transactions accounted for 99.9% of rated CLO tranches as of the beginning of 2021. CLO 2.0 tranches numbered 6,272 at the beginning of last year, and this number rose to 7,868 by year-end.

At the beginning of 2021, just six rated CLO 1.0 tranches remained outstanding. Ratings on five of the six CLO 1.0s were withdrawn during the year as the issues were paid off, leaving just one CLO 1.0 tranche rated as of the end of 2021 (see table 2). However, the remaining CLO 1.0 was rated 'CC' at the end of 2021, signifying a very high risk of default.

Table 2

CLO Default Summary By Original Rating
	--CLO 1.0--			--CLO 2.0--
	Count of original ratings	Count of defaults	Currently rated	Count of original ratings	Count of defaults	Currently rated
Global
AAA	2,021	0	0	3,982	0	1,894
AA	843	1	0	3,359	0	1,686
A	1,039	5	0	2,673	0	1,363
BBB	1,079	13	0	2,423	0	1,324
BB	776	39	1	2,045	2	1,154
B	39	4	0	718	3	447
Total	5,797	62	1	15,200	5	7,868
U.S.
AAA	1,540	0	0	3,329	0	1,500
AA	616	1	0	2,665	0	1,220
A	790	5	0	2,220	0	1,069
BBB	783	9	0	2,004	0	1,052
BB	565	22	0	1,652	2	885
B	28	3	0	373	3	191
Total	4,322	40	0	12,243	5	5,917
Europe
AAA	481	0	0	653	0	394
AA	227	0	0	694	0	466
A	249	0	0	453	0	294
BBB	296	4	0	419	0	272
BB	211	17	1	393	0	269
B	11	1	0	345	0	256
Total	1,475	22	1	2,957	0	1,951
Data through Dec. 31, 2021. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Over the entire span of the rating histories of the 5,797 CLO 1.0 tranches, these tranches have exhibited a default rate of 1.1%.

Credit performance continues to differ by the year of issuance--or vintage--of CLO securities (for the purposes of this study, we look to the year the CLO was originated for the vintage, 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.

The downgrade rates in 2021 were highest from the 2012 and 2013 vintages. For the 2012 vintage, this partially reflects the small sample remaining: Just three tranches from the 2012 vintage remained outstanding as of the beginning of 2021, and two of these were downgraded (and one upgraded) during the year. Meanwhile, the 2013 vintage had 28 rated tranches at the beginning of 2021, and it also had a higher downgrade rate than other vintages, at 14.3%. Nearly half of these downgrades were defaults.

Rated CLO Tally Reaches New Highs

There were 6,278 CLO tranches rated globally as of the beginning of 2021, and this number grew to 7,869 by the end of the year. About 78.9% of tranches at the beginning of 2021 were investment-grade (see chart 8).

The number of rated CLO tranches has more than doubled since 2018, when it hit a low of 3,425. Since then, the number of rated CLOs has shown sharp annualized growth following strong investor demand and booming financing conditions for leveraged finance.

However, the momentum of this growth has slowed in 2022 as financing conditions sharply deteriorated on faster-than-anticipated rate hikes and inflation and as investors assessed the risks associated with the Russia-Ukraine war. The global volume of new CLO issuance fell by close to 20% in the first three quarters of 2022 after nearly doubling in 2021.

Wide Swings In Upgrades And Downgrades

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

The CLOs included in this study are largely backed by pools of broadly syndicated loans to a diversified mix of companies, primarily rated speculative-grade. We do not include transactions backed by loans to small and midsize enterprises (SMEs).

Globally, the annual default rate for speculative-grade CLO tranches has remained below that of speculative-grade corporates. The highest annual global speculative-grade default rate for CLOs was in 2002, at 2.53%. However, there were just 79 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 below the default rate of speculative-grade corporate entities (see chart 9).

An increase in CLO defaults tends to lag an increase in corporate defaults. In 2021, the speculative-grade CLO default rate rose to 0.38%, from 0.10% in 2020, after the speculative-grade corporate default rate ticked up to 5.5% in 2020. Following the global financial crisis, the annual global speculative-grade corporate default rate approached 10% at the end of 2009. By contrast, the global speculative-grade default rate for CLO tranches reached a peak that was lower and later, hitting 0.63% in 2011 and 0.82% in 2014.

CLO defaults tend to lag corporate defaults in part because CLO structures have the ability to defer interest payments on junior tranches. While these deferrals act as temporary shock absorbers and 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 could be rated in the 'CCC' category or 'CC' but not be downgraded to 'D' until a payment default on the CLO tranche occurs.

But CLOs have also exhibited lower default rates than corporate issuers over longer horizons. For example, after the global financial crisis, the speculative-grade corporate three-year-trailing default rate rose to a peak of 14.7% in September 2011, and the three-year-trailing speculative-grade CLO default rate reached a lower high at 2.3% in November 2011 (see chart 10). During the credit stress of 2020, the corporate 36-month-trailing speculative-grade default rate peaked in November 2020 at 8.8% before subsiding. The 36-month-trailing speculative-grade CLO default rate has begun to increase, reaching 1.1% by the end of 2021.

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 behind 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 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 that of corporates from year to year, with lower minimum transition rates, along with higher maximums 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, just as the downgrade rate for 'B-' rated issuers peaked near 40%. The CLO downgrade rate rose to an even higher level the following year, approaching 51%. However, criteria changes, in addition to deteriorating collateral performance, contributed to the elevated rate of CLO downgrades at that time. In September 2009, S&P Global Ratings published a 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.

In 2021, the rate of CLO upgrades rose close to tenfold, to 4.1%, and the rate of corporate upgrades rose to 10.2%. CLO upgrade rates have been lower than corporate upgrade rates over the past several years. But CLOs experienced a stretch from 2011 through 2016 when their upgrade rates were consistently higher than those of corporates. This wave of upgrades largely owed to structural deleveraging among CLO transactions that exited their reinvestment periods, supported by stable underlying corporate credit performance (see chart 13).

CLO Ratings Have Exhibited Few Defaults Over Time

While CLO growth has picked up in recent years, our rating history goes back to the 1990s. Since that time, global CLOs have historically shown strong credit performance with few defaults.

Between 1996 and the beginning of 2021, we assigned nearly 21,000 ratings to CLO tranches. The majority of these tranches have since been paid in full, and the ratings on them have been withdrawn. About 0.32% of the tranche ratings were lowered to 'D' (see table 3). (Further details on CLO tranches downgraded to 'D' are in table 10 of Appendix II, and tranches rated 'CC' as of year-end 2021 are in table 11.)

Table 3

Global CLO Lifetime Transition And Default Summary
1996-2021
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	20,997	77.8	15.4	6.8	0.32	67	62.2
Region
U.S.	16,565	78.2	16.2	5.6	0.3	45	64.0
Europe	4,432	76.2	12.4	11.4	0.5	22	55.5
Generation
1.0	5,797	41.2	41.6	17.2	1.1	62	98.9
2.0	15,200	91.7	5.4	2.9	0.0	5	48.2
Vintage
Pre-2005	1,676	57.1	24.6	18.3	2.3	38	97.7
2005	757	35.7	47.3	17.0	0.4	3	99.6
2006	1,505	35.7	48.9	15.4	0.8	12	99.2
2007	1,521	33.9	51.7	14.3	0.3	4	99.7
2008	311	32.8	32.8	34.4	1.6	5	98.4
2009	27	25.9	51.9	22.2	0.0	0	100.0
2010	39	56.4	33.3	10.3	0.0	0	100.0
2011	158	51.9	46.8	1.3	0.0	0	100.0
2012	629	74.9	24.6	0.5	0.0	0	99.5
2013	1,105	78.1	20.5	1.4	0.2	2	99.4
2014	886	86.1	8.8	5.1	0.3	3	96.6
2015	586	89.4	6.5	4.1	0.0	0	94.5
2016	767	95.0	2.7	2.2	0.0	0	98.0
2017	1,690	84.6	7.6	7.8	0.0	0	66.3
2018	1,786	88.9	3.9	7.2	0.0	0	21.6
2019	1,580	96.0	0.3	3.7	0.0	0	55.2
2020	1,837	99.2	0.2	0.5	0.0	0	46.5
2021	4,137	99.9	0.1	0.0	0.0	0	0.3
Rating category
AAA	6,003	95.8	0.0	4.2	0.0	0	68.4
AA	4,202	74.8	23.4	1.7	0.0	1	59.9
A	3,712	69.3	27.8	2.8	0.1	5	63.1
BBB	3,502	67.4	22.4	10.2	0.4	13	61.8
BB	2,821	65.7	14.4	19.9	1.5	41	57.6
B	757	85.3	2.8	11.9	0.9	7	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	17,419	79.4	16.1	4.5	0.1	19	63.9
Speculative-grade	3,578	69.9	11.9	18.2	1.3	48	53.9
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR when determining stable, upgrade, downgrade, and default rates. *Including defaults. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

All of our 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 (1997-2021)
(%)
Year	AAA	AA	A	BBB	BB	B	CCC	CC
1997	-	-	-	N/A	N/A	N/A	N/A	N/A
1998	-	-	-	-	-	N/A	N/A	N/A
1999	-	-	-	-	-	-	N/A	N/A
2000	-	-	-	-	-	-	N/A	N/A
2001	-	-	-	-	-	-	N/A	N/A
2002	-	-	-	-	-	-	100.00	N/A
2003	-	-	-	-	-	-	N/A	N/A
2004	-	-	-	-	-	-	-	N/A
2005	-	-	-	-	-	-	-	N/A
2006	-	-	-	-	-	-	-	N/A
2007	-	-	-	-	-	-	-	N/A
2008	-	-	-	-	-	-	-	N/A
2009	-	-	-	-	-	-	-	37.50
2010	-	-	-	0.12	0.15	-	-	15.38
2011	-	-	-	-	0.15	-	0.31	30.77
2012	-	-	-	-	-	0.26	0.24	-
2013	-	-	-	-	-	-	0.46	23.53
2014	-	-	-	-	-	-	1.79	63.64
2015	-	-	-	-	-	-	1.42	N/A
2016	-	-	-	-	-	-	7.69	40.00
2017	-	-	-	-	-	0.35	11.43	66.67
2018	-	-	-	-	-	-	30.00	50.00
2019	-	-	-	-	-	-	33.33	66.67
2020	-	-	-	-	-	0.33	-	-
2021	-	-	-	-	-	-	3.33	20.00
Weighted average	-	-	-	0.01	0.02	0.07	1.33	29.63
Median	-	-	-	-	-	-	0.31	34.13
Standard deviation	-	-	-	0.02	0.04	0.11	23.94	23.91
Minimum	-	-	-	-	-	-	-	-
Maximum	-	-	-	0.12	0.15	0.35	100.00	66.67
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

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

The cumulative default rates (conditional on survival) based on our full annual data history--from the beginning of 1997 to the end of 2021--show lower ratings have generally been associated with higher default rates and vice versa.

In other words, ratings appear to have successfully rank-ordered creditworthiness over each time horizon. For example, the cumulative average default rate over a one-year horizon for CLOs rated 'CC' is 29.6%, while the default rate drops to 1.34% for the 'CCC' category and to zero for the 'A' category (see table 5).

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

Table 5

Global CLO Cumulative Default Rates, Conditional On Survival (1997-2021)
	--Time horizon (years)--
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.01	0.01	0.02	0.03	0.04	0.05	0.06	0.06	0.06
A	0.00	0.01	0.02	0.03	0.04	0.04	0.04	0.04	0.04	0.04
BBB	0.01	0.01	0.02	0.06	0.09	0.16	0.25	0.36	0.49	0.63
BB	0.02	0.10	0.19	0.28	0.40	0.57	0.83	1.20	1.66	2.34
B	0.07	0.32	0.62	0.94	1.37	1.84	2.07	2.34	2.67	3.02
CCC	1.33	2.84	4.49	6.20	7.71	8.75	9.83	10.54	11.03	11.09
CC	29.63	43.31	50.27	52.30	53.34	53.34	53.34	53.34	53.34	53.34
IG	0.00	0.01	0.01	0.02	0.03	0.05	0.07	0.10	0.13	0.16
SG	0.39	0.80	1.21	1.61	2.03	2.41	2.80	3.22	3.66	4.16
Overall	0.09	0.18	0.27	0.37	0.47	0.56	0.67	0.78	0.89	1.02
IG--Investment-grade. SG--Speculative-grade. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Regions In Detail

U.S. CLOs

CLO defaults and downgrades in 2021 were exclusively found among U.S. tranches. Lingering effects of the COVID-19 pandemic and the oil and commodity slowdown in 2015-2016 contributed to these defaults. Despite this, the downgrade rate plummeted to 0.22% in 2021 from 12.27% in 2020. And the default rate remained relatively low at 0.10%.

Even as credit deteriorated for some, credit improved for others. The rate of CLO upgrades in the U.S. rose to 5.0% (from 0.23% in 2020), exceeding the rate of downgrades and defaults combined.

With upgrades surpassing downgrades and defaults, the overall change in credit quality for U.S. CLOs was positive (at +0.10 notch) in 2021 (up from -0.20 notch in 2020) (see chart 15).

There have historically been very few defaults among U.S. CLOs; the annual default rate reached its high of 0.44% back in 2002. The increase to 0.10% in 2021 brings the default rate back to its 2019 level. Potential remains for future defaults, however, as 2021 downgrades brought three U.S. tranches into the lowest rating level, 'CC' (see table 11 in Appendix II).

