Defaults among collateralized loan obligations (CLOs) rated by S&P Global Ratings rose to eight tranches in 2023 (from six in 2023). (For more on how we define CLOs for the purposes of this study, see Appendix I). Half of the 2023 defaults were rated in the 'CC' category at the start of 2023, while the other half were rated in the 'CCC' category. All eight defaults were of U.S. CLO 2.0s that were issued in 2012-2014.

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 2023 (and more than two years before their defaults) (see chart 1). Furthermore, none of the defaulters were originally rated higher than 'BB'.

But even as higher interest rates and an uncertain trajectory for economic growth continued to test borrowers in 2023, CLO credit showed signs of resilience, with CLO upgrades continuing to outnumber downgrades.

The Default Rate Ticks Up

The overall global CLO default rate rose to 0.09% in 2023 from 0.05% in 2022. But even with this increase, the default rate remained low overall, holding below 0.10% for the fifth consecutive year.

By contrast, the default rate for speculative-grade ('BB+' or lower) corporates ticked up more sharply, to 3.67% in 2023 from 1.93% in 2022 (see chart 2). As in previous years, a period with rising corporate defaults tends to coincide with a more modest uptick in CLO defaults.

There are a couple of reasons why CLOs showed a less pronounced increase in defaults.

Firstly, CLOs were somewhat insulated from corporate defaults in 2023, based on the population of issuers they hold. More than 75% of the corporate entities that defaulted in 2023 had ratings of 'CCC+' or lower at the beginning of the year, and CLO managers tend to limit their credit exposures to issuers rated that low. Corporate defaults of 'B' category issuers (which are more widely held by CLOs) rose only slightly (to 1.24% from 1.1%).

Secondly, an increase in CLO defaults tends to lag an increase in defaults of corporate issuers. CLO structures allow the manager to defer interest, which capitalizes on the junior tranches. While this can act as a shock absorber during times of collateral stress and restore credit enhancement to senior CLO notes, it adds to the balance of junior notes due in the amortization period.

The CLO tranche defaults in 2023 were all from junior tranches of U.S. CLOs originated in 2012-2014. Five of these had initial ratings in the 'BB' category, and three in the 'B' category.

Each of the eight CLO tranches had shown credit deterioration in prior years, and the ratings of each had been downgraded to 'CCC+' or lower years prior to their default (before the beginning of 2021). (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).

We do not rate the equity tranche in CLO transactions, so these default statistics don't capture those defaults. That said, there have not been any defaults of investment-grade ('BBB-' or higher) CLOs since 2010 (see chart 1), and no U.S. or European leveraged loan CLO tranche originally rated 'AAA' has ever defaulted.

CLO Ratings Showed Notable Stability In 2023

• CLO ratings were largely stable in 2023: Of the 8,449 CLO ratings outstanding globally at the start of 2023, 97.2% were unchanged during the year, above the long-term average stability rate of 83.7%.
• The CLO upgrade rate rose to 2.2% in 2023 from 1.6% in 2022. Most of the CLO tranches that we upgraded this year were from the 2017 and 2018 vintages and are, for the most part, well into their amortization periods.
• Although upgrades exceeded downgrades, the downgrade rate for CLOs (excluding defaults) rose to 0.47% in 2023 from its low level of 0.08% in 2022.
• CLO upgrades have now outnumbered downgrades for 12 of the past 13 years.
• The average change in credit quality (ACCQ) over 12 months remained modestly positive in 2023, ending the year up +0.03 notches, equal to the ACCQ from 2022 (see chart 4). (For more information on ACCQ, see Appendix I.)

The number of CLO tranches that either defaulted or were downgraded in 2023 totaled 48, up from 10 in 2022. Just one of the CLO downgrades from 2023 had an investment-grade rating (see chart 5). Note that these downgrade rates include tranches downgraded within a rating category.

There were no downgrades of CLO tranches rated in the 'A' category or higher during the year. This was also the ninth consecutive year with no downgrades of 'AAA' rated CLO tranches.

The 'AA' category had the highest upgrade rate of any rating category (4.1%), followed by the 'A' category (3.7%). Historically, CLO upgrades have primarily been driven by senior note amortization. The pace of CLO upgrades in recent years has been below the historical average, partially reflecting a wave of CLO reset activity in 2020 and 2021, which kept transactions from reaching their amortization periods.

The elevated level of downgrades in 2010 reflected credit stress in the aftermath of the 2008-2009 financial crisis and a rating methodology change that resulted in lower CLO ratings across nearly all transactions. Absent the methodology change, the downgrade rate would have been considerably lower.

In 2023, we only downgraded U.S. CLO tranches . The U.S. downgrade rate (including defaults) rose to 0.77% in 2023 from 0.17% in 2022. We didn't downgrade any European CLOs, for the third year running.

Table 1

Global CLO transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	8,449	97.2	2.2	0.6	0.09	8	83.7	10.4	5.9	0.08
Region
U.S.	6,230	97.7	1.5	0.77	0.13	8	84.8	9.9	5.4	0.08
Europe	2,219	95.8	4.2	0.0	0.00	0	80.1	12.1	7.8	0.10
Generation
1.0	0	N/A	N/A	N/A	N/A	N/A	72.3	17.5	10.2	0.1
2.0	8,449	97.2	2.2	0.568	0.095	8	95.6	2.9	1.4	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	0	N/A	N/A	N/A	N/A	N/A	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	2	0.0	0.0	100.0	50.0	1	91.9	7.6	0.5	0.0
2013	3	66.7	0.0	33.3	33.3	1	94.0	5.3	0.7	0.1
2014	17	29.4	17.6	52.9	35.3	6	93.4	3.0	3.6	0.4
2015	20	40.0	55.0	5.0	0.0	0	93.8	4.2	2.0	0.0
2016	8	87.5	12.5	0.0	0.0	0	97.6	1.4	1.0	0.0
2017	490	84.3	14.5	1.2	0.0	0	92.5	5.1	2.4	0.0
2018	1,307	93.5	4.6	1.9	0.0	0	94.3	2.9	2.8	0.0
2019	533	99.1	0.6	0.4	0.0	0	97.9	0.6	1.5	0.0
2020	777	99.0	1.0	0.0	0.0	0	99.5	0.5	0.0	0.0
2021	4,086	99.2	0.8	0.0	0.0	0	99.5	0.5	0.0	0.0
2022	1,206	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating category
AAA	2,026	100.0	0.0	0.0	0.0	0	93.8	0.0	6.2	0.0
AA	1,847	95.9	4.1	0.0	0.0	0	80.5	16.0	3.5	0.0
A	1,451	96.3	3.7	0.0	0.0	0	81.2	13.5	5.3	0.0
BBB	1,398	97.8	2.1	0.1	0.0	0	81.8	11.5	6.8	0.01
BB	1,109	97.3	1.8	0.9	0.0	0	81.4	10.1	8.5	0.02
B	585	94.4	1.5	4.1	0.0	0	79.8	13.5	6.7	0.06
CCC	28	67.9	0.0	32.1	14.3	4	59.4	34.0	6.5	1.56
CC	5	20.0	0.0	80.0	80.0	4	63.9	4.2	31.9	31.93
Rating grade
Investment-grade	6,722	97.6	2.4	0.0	0.0	0	85.1	9.5	5.4	0.00
Speculative-grade	1,727	95.6	1.7	2.7	0.5	8	78.4	13.6	8.0	0.39
*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®.

