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

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

The Default Rate Dips

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

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

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

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

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

CLO Ratings Showed A High Degree Of Stability In 2022

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

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

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

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

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

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

Table 1

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

Turning The Page To CLO 2.0s

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

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

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

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

Table 2

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

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

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

The Number Of CLOs Continues To Grow

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

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

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

Differences Between The Performance Of CLO Ratings And Corporate Ratings

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

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

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

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

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

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

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

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

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

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

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

Rated CLOs Have Had Relatively Few Defaults Over Time

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

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

Table 3

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

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

Table 4

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

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

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

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

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

Table 5

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

Regions In Detail

U.S. CLOs

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

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

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

Table 6

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

Table 7

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

European CLOs

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

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

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

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

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

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

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

Table 8

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

Table 9

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

Appendix I: Terminology, Data Selection, And Calculation Approaches

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

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

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

Issues included in this study

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

Region definitions

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

Vintage definition

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

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

Rating transitions

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

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

Rating modifiers

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

Rating discontinuance or withdrawal

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

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

Treatment of 'AAA' ratings

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

Treatment of 'D' ratings

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

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

Average change in credit quality calculation

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

Weighted average transition and default rate calculation

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

Average cumulative default rate calculation

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

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

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

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

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

Appendix II: List Of Global CLO Defaults And Near Defaults

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

Table 10

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

Table 11

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

Appendix III: Detailed Default And Transition Statistics

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

Global CLOs

Table 12

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

Table 13

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

Table 14

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

Table 15

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

Table 16

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

Table 17

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

U.S. CLOs

Table 18

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

Table 19

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

Table 20

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

Table 21

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

Table 22

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

Table 23

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

Table 24

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

European CLOs

Table 25

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

Table 26

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

Table 27

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

Table 28

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

Table 29

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

Table 30

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

Table 31

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

Related Criteria

• S&P Global Ratings Definitions, Nov. 10, 2021
• Criteria | Structured Finance | CDOs: Global Methodology And Assumptions For CLOs And Corporate CDOs, June 21, 2019

Related Research

• Default, Transition, and Recovery: 2022 Annual Global Corporate Default And Rating Transition Study, April 25, 2023
• Default, Transition, and Recovery: 2022 Annual Global Structured Finance Default And Rating Transition Study, April 20, 2023

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