Table 6

U.S. CLO Transition And Default Summary
2021 versus one-year average
		--2021--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	4,997	94.7	5.0	0.3	0.1	5	82.1	11.6	6.4	0.08
Generation
1.0	5	100.0	0.0	0.0	0.0	0	73.6	17.1	9.4	0.1
2.0	4,992	94.7	5.0	0.3	0.1	5	93.8	4.0	2.3	0.0
Vintage
Pre-2005	0	0.0	0.0	0.0	0.0	0	84.1	9.1	6.8	0.2
2005	0	0.0	0.0	0.0	0.0	0	71.6	18.1	10.3	0.0
2006	1	100.0	0.0	0.0	0.0	0	69.5	20.1	10.4	0.1
2007	3	100.0	0.0	0.0	0.0	0	68.2	21.5	10.3	0.0
2008	1	100.0	0.0	0.0	0.0	0	68.9	20.1	10.9	0.5
2009	0	0.0	0.0	0.0	0.0	0	70.7	21.3	8.0	0.0
2010	0	0.0	0.0	0.0	0.0	0	87.0	13.0	0.0	0.0
2011	0	0.0	0.0	0.0	0.0	0	84.6	15.4	0.0	0.0
2012	3	0.0	33.3	66.7	0.0	0	92.0	7.6	0.4	0.0
2013	28	71.4	14.3	14.3	7.1	2	93.6	5.7	0.8	0.0
2014	66	81.8	9.1	9.1	4.5	3	93.9	2.9	3.2	0.1
2015	39	64.1	35.9	0.0	0.0	0	94.4	3.4	2.2	0.0
2016	45	88.9	11.1	0.0	0.0	0	97.3	1.5	1.2	0.0
2017	733	89.5	10.5	0.0	0.0	0	91.9	4.4	3.7	0.0
2018	1,467	91.5	8.5	0.0	0.0	0	92.8	3.0	4.2	0.0
2019	1,227	98.6	1.1	0.3	0.0	0	97.5	0.5	2.0	0.0
2020	1,384	99.6	0.4	0.0	0.0	0	99.6	0.4	0.0	0.0
Rating category
AAA	1,244	100.0	0.0	0.0	0.0	0	93.7	0.0	6.3	0.0
AA	1,054	95.7	4.3	0.0	0.0	0	77.4	19.0	3.6	0.0
A	888	95.7	4.3	0.0	0.0	0	79.4	14.8	5.8	0.0
BBB	824	96.5	3.2	0.4	0.0	0	79.4	13.0	7.6	0.0
BB	531	94.4	5.3	0.4	0.0	0	79.2	10.9	9.9	0.0
B	332	81.6	18.1	0.3	0.0	0.0	76.0	16.8	7.2	0.1
CCC	120	48.3	44.2	7.5	3.3	4.0	56.8	39.0	4.3	1.0
CC	4	75.0	0.0	25.0	25.0	1	58.4	6.5	35.1	35.1
Rating grade
Investment-grade	4,010	97.2	2.7	0.1	0.0	0	83.6	10.7	5.8	0.0
Speculative-grade	987	84.4	14.3	1.3	0.5	5.0	75.9	15.3	8.8	0.4
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 7

U.S. CLO Lifetime Transition And Default Summary
1996-2021
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	16,565	78.2	16.2	5.6	0.3	45	64.0
Generation
1.0	4,322	44.0	43.9	12.2	0.9	40	99.1
2.0	12,243	90.3	6.4	3.3	0.0	5	51.6
Vintage
Pre-2005	1,381	59.4	26.6	14.0	1.7	24	98.3
2005	601	37.4	51.2	11.3	0.0	0	100.0
2006	1,090	36.8	51.6	11.7	0.9	10	99.1
2007	1,021	36.0	54.7	9.3	0.1	1	99.9
2008	207	38.6	42.5	18.8	2.4	5	97.6
2009	22	27.3	54.5	18.2	0.0	0	100.0
2010	33	60.6	39.4	0.0	0.0	0	100.0
2011	154	51.9	48.1	0.0	0.0	0	100.0
2012	629	74.9	24.6	0.5	0.0	0	99.5
2013	988	76.3	22.1	1.6	0.2	2	99.3
2014	839	85.8	8.8	5.4	0.4	3	96.7
2015	481	88.8	6.9	4.4	0.0	0	95.6
2016	591	93.7	3.6	2.7	0.0	0	97.5
2017	1,267	81.1	9.0	9.9	0.0	0	71.8
2018	1,594	87.8	4.1	8.1	0.0	0	21.4
2019	1,265	96.1	0.4	3.5	0.0	0	60.8
2020	1,392	99.1	0.3	0.6	0.0	0	46.6
2021	3,010	99.8	0.2	0.0	0.0	0	0.4
Rating category
AAA	4,869	97.3	0.0	2.7	0.0	0	69.2
AA	3,281	74.3	24.6	1.0	0.0	1	62.8
A	3,010	70.0	28.2	1.8	0.2	5	64.3
BBB	2,787	68.4	23.5	8.1	0.3	9	61.9
BB	2,217	65.8	15.7	18.5	1.1	24	59.0
B	401	76.6	3.7	19.7	1.5	6	50.9
CCC	0	N/A	N/A	N/A	N/A	N/A	N/A
CC	0	N/A	N/A	N/A	N/A	N/A	N/A
Rating grade
Investment-grade	13,947	80.2	16.6	3.2	0.1	15	65.2
Speculative-grade	2,618	67.4	13.9	18.7	1.1	30	57.8
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR when determining stable, upgrade, downgrade, and default rates. *Including defaults. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

European CLOs

In Europe, CLOs showed more pronounced stability in 2021. No European CLOs were downgraded or defaulted during the year, and the upgrade rate fell to 0.55% (from 1.02%). This was the lowest upgrade rate for European CLOs since the 2009 financial crisis, with very few European transactions yet to pass into their amortization periods.

With these actions, the overall average change in credit quality was slightly positive at +0.01 notch for the year, up from -0.03 notch in 2020 (see chart 17).

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 of which were redeemed or terminated early. Since then, defaults have steadily fallen (see chart 18).

However, the European CLO default rate is unlikely to remain at zero. One outstanding CLO 1.0 tranche remains in the region: Strawinsky I PLC tranche E, rated 'CC' at the end of 2021 (see table 11).

Table 8

European CLO Transition And Default Summary
2021 versus one-year average
		--2021--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)
Overall	1,281	99.5	0.5	0.0	0.00	0	76.2	14.2	9.6	0.12
Generation
1.0	1	100.0	0.0	0.0	0.0	0	68.9	18.6	12.5	0.2
2.0	1,280	99.5	0.5	0.0	0.0	0	98.3	0.9	0.8	0.0
Vintage
Pre-2005	0	N/A	N/A	N/A	N/A	N/A	78.5	9.8	11.7	0.6
2005	0	N/A	N/A	N/A	N/A	N/A	72.8	15.0	12.1	0.2
2006	0	N/A	N/A	N/A	N/A	N/A	67.5	19.9	12.6	0.0
2007	1	100.0	0.0	0.0	0.0	0	64.7	23.3	12.1	0.1
2008	0	N/A	N/A	N/A	N/A	N/A	59.1	19.8	21.1	0.0
2009	0	N/A	N/A	N/A	N/A	N/A	81.8	9.1	9.1	0.0
2010	0	N/A	N/A	N/A	N/A	N/A	60.0	0.0	40.0	0.0
2011	0	N/A	N/A	N/A	N/A	N/A	70.0	0.0	30.0	0.0
2012	0	N/A	N/A	N/A	N/A	N/A	0.0	0.0	0.0	0.0
2013	0	N/A	N/A	N/A	N/A	N/A	98.1	1.9	0.0	0.0
2014	4	0.0	100.0	0.0	0.0	0	97.0	3.0	0.0	0.0
2015	11	100.0	0.0	0.0	0.0	0	97.2	1.8	1.1	0.0
2016	8	100.0	0.0	0.0	0.0	0	99.8	0.0	0.2	0.0
2017	319	99.4	0.6	0.0	0.0	0	98.3	1.3	0.4	0.0
2018	179	100.0	0.0	0.0	0.0	0	99.5	0.5	0.0	0.0
2019	314	99.7	0.3	0.0	0.0	0	97.5	0.2	2.4	0.0
2020	445	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating category
AAA	255	100.0	0.0	0.0	0.0	0	87.7	0.0	12.3	0.0
AA	299	99.7	0.3	0.0	0.0	0	75.1	18.5	6.5	0.0
A	205	99.0	1.0	0.0	0.0	0	72.0	19.6	8.5	0.0
BBB	183	99.5	0.5	0.0	0.0	0	74.3	15.3	10.4	0.0
BB	172	99.4	0.6	0.0	0.0	0	74.5	14.5	11.0	0.0
B	166	98.8	1.2	0.0	0.0	0	74.6	15.8	9.6	0.1
CCC	0	N/A	N/A	N/A	N/A	N/A	62.3	29.4	8.3	1.8
CC	1	100.0	0.0	0.0	0.0	0	83.9	0.0	16.1	16.1
Rating grade
Investment-grade	942	99.6	0.4	0.0	0.0	0	77.7	12.9	9.4	0.0
Speculative-grade	339	99.1	0.9	0.0	0.0	0	72.3	17.5	10.2	0.4
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. *Including defaults. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 9

European CLO Lifetime Transition And Default Summary
2001-2021
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades (%)*	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	4,432	76.2	12.4	11.4	0.5	22	55.5
Generation
1.0	1,475	33.2	34.8	32.0	1.5	22	98.4
2.0	2,957	97.7	1.2	1.1	0.0	0	34.0
Vintage
Pre-2005	295	46.4	15.3	38.3	4.7	14	95.3
2005	156	28.8	32.1	39.1	1.9	3	98.1
2006	415	32.8	41.9	25.3	0.5	2	99.5
2007	500	29.6	45.8	24.6	0.6	3	99.2
2008	104	21.2	13.5	65.4	0.0	0	100.0
2009	5	20.0	40.0	40.0	0.0	0.0	100.0
2010	6	33.3	0.0	66.7	0.0	0.0	100.0
2011	4	50.0	0.0	50.0	0.0	0.0	100.0
2012	0					0.0
2013	117	93.2	6.8	0.0	0.0	0	100.0
2014	47	91.5	8.5	0.0	0.0	0	95.7
2015	105	92.4	4.8	2.9	0.0	0	89.5
2016	176	99.4	0.0	0.6	0.0	0	100.0
2017	423	95.0	3.5	1.4	0.0	0	49.6
2018	192	98.4	1.6	0.0	0.0	0	22.9
2019	315	95.6	0.0	4.4	0.0	0	32.7
2020	445	99.6	0.0	0.4	0.0	0	46.5
2021	1,127	100.0	0.0	0.0	0.0	0	0.0
Rating category
AAA	1,134	89.4	0.0	10.6	0.0	0	65.3
AA	921	76.5	19.2	4.2	0.0	0	49.4
A	702	66.7	26.1	7.3	0.0	0	58.1
BBB	715	63.9	17.8	18.3	0.6	4	61.4
BB	604	65.6	9.3	25.2	2.8	17	52.5
B	356	95.2	1.7	3.1	0.3	1	27.8
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	3,472	76.2	14.0	9.8	0.1	4	58.8
Speculative-grade	960	76.6	6.5	17.0	1.9	18	43.3
Note: Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR when determining stable, upgrade, downgrade, and default rates. *Including defaults. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Appendix I: Terminology, Data Selection, And Calculation Approaches

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

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

Issues included in this study

This study analyzes 20,997 rating histories of CLO securities that S&P Global Ratings first rated in the U.S. or Europe from 1996 until Dec. 31, 2021. 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 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 some time after closing.

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

Rating transitions

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

For instance, we calculate the 2021 transition rates by determining the ratings on each security outstanding at the start of 2021 and determining the ratings on those same securities at the end of 2021. 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 ratings on a given security at the start and end of the transition window to calculate the transition rates, disregarding any interim rating changes.

Rating modifiers

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

Rating discontinuance or withdrawal

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

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

Treatment of 'AAA' ratings

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

Treatment of 'D' ratings

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

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

Average change in credit quality calculation

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

Weighted average transition and default rate calculation

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

Average cumulative default rate calculation

In this study, we also calculate average cumulative default rates for different time horizons. For example, table 5 shows that the five-year average cumulative default rate for 'BBB' rated global CLOs has been 0.09% and the 10-year average has been 0.63%.