Focus On CLO 2.0 Performance

There are some structural differences between CLO 1.0 and CLO 2.0. (For more detail on how we define CLO 1.0 and CLO 2.0, see Appendix I).

CLO 2.0 transactions have:

• greater credit enhancement at the senior tranche levels,
• portfolios more narrowly focused on senior corporate debt,
• a shorter reinvestment period, and
• In Europe, a risk retention rule for the collateral manager ("skin in the game").

There were no rated CLO 1.0 tranches outstanding at the beginning of 2023. Historically, we've rated 5,797 tranches of CLO 1.0 transactions globally. Of these, 62 subsequently defaulted, for a default rate of 1.07% over the entire rating histories of CLO 1.0s.

We've rated more than three times as many CLO 2.0s as we did CLO 1.0s. For CLO 2.0s, we rated 18,022 tranches from 2010 through the end of 2023. The first defaults of rated CLO 2.0 tranches occurred in 2021 (with five), followed by six more in 2022, and eight in 2023. With these defaults, the lifetime default rate for CLO 2.0s currently stands at 0.11%--considerably lower than that of CLO 1.0s.

Table 2

CLO default summary by original rating (year-end 2023)
	--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	4,635	0	2,223
AA	843	1	0	3,980	0	2,118
A	1,039	5	0	3,142	0	1,677
BBB	1,079	13	0	2,888	0	1,644
BB	776	39	0	2,416	8	1,404
B	39	4	0	850	11	535
Total	5,797	62	0	17,911	19	9,601
U.S.
AAA	1,540	0	0	3,817	0	1,741
AA	616	1	0	3,097	0	1,491
A	790	5	0	2,568	0	1,281
BBB	783	9	0	2,343	0	1,266
BB	565	22	0	1,909	8	1,036
B	28	3	0	396	11	182
Total	4,322	40	0	14,130	19	6,997
Europe
AAA	481	0	0	818	0	482
AA	227	0	0	883	0	627
A	249	0	0	574	0	396
BBB	296	4	0	545	0	378
BB	211	17	0	507	0	368
B	11	1	0	454	0	353
Total	1,475	22	0	3,781	0	2,604
Data as of Dec. 31, 2023. 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 more information on how we classify a security's vintage for the purposes of this study, see Appendix I). The fundamental credit characteristics and economic environment of a CLO's vintage can influence its performance and subsequent credit behavior.

Downgrades in 2023 were spread across vintages from 2012 to 2019. Few tranches of vintages from before 2014 remained outstanding at the end of 2022: just two from 2012 and three from 2013. 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 9,601 at the end of 2023 from 8,449 at the end of 2022. About 79.6% of tranches at the start of 2023 were investment grade, and this share grew slightly to 79.7% by year-end (see chart 8).

Since the beginning of 2018, the number of rated CLOs has nearly tripled. As a result, the majority of outstanding CLOs are from recent vintages. Over 75% of the rated CLO tranches that are currently outstanding were issued in or after 2021.

While the number of CLOs surged with accommodative financing conditions in 2021, the pace of formation slowed sharply in 2022 as interest rates rose, financing conditions tightened, and leveraged loan issuance cratered. In 2023, new issuance of CLOs began to pick up, leveraged loan issuance rose from its lows, and the tally of rated CLOs rose.

Differences Between The Performance Of CLO Ratings And Corporate Ratings

Corporate credit performance may broadly affect CLOs. However, the effect of corporate rating actions on CLO ratings isn't 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 of 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.

Historically, 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 peaked in 2002, at 2.53%. But there were just 79 rated speculative-grade CLO tranches 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 3.5% for speculative-grade corporate entities (see chart 9).

The speculative-grade CLO default rate rose to a five-year high in 2023 of 0.46% (up from 0.25% in 2022) but remained low in absolute terms. The global speculative-grade corporate default rate also rose in the year, to 3.67% from 1.93%.

An increase in the speculative-grade corporate default rate (particularly an increase in defaults of issuers rated in the 'B' or 'BB' categories), can lead to an increase in the CLO default rate down the line. During the financial crisis, the annual global speculative-grade corporate default rate reached a high of 9.88% at the end of 2009, followed by the annual global speculative-grade default rate for CLO tranches hitting 0.63% in 2011 and 0.82% in 2014.

CLO defaults tend to lag corporate defaults in part because CLO structures have the ability to defer interest payments on junior tranches. While these deferrals act as temporary shock absorbers and 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.

CLOs have also exhibited lower default rates than corporate issuers over longer horizons. Since the beginning of 2008, the three-year trailing speculative-grade CLO default rate has ranged between 0% and 2.3%. By comparison, the three-year trailing speculative-grade corporate default rate has ranged between 3.4% and 14.7%. The highs for both came in 2011 and include the financial crisis (see chart 10).

The pool of global corporate entities that we rate is diversified by sector and, in the case of European CLOs, country-related risks. While the underlying collateral pool in any given CLO is also diversified, the mix of country, sector, and even individual obligor exposures across different CLOs' collateral pools can significantly 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 than that of corporate entities from year to year (see chart 11). However, it's important to note that some of the largest downgrade rates for CLOs followed criteria changes that affected a large portion of the rated population.

For example, in the wake of the financial crisis, the global downgrade rate reached 25% in 2009 for speculative-grade corporate issuers and near 40% for corporate issuers rated 'B-' (see chart 12). The downgrade rate for speculative-grade CLOs rose to an even higher level the following year, nearing 51%.

But deteriorating collateral performance wasn't the only driver of CLO downgrades in 2010. 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 tranches previously rated 'AA' and 'AAA'. Since 2010, the CLO downgrade rate has remained markedly lower, even as the 'B-' downgrade rate exceeded 25% in 2016 and 2020.

Despite the increase in default rates, credit showed broad resilience in 2023. Upgrade rates rose in 2023 for both CLOs and corporate issuers. The CLO upgrade rate climbed to 2.2% from 1.6% while the corporate upgrade rate climbed to 8.9% (from 8.2%).

Compared to corporates, CLO upgrades were more highly concentrated among the higher rating categories of 'AA' and 'A', while corporate upgrades were more common among speculative-grade issuers (see chart 13).

Rated CLOs Have Had Relatively Few Defaults Over Time

CLOs have a longer history than many realize, with the first CLO ratings dating back to the mid-1990s. In that time, CLOs globally have shown strong credit performance, with relatively few defaults.

Between 1996 and the beginning of 2023, we assigned over 23,000 ratings to CLO tranches. Close to 60% of these tranches have since been paid in full, and we've subsequently withdrawn our ratings on them. We lowered about 0.34% of these ratings 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 2023 are listed in table 11 of Appendix II.)

Table 3

Global CLO lifetime transition and default summary (1996-2023)
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	23,708	79.6	14.5	5.9	0.34	81	59.2
Region
U.S.	18,452	80.1	15.0	4.9	0.3	59	61.8
Europe	5,256	78.0	12.4	9.5	0.4	22	50.0
Generation
1.0	5,797	41.2	41.6	17.2	1.1	62	98.9
2.0	17,911	92.1	5.7	2.2	0.1	19	46.3
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	0.2	1	99.8
2013	1,105	78.1	20.5	1.4	0.4	4	99.5
2014	886	86.1	8.9	5.0	1.6	14	97.6
2015	586	89.1	7.8	3.1	0.0	0	98.5
2016	767	94.9	3.1	2.0	0.0	0	99.3
2017	1,690	81.1	12.7	6.3	0.0	0	73.5
2018	1,786	85.9	6.8	7.3	0.0	0	30.0
2019	1,580	95.8	0.8	3.5	0.0	0	67.5
2020	1,837	98.7	0.9	0.4	0.0	0	60.8
2021	4,136	99.1	0.9	0.0	0.0	0	3.2
2022	1,207	100.0	0.0	0.0	0.0	0	5.8
2023	1,505	100.0	0.0	0.0	0.0	0	0.0
Rating category
AAA	6,656	96.2	0.0	3.8	0.0	0	66.6
AA	4,823	76.4	22.1	1.5	0.0	1	56.1
A	4,181	71.5	26.1	2.4	0.1	5	59.8
BBB	3,967	70.7	20.8	8.5	0.3	13	58.2
BB	3,192	69.8	13.2	17.0	1.5	47	54.5
B	889	86.6	2.7	10.7	1.7	15	38.1
CCC	0					0
CC	0					0
Rating grade
Investment-grade	19,627	80.9	15.2	3.9	0.1	19	60.9
Speculative-grade	4,081	73.5	10.9	15.7	1.5	62	51.0
*Including defaults. Securities whose ratings migrated to 'NR' over the period are classified based on their rating prior to 'NR' when determining stable, upgrade, downgrade, and default rates. 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 (1997-2023)
(%)
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
2023	-	-	-	-	-	-	14.29	80.00
Weighted average	-	-	-	0.01	0.02	0.06	1.56	31.93
Median	-	-	-	-	-	-	0.46	35.42
Standard deviation	-	-	-	0.02	0.04	0.11	22.76	25.14
Minimum	-	-	-	-	-	-	-	-
Maximum	-	-	-	0.12	0.15	0.35	100.00	80.00
IG--Investment grade. SG--Speculative grade. 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 2023--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 31.9%. The default rate drops to 1.6% for the 'CCC' category and to zero for the 'A' category (see table 5).

These long-term relationships also broadly hold when we calculate transition rates 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.

In this case, the cumulative default rate for the 'AA' category is lifted by the default of the class B note of Landmark II CDO Ltd. We lowered the rating on this tranche, a nondeferrable note originally rated 'AA' in 2002, to 'D' in 2010 because the trustee escrowed the note's interest payments after filing an interpleader action with the U.S. courts. The class B note did not suffer economic loss, as it later paid off its principal and interest obligations in full, including interest on the deferred interest amounts.

Table 5

Global CLO cumulative default rates, conditional on survival (1997-2023) (%)
	--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	0.03	0.04	0.05	0.05	0.05
A	0.00	0.01	0.01	0.02	0.03	0.03	0.03	0.03	0.03	0.03
BBB	0.01	0.01	0.01	0.05	0.08	0.14	0.22	0.31	0.42	0.53
BB	0.02	0.09	0.16	0.26	0.43	0.64	0.94	1.32	1.76	2.32
B	0.06	0.25	0.59	1.08	1.71	2.36	2.82	3.33	3.73	3.94
CCC	1.56	3.36	5.37	7.25	8.74	9.75	10.77	11.41	11.81	11.86
CC	31.93	48.10	54.15	55.95	56.87	56.87	56.87	56.87	56.87	56.87
IG	0.00	0.00	0.01	0.02	0.03	0.04	0.06	0.08	0.11	0.13
SG	0.39	0.80	1.24	1.68	2.15	2.59	3.03	3.49	3.91	4.30
Overall	0.08	0.18	0.27	0.38	0.49	0.59	0.71	0.82	0.93	1.04
IG--Investment-grade. SG--Speculative-grade. 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.