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

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

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

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

Appendix II: List Of Global CLO Defaults And Near-Defaults

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

Table 10

Global CLO Tranches With Ratings Lowered To 'D' (2001-2021)
Date rating lowered to 'D'	Transaction	Tranche	Region	Vintage	Original rating
17-Sep-02	KBC - Orion Commercial Loan Master Trust	D-1	U.S.	1999	BB
17-Sep-02	KBC - Orion Commercial Loan Master Trust	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
10-Aug-21	Flagship VII LTD	F	U.S.	2014	B
10-Aug-21	Mountain Hawk II CLO, Ltd.	E	U.S.	2013	BB
28-Dec-21	Blue Ridge CLO Ltd. I	D	U.S.	2014	BB
28-Dec-21	Blue Ridge CLO Ltd. I	E	U.S.	2014	B
28-Dec-21	WhiteHorse VII, Ltd.	B-3L	U.S.	2013	B
Excludes seven defaulting tranches that were rated confidentially. Data as of Dec. 31, 2021. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 11

Global CLO Tranches With Ratings At 'CC'
Date rating lowered to 'CC'	Transaction	Tranche	Region	Vintage	Original rating
2-Oct-15	Strawinsky I PLC	E	Europe	2007	BB+
17-May-21	Halcyon Loan Advisors Funding 2012-1 Ltd.	D	U.S.	2012	BB
17-May-21	Halcyon Loan Advisors Funding 2013-1 Ltd.	D	U.S.	2013	BB
8-Jun-20	BNPP IP CLO 2014-1, Ltd.	E	U.S.	2014	B
11-Sep-20	Blue Ridge CLO Ltd. II	E	U.S.	2014	B
18-May-21	Hull Street CLO Ltd.	F	U.S.	2014	B
Data as of Dec. 31, 2021. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Appendix III: Detailed Default And Transition Statistics

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

Global CLOs

Table 12

Global CLO Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.96	97.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.82	2.47	96.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.50	0.10	1.59	97.62	0.20	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.28	3.13	96.30	0.28	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	8.63	91.16	0.20	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	43.33	50.83	2.50	0.00	3.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	80.00	0.00	20.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	92.58	5.81	1.46	0.12	0.03	0.00	0.01	0.00	0.00	0.00
AA	13.16	83.13	2.60	0.90	0.15	0.03	0.02	0.00	0.00	0.00
A	1.92	10.20	82.16	3.58	1.68	0.30	0.15	0.01	0.00	0.00
BBB	0.38	1.84	7.44	83.08	3.76	1.77	1.70	0.02	0.00	0.01
BB	0.09	0.15	1.34	7.38	81.69	4.99	4.23	0.12	0.00	0.02
B	0.02	0.05	0.36	2.76	11.01	79.90	5.76	0.07	0.00	0.07
CCC	0.00	0.00	0.00	1.19	7.71	20.11	67.91	1.74	0.00	1.33
CC	0.00	0.00	0.00	0.00	1.85	1.85	0.93	65.74	0.00	29.63
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	84.78	12.19	2.73	0.21	0.08	0.00	0.01	0.00	0.00	0.00
AA	25.34	67.32	5.25	1.67	0.25	0.10	0.06	0.00	0.00	0.01
A	6.03	16.62	65.96	7.37	3.19	0.54	0.26	0.03	0.00	0.01
BBB	1.38	4.78	12.17	66.82	7.49	3.83	3.47	0.05	0.00	0.01
BB	0.38	0.79	3.06	12.33	65.59	9.17	8.35	0.22	0.00	0.10
B	0.08	0.28	1.35	6.49	17.33	64.71	9.27	0.17	0.00	0.33
CCC	0.00	0.00	0.34	3.69	14.58	29.49	46.70	2.48	0.00	2.72
CC	0.00	0.00	0.00	0.00	2.91	3.88	0.97	48.54	0.00	43.69
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	78.64	17.85	3.07	0.23	0.15	0.03	0.02	0.00	0.00	0.00
AA	35.54	55.13	6.95	1.85	0.29	0.14	0.09	0.00	0.00	0.01
A	11.42	18.76	55.02	9.99	3.74	0.65	0.33	0.06	0.00	0.02
BBB	3.14	7.89	13.38	55.51	10.25	5.14	4.55	0.13	0.00	0.02
BB	0.75	1.77	5.05	14.26	56.59	10.30	10.75	0.31	0.00	0.20
B	0.39	0.72	2.58	9.78	18.20	59.19	8.31	0.30	0.00	0.54
CCC	0.15	0.20	1.22	6.30	17.68	29.30	38.38	2.49	0.00	4.30
CC	0.00	0.00	0.00	0.00	3.92	4.90	0.98	39.22	0.00	50.98
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	76.32	20.55	2.68	0.18	0.18	0.05	0.04	0.00	0.00	0.00
AA	43.69	47.10	7.05	1.58	0.28	0.19	0.10	0.00	0.00	0.02
A	17.46	18.88	48.46	10.63	3.50	0.65	0.30	0.10	0.00	0.03
BBB	5.41	10.48	13.21	48.99	11.24	5.61	4.82	0.19	0.00	0.06
BB	1.21	3.02	7.10	14.64	51.78	10.22	11.31	0.43	0.00	0.30
B	0.65	1.30	3.77	12.28	18.16	55.43	7.24	0.42	0.00	0.75
CCC	0.34	0.49	2.05	8.61	18.04	28.51	33.84	2.20	0.00	5.92
CC	0.00	0.00	0.00	0.00	5.05	5.05	1.01	36.36	0.00	52.53
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	77.79	19.92	1.81	0.14	0.18	0.10	0.06	0.00	0.00	0.00
AA	50.79	41.56	5.93	1.15	0.24	0.20	0.11	0.00	0.00	0.03
A	23.09	19.38	44.20	9.53	2.70	0.67	0.28	0.12	0.00	0.04
BBB	7.93	12.08	13.18	45.32	10.78	5.61	4.77	0.23	0.00	0.09
BB	1.94	4.44	8.63	14.54	48.27	10.51	10.76	0.48	0.00	0.43
B	0.89	2.24	5.26	13.97	18.98	50.23	6.79	0.60	0.00	1.03
CCC	0.54	0.84	3.05	10.57	17.94	28.01	29.93	1.92	0.00	7.22
CC	0.00	0.00	0.00	0.00	5.15	5.15	1.03	35.05	0.00	53.61
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	88.84	9.55	0.80	0.14	0.25	0.23	0.20	0.00	0.00	0.00
AA	78.03	18.22	2.01	0.88	0.22	0.22	0.30	0.00	0.00	0.11
A	45.04	25.69	23.36	3.10	1.29	0.69	0.42	0.35	0.00	0.07
BBB	15.24	15.72	17.99	30.74	7.97	6.01	5.10	0.43	0.00	0.80
BB	4.83	8.42	11.82	17.58	30.62	13.71	8.92	1.18	0.00	2.92
B	2.95	6.77	14.41	22.57	20.92	22.40	6.60	0.43	0.00	2.95
CCC	0.93	1.79	5.95	14.47	21.92	25.79	19.91	1.43	0.00	7.81
CC	0.00	0.00	0.00	0.00	6.56	8.20	1.64	32.79	0.00	50.82
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 13

Global CLO Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	54.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.96
AA	2.29	54.55	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.16
A	0.55	2.29	55.44	0.00	0.00	0.00	0.00	0.00	0.00	0.00	41.72
BBB	0.40	0.10	1.39	58.49	0.00	0.00	0.00	0.00	0.00	0.00	39.62
BB	0.00	0.00	0.28	2.70	60.17	0.14	0.00	0.00	0.00	0.00	36.70
B	0.00	0.00	0.00	0.00	8.23	67.47	0.20	0.00	0.00	0.00	24.10
CCC	0.00	0.00	0.00	0.00	0.00	42.50	33.33	2.50	0.00	3.33	18.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.00	0.00	20.00	20.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	68.89	5.78	1.45	0.11	0.03	0.00	0.01	0.00	0.00	0.00	23.73
AA	11.03	68.84	2.58	0.89	0.15	0.03	0.02	0.00	0.00	0.00	16.45
A	1.32	9.27	68.75	3.57	1.65	0.27	0.14	0.01	0.00	0.00	15.02
BBB	0.23	1.39	6.73	70.69	3.73	1.76	1.69	0.01	0.00	0.01	13.76
BB	0.01	0.10	1.15	6.71	69.90	4.92	4.23	0.11	0.00	0.02	12.86
B	0.00	0.02	0.27	2.35	10.40	66.72	5.64	0.07	0.00	0.07	14.47
CCC	0.00	0.00	0.00	0.87	7.44	19.33	60.24	1.56	0.00	1.33	9.23
CC	0.00	0.00	0.00	0.00	0.93	1.85	0.93	51.85	0.00	29.63	14.81
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	45.33	11.95	2.65	0.18	0.06	0.00	0.01	0.00	0.00	0.00	39.81
AA	15.61	44.86	5.19	1.63	0.23	0.07	0.05	0.00	0.00	0.01	32.35
A	3.49	12.90	44.53	7.29	3.14	0.49	0.22	0.03	0.00	0.01	27.89
BBB	0.65	2.96	9.41	46.56	7.30	3.79	3.38	0.03	0.00	0.01	25.91
BB	0.13	0.52	2.14	9.76	45.32	8.23	8.22	0.19	0.00	0.10	25.40
B	0.03	0.19	0.74	4.81	14.88	42.02	8.50	0.17	0.00	0.33	28.33
CCC	0.00	0.00	0.29	2.67	12.97	26.00	33.58	1.94	0.00	2.72	19.83
CC	0.00	0.00	0.00	0.00	0.97	3.88	0.97	28.16	0.00	43.69	22.33
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	28.85	17.11	2.91	0.18	0.10	0.03	0.02	0.00	0.00	0.00	50.79
AA	15.25	27.12	6.80	1.75	0.25	0.08	0.06	0.00	0.00	0.01	48.68
A	4.74	11.93	27.79	9.80	3.60	0.59	0.27	0.05	0.00	0.02	41.22
BBB	1.04	3.98	8.27	29.06	9.91	4.96	4.24	0.10	0.00	0.02	38.42
BB	0.24	0.88	2.81	9.14	28.56	9.05	10.48	0.26	0.00	0.20	38.39
B	0.06	0.36	0.90	5.82	12.56	27.05	6.66	0.27	0.00	0.54	45.79
CCC	0.00	0.10	0.88	3.96	13.72	21.09	20.95	1.81	0.00	4.30	33.20
CC	0.00	0.00	0.00	0.00	0.98	4.90	0.00	11.76	0.00	50.98	31.37
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	19.00	19.09	2.41	0.11	0.09	0.05	0.04	0.00	0.00	0.00	59.22
AA	12.89	15.42	6.76	1.43	0.21	0.08	0.05	0.00	0.00	0.02	63.13
A	5.56	9.10	17.11	10.27	3.26	0.54	0.18	0.06	0.00	0.03	53.89
BBB	1.27	4.16	5.90	17.59	10.63	5.19	4.22	0.15	0.00	0.06	50.84
BB	0.28	1.24	3.14	6.92	17.14	8.64	10.77	0.36	0.00	0.30	51.22
B	0.10	0.42	0.97	5.59	9.13	14.81	4.71	0.39	0.00	0.75	63.13
CCC	0.00	0.24	0.93	4.50	11.74	15.40	13.11	1.37	0.00	5.92	46.80
CC	0.00	0.00	0.00	0.00	1.01	3.03	0.00	4.04	0.00	52.53	39.39
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	16.16	17.51	1.43	0.06	0.05	0.07	0.05	0.00	0.00	0.00	64.67
AA	10.18	10.67	5.47	0.92	0.15	0.08	0.02	0.00	0.00	0.03	72.47
A	5.32	6.74	13.03	8.91	2.35	0.50	0.11	0.06	0.00	0.04	62.93
BBB	1.63	3.40	3.80	13.18	9.67	4.79	3.78	0.18	0.00	0.09	59.48
BB	0.27	1.54	2.83	4.27	11.51	8.62	9.70	0.38	0.00	0.43	60.45
B	0.07	0.68	1.35	4.55	6.54	6.61	3.31	0.50	0.00	1.03	75.36
CCC	0.05	0.29	0.93	4.13	8.75	10.61	7.27	0.88	0.00	7.22	59.85
CC	0.00	0.00	0.00	0.00	1.03	1.03	0.00	2.06	0.00	53.61	42.27
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	1.90	0.34	0.00	0.00	0.00	0.05	0.02	0.00	0.00	0.00	97.69
AA	1.55	0.62	0.13	0.06	0.06	0.00	0.00	0.00	0.00	0.11	97.47
A	0.82	1.19	0.97	0.40	0.15	0.13	0.05	0.03	0.00	0.07	96.18
BBB	0.10	0.33	0.72	1.25	1.02	0.79	0.92	0.17	0.00	0.80	93.90
BB	0.00	0.02	0.11	0.41	1.26	1.83	1.72	0.65	0.00	2.92	91.08
B	0.00	0.00	0.00	0.00	0.17	0.26	0.61	0.09	0.00	2.95	95.92
CCC	0.00	0.00	0.00	0.00	0.00	0.36	0.07	0.21	0.00	7.81	91.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.82	49.18
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. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 14

Global CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	88.18	9.27	2.32	0.18	0.04	0.00	0.01	0.00	0.00	0.00
AA	19.60	74.36	4.23	1.47	0.24	0.05	0.04	0.00	0.00	0.00
A	2.91	15.06	72.67	5.81	2.78	0.50	0.24	0.01	0.00	0.00
BBB	0.53	2.80	10.93	74.93	5.29	2.77	2.72	0.03	0.00	0.01
BB	0.15	0.25	2.19	11.66	74.53	4.26	6.73	0.20	0.00	0.03
B	0.05	0.09	0.68	5.18	18.50	69.00	6.23	0.14	0.00	0.14
CCC	0.00	0.00	0.00	1.27	8.21	18.86	68.93	1.51	0.00	1.22
CC	0.00	0.00	0.00	0.00	1.92	1.92	0.96	65.38	0.00	29.81
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	77.62	17.95	3.99	0.30	0.12	0.00	0.02	0.00	0.00	0.00
AA	34.91	54.14	7.84	2.50	0.38	0.14	0.09	0.00	0.00	0.01
A	8.55	22.33	52.04	10.99	4.83	0.81	0.39	0.05	0.00	0.01
BBB	1.92	6.70	16.36	54.44	9.88	5.52	5.09	0.08	0.00	0.01
BB	0.59	1.24	4.72	18.56	54.62	7.45	12.32	0.34	0.00	0.16
B	0.14	0.46	2.23	10.75	28.23	48.77	8.88	0.14	0.00	0.41
CCC	0.00	0.00	0.34	3.71	14.66	29.67	46.82	2.15	0.00	2.64
CC	0.00	0.00	0.00	0.00	2.91	3.88	0.97	48.54	0.00	43.69
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	70.71	24.50	4.19	0.31	0.21	0.04	0.03	0.00	0.00	0.00
AA	46.02	40.99	9.67	2.58	0.41	0.19	0.12	0.00	0.00	0.02
A	15.28	22.93	41.03	13.99	5.27	0.91	0.46	0.09	0.00	0.03
BBB	4.15	10.37	16.44	42.48	13.22	6.93	6.20	0.18	0.00	0.03
BB	1.09	2.58	7.22	19.73	43.70	10.08	14.86	0.44	0.00	0.29
B	0.59	1.10	3.93	14.89	27.17	43.01	8.58	0.09	0.00	0.64
CCC	0.15	0.20	1.22	6.30	17.69	29.33	38.42	2.44	0.00	4.25
CC	0.00	0.00	0.00	0.00	3.92	4.90	0.98	39.22	0.00	50.98
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	69.36	26.61	3.45	0.22	0.23	0.07	0.05	0.00	0.00	0.00
AA	54.36	33.48	9.30	2.09	0.37	0.24	0.13	0.00	0.00	0.03
A	22.30	21.74	35.77	14.10	4.65	0.86	0.40	0.13	0.00	0.04
BBB	6.84	13.10	15.27	36.86	14.20	7.18	6.23	0.24	0.00	0.08
BB	1.65	4.12	9.52	18.87	38.57	11.45	14.86	0.56	0.00	0.39
B	0.92	1.83	5.31	17.31	25.05	40.66	7.83	0.23	0.00	0.87
CCC	0.34	0.49	2.05	8.61	18.04	28.51	33.84	2.20	0.00	5.92
CC	0.00	0.00	0.00	0.00	5.05	5.05	1.01	36.36	0.00	52.53
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	72.71	24.50	2.20	0.17	0.23	0.12	0.08	0.00	0.00	0.00
AA	60.83	29.58	7.44	1.44	0.30	0.25	0.13	0.00	0.00	0.04
A	28.40	21.30	33.47	12.02	3.42	0.84	0.35	0.16	0.00	0.05
BBB	9.67	14.43	14.53	35.02	13.22	6.85	5.87	0.28	0.00	0.12
BB	2.50	5.73	10.96	17.61	36.31	12.39	13.36	0.59	0.00	0.54
B	1.16	2.93	6.89	18.30	24.26	37.76	7.12	0.42	0.00	1.16
CCC	0.54	0.84	3.05	10.57	17.94	28.01	29.93	1.92	0.00	7.22
CC	0.00	0.00	0.00	0.00	5.15	5.15	1.03	35.05	0.00	53.61
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	88.81	9.61	0.77	0.12	0.25	0.23	0.20	0.00	0.00	0.00
AA	78.30	17.95	2.01	0.88	0.22	0.22	0.30	0.00	0.00	0.11
A	45.36	25.64	23.04	3.12	1.30	0.69	0.42	0.35	0.00	0.07
BBB	15.32	15.78	17.88	30.56	8.02	6.06	5.13	0.44	0.00	0.81
BB	4.86	8.48	11.85	17.51	30.39	13.80	8.98	1.18	0.00	2.94
B	2.96	6.79	14.46	22.65	20.82	22.30	6.62	0.44	0.00	2.96
CCC	0.93	1.79	5.95	14.47	21.92	25.79	19.91	1.43	0.00	7.81
CC	0.00	0.00	0.00	0.00	6.56	8.20	1.64	32.79	0.00	50.82
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 15

Global CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	68.15	9.22	2.30	0.17	0.04	0.00	0.01	0.00	0.00	0.00	20.10
AA	16.61	67.29	4.20	1.46	0.24	0.05	0.04	0.00	0.00	0.00	10.11
A	2.02	13.95	66.18	5.80	2.73	0.45	0.23	0.01	0.00	0.00	8.62
BBB	0.32	2.14	10.01	68.40	5.26	2.76	2.69	0.01	0.00	0.01	8.39
BB	0.02	0.16	1.90	10.72	67.77	4.20	6.73	0.18	0.00	0.03	8.30
B	0.00	0.05	0.50	4.41	17.50	58.18	6.05	0.14	0.00	0.14	13.05
CCC	0.00	0.00	0.00	0.93	7.91	18.08	61.75	1.32	0.00	1.22	8.79
CC	0.00	0.00	0.00	0.00	0.96	1.92	0.96	51.92	0.00	29.81	14.42
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	45.03	17.62	3.89	0.27	0.09	0.00	0.02	0.00	0.00	0.00	33.09
AA	21.88	43.07	7.74	2.44	0.35	0.10	0.07	0.00	0.00	0.01	24.34
A	5.01	17.99	41.57	10.90	4.75	0.75	0.33	0.05	0.00	0.01	18.63
BBB	0.89	4.25	12.98	43.37	9.74	5.47	4.95	0.05	0.00	0.01	18.30
BB	0.20	0.82	3.33	14.98	42.36	6.98	12.25	0.29	0.00	0.16	18.62
B	0.05	0.32	1.23	7.97	24.36	30.19	8.15	0.14	0.00	0.41	27.19
CCC	0.00	0.00	0.29	2.69	13.05	26.15	33.68	1.66	0.00	2.64	19.84
CC	0.00	0.00	0.00	0.00	0.97	3.88	0.97	28.16	0.00	43.69	22.33
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	30.42	23.50	3.99	0.25	0.14	0.04	0.03	0.00	0.00	0.00	41.63
AA	20.18	27.35	9.48	2.45	0.35	0.11	0.08	0.00	0.00	0.02	39.98
A	6.47	15.49	27.66	13.75	5.06	0.82	0.37	0.06	0.00	0.03	30.29
BBB	1.37	5.40	10.58	27.97	12.86	6.70	5.78	0.14	0.00	0.03	29.17
BB	0.34	1.27	4.07	13.06	27.23	9.18	14.63	0.36	0.00	0.29	29.56
B	0.09	0.55	1.37	8.86	18.90	19.04	6.67	0.09	0.00	0.64	43.79
CCC	0.00	0.10	0.88	3.96	13.73	21.11	20.97	1.76	0.00	4.25	33.24
CC	0.00	0.00	0.00	0.00	0.98	4.90	0.00	11.76	0.00	50.98	31.37
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	22.58	24.72	3.12	0.14	0.12	0.07	0.05	0.00	0.00	0.00	49.21
AA	16.43	18.06	8.94	1.89	0.28	0.11	0.07	0.00	0.00	0.03	54.20
A	7.21	11.42	20.12	13.65	4.33	0.72	0.24	0.08	0.00	0.04	42.18
BBB	1.61	5.37	7.19	19.52	13.47	6.65	5.44	0.19	0.00	0.08	40.49
BB	0.38	1.70	4.27	9.31	18.59	10.08	14.24	0.46	0.00	0.39	40.58
B	0.14	0.60	1.37	7.88	12.73	12.32	4.72	0.23	0.00	0.87	59.16
CCC	0.00	0.24	0.93	4.50	11.74	15.40	13.11	1.37	0.00	5.92	46.80
CC	0.00	0.00	0.00	0.00	1.01	3.03	0.00	4.04	0.00	52.53	39.39
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	19.53	21.55	1.76	0.08	0.06	0.08	0.06	0.00	0.00	0.00	56.87
AA	12.49	13.12	6.88	1.16	0.19	0.10	0.03	0.00	0.00	0.04	65.98
A	6.61	8.20	16.13	11.26	2.98	0.63	0.14	0.08	0.00	0.05	53.91
BBB	1.99	4.19	4.46	15.54	11.86	5.84	4.66	0.22	0.00	0.12	51.12
BB	0.35	1.99	3.66	5.45	13.81	10.41	12.08	0.46	0.00	0.54	51.25
B	0.09	0.88	1.77	5.96	8.43	6.47	2.93	0.33	0.00	1.16	71.97
CCC	0.05	0.29	0.93	4.13	8.75	10.61	7.27	0.88	0.00	7.22	59.85
CC	0.00	0.00	0.00	0.00	1.03	1.03	0.00	2.06	0.00	53.61	42.27
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	1.92	0.34	0.00	0.00	0.00	0.05	0.02	0.00	0.00	0.00	97.67
AA	1.56	0.63	0.13	0.06	0.06	0.00	0.00	0.00	0.00	0.11	97.45
A	0.83	1.20	0.98	0.40	0.15	0.13	0.05	0.03	0.00	0.07	96.15
BBB	0.10	0.34	0.72	1.26	1.03	0.79	0.93	0.17	0.00	0.81	93.86
BB	0.00	0.02	0.11	0.42	1.27	1.84	1.73	0.66	0.00	2.94	91.02
B	0.00	0.00	0.00	0.00	0.17	0.26	0.61	0.09	0.00	2.96	95.91
CCC	0.00	0.00	0.00	0.00	0.00	0.36	0.07	0.21	0.00	7.81	91.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.82	49.18
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. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 16

Global CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.96	97.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.82	2.47	96.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.50	0.10	1.59	97.62	0.20	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.28	3.13	96.30	0.28	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	8.70	91.09	0.20	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	43.70	50.42	2.52	0.00	3.36
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00	0.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	99.93	0.03	0.03	0.01	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.98	96.99	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.41	2.77	96.64	0.18	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.13	0.24	1.57	96.77	1.21	0.09	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.10	1.10	92.18	6.05	0.57	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	2.48	92.30	5.22	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	39.69	51.91	5.34	0.00	3.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00	0.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	99.91	0.02	0.05	0.02	0.00	0.00	0.00	0.00	0.00	0.00
AA	6.01	93.95	0.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.13	5.51	93.03	0.33	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.22	0.66	3.19	93.35	2.36	0.22	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.14	1.38	84.91	12.19	1.38	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.69	89.03	9.86	0.21	0.00	0.21
CCC	0.00	0.00	0.00	0.00	0.00	0.00	25.00	58.33	0.00	16.67
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	99.89	0.02	0.07	0.02	0.00	0.00	0.00	0.00	0.00	0.00
AA	8.99	90.96	0.05	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.96	8.53	89.32	0.19	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.39	1.12	5.01	91.07	2.14	0.25	0.04	0.00	0.00	0.00
BB	0.00	0.00	0.29	2.26	84.92	10.77	1.72	0.04	0.00	0.00
B	0.00	0.00	0.00	0.00	1.05	90.13	7.77	0.70	0.00	0.35
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	99.86	0.03	0.08	0.03	0.00	0.00	0.00	0.00	0.00	0.00
AA	10.59	89.35	0.06	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.78	10.21	86.94	0.08	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.52	1.57	6.24	90.18	1.18	0.26	0.04	0.00	0.00	0.00
BB	0.00	0.00	0.49	3.12	87.75	6.86	1.65	0.09	0.00	0.04
B	0.00	0.00	0.00	0.00	1.34	91.50	5.82	0.89	0.00	0.45
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	99.82	0.04	0.11	0.04	0.00	0.00	0.00	0.00	0.00	0.00
AA	11.91	88.01	0.08	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.94	12.11	84.85	0.10	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.50	2.04	7.43	89.27	0.39	0.33	0.06	0.00	0.00	0.00
BB	0.00	0.00	0.68	4.05	89.13	4.11	1.86	0.11	0.00	0.06
B	0.00	0.00	0.00	0.00	1.95	90.53	5.71	1.20	0.00	0.60
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	92.19	1.56	4.69	1.56	0.00	0.00	0.00	0.00	0.00	0.00
AA	43.75	54.17	2.08	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	4.26	31.91	63.83	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	2.44	7.32	34.15	56.10	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	6.45	29.03	64.52	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	50.00	50.00	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 17

Global CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	54.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.96
AA	2.29	54.55	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.16
A	0.55	2.29	55.44	0.00	0.00	0.00	0.00	0.00	0.00	0.00	41.72
BBB	0.40	0.10	1.39	58.49	0.00	0.00	0.00	0.00	0.00	0.00	39.62
BB	0.00	0.00	0.28	2.70	60.17	0.14	0.00	0.00	0.00	0.00	36.70
B	0.00	0.00	0.00	0.00	8.30	68.02	0.20	0.00	0.00	0.00	23.48
CCC	0.00	0.00	0.00	0.00	0.00	42.86	33.61	2.52	0.00	3.36	17.65
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	25.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	70.13	0.03	0.03	0.01	0.00	0.00	0.00	0.00	0.00	0.00	29.80
AA	2.21	71.29	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	26.47
A	0.24	2.12	72.68	0.18	0.00	0.00	0.00	0.00	0.00	0.00	24.78
BBB	0.09	0.13	1.23	74.55	1.16	0.09	0.00	0.00	0.00	0.00	22.76
BB	0.00	0.00	0.05	0.84	73.03	5.98	0.57	0.00	0.00	0.00	19.54
B	0.00	0.00	0.00	0.00	2.33	76.42	5.17	0.00	0.00	0.00	16.08
CCC	0.00	0.00	0.00	0.00	0.00	38.93	36.64	5.34	0.00	3.05	16.03
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	25.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	45.96	0.00	0.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	54.01
AA	2.96	48.48	0.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00	48.52
A	0.53	3.01	50.29	0.28	0.00	0.00	0.00	0.00	0.00	0.00	45.90
BBB	0.14	0.19	1.76	53.40	2.09	0.19	0.00	0.00	0.00	0.00	42.23
BB	0.00	0.00	0.03	0.57	50.53	10.43	1.12	0.00	0.00	0.00	37.31
B	0.00	0.00	0.00	0.00	0.42	60.07	9.03	0.21	0.00	0.21	30.07
CCC	0.00	0.00	0.00	0.00	0.00	0.00	16.67	50.00	0.00	16.67	16.67
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	24.65	0.00	0.02	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.32
AA	2.74	26.53	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	70.73
A	0.51	3.22	28.12	0.13	0.00	0.00	0.00	0.00	0.00	0.00	68.03
BBB	0.14	0.11	1.96	32.03	1.86	0.21	0.04	0.00	0.00	0.00	63.67
BB	0.00	0.00	0.04	0.54	31.49	8.76	1.36	0.04	0.00	0.00	57.77
B	0.00	0.00	0.00	0.00	0.44	42.36	6.64	0.61	0.00	0.35	49.61
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	6.86	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.14
AA	1.93	7.24	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	90.83
A	0.55	2.07	7.98	0.00	0.00	0.00	0.00	0.00	0.00	0.00	89.40
BBB	0.13	0.04	1.53	11.04	0.96	0.22	0.04	0.00	0.00	0.00	86.04
BB	0.00	0.00	0.04	0.40	13.18	4.72	1.34	0.09	0.00	0.04	80.18
B	0.00	0.00	0.00	0.00	0.34	20.92	4.70	0.78	0.00	0.45	72.82
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	1.53	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	98.47
AA	1.23	1.15	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	97.62
A	0.44	1.18	1.28	0.00	0.00	0.00	0.00	0.00	0.00	0.00	97.11
BBB	0.11	0.00	0.99	3.08	0.33	0.28	0.06	0.00	0.00	0.00	95.16
BB	0.00	0.00	0.00	0.23	3.66	2.48	1.58	0.11	0.00	0.06	91.89
B	0.00	0.00	0.00	0.00	0.45	7.07	4.51	1.05	0.00	0.60	86.32
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
A	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BBB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