Only U.S. CLO tranches defaulted or experienced downgrades in 2023. Each of the defaulting CLOs had experienced collateral deterioration over the course of their credit histories.

Between their formation in 2012-2014, and their defaults in 2023, these CLOs encountered multiple periods of elevated corporate loan defaults, downgrades, and distress, including oil and gas price volatility in 2016 and the COVID-19 pandemic that began in 2020. While weakening asset quality led some tranches to default, U.S. CLO ratings remain largely stable--less than 1% of U.S. CLOs either defaulted or experienced downgrades in 2023.

The upgrade rate for U.S. CLOs was nearly unchanged in 2023 (at 1.51%). With the considerable uptick in CLO issuance and resets since 2020, currently outstanding rated CLOs are largely concentrated in more recent vintages that are either still reinvesting or not far into their amortization period (when upgrades are more likely to occur).

Although upgrades continued to exceed defaults and downgrades, the overall ACCQ for U.S. CLOs was less positive, dipping to +0.01 notches in 2023 from +0.02 notches in 2022 (see chart 14).

There have historically been very few defaults among U.S. CLOs--59 tranches in total between the first CLO ratings in the mid-1990s through year-end 2023. The highest annual default rate for U.S. CLOs came in 2002 (at 0.44%). For context, the 2023 CLO tranche default rate of 0.13% is above the historical one-year average of 0.08% and compares to an annual default rate of 2.46% for nonfinancial corporate ratings in 2023 (including both investment- and speculative-grade).

Future defaults are possible, as two U.S. tranches remained at the lowest rating level, 'CC', at the end of the year (see table 11 in Appendix II).

Table 6

U.S. CLO transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	6,230	97.7	1.5	0.8	0.13	8	84.8	9.9	5.4	0.08
Generation
1.0	0	N/A	N/A	N/A	N/A	N/A	73.6	17.1	9.4	0.1
2.0	6,230	97.7	1.5	0.8	0.1	8	95.2	3.2	1.7	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	2	0.0	0.0	100.0	50.0	1	91.9	7.6	0.5	0.0
2013	3	66.7	0.0	33.3	33.3	1	93.5	5.7	0.8	0.1
2014	17	29.4	17.6	52.9	35.3	6	93.2	3.0	3.8	0.4
2015	9	33.3	55.6	11.1	0.0	0	94.0	3.8	2.2	0.0
2016	8	87.5	12.5	0.0	0.0	0	96.9	1.8	1.2	0.0
2017	301	89.4	8.6	2.0	0.0	0	91.5	5.2	3.3	0.0
2018	1,159	95.4	2.4	2.2	0.0	0	94.1	2.7	3.1	0.0
2019	335	98.5	0.9	0.6	0.0	0	97.7	0.7	1.6	0.0
2020	600	98.7	1.3	0.0	0.0	0	99.3	0.7	0.0	0.0
2021	2,968	99.3	0.7	0.1	0.0	0	99.5	0.5	0.0	0.0
2022	828	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating category
AAA	1,588	100.0	0.0	0.0	0.0	0	94.7	0.0	5.3	0.0
AA	1,310	97.1	2.9	0.0	0.0	0	80.8	16.2	3.0	0.0
A	1,117	97.4	2.6	0.0	0.0	0	82.7	12.5	4.8	0.0
BBB	1,089	98.9	1.0	0.1	0.0	0	82.9	10.9	6.2	0.0
BB	805	97.5	1.2	1.2	0.0	0	82.3	9.3	8.3	0.0
B	288	89.6	2.1	8.3	0.0	0.0	78.8	14.6	6.6	0.1
CCC	28	67.9	0.0	32.1	14.3	4.0	57.4	37.3	5.3	1.4
CC	5	20.0	0.0	80.0	80.0	4	56.3	5.7	37.9	37.9
Rating grade
Investment-grade	5,104	98.5	1.5	0.0	0.0	0	86.2	9.0	4.8	0.0
Speculative-grade	1126	94.4	1.4	4.2	0.7	8.0	79.0	13.2	7.8	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. 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 (1996-2023)
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	18,452	80.1	15.0	4.9	0.3	59	61.8
Generation
1.0	4,322	44.0	43.9	12.2	0.9	40	99.1
2.0	14,130	91.1	6.2	2.6	0.1	19	50.3
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	0.2	1	99.8
2013	988	76.3	22.1	1.6	0.4	4	99.5
2014	839	85.8	8.9	5.2	1.7	14	97.5
2015	481	88.8	7.5	3.7	0.0	0	99.2
2016	591	93.6	4.1	2.4	0.0	0	99.2
2017	1,267	80.7	11.3	8.0	0.0	0	79.2
2018	1,594	86.4	5.5	8.2	0.0	0	30.8
2019	1,265	95.9	0.9	3.2	0.0	0	75.0
2020	1,392	98.5	1.1	0.4	0.0	0	60.6
2021	3,010	99.1	0.8	0.1	0.0	0	3.3
2022	829	100.0	0.0	0.0	0.0	0	5.9
2023	1,058	100.0	0.0	0.0	0.0	0	0.0
Rating category
AAA	5,357	97.6	0.0	2.4	0.0	0	67.5
AA	3,713	76.3	22.8	0.9	0.0	1	59.8
A	3,358	72.2	26.3	1.5	0.1	5	61.7
BBB	3,126	71.8	21.6	6.6	0.3	9	59.2
BB	2,474	69.7	14.3	16.0	1.2	30	56.9
B	424	76.4	3.5	20.0	3.3	14	53.8
CCC	0					0.0
CC	0					0.0
Rating grade
Investment-grade	15,554	81.8	15.5	2.7	0.1	15	62.7
Speculative-grade	2,898	70.7	12.7	16.6	1.5	44	56.5
*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. N/A--Not applicable. CLO--Collateralized loan obligation. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Europe

In 2023, for the third straight year, no European CLOs defaulted or experienced downgrades. Furthermore, upgrades increased markedly for European CLOs, with the upgrade rate rising by 2.5 percentage points to 4.24%. This was the highest upgrade rate for European CLOs since 2017.

The overall ACCQ was positive, up slightly at +0.07 notches in 2023, from +0.03 notches in 2022 (see chart 17).