U.S. CLOs

Table 18

U.S. CLO Cumulative Default Rates, Conditional On Survival (1997-2021)
	--Time horizon (years)--
(%)	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.01	0.02	0.03	0.04	0.05	0.06	0.08	0.08	0.08
A	0.00	0.01	0.02	0.04	0.05	0.05	0.05	0.05	0.05	0.05
BBB	0.01	0.01	0.02	0.07	0.12	0.20	0.30	0.41	0.53	0.64
BB	0.03	0.14	0.26	0.37	0.55	0.73	0.97	1.23	1.49	1.92
B	0.07	0.41	0.87	1.32	1.80	2.28	2.63	2.88	3.18	3.57
CCC	1.03	1.90	2.95	4.18	5.24	5.68	6.30	6.84	7.32	7.32
CC	35.06	54.41	64.08	66.84	68.22	68.22	68.22	68.22	68.22	68.22
IG	0.00	0.01	0.01	0.03	0.04	0.06	0.09	0.11	0.14	0.16
SG	0.37	0.75	1.12	1.46	1.82	2.10	2.41	2.72	3.03	3.37
Overall	0.08	0.15	0.23	0.31	0.39	0.47	0.55	0.63	0.71	0.79
IG--Investment-grade. SG--Speculative-grade. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 19

U.S. CLO Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	3.70	96.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.01	2.93	96.06	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.61	0.12	1.82	97.21	0.24	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.38	3.95	95.29	0.38	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	12.35	87.35	0.30	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	43.33	50.83	2.50	0.00	3.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00	0.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	93.67	5.40	0.84	0.06	0.02	0.00	0.01	0.00	0.00	0.00
AA	13.52	83.40	2.48	0.48	0.04	0.04	0.03	0.00	0.00	0.00
A	1.70	9.67	83.55	3.70	1.02	0.25	0.10	0.01	0.00	0.00
BBB	0.41	1.80	6.98	84.33	3.59	1.35	1.52	0.01	0.00	0.01
BB	0.08	0.09	1.39	6.71	82.57	5.14	3.85	0.14	0.00	0.03
B	0.04	0.07	0.48	3.42	10.81	79.71	5.28	0.11	0.00	0.07
CCC	0.00	0.00	0.00	1.74	10.91	21.19	63.56	1.58	0.00	1.03
CC	0.00	0.00	0.00	0.00	2.60	2.60	1.30	58.44	0.00	35.06
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	87.12	11.16	1.53	0.11	0.06	0.00	0.01	0.00	0.00	0.00
AA	25.84	68.11	4.88	0.89	0.07	0.12	0.07	0.00	0.00	0.01
A	5.63	15.56	68.81	7.56	1.80	0.44	0.19	0.01	0.00	0.01
BBB	1.45	4.68	11.36	69.25	7.18	2.94	3.10	0.02	0.00	0.01
BB	0.39	0.74	3.07	10.77	67.54	9.52	7.58	0.25	0.00	0.14
B	0.13	0.38	1.91	8.01	15.94	64.90	8.05	0.25	0.00	0.42
CCC	0.00	0.00	0.52	5.94	20.79	29.69	38.78	2.62	0.00	1.66
CC	0.00	0.00	0.00	0.00	4.11	5.48	1.37	34.25	0.00	54.79
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	82.25	15.81	1.63	0.13	0.11	0.04	0.03	0.00	0.00	0.00
AA	36.44	56.32	5.87	0.98	0.10	0.17	0.10	0.00	0.00	0.02
A	10.52	18.20	59.01	9.47	1.96	0.53	0.27	0.01	0.00	0.02
BBB	3.17	7.57	12.79	59.15	9.44	3.83	3.94	0.09	0.00	0.02
BB	0.80	1.63	4.93	12.66	59.97	9.85	9.54	0.35	0.00	0.27
B	0.60	0.97	3.40	11.31	16.55	59.82	6.11	0.46	0.00	0.78
CCC	0.26	0.35	2.03	9.87	24.23	30.48	27.84	2.38	0.00	2.56
CC	0.00	0.00	0.00	0.00	5.48	6.85	1.37	21.92	0.00	64.38
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	80.67	17.60	1.34	0.13	0.14	0.06	0.05	0.00	0.00	0.00
AA	44.77	48.63	5.24	0.84	0.13	0.22	0.13	0.00	0.00	0.03
A	16.42	18.73	53.06	9.15	1.77	0.54	0.29	0.01	0.00	0.04
BBB	5.10	10.18	12.97	53.70	9.75	4.05	4.03	0.13	0.00	0.08
BB	1.23	2.76	6.80	12.96	56.88	9.04	9.43	0.49	0.00	0.41
B	0.95	1.49	4.93	13.94	15.88	56.50	4.68	0.55	0.00	1.10
CCC	0.62	0.88	3.44	12.97	23.57	28.86	24.18	1.77	0.00	3.71
CC	0.00	0.00	0.00	0.00	7.04	7.04	1.41	18.31	0.00	66.20
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	82.66	16.07	0.80	0.12	0.16	0.12	0.08	0.00	0.00	0.00
AA	52.02	43.14	3.63	0.68	0.12	0.23	0.14	0.00	0.00	0.04
A	21.75	20.12	48.81	7.17	1.27	0.53	0.29	0.00	0.00	0.05
BBB	7.26	11.95	13.53	50.63	8.85	3.84	3.68	0.15	0.00	0.12
BB	1.77	3.85	8.20	13.33	54.76	8.81	8.15	0.54	0.00	0.59
B	1.19	2.43	6.58	15.22	16.03	52.24	4.37	0.59	0.00	1.35
CCC	0.97	1.41	5.21	14.47	21.89	27.89	22.07	1.32	0.00	4.77
CC	0.00	0.00	0.00	0.00	7.04	7.04	1.41	16.90	0.00	67.61
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	92.25	6.42	0.44	0.09	0.26	0.29	0.26	0.00	0.00	0.00
AA	80.99	16.23	1.03	0.80	0.16	0.25	0.39	0.00	0.00	0.14
A	47.32	25.61	23.91	1.90	0.33	0.33	0.51	0.00	0.00	0.09
BBB	15.62	18.09	19.67	31.41	7.16	3.89	3.11	0.20	0.00	0.86
BB	4.19	9.02	13.48	18.77	34.12	11.10	5.87	0.89	0.00	2.57
B	3.59	7.44	17.05	25.51	19.36	20.64	3.33	0.13	0.00	2.95
CCC	1.16	2.22	8.24	16.68	24.18	23.86	16.05	0.53	0.00	7.07
CC	0.00	0.00	0.00	0.00	7.84	9.80	1.96	19.61	0.00	60.78
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 20

U.S. CLO Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	53.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	46.70
AA	2.85	51.80	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.35
A	0.68	2.70	53.72	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.91
BBB	0.49	0.12	1.70	57.65	0.00	0.00	0.00	0.00	0.00	0.00	40.05
BB	0.00	0.00	0.38	3.39	58.00	0.19	0.00	0.00	0.00	0.00	38.04
B	0.00	0.00	0.00	0.00	11.75	64.46	0.30	0.00	0.00	0.00	23.49
CCC	0.00	0.00	0.00	0.00	0.00	42.50	33.33	2.50	0.00	3.33	18.33
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	25.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	69.29	5.39	0.83	0.05	0.02	0.00	0.01	0.00	0.00	0.00	24.41
AA	11.35	68.51	2.47	0.47	0.04	0.04	0.03	0.00	0.00	0.00	17.09
A	1.11	8.62	69.18	3.70	0.98	0.21	0.09	0.01	0.00	0.00	16.10
BBB	0.28	1.27	6.24	71.27	3.56	1.34	1.51	0.01	0.00	0.01	14.51
BB	0.01	0.08	1.13	6.00	69.95	5.10	3.85	0.14	0.00	0.03	13.71
B	0.00	0.04	0.33	2.94	10.07	66.67	5.20	0.11	0.00	0.07	14.57
CCC	0.00	0.00	0.00	1.26	10.51	20.32	56.05	1.58	0.00	1.03	9.25
CC	0.00	0.00	0.00	0.00	1.30	2.60	1.30	49.35	0.00	35.06	10.39
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	45.97	11.00	1.48	0.10	0.03	0.00	0.01	0.00	0.00	0.00	41.41
AA	16.19	44.66	4.82	0.85	0.06	0.09	0.05	0.00	0.00	0.01	33.27
A	3.14	11.56	45.71	7.50	1.73	0.39	0.14	0.01	0.00	0.01	29.81
BBB	0.72	2.75	8.48	47.61	7.00	2.91	3.04	0.02	0.00	0.01	27.46
BB	0.15	0.53	2.00	8.24	45.58	8.56	7.43	0.24	0.00	0.14	27.13
B	0.04	0.25	0.97	5.89	13.23	42.22	7.25	0.25	0.00	0.42	29.46
CCC	0.00	0.00	0.44	4.37	18.60	26.20	26.90	2.36	0.00	1.66	19.48
CC	0.00	0.00	0.00	0.00	1.37	5.48	1.37	21.92	0.00	54.79	15.07
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	29.65	15.18	1.50	0.11	0.05	0.04	0.03	0.00	0.00	0.00	53.44
AA	16.18	27.14	5.74	0.88	0.09	0.10	0.07	0.00	0.00	0.02	49.79
A	4.14	11.04	29.43	9.32	1.86	0.47	0.19	0.01	0.00	0.02	43.51
BBB	1.03	3.46	7.53	30.52	9.09	3.70	3.76	0.09	0.00	0.02	40.79
BB	0.26	0.77	2.39	7.83	29.04	8.73	9.30	0.32	0.00	0.27	41.09
B	0.09	0.41	0.97	6.39	10.90	26.85	4.78	0.41	0.00	0.78	48.41
CCC	0.00	0.18	1.41	6.26	18.41	22.03	11.72	2.03	0.00	2.56	35.42
CC	0.00	0.00	0.00	0.00	1.37	6.85	0.00	5.48	0.00	64.38	21.92
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	19.51	16.32	1.15	0.09	0.05	0.06	0.05	0.00	0.00	0.00	62.78
AA	13.71	15.46	5.00	0.69	0.10	0.10	0.07	0.00	0.00	0.03	64.83
A	5.24	8.63	18.51	8.81	1.64	0.44	0.15	0.01	0.00	0.04	56.53
BBB	1.12	3.62	5.53	19.17	9.07	3.70	3.66	0.12	0.00	0.08	53.92
BB	0.24	1.04	2.53	5.85	17.71	7.65	8.91	0.44	0.00	0.41	55.22
B	0.15	0.35	1.10	5.87	7.62	13.89	2.89	0.50	0.00	1.10	66.55
CCC	0.00	0.44	1.41	6.88	14.74	15.98	5.47	1.32	0.00	3.71	50.04
CC	0.00	0.00	0.00	0.00	1.41	4.23	0.00	1.41	0.00	66.20	26.76
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	16.38	13.99	0.56	0.07	0.03	0.08	0.06	0.00	0.00	0.00	68.84
AA	11.00	10.80	3.27	0.47	0.07	0.11	0.03	0.00	0.00	0.04	74.20
A	5.04	7.17	14.02	6.59	1.11	0.39	0.11	0.00	0.00	0.05	65.52
BBB	1.39	3.05	3.96	14.72	7.59	3.11	3.01	0.12	0.00	0.12	62.93
BB	0.19	1.01	2.24	3.90	12.43	7.16	7.16	0.45	0.00	0.59	64.87
B	0.05	0.76	1.46	4.37	5.40	6.26	2.27	0.54	0.00	1.35	77.55
CCC	0.09	0.44	1.50	5.65	9.62	11.39	2.21	0.88	0.00	4.77	63.46
CC	0.00	0.00	0.00	0.00	1.41	1.41	0.00	0.00	0.00	67.61	29.58
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	1.40	0.04	0.00	0.00	0.00	0.06	0.03	0.00	0.00	0.00	98.47
AA	0.76	0.29	0.02	0.04	0.08	0.00	0.00	0.00	0.00	0.14	98.66
A	0.57	0.66	0.53	0.07	0.00	0.00	0.07	0.00	0.00	0.09	98.01
BBB	0.11	0.32	0.50	0.68	0.50	0.20	0.20	0.14	0.00	0.86	96.51
BB	0.00	0.03	0.15	0.28	0.73	1.22	0.24	0.58	0.00	2.57	94.19
B	0.00	0.00	0.00	0.00	0.00	0.26	0.26	0.13	0.00	2.95	96.41
CCC	0.00	0.00	0.00	0.00	0.00	0.42	0.11	0.00	0.00	7.07	92.40
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.78	39.22
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 21