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

While defaults are unlikely to remain so low, with no European CLO tranches rated below 'B-' at the end of 2023, there appears to be little default pressure on the immediate horizon. To date, no European CLO 2.0s have defaulted.

Ratings for CLO 2.0s have largely remained stable, so far. The upgrade rate for European CLO 2.0s since inception (3.7%) exceeds the downgrade rate (0.7%).

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 in Europe. These occurred in 2011 and 2012, with the downgrades of five 'AAA' rated tranches.

Unlike most CLOs in this study, these 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, which experienced sovereign rating downgrades during this period.

Recent vintages represent a growing share of the population of currently outstanding European CLOs, particularly CLOs that were either issued or refinanced in 2021. 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 or have begun their amortization periods.

Table 8

European CLO transition and default summary
2023 versus one-year average
		--2023--					--One-year average--
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)
Overall	2,219	95.8	4.2	0.0	0.00	0	80.1	12.1	7.8	0.10
Generation
1.0	0	N/A	N/A	N/A	N/A	N/A	68.9	18.6	12.5	0.2
2.0	2,219	95.8	4.2	0.0	0.0	0	97.6	2.0	0.4	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	0	N/A	N/A	N/A	N/A	N/A	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	0	N/A	N/A	N/A	N/A	N/A	97.0	3.0	0.0	0.0
2015	11	45.5	54.5	0.0	0.0	0	93.1	5.9	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	189	76.2	23.8	0.0	0.0	0	94.9	4.8	0.3	0.0
2018	148	78.4	21.6	0.0	0.0	0	95.9	4.1	0.0	0.0
2019	198	100.0	0.0	0.0	0.0	0	98.4	0.2	1.4	0.0
2020	177	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
2021	1,118	99.0	1.0	0.0	0.0	0	99.5	0.5	0.0	0.0
2022	378	100.0	0.0	0.0	0.0	0	100.0	0.0	0.0	0.0
Rating category
AAA	438	100.0	0.0	0.0	0.0	0	90.0	0.0	10.0	0.0
AA	537	92.9	7.1	0.0	0.0	0	79.3	15.6	5.1	0.0
A	334	92.8	7.2	0.0	0.0	0	76.1	17.0	6.9	0.0
BBB	309	93.9	6.1	0.0	0.0	0	77.9	13.4	8.6	0.0
BB	304	96.7	3.3	0.0	0.0	0	78.7	12.3	9.0	0.0
B	297	99.0	1.0	0.0	0.0	0	81.4	11.7	7.0	0.1
CCC	0	N/A	N/A	N/A	N/A	N/A	62.3	29.4	8.3	1.8
CC	0	N/A	N/A	N/A	N/A	N/A	84.4	0.0	15.6	15.6
Rating grade
Investment-grade	1,618	95.0	5.0	0.0	0.0	0	81.3	11.2	7.6	0.0
Speculative-grade	601	97.8	2.2	0.0	0.0	0	77.2	14.6	8.3	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 (2001-2023)
	Ratings (no.)	Stable (%)	Upgrades (%)	Downgrades* (%)	Defaults (%)	Defaults (no.)	Withdrawals (%)
Overall	5,256	78.0	12.4	9.5	0.4	22	50.0
Generation
1.0	1,475	33.2	34.8	32.0	1.5	22	98.5
2.0	3,781	95.6	3.7	0.7	0.0	0	31.1
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	90.5	9.5	0.0	0.0	0	95.2
2016	176	99.4	0.0	0.6	0.0	0	100.0
2017	423	82.0	16.8	1.2	0.0	0	56.3
2018	192	81.8	18.2	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	61.3
2021	1,126	99.0	1.0	0.0	0.0	0	3.0
2022	378	100.0	0.0	0.0	0.0	0	5.6
2023	447	100.0	0.0	0.0	0.0	0	0.0
Initial rating category
AAA	1,299	90.8	0.0	9.2	0.0	0	62.9
AA	1,110	76.8	19.7	3.5	0.0	0	43.5
A	823	68.5	25.3	6.2	0.0	0	51.9
BBB	841	66.3	18.1	15.6	0.5	4	54.6
BB	718	70.1	9.2	20.8	2.4	17	46.4
B	465	95.9	1.9	2.2	0.2	1	23.9
CCC	0					0
CC	0					0
Rating grade
Investment-grade	4,073	77.4	14.2	8.4	0.1	4	53.7
Speculative-grade	1,183	80.2	6.3	13.4	1.5	18	37.5
*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®.

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 23,000 rating histories of CLO securities that S&P Global Ratings first rated in the U.S. or Europe from 1996 until Dec. 31, 2023. 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 do include middle-market CLO transactions, which are CLOs collateralized largely by loans to smaller corporate obligors, typically with EBITDA of less than $50 million.

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. We primarily define a transaction's region as 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, respectively referring to transactions originated before and after the 2008-2009 financial crisis. 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 2023 transition rates by determining the ratings on each security outstanding at the start of 2023 and determining the ratings on those same securities at the end of 2023. 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 of the post-default instrument 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 ACCQ 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 is 0.08% and that the 10-year average is 0.53%.

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, we calculate the average cumulative default rate of each time horizon 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