U.S. CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	89.45	9.01	1.40	0.10	0.03	0.00	0.01	0.00	0.00	0.00
AA	20.84	73.85	4.29	0.83	0.07	0.07	0.06	0.00	0.00	0.00
A	2.65	14.81	73.69	6.41	1.81	0.44	0.18	0.02	0.00	0.00
BBB	0.59	2.88	10.78	75.72	5.16	2.24	2.60	0.02	0.00	0.02
BB	0.14	0.17	2.48	11.42	75.31	3.59	6.58	0.26	0.00	0.05
B	0.08	0.15	0.99	7.04	18.75	69.47	3.14	0.23	0.00	0.15
CCC	0.00	0.00	0.00	1.94	12.17	19.05	64.90	1.15	0.00	0.79
CC	0.00	0.00	0.00	0.00	2.74	2.74	1.37	57.53	0.00	35.62
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	80.22	17.14	2.35	0.17	0.10	0.00	0.02	0.00	0.00	0.00
AA	36.87	53.57	7.72	1.41	0.11	0.20	0.11	0.00	0.00	0.01
A	8.31	21.50	54.23	12.00	2.91	0.71	0.30	0.02	0.00	0.02
BBB	2.13	6.90	15.93	55.95	9.71	4.46	4.86	0.04	0.00	0.02
BB	0.67	1.28	5.20	17.56	56.25	6.38	11.97	0.43	0.00	0.24
B	0.23	0.69	3.45	14.50	28.17	48.50	3.68	0.23	0.00	0.54
CCC	0.00	0.00	0.53	6.00	21.01	30.01	38.92	2.03	0.00	1.50
CC	0.00	0.00	0.00	0.00	4.11	5.48	1.37	34.25	0.00	54.79
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	74.69	22.54	2.32	0.19	0.16	0.05	0.04	0.00	0.00	0.00
AA	48.80	40.54	8.63	1.44	0.15	0.25	0.15	0.00	0.00	0.03
A	14.67	22.67	44.39	14.08	2.93	0.80	0.41	0.02	0.00	0.04
BBB	4.39	10.41	16.21	45.13	12.58	5.43	5.69	0.12	0.00	0.04
BB	1.28	2.60	7.66	18.75	46.18	8.51	14.05	0.53	0.00	0.43
B	1.00	1.62	5.70	18.95	26.89	41.29	3.39	0.15	0.00	1.00
CCC	0.26	0.35	2.03	9.89	24.27	30.54	27.89	2.29	0.00	2.47
CC	0.00	0.00	0.00	0.00	5.48	6.85	1.37	21.92	0.00	64.38
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	74.10	23.59	1.80	0.17	0.19	0.09	0.06	0.00	0.00	0.00
AA	57.76	33.04	7.31	1.18	0.18	0.31	0.18	0.00	0.00	0.04
A	21.87	21.89	39.67	12.84	2.49	0.76	0.41	0.02	0.00	0.05
BBB	6.74	13.28	15.34	40.61	12.83	5.43	5.48	0.18	0.00	0.11
BB	1.83	4.10	9.85	17.66	42.40	9.77	13.13	0.68	0.00	0.58
B	1.47	2.32	7.66	21.66	23.82	38.21	3.25	0.23	0.00	1.39
CCC	0.62	0.88	3.44	12.97	23.57	28.86	24.18	1.77	0.00	3.71
CC	0.00	0.00	0.00	0.00	7.04	7.04	1.41	18.31	0.00	66.20
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	77.98	20.41	1.02	0.15	0.20	0.15	0.10	0.00	0.00	0.00
AA	64.69	28.90	4.81	0.90	0.15	0.31	0.18	0.00	0.00	0.06
A	27.94	22.56	37.12	9.52	1.69	0.71	0.39	0.00	0.00	0.07
BBB	9.25	14.84	15.28	39.28	11.36	4.87	4.76	0.20	0.00	0.16
BB	2.47	5.37	11.16	16.97	41.37	10.58	10.58	0.70	0.00	0.80
B	1.72	3.52	9.53	22.03	22.27	35.70	3.36	0.23	0.00	1.64
CCC	0.97	1.41	5.21	14.47	21.89	27.89	22.07	1.32	0.00	4.77
CC	0.00	0.00	0.00	0.00	7.04	7.04	1.41	16.90	0.00	67.61
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	92.19	6.47	0.45	0.09	0.26	0.29	0.26	0.00	0.00	0.00
AA	81.34	15.85	1.04	0.81	0.17	0.25	0.39	0.00	0.00	0.15
A	47.72	25.52	23.58	1.91	0.33	0.33	0.51	0.00	0.00	0.09
BBB	15.74	18.19	19.53	31.20	7.22	3.93	3.13	0.20	0.00	0.86
BB	4.23	9.10	13.55	18.67	33.83	11.20	5.93	0.90	0.00	2.59
B	3.61	7.47	17.14	25.64	19.20	20.49	3.35	0.13	0.00	2.96
CCC	1.16	2.22	8.24	16.68	24.18	23.86	16.05	0.53	0.00	7.07
CC	0.00	0.00	0.00	0.00	7.84	9.80	1.96	19.61	0.00	60.78
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 22

U.S. CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	68.89	9.00	1.38	0.09	0.03	0.00	0.01	0.00	0.00	0.00	20.61
AA	17.75	67.19	4.27	0.81	0.07	0.07	0.06	0.00	0.00	0.00	9.79
A	1.76	13.53	66.90	6.41	1.74	0.37	0.16	0.02	0.00	0.00	9.11
BBB	0.41	2.06	9.78	69.16	5.14	2.22	2.58	0.02	0.00	0.02	8.61
BB	0.02	0.14	2.05	10.36	68.18	3.59	6.58	0.26	0.00	0.05	8.77
B	0.00	0.08	0.69	6.04	17.44	59.30	3.06	0.23	0.00	0.15	13.01
CCC	0.00	0.00	0.00	1.41	11.73	18.17	58.29	1.15	0.00	0.79	8.47
CC	0.00	0.00	0.00	0.00	1.37	2.74	1.37	49.32	0.00	35.62	9.59
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	46.18	16.88	2.26	0.15	0.05	0.00	0.02	0.00	0.00	0.00	34.45
AA	23.65	43.41	7.62	1.34	0.10	0.14	0.08	0.00	0.00	0.01	23.64
A	4.71	16.71	43.48	11.95	2.81	0.64	0.23	0.02	0.00	0.02	19.44
BBB	1.03	4.18	12.24	44.73	9.60	4.43	4.77	0.04	0.00	0.02	18.98
BB	0.26	0.92	3.44	13.83	43.22	6.19	11.92	0.41	0.00	0.24	19.56
B	0.08	0.46	1.77	10.67	23.56	30.54	3.15	0.23	0.00	0.54	29.01
CCC	0.00	0.00	0.44	4.41	18.80	26.48	27.01	1.85	0.00	1.50	19.51
CC	0.00	0.00	0.00	0.00	1.37	5.48	1.37	21.92	0.00	54.79	15.07
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	31.94	21.65	2.14	0.16	0.07	0.05	0.04	0.00	0.00	0.00	43.94
AA	22.35	28.24	8.45	1.30	0.13	0.14	0.10	0.00	0.00	0.03	39.26
A	5.93	14.77	30.61	13.88	2.79	0.71	0.28	0.02	0.00	0.04	30.97
BBB	1.42	4.98	9.96	30.14	12.22	5.25	5.43	0.12	0.00	0.04	30.44
BB	0.41	1.23	3.78	12.17	28.39	8.07	13.91	0.48	0.00	0.43	31.12
B	0.15	0.69	1.62	10.71	17.95	18.26	2.16	0.15	0.00	1.00	47.30
CCC	0.00	0.18	1.41	6.27	18.45	22.07	11.74	1.94	0.00	2.47	35.48
CC	0.00	0.00	0.00	0.00	1.37	6.85	0.00	5.48	0.00	64.38	21.92
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	23.92	21.87	1.54	0.12	0.06	0.09	0.06	0.00	0.00	0.00	52.34
AA	18.28	19.16	6.97	0.97	0.14	0.14	0.10	0.00	0.00	0.04	54.21
A	7.14	11.21	23.15	12.40	2.31	0.62	0.21	0.02	0.00	0.05	42.89
BBB	1.48	4.95	6.92	22.33	12.00	4.97	4.98	0.16	0.00	0.11	42.11
BB	0.36	1.54	3.74	8.49	20.29	8.86	12.52	0.60	0.00	0.58	43.00
B	0.23	0.54	1.70	9.13	11.68	11.29	1.24	0.23	0.00	1.39	62.57
CCC	0.00	0.44	1.41	6.88	14.74	15.98	5.47	1.32	0.00	3.71	50.04
CC	0.00	0.00	0.00	0.00	1.41	4.23	0.00	1.41	0.00	66.20	26.76
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	20.39	17.77	0.71	0.09	0.03	0.11	0.07	0.00	0.00	0.00	60.84
AA	14.14	13.96	4.33	0.62	0.10	0.14	0.04	0.00	0.00	0.06	66.62
A	6.57	9.13	18.31	8.79	1.48	0.52	0.14	0.00	0.00	0.07	55.00
BBB	1.77	3.96	4.81	18.17	9.74	3.94	3.89	0.16	0.00	0.16	53.41
BB	0.27	1.40	3.12	5.37	15.88	8.98	9.32	0.58	0.00	0.80	54.27
B	0.08	1.09	2.11	6.33	7.66	6.02	0.94	0.23	0.00	1.64	73.91
CCC	0.09	0.44	1.50	5.65	9.62	11.39	2.21	0.88	0.00	4.77	63.46
CC	0.00	0.00	0.00	0.00	1.41	1.41	0.00	0.00	0.00	67.61	29.58
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	1.42	0.04	0.00	0.00	0.00	0.06	0.03	0.00	0.00	0.00	98.45
AA	0.77	0.29	0.02	0.04	0.08	0.00	0.00	0.00	0.00	0.15	98.65
A	0.58	0.67	0.53	0.07	0.00	0.00	0.07	0.00	0.00	0.09	98.00
BBB	0.11	0.32	0.50	0.68	0.50	0.20	0.20	0.14	0.00	0.86	96.48
BB	0.00	0.03	0.15	0.28	0.74	1.23	0.25	0.59	0.00	2.59	94.14
B	0.00	0.00	0.00	0.00	0.00	0.26	0.26	0.13	0.00	2.96	96.39
CCC	0.00	0.00	0.00	0.00	0.00	0.42	0.11	0.00	0.00	7.07	92.40
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	60.78	39.22
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 23

U.S. CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	3.70	96.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.01	2.93	96.06	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.61	0.12	1.82	97.21	0.24	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.38	3.95	95.29	0.38	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	12.50	87.20	0.30	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	43.70	50.42	2.52	0.00	3.36
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00	0.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	3.49	96.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.48	3.06	96.25	0.21	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.15	0.27	1.65	96.43	1.40	0.10	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.11	1.23	91.03	6.95	0.67	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	3.32	89.38	7.30	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	39.69	51.91	5.34	0.00	3.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00	0.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	6.90	93.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.29	5.97	92.37	0.37	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.25	0.75	3.27	92.77	2.71	0.25	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.16	1.48	82.97	13.80	1.58	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.85	85.13	13.45	0.28	0.00	0.28
CCC	0.00	0.00	0.00	0.00	0.00	0.00	25.00	58.33	0.00	16.67
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	10.20	89.80	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.18	9.21	88.40	0.21	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.44	1.23	5.16	90.43	2.42	0.28	0.04	0.00	0.00	0.00
BB	0.00	0.00	0.32	2.40	83.19	12.10	1.95	0.04	0.00	0.00
B	0.00	0.00	0.00	0.00	1.25	87.23	10.15	0.91	0.00	0.46
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	11.83	88.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	3.05	10.98	85.89	0.09	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.59	1.71	6.48	89.57	1.32	0.29	0.05	0.00	0.00	0.00
BB	0.00	0.00	0.55	3.28	86.65	7.54	1.84	0.10	0.00	0.05
B	0.00	0.00	0.00	0.00	1.54	89.53	7.26	1.12	0.00	0.56
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	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	12.97	87.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	3.20	12.81	83.88	0.11	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.54	2.22	7.62	88.78	0.42	0.36	0.06	0.00	0.00	0.00
BB	0.00	0.00	0.73	4.16	88.57	4.34	2.02	0.12	0.00	0.06
B	0.00	0.00	0.00	0.00	2.09	89.18	6.63	1.40	0.00	0.70
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	44.68	55.32	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	4.76	35.71	59.52	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	2.50	7.50	35.00	55.00	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	6.45	29.03	64.52	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	50.00	50.00	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 24