Table 10

Global CLO tranches with ratings lowered to 'D' (2001-2023)
Date rating lowered to 'D'	Transaction	Tranche	Region	Vintage	Original rating
Sep. 17, 2002	KBC - Orion Commercial Loan Master Trust	D-1	U.S.	1999	BB
Sep. 17, 2002	KBC - Orion Commercial Loan Master Trust	D-2	U.S.	1999	BB
Nov. 04, 2009	Pine CCS Ltd	A-1	U.S.	2008	A-
Nov. 04, 2009	Pine CCS Ltd	A-2	U.S.	2008	A-
Dec. 17, 2009	Kingfisher Capital CLO Ltd.	A	U.S.	2008	BBB+
Oct. 15, 2010	Landmark II CDO Ltd.	B	U.S.	2002	AA
Oct. 26, 2010	Verano CCS Ltd	Sr Notes	U.S.	2008	A-
Oct. 26, 2010	Spruce CCS Ltd	Sr Nts	U.S.	2008	A
Nov. 08, 2010	GE Commercial Loan Trust Series 2006-1	Pfd Tr Crt	U.S.	2006	BB
Apr. 19, 2011	Sandelman Finance 2006-1 Ltd	E	U.S.	2006	BB
Oct. 25, 2011	Landmark II CDO Ltd.	C	U.S.	2002	BBB
Oct. 25, 2011	Landmark II CDO Ltd.	D	U.S.	2002	BB
Oct. 25, 2011	GE Commercial Loan Trust Series 2006-2	D	U.S.	2006	BBB-
Oct. 25, 2011	GE Commercial Loan Trust Series 2006-2	Pfd Trust	U.S.	2006	BB
Oct. 25, 2011	GE Commercial Loan Trust Series 2006-3	C	U.S.	2006	A
Oct. 25, 2011	GE Commercial Loan Trust Series 2006-3	D	U.S.	2006	BBB-
Oct. 25, 2011	GE Commercial Loan Trust Series 2006-3	Pfd Tr Cer	U.S.	2006	BB
May. 29, 2012	Rosedale CLO II Ltd	E	U.S.	2007	BB
Nov. 27, 2013	Katonah V, Ltd	D	U.S.	2003	BB
Nov. 27, 2013	Longhorn CDO III Ltd	E	U.S.	2003	BB
Apr. 02, 2014	Stanfield Carrera CLO, Ltd.	C-1	U.S.	2002	BBB
Apr. 02, 2014	Stanfield Carrera CLO, Ltd.	C-2	U.S.	2002	BBB
Apr. 02, 2014	Stanfield Carrera CLO, Ltd.	D-1	U.S.	2002	BB
Apr. 02, 2014	Stanfield Carrera CLO, Ltd.	D-2	U.S.	2002	BB
May. 02, 2014	Premium Loan Trust I Ltd	C	U.S.	2004	BBB
May. 02, 2014	Premium Loan Trust I Ltd	D	U.S.	2004	BB
Jul. 18, 2014	Foxe Basin CLO 2003, Ltd.	D	U.S.	2003	BB
Aug. 12, 2014	Highland Loan Funding V Ltd.	C-1	U.S.	2001	BBB
Aug. 12, 2014	Highland Loan Funding V Ltd.	C-2	U.S.	2001	BBB
Aug. 12, 2014	Highland Loan Funding V Ltd.	D	U.S.	2001	BB+
Nov. 26, 2015	Leopard CLO I B.V.	E-1	Europe	2003	BB
Nov. 26, 2015	Leopard CLO I B.V.	E-2	Europe	2003	BB
Aug. 04, 2016	North Westerly CLO I B.V.	IV-A	Europe	2003	BB-
Aug. 04, 2016	North Westerly CLO I B.V.	IV-B	Europe	2003	BB-
Aug. 10, 2016	Avoca CLO II B.V.	C-1	Europe	2004	BBB
Aug. 10, 2016	Avoca CLO II B.V.	C-2	Europe	2004	BBB
Aug. 10, 2016	Avoca CLO II B.V.	D	Europe	2004	BB
Aug. 10, 2016	Avoca CLO II B.V.	R Combo	Europe	2004	BB
Aug. 10, 2016	Avoca CLO II B.V.	T Combo	Europe	2004	BB+
Oct. 13, 2016	Leopard CLO II B.V.	D	Europe	2004	BB
Feb. 13, 2017	Leveraged Finance Europe Capital III B.V.	D	Europe	2004	BBB-
Mar. 22, 2017	Avoca CLO III PLC	E	Europe	2005	BB
May. 15, 2017	Leopard CLO III B.V.	E1	Europe	2005	BB-
May. 15, 2017	Leopard CLO III B.V.	E2	Europe	2005	BB-
Sep. 26, 2017	North Westerly CLO II B.V.	D-1	Europe	2004	BB-
Sep. 26, 2017	North Westerly CLO II B.V.	D-2	Europe	2004	BB-
Nov. 07, 2017	Airlie CLO 2006-II Ltd	D	U.S.	2006	BB
Feb. 13, 2018	BACCHUS 2007-1 PLC	E	Europe	2007	BB-
Apr. 06, 2018	Avoca CLO IV PLC	E Def	Europe	2006	BB
Apr. 06, 2018	Avoca CLO V PLC	F	Europe	2006	B
Nov. 21, 2018	Leveraged Finance Europe Capital III B.V.	E	Europe	2004	BB-
Jan. 31, 2019	Global Leveraged Capital Credit Opportunity Fund I	E-1	U.S.	2006	BB
Jan. 31, 2019	Global Leveraged Capital Credit Opportunity Fund I	E-2	U.S.	2006	BB
Oct. 15, 2019	Munda CLO I B.V.	E	Europe	2007	BB-
Mar. 23, 2020	Strawinsky I PLC	D	Europe	2007	BBB
Aug. 10, 2021	Mountain Hawk II CLO, Ltd.	E	U.S.	2013	BB
Aug. 10, 2021	Flagship VII LTD	F	U.S.	2014	B
Dec. 28, 2021	WhiteHorse VII, Ltd.	B-3L	U.S.	2013	B
Dec. 28, 2021	Blue Ridge CLO Ltd. I	D	U.S.	2014	BB
Dec. 28, 2021	Blue Ridge CLO Ltd. I	E	U.S.	2014	B
Feb. 14, 2022	BNPP IP CLO 2014-1, Ltd.	D	U.S.	2014	BB
Feb. 14, 2022	BNPP IP CLO 2014-1, Ltd.	E	U.S.	2014	B
Mar. 10, 2022	Blue Ridge CLO Ltd. II	E	U.S.	2014	B
Mar. 17, 2022	OFSI Fund VI, Ltd.	E	U.S.	2014	B
Mar. 17, 2022	GLG Ore Hill CLO 2013-1, Ltd.	F	U.S.	2013	B
Aug. 15, 2022	B&M CLO 2014-1 Ltd.	E	U.S.	2014	B
Feb. 27, 2023	Halcyon Loan Advisors Funding 2013-1 Ltd.	D	U.S.	2013	BB
Feb. 27, 2023	Halcyon Loan Advisors Funding 2012-1 Ltd.	D	U.S.	2012	BB
Mar. 15, 2023	Hull Street CLO Ltd.	F	U.S.	2014	B
Mar. 15, 2023	Hull Street CLO Ltd.	E	U.S.	2014	BB
Mar. 16, 2023	Staniford Street CLO Ltd.	E	U.S.	2014	BB
Jul. 27, 2023	Catamaran CLO 2014-2 Ltd.	E	U.S.	2014	B
Jul. 27, 2023	Mountain View CLO 2014-1 Ltd.	F	U.S.	2014	B-
Jul. 27, 2023	Mountain View CLO 2014-1 Ltd.	E	U.S.	2014	BB-
As of Dec. 31, 2023. 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
Jan. 20, 2023	Avery Point IV CLO Ltd.	F	U.S.	2014	B-
Nov. 10, 2022	BNPP IP CLO 2014-II Ltd.	E	U.S.	2014	BB
As of Dec. 31, 2023. 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

Global CLOs

Table 12

Global CLO rating transitions, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.00	98.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.07	2.69	97.24	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	1.50	98.50	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.09	0.81	98.20	0.90	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.03	96.58	2.39	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	82.14	3.57	0.00	14.29
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	93.85	4.82	1.21	0.10	0.02	0.00	0.00	0.00	0.00	0.00
AA	11.05	85.91	2.13	0.74	0.12	0.03	0.02	0.00	0.00	0.00
A	1.59	8.74	84.97	2.94	1.38	0.25	0.12	0.01	0.00	0.00
BBB	0.31	1.52	6.33	85.86	3.10	1.46	1.40	0.01	0.00	0.01
BB	0.07	0.12	1.13	6.24	84.60	4.22	3.51	0.10	0.00	0.02
B	0.02	0.04	0.28	2.15	9.09	83.54	4.76	0.06	0.00	0.06
CCC	0.00	0.00	0.00	1.16	7.48	19.67	68.31	1.82	0.00	1.56
CC	0.00	0.00	0.00	0.00	1.68	1.68	0.84	63.87	0.00	31.93
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	87.26	10.21	2.28	0.17	0.07	0.00	0.01	0.00	0.00	0.00
AA	21.55	72.37	4.35	1.38	0.21	0.08	0.05	0.00	0.00	0.01
A	5.12	14.39	71.05	6.10	2.64	0.44	0.21	0.03	0.00	0.01
BBB	1.20	4.02	10.53	71.86	6.25	3.19	2.89	0.04	0.00	0.01
BB	0.32	0.67	2.64	10.84	70.28	7.89	7.09	0.19	0.00	0.09
B	0.06	0.21	1.06	5.01	15.26	70.53	7.48	0.13	0.00	0.25
CCC	0.00	0.00	0.32	3.42	13.52	30.06	46.87	2.61	0.00	3.20
CC	0.00	0.00	0.00	0.00	2.63	3.51	0.88	46.49	0.00	46.49
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Three-year weighted average
AAA	81.65	15.33	2.64	0.20	0.13	0.03	0.02	0.00	0.00	0.00
AA	31.11	60.92	5.93	1.58	0.25	0.12	0.07	0.00	0.00	0.01
A	9.97	16.67	60.72	8.55	3.18	0.55	0.28	0.05	0.00	0.02
BBB	2.77	6.87	11.93	60.97	9.02	4.42	3.89	0.11	0.00	0.02
BB	0.65	1.53	4.42	12.68	60.08	10.78	9.40	0.29	0.00	0.17
B	0.31	0.58	2.10	7.93	16.21	64.25	7.72	0.27	0.00	0.63
CCC	0.14	0.18	1.15	5.92	16.62	29.61	38.84	2.57	0.00	4.96
CC	0.00	0.00	0.00	0.00	3.70	4.63	0.93	39.81	0.00	50.93
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-year weighted average
AAA	79.21	18.04	2.35	0.16	0.16	0.05	0.03	0.00	0.00	0.00
AA	39.63	52.23	6.23	1.40	0.25	0.16	0.09	0.00	0.00	0.02
A	15.69	17.43	53.49	9.38	3.07	0.57	0.26	0.09	0.00	0.03
BBB	4.87	9.37	12.20	53.75	10.34	4.99	4.26	0.17	0.00	0.05
BB	1.05	2.63	6.21	12.85	53.91	12.49	10.17	0.42	0.00	0.28
B	0.55	1.10	3.19	10.40	15.51	59.27	8.33	0.44	0.00	1.21
CCC	0.34	0.49	2.04	8.55	17.93	28.33	33.67	2.28	0.00	6.37
CC	0.00	0.00	0.00	0.00	4.85	4.85	0.97	36.89	0.00	52.43
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	80.28	17.68	1.61	0.13	0.16	0.08	0.05	0.00	0.00	0.00
AA	46.92	46.22	5.32	1.03	0.21	0.18	0.10	0.00	0.00	0.03
A	21.17	18.31	48.58	8.54	2.42	0.59	0.25	0.11	0.00	0.04
BBB	7.26	11.05	12.44	49.54	10.02	5.09	4.30	0.21	0.00	0.08
BB	1.71	3.91	7.65	13.03	50.88	12.07	9.82	0.48	0.00	0.46
B	0.75	1.89	4.44	11.78	16.16	55.23	7.53	0.63	0.00	1.59
CCC	0.54	0.83	3.03	10.50	17.82	27.83	29.98	1.90	0.00	7.57
CC	0.00	0.00	0.00	0.00	4.90	4.90	0.98	35.29	0.00	53.92
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	90.74	7.93	0.66	0.11	0.20	0.19	0.17	0.00	0.00	0.00
AA	75.35	21.98	1.42	0.60	0.15	0.20	0.21	0.00	0.00	0.08
A	43.51	25.50	26.26	2.47	1.02	0.59	0.33	0.28	0.00	0.05
BBB	14.89	16.97	18.68	33.20	6.37	4.82	4.08	0.35	0.00	0.64
BB	4.28	7.77	12.18	18.94	35.40	11.23	6.96	0.93	0.00	2.31
B	1.96	4.69	10.31	19.37	21.17	33.55	6.38	0.27	0.00	2.29
CCC	0.73	1.40	4.66	12.46	19.43	27.18	23.64	1.46	0.00	9.04
CC	0.00	0.00	0.00	0.00	5.62	5.62	1.12	33.71	0.00	53.93
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	92.25	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.75
AA	1.57	95.45	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.98