U.S. CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	53.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	46.70
AA	2.85	51.80	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	45.35
A	0.68	2.70	53.72	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.91
BBB	0.49	0.12	1.70	57.65	0.00	0.00	0.00	0.00	0.00	0.00	40.05
BB	0.00	0.00	0.38	3.39	58.00	0.19	0.00	0.00	0.00	0.00	38.04
B	0.00	0.00	0.00	0.00	11.89	65.24	0.30	0.00	0.00	0.00	22.56
CCC	0.00	0.00	0.00	0.00	0.00	42.86	33.61	2.52	0.00	3.36	17.65
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	25.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	69.89	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	30.11
AA	2.57	70.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	27.10
A	0.27	2.31	72.11	0.21	0.00	0.00	0.00	0.00	0.00	0.00	25.10
BBB	0.10	0.15	1.27	74.22	1.35	0.10	0.00	0.00	0.00	0.00	22.81
BB	0.00	0.00	0.06	0.93	72.02	6.87	0.67	0.00	0.00	0.00	19.46
B	0.00	0.00	0.00	0.00	3.11	73.63	7.23	0.00	0.00	0.00	16.04
CCC	0.00	0.00	0.00	0.00	0.00	38.93	36.64	5.34	0.00	3.05	16.03
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	25.00	25.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	45.59	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	54.41
AA	3.37	46.80	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	49.83
A	0.60	3.24	49.30	0.32	0.00	0.00	0.00	0.00	0.00	0.00	46.54
BBB	0.16	0.22	1.82	52.72	2.39	0.22	0.00	0.00	0.00	0.00	42.47
BB	0.00	0.00	0.03	0.59	48.81	11.79	1.28	0.00	0.00	0.00	37.48
B	0.00	0.00	0.00	0.00	0.47	56.63	12.31	0.28	0.00	0.28	30.02
CCC	0.00	0.00	0.00	0.00	0.00	0.00	16.67	50.00	0.00	16.67	16.67
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	24.26	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.74
AA	3.09	24.80	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	72.12
A	0.54	3.53	27.06	0.14	0.00	0.00	0.00	0.00	0.00	0.00	68.73
BBB	0.16	0.08	2.10	31.37	2.10	0.24	0.04	0.00	0.00	0.00	63.90
BB	0.00	0.00	0.04	0.53	30.13	9.83	1.54	0.04	0.00	0.00	57.90
B	0.00	0.00	0.00	0.00	0.46	39.57	8.67	0.80	0.00	0.46	50.06
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00	0.00
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	6.54	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	93.46
AA	2.13	6.07	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.80
A	0.57	2.31	7.14	0.00	0.00	0.00	0.00	0.00	0.00	0.00	89.98
BBB	0.15	0.00	1.71	10.48	1.07	0.24	0.05	0.00	0.00	0.00	86.30
BB	0.00	0.00	0.05	0.40	12.41	5.16	1.49	0.10	0.00	0.05	80.35
B	0.00	0.00	0.00	0.00	0.28	18.58	5.87	0.98	0.00	0.56	73.74
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	1.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	98.49
AA	1.34	1.08	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	97.58
A	0.48	1.28	1.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	97.07
BBB	0.12	0.00	1.08	3.12	0.36	0.30	0.06	0.00	0.00	0.00	94.96
BB	0.00	0.00	0.00	0.18	3.73	2.57	1.71	0.12	0.00	0.06	91.63
B	0.00	0.00	0.00	0.00	0.35	6.81	5.24	1.22	0.00	0.70	85.69
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
A	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BBB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

European CLOs

Table 25

European CLO Cumulative Default Rates, Conditional On Survival, 2002-2021 (%)
	Time horizon (years)	STRADDLE
	1	2	3	4	5	6	7	8	9	10
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.00	0.00	0.00	0.00	0.10	0.20	0.38	0.57
BB	0.00	0.00	0.00	0.00	0.00	0.10	0.43	1.08	2.02	3.31
B	0.07	0.15	0.15	0.24	0.55	1.01	1.01	1.32	1.71	1.98
CCC	1.75	4.05	6.46	8.76	10.86	12.66	14.36	15.34	15.85	16.06
CC	16.13	16.13	16.13	16.13	16.13	16.13	16.13	16.13	16.13	16.13
IG	0.00	0.00	0.00	0.00	0.00	0.00	0.02	0.05	0.09	0.14
SG	0.44	0.92	1.42	1.94	2.50	3.09	3.67	4.33	5.05	5.93
Overall	0.12	0.26	0.40	0.54	0.70	0.87	1.05	1.25	1.47	1.73
IG--Investment-grade. SG--Speculative-grade. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 26

European CLO Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.33	99.67	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.49	99.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.55	99.45	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.58	99.42	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.20	98.80	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	87.67	7.64	4.23	0.40	0.06	0.00	0.00	0.00	0.00	0.00
AA	11.94	82.22	3.00	2.32	0.52	0.00	0.00	0.00	0.00	0.00
A	2.71	12.05	77.24	3.17	4.02	0.49	0.32	0.00	0.00	0.00
BBB	0.28	1.99	9.00	78.81	4.34	3.20	2.35	0.04	0.00	0.00
BB	0.12	0.31	1.20	9.36	79.07	4.53	5.38	0.04	0.00	0.00
B	0.00	0.00	0.14	1.52	11.37	80.25	6.65	0.00	0.00	0.07
CCC	0.00	0.00	0.00	0.44	3.29	18.62	73.93	1.97	0.00	1.75
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.87	0.00	16.13
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	74.43	16.72	8.02	0.64	0.18	0.00	0.00	0.00	0.00	0.00
AA	23.65	64.66	6.51	4.28	0.86	0.00	0.03	0.00	0.00	0.00
A	7.44	20.28	56.06	6.72	8.01	0.87	0.49	0.11	0.00	0.00
BBB	1.14	5.10	14.87	58.69	8.52	6.81	4.72	0.15	0.00	0.00
BB	0.33	0.95	3.03	16.99	59.80	8.12	10.65	0.12	0.00	0.00
B	0.00	0.08	0.31	3.68	19.89	64.37	11.51	0.00	0.00	0.16
CCC	0.00	0.00	0.11	0.88	6.79	29.24	56.63	2.30	0.00	4.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.33	0.00	16.67
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	62.93	26.73	9.36	0.65	0.32	0.00	0.00	0.00	0.00	0.00
AA	32.56	51.15	10.56	4.74	0.92	0.03	0.03	0.00	0.00	0.00
A	14.48	20.66	41.52	11.75	9.79	1.04	0.52	0.24	0.00	0.00
BBB	3.03	8.94	15.28	43.70	12.89	9.38	6.50	0.28	0.00	0.00
BB	0.61	2.18	5.41	18.89	46.86	11.61	14.22	0.22	0.00	0.00
B	0.00	0.26	1.03	6.90	21.29	58.02	12.41	0.00	0.00	0.09
CCC	0.00	0.00	0.22	1.86	9.53	27.82	51.48	2.63	0.00	6.46
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.76	0.00	17.24
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	57.67	33.18	8.41	0.41	0.34	0.00	0.00	0.00	0.00	0.00
AA	40.08	42.04	13.03	4.02	0.76	0.07	0.00	0.00	0.00	0.00
A	20.94	19.39	33.17	15.54	9.25	1.01	0.34	0.38	0.00	0.00
BBB	6.39	11.41	13.98	33.98	15.98	10.54	7.34	0.37	0.00	0.00
BB	1.14	3.73	7.92	19.34	37.51	13.52	16.57	0.27	0.00	0.00
B	0.09	0.94	1.59	9.17	22.45	53.41	12.07	0.19	0.00	0.09
CCC	0.00	0.00	0.33	3.18	11.18	28.07	45.83	2.74	0.00	8.66
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.14	0.00	17.86
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	56.85	36.46	6.15	0.25	0.29	0.00	0.00	0.00	0.00	0.00
AA	46.71	36.33	13.55	2.71	0.63	0.07	0.00	0.00	0.00	0.00
A	27.50	16.94	28.95	17.33	7.44	1.10	0.22	0.53	0.00	0.00
BBB	10.07	12.51	12.07	28.51	16.91	11.25	8.20	0.48	0.00	0.00
BB	2.41	6.06	9.81	17.89	30.25	15.25	17.99	0.34	0.00	0.00
B	0.31	1.88	2.71	11.56	24.69	46.35	11.46	0.63	0.00	0.42
CCC	0.00	0.11	0.33	5.65	12.97	28.16	39.80	2.66	0.00	10.31
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	84.62	0.00	15.38
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	76.25	21.11	2.11	0.32	0.21	0.00	0.00	0.00	0.00	0.00
AA	67.91	25.04	5.36	1.13	0.42	0.14	0.00	0.00	0.00	0.00
A	37.89	25.95	21.58	6.87	4.30	1.80	0.14	1.46	0.00	0.00
BBB	14.14	8.88	13.16	28.79	10.31	12.13	10.83	1.10	0.00	0.65
BB	6.42	6.95	7.70	14.65	21.98	20.17	16.47	1.89	0.00	3.78
B	1.61	5.38	8.87	16.40	24.19	26.08	13.44	1.08	0.00	2.96
CCC	0.45	0.89	1.11	9.80	17.15	29.84	28.06	3.34	0.00	9.35
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 27

European CLO Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	57.65	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.35
AA	0.33	64.21	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	35.45
A	0.00	0.49	62.93	0.00	0.00	0.00	0.00	0.00	0.00	0.00	36.59
BBB	0.00	0.00	0.00	62.30	0.00	0.00	0.00	0.00	0.00	0.00	37.70
BB	0.00	0.00	0.00	0.58	66.86	0.00	0.00	0.00	0.00	0.00	32.56
B	0.00	0.00	0.00	0.00	1.20	73.49	0.00	0.00	0.00	0.00	25.30
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	67.08	7.50	4.20	0.40	0.06	0.00	0.00	0.00	0.00	0.00	20.76
AA	9.94	69.95	2.98	2.32	0.52	0.00	0.00	0.00	0.00	0.00	14.29
A	2.04	11.56	67.23	3.14	4.02	0.49	0.32	0.00	0.00	0.00	11.21
BBB	0.07	1.81	8.39	68.74	4.30	3.20	2.31	0.00	0.00	0.00	11.17
BB	0.00	0.15	1.20	8.82	69.75	4.37	5.38	0.00	0.00	0.00	10.33
B	0.00	0.00	0.14	1.25	11.02	66.81	6.44	0.00	0.00	0.07	14.28
CCC	0.00	0.00	0.00	0.33	3.18	17.96	66.05	1.53	0.00	1.75	9.20
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	58.06	0.00	16.13	25.81
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	42.41	16.20	7.87	0.55	0.18	0.00	0.00	0.00	0.00	0.00	32.79
AA	13.68	45.54	6.45	4.25	0.80	0.00	0.03	0.00	0.00	0.00	29.24
A	4.71	17.55	40.45	6.57	8.01	0.84	0.49	0.11	0.00	0.00	21.27
BBB	0.42	3.65	12.55	43.02	8.33	6.73	4.49	0.08	0.00	0.00	20.73
BB	0.04	0.50	2.53	14.30	44.55	7.25	10.57	0.04	0.00	0.00	20.22
B	0.00	0.08	0.31	2.82	17.93	41.66	10.81	0.00	0.00	0.16	26.23
CCC	0.00	0.00	0.11	0.55	5.91	25.74	41.95	1.42	0.00	4.05	20.26
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.33	0.00	16.67	40.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	25.31	25.50	9.04	0.49	0.32	0.00	0.00	0.00	0.00	0.00	39.34
AA	12.14	27.06	10.31	4.65	0.79	0.03	0.03	0.00	0.00	0.00	44.99
A	6.78	14.96	22.22	11.43	9.47	0.96	0.52	0.16	0.00	0.00	33.49
BBB	1.08	5.67	10.65	24.30	12.57	9.06	5.79	0.16	0.00	0.00	30.73
BB	0.17	1.18	4.01	12.91	27.18	9.99	13.87	0.09	0.00	0.00	30.58
B	0.00	0.26	0.78	4.74	15.69	27.41	10.17	0.00	0.00	0.09	40.86
CCC	0.00	0.00	0.22	1.10	7.89	19.93	32.42	1.53	0.00	6.46	30.45
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	27.59	0.00	17.24	55.17
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	16.69	30.94	7.77	0.20	0.27	0.00	0.00	0.00	0.00	0.00	44.13
AA	10.17	15.29	12.60	3.86	0.56	0.03	0.00	0.00	0.00	0.00	57.49
A	6.62	10.68	12.44	15.12	8.63	0.88	0.29	0.21	0.00	0.00	45.14
BBB	1.74	5.85	7.10	12.57	15.56	9.92	5.98	0.25	0.00	0.00	41.04
BB	0.36	1.82	4.82	9.92	15.52	11.42	15.98	0.14	0.00	0.00	40.01
B	0.00	0.56	0.75	5.05	11.97	16.56	8.14	0.19	0.00	0.09	56.69
CCC	0.00	0.00	0.33	1.54	8.00	14.69	22.59	1.43	0.00	8.66	42.76
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.71	0.00	17.86	71.43
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	15.12	32.66	5.21	0.04	0.14	0.00	0.00	0.00	0.00	0.00	46.84
AA	7.46	10.21	12.78	2.43	0.42	0.00	0.00	0.00	0.00	0.00	66.70
A	6.25	5.32	9.72	16.54	6.47	0.88	0.13	0.26	0.00	0.00	54.42
BBB	2.40	4.49	3.31	8.28	16.26	10.11	6.23	0.35	0.00	0.00	48.56
BB	0.48	3.03	4.47	5.29	8.95	12.65	16.74	0.19	0.00	0.00	48.20
B	0.10	0.52	1.15	4.90	8.75	7.29	5.31	0.42	0.00	0.42	71.15
CCC	0.00	0.11	0.22	2.22	7.65	9.65	13.64	0.89	0.00	10.31	55.32
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.69	0.00	15.38	76.92
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	3.75	1.42	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	94.83
AA	4.23	1.76	0.49	0.14	0.00	0.00	0.00	0.00	0.00	0.00	93.37
A	1.60	2.85	2.36	1.46	0.62	0.56	0.00	0.14	0.00	0.00	90.42
BBB	0.06	0.39	1.36	2.92	2.53	2.46	2.98	0.26	0.00	0.65	86.38
BB	0.00	0.00	0.00	0.76	2.57	3.32	5.36	0.83	0.00	3.78	83.38
B	0.00	0.00	0.00	0.00	0.54	0.27	1.34	0.00	0.00	2.96	94.89
CCC	0.00	0.00	0.00	0.00	0.00	0.22	0.00	0.67	0.00	9.35	89.76
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 28

European CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	83.55	10.24	5.64	0.50	0.08	0.00	0.00	0.00	0.00	0.00
AA	16.29	75.75	4.05	3.19	0.71	0.00	0.00	0.00	0.00	0.00
A	3.62	15.74	69.99	4.23	5.35	0.66	0.42	0.00	0.00	0.00
BBB	0.37	2.58	11.33	72.87	5.62	4.15	3.04	0.05	0.00	0.00
BB	0.15	0.41	1.57	12.18	72.89	5.69	7.06	0.05	0.00	0.00
B	0.00	0.00	0.22	2.46	18.14	68.31	10.75	0.00	0.00	0.11
CCC	0.00	0.00	0.00	0.44	3.29	18.62	73.93	1.97	0.00	1.75
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.87	0.00	16.13
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	68.17	20.90	9.93	0.77	0.23	0.00	0.00	0.00	0.00	0.00
AA	29.65	55.67	8.15	5.41	1.09	0.00	0.04	0.00	0.00	0.00
A	9.21	24.52	46.22	8.31	9.91	1.08	0.61	0.14	0.00	0.00
BBB	1.38	6.17	17.46	50.53	10.32	8.25	5.71	0.18	0.00	0.00
BB	0.41	1.17	3.71	20.66	51.17	9.70	13.05	0.15	0.00	0.00
B	0.00	0.11	0.45	5.26	28.33	49.16	16.46	0.00	0.00	0.22
CCC	0.00	0.00	0.11	0.88	6.79	29.24	56.63	2.30	0.00	4.05
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.33	0.00	16.67
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	56.31	31.61	10.97	0.73	0.38	0.00	0.00	0.00	0.00	0.00
AA	38.53	42.21	12.47	5.63	1.09	0.04	0.04	0.00	0.00	0.00
A	16.91	23.63	32.13	13.76	11.46	1.22	0.61	0.28	0.00	0.00
BBB	3.50	10.28	17.05	35.62	14.88	10.83	7.51	0.32	0.00	0.00
BB	0.71	2.54	6.29	21.78	38.48	13.40	16.55	0.25	0.00	0.00
B	0.00	0.34	1.35	8.97	27.58	45.52	16.14	0.00	0.00	0.11
CCC	0.00	0.00	0.22	1.86	9.53	27.82	51.48	2.63	0.00	6.46
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.76	0.00	17.24
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	52.19	37.58	9.42	0.42	0.38	0.00	0.00	0.00	0.00	0.00
AA	45.23	34.64	14.65	4.55	0.86	0.08	0.00	0.00	0.00	0.00
A	23.46	21.34	25.43	17.44	10.39	1.13	0.38	0.42	0.00	0.00
BBB	7.10	12.63	15.08	27.16	17.75	11.71	8.16	0.41	0.00	0.00
BB	1.27	4.17	8.85	21.40	30.50	15.00	18.51	0.31	0.00	0.00
B	0.11	1.12	1.91	11.00	26.82	44.22	14.48	0.22	0.00	0.11
CCC	0.00	0.00	0.33	3.18	11.18	28.07	45.83	2.74	0.00	8.66
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.14	0.00	17.86
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	53.30	39.58	6.56	0.24	0.31	0.00	0.00	0.00	0.00	0.00
AA	50.36	31.42	14.54	2.92	0.68	0.08	0.00	0.00	0.00	0.00
A	29.65	17.93	23.72	18.69	8.02	1.19	0.24	0.57	0.00	0.00
BBB	10.77	13.39	12.55	23.88	18.10	12.03	8.77	0.51	0.00	0.00
BB	2.58	6.50	10.52	18.98	25.53	16.25	19.29	0.36	0.00	0.00
B	0.35	2.07	3.00	12.79	27.19	40.78	12.67	0.69	0.00	0.46
CCC	0.00	0.11	0.33	5.65	12.97	28.16	39.80	2.66	0.00	10.31
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	84.62	0.00	15.38
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	76.41	21.16	1.96	0.27	0.21	0.00	0.00	0.00	0.00	0.00
AA	67.96	25.05	5.29	1.13	0.42	0.14	0.00	0.00	0.00	0.00
A	38.02	26.04	21.31	6.89	4.32	1.81	0.14	1.46	0.00	0.00
BBB	14.15	8.89	13.17	28.75	10.32	12.13	10.84	1.10	0.00	0.65
BB	6.42	6.95	7.70	14.65	21.98	20.17	16.47	1.89	0.00	3.78
B	1.61	5.38	8.87	16.40	24.19	26.08	13.44	1.08	0.00	2.96
CCC	0.45	0.89	1.11	9.80	17.15	29.84	28.06	3.34	0.00	9.35
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 29

European CLO 1.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
AA	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BBB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	65.45	10.05	5.60	0.50	0.08	0.00	0.00	0.00	0.00	0.00	18.33
AA	13.55	67.57	4.02	3.19	0.71	0.00	0.00	0.00	0.00	0.00	10.96
A	2.72	15.08	64.26	4.18	5.35	0.66	0.42	0.00	0.00	0.00	7.33
BBB	0.09	2.35	10.59	66.42	5.57	4.15	2.99	0.00	0.00	0.00	7.83
BB	0.00	0.20	1.57	11.47	66.90	5.48	7.06	0.00	0.00	0.00	7.31
B	0.00	0.00	0.22	2.02	17.58	56.55	10.41	0.00	0.00	0.11	13.10
CCC	0.00	0.00	0.00	0.33	3.18	17.96	66.05	1.53	0.00	1.75	9.20
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	58.06	0.00	16.13	25.81
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	40.80	20.28	9.78	0.69	0.23	0.00	0.00	0.00	0.00	0.00	28.22
AA	17.12	42.15	8.07	5.37	1.01	0.00	0.04	0.00	0.00	0.00	26.24
A	5.82	21.37	36.50	8.13	9.91	1.03	0.61	0.14	0.00	0.00	16.49
BBB	0.51	4.42	14.92	39.84	10.09	8.15	5.44	0.09	0.00	0.00	16.54
BB	0.05	0.61	3.10	17.41	40.56	8.63	12.94	0.05	0.00	0.00	16.65
B	0.00	0.11	0.45	4.03	25.53	29.68	15.45	0.00	0.00	0.22	24.52
CCC	0.00	0.00	0.11	0.55	5.91	25.74	41.95	1.42	0.00	4.05	20.26
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.33	0.00	16.67	40.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	24.82	30.19	10.66	0.58	0.38	0.00	0.00	0.00	0.00	0.00	33.37
AA	14.34	24.97	12.24	5.52	0.94	0.04	0.04	0.00	0.00	0.00	41.91
A	7.89	17.38	19.82	13.39	11.09	1.13	0.61	0.19	0.00	0.00	28.51
BBB	1.24	6.50	12.17	22.35	14.52	10.46	6.68	0.18	0.00	0.00	25.90
BB	0.20	1.37	4.67	14.92	24.77	11.52	16.14	0.10	0.00	0.00	26.29
B	0.00	0.34	1.01	6.17	20.29	20.18	13.23	0.00	0.00	0.11	38.68
CCC	0.00	0.00	0.22	1.10	7.89	19.93	32.42	1.53	0.00	6.46	30.45
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	27.59	0.00	17.24	55.17
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	17.62	35.08	8.81	0.23	0.31	0.00	0.00	0.00	0.00	0.00	37.96
AA	11.46	15.10	14.24	4.36	0.64	0.04	0.00	0.00	0.00	0.00	54.17
A	7.38	11.99	12.08	16.97	9.69	0.99	0.33	0.24	0.00	0.00	40.34
BBB	1.94	6.45	7.88	12.22	17.29	11.02	6.64	0.28	0.00	0.00	36.28
BB	0.41	2.03	5.39	11.03	15.00	12.66	17.84	0.15	0.00	0.00	35.49
B	0.00	0.67	0.90	6.06	14.25	13.80	9.76	0.22	0.00	0.11	54.21
CCC	0.00	0.00	0.33	1.54	8.00	14.69	22.59	1.43	0.00	8.66	42.76
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	10.71	0.00	17.86	71.43
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	16.27	35.50	5.66	0.04	0.16	0.00	0.00	0.00	0.00	0.00	42.37
AA	8.05	10.85	13.78	2.62	0.46	0.00	0.00	0.00	0.00	0.00	64.25
A	6.74	5.74	10.29	17.84	6.97	0.95	0.14	0.28	0.00	0.00	51.04
BBB	2.57	4.80	3.54	8.68	17.40	10.82	6.67	0.37	0.00	0.00	45.15
BB	0.52	3.25	4.80	5.62	9.39	13.46	17.95	0.21	0.00	0.00	44.82
B	0.12	0.58	1.27	5.41	9.56	7.14	5.88	0.46	0.00	0.46	69.12
CCC	0.00	0.11	0.22	2.22	7.65	9.65	13.64	0.89	0.00	10.31	55.32
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.69	0.00	15.38	76.92
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	3.76	1.43	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	94.80
AA	4.23	1.76	0.49	0.14	0.00	0.00	0.00	0.00	0.00	0.00	93.37
A	1.60	2.86	2.37	1.46	0.63	0.56	0.00	0.14	0.00	0.00	90.39
BBB	0.06	0.39	1.36	2.92	2.53	2.47	2.99	0.26	0.00	0.65	86.37
BB	0.00	0.00	0.00	0.76	2.57	3.32	5.36	0.83	0.00	3.78	83.38
B	0.00	0.00	0.00	0.00	0.54	0.27	1.34	0.00	0.00	2.96	94.89
CCC	0.00	0.00	0.00	0.00	0.00	0.22	0.00	0.67	0.00	9.35	89.76
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 30

European CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Adjusted
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2021
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.33	99.67	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.49	99.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.55	99.45	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.58	99.42	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.20	98.80	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	99.45	0.22	0.22	0.11	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.30	99.50	0.20	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.99	99.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	1.09	98.91	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.33	98.86	0.81	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.36	99.64	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	99.24	0.15	0.46	0.15	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.72	99.00	0.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	2.38	97.62	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	2.62	97.38	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.68	98.19	1.13	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.26	99.74	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	98.96	0.21	0.63	0.21	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.80	98.80	0.40	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.27	3.30	96.43	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.30	3.87	95.83	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	1.24	98.14	0.62	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.37	99.63	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	98.56	0.29	0.86	0.29	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.58	98.85	0.58	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.38	3.45	96.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.41	4.15	95.44	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	1.74	97.39	0.87	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.56	99.44	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	97.74	0.45	1.36	0.45	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	99.03	0.97	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	4.24	95.76	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	5.33	94.67	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	2.86	95.71	1.43	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.09	98.91	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	44.44	11.11	33.33	11.11	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00	0.00	0.00
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities with ratings that migrated to NR over the period are classified based on the rating prior to NR. N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 31

European CLO 2.0 Rating Transitions, 2021 And Multiyear Averages, NR Included
(%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2021
AAA	57.65	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.35
AA	0.33	64.21	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	35.45
A	0.00	0.49	62.93	0.00	0.00	0.00	0.00	0.00	0.00	0.00	36.59
BBB	0.00	0.00	0.00	62.30	0.00	0.00	0.00	0.00	0.00	0.00	37.70
BB	0.00	0.00	0.00	0.58	66.86	0.00	0.00	0.00	0.00	0.00	32.56
B	0.00	0.00	0.00	0.00	1.20	73.49	0.00	0.00	0.00	0.00	25.30
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	71.74	0.22	0.22	0.11	0.00	0.00	0.00	0.00	0.00	0.00	27.71
AA	0.30	76.33	0.20	0.00	0.00	0.00	0.00	0.00	0.00	0.00	23.17
A	0.00	0.99	76.16	0.00	0.00	0.00	0.00	0.00	0.00	0.00	22.85
BBB	0.00	0.00	0.94	76.60	0.00	0.00	0.00	0.00	0.00	0.00	22.46
BB	0.00	0.00	0.00	0.33	78.86	0.81	0.00	0.00	0.00	0.00	20.00
B	0.00	0.00	0.00	0.00	0.36	83.45	0.00	0.00	0.00	0.00	16.18
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	48.78	0.00	0.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.91
AA	0.57	58.45	0.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00	40.69
A	0.00	1.39	57.14	0.00	0.00	0.00	0.00	0.00	0.00	0.00	41.47
BBB	0.00	0.00	1.31	58.08	0.00	0.00	0.00	0.00	0.00	0.00	40.61
BB	0.00	0.00	0.00	0.45	62.30	1.13	0.00	0.00	0.00	0.00	36.12
B	0.00	0.00	0.00	0.00	0.26	69.53	0.00	0.00	0.00	0.00	30.21
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	27.97	0.00	0.21	0.00	0.00	0.00	0.00	0.00	0.00	0.00	71.82
AA	0.40	38.20	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	61.40
A	0.27	0.82	36.26	0.00	0.00	0.00	0.00	0.00	0.00	0.00	62.64
BBB	0.00	0.30	0.89	36.90	0.00	0.00	0.00	0.00	0.00	0.00	61.90
BB	0.00	0.00	0.00	0.62	41.93	0.62	0.00	0.00	0.00	0.00	56.83
B	0.00	0.00	0.00	0.00	0.37	51.49	0.00	0.00	0.00	0.00	48.13
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	9.77	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	90.23
AA	0.29	16.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.00
A	0.38	0.00	15.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00	84.29
BBB	0.00	0.41	0.00	15.77	0.00	0.00	0.00	0.00	0.00	0.00	83.82
BB	0.00	0.00	0.00	0.43	20.00	0.87	0.00	0.00	0.00	0.00	78.70
B	0.00	0.00	0.00	0.00	0.56	30.34	0.00	0.00	0.00	0.00	69.10
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	1.81	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	98.19
AA	0.00	1.94	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	98.06
A	0.00	0.00	2.42	0.00	0.00	0.00	0.00	0.00	0.00	0.00	97.58
BBB	0.00	0.00	0.00	2.67	0.00	0.00	0.00	0.00	0.00	0.00	97.33
BB	0.00	0.00	0.00	0.71	2.86	1.43	0.00	0.00	0.00	0.00	95.00
B	0.00	0.00	0.00	0.00	1.09	8.70	0.00	0.00	0.00	0.00	90.22
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
10-year weighted average
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
A	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BBB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BB	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
B	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
N/A--Not applicable. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Related Criteria

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

Related Research

• 2021 Annual Global Structured Finance Default And Rating Transition Study, May 25, 2022
• 2021 Annual Global Corporate Default And Rating Transition Study, April 13, 2022

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