A	0.07	2.34	94.42	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.17
BBB	0.00	0.00	1.50	96.21	0.00	0.00	0.00	0.00	0.00	0.00	2.29
BB	0.00	0.00	0.09	0.54	95.58	0.90	0.00	0.00	0.00	0.00	2.89
B	0.00	0.00	0.00	0.00	0.51	93.33	2.39	0.00	0.00	0.00	3.76
CCC	0.00	0.00	0.00	0.00	0.00	0.00	78.57	3.57	0.00	14.29	3.57
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00	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	72.59	4.79	1.20	0.09	0.02	0.00	0.00	0.00	0.00	0.00	21.30
AA	9.26	73.34	2.12	0.73	0.12	0.03	0.02	0.00	0.00	0.00	14.39
A	1.09	7.94	73.13	2.94	1.36	0.22	0.12	0.01	0.00	0.00	13.21
BBB	0.19	1.15	5.75	74.88	3.07	1.45	1.39	0.01	0.00	0.01	12.11
BB	0.01	0.08	0.97	5.66	74.04	4.16	3.51	0.09	0.00	0.02	11.47
B	0.00	0.02	0.21	1.83	8.56	72.35	4.67	0.06	0.00	0.06	12.25
CCC	0.00	0.00	0.00	0.85	7.21	18.91	60.61	1.65	0.00	1.56	9.21
CC	0.00	0.00	0.00	0.00	0.84	1.68	0.84	50.42	0.00	31.93	14.29
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	48.51	10.01	2.22	0.15	0.05	0.00	0.01	0.00	0.00	0.00	39.04
AA	13.21	49.06	4.30	1.35	0.19	0.06	0.04	0.00	0.00	0.01	31.78
A	2.95	11.14	48.79	6.04	2.60	0.41	0.18	0.03	0.00	0.01	27.84
BBB	0.55	2.49	8.15	50.73	6.09	3.16	2.81	0.03	0.00	0.01	25.99
BB	0.11	0.44	1.84	8.58	49.61	7.08	6.98	0.16	0.00	0.09	25.13
B	0.02	0.15	0.59	3.72	13.00	49.11	6.88	0.13	0.00	0.25	26.14
CCC	0.00	0.00	0.27	2.48	12.03	26.54	33.35	2.12	0.00	3.20	20.01
CC	0.00	0.00	0.00	0.00	0.88	3.51	0.88	25.44	0.00	46.49	22.81
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	30.11	14.70	2.50	0.16	0.09	0.03	0.02	0.00	0.00	0.00	52.40
AA	13.27	29.51	5.80	1.50	0.21	0.07	0.05	0.00	0.00	0.01	49.57
A	4.09	10.58	30.33	8.37	3.06	0.50	0.23	0.04	0.00	0.02	42.80
BBB	0.90	3.47	7.39	31.72	8.62	4.26	3.63	0.09	0.00	0.02	39.92
BB	0.20	0.76	2.45	8.14	30.89	9.08	9.07	0.24	0.00	0.17	38.99
B	0.05	0.29	0.75	4.74	11.15	32.97	6.05	0.24	0.00	0.63	43.13
CCC	0.00	0.09	0.83	3.72	12.90	21.53	21.30	1.88	0.00	4.96	32.78
CC	0.00	0.00	0.00	0.00	0.93	4.63	0.00	11.11	0.00	50.93	32.41
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	20.85	16.75	2.11	0.10	0.08	0.05	0.03	0.00	0.00	0.00	60.03
AA	11.63	18.70	5.98	1.26	0.18	0.07	0.05	0.00	0.00	0.02	62.11
A	4.93	8.42	20.62	9.04	2.86	0.48	0.16	0.05	0.00	0.03	53.41
BBB	1.13	3.71	5.53	21.35	9.60	4.59	3.73	0.13	0.00	0.05	50.18
BB	0.24	1.08	2.74	6.03	20.19	9.90	9.46	0.35	0.00	0.28	49.73
B	0.08	0.36	0.83	4.73	7.76	20.74	5.50	0.39	0.00	1.21	58.42
CCC	0.00	0.24	0.92	4.47	11.66	15.31	13.02	1.41	0.00	6.37	46.60
CC	0.00	0.00	0.00	0.00	0.97	2.91	0.00	3.88	0.00	52.43	39.81
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	16.65	15.55	1.27	0.05	0.04	0.06	0.04	0.00	0.00	0.00	66.32
AA	9.34	12.45	4.91	0.83	0.14	0.07	0.02	0.00	0.00	0.03	72.21
A	4.80	6.41	14.83	7.97	2.10	0.45	0.10	0.05	0.00	0.04	63.25
BBB	1.47	3.10	3.71	15.20	8.86	4.32	3.41	0.16	0.00	0.08	59.68
BB	0.24	1.36	2.50	3.77	13.14	9.36	8.66	0.39	0.00	0.46	60.12
B	0.06	0.57	1.14	3.84	5.55	10.58	3.99	0.48	0.00	1.59	72.20
CCC	0.05	0.29	0.93	4.10	8.69	10.55	7.23	0.88	0.00	7.57	59.72
CC	0.00	0.00	0.00	0.00	0.98	0.98	0.00	1.96	0.00	53.92	42.16
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	1.57	0.28	0.00	0.00	0.00	0.04	0.02	0.00	0.00	0.00	98.09
AA	1.07	0.44	0.09	0.04	0.04	0.00	0.00	0.00	0.00	0.08	98.24
A	0.65	0.94	0.76	0.32	0.12	0.11	0.04	0.03	0.00	0.05	96.99
BBB	0.08	0.27	0.57	1.00	0.81	0.63	0.74	0.13	0.00	0.64	95.13
BB	0.00	0.02	0.08	0.32	0.98	1.42	1.33	0.52	0.00	2.31	93.02
B	0.00	0.00	0.00	0.00	0.11	0.16	0.38	0.05	0.00	2.29	97.00
CCC	0.00	0.00	0.00	0.00	0.00	0.28	0.06	0.17	0.00	9.04	90.45
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	53.93	46.07
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
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	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	2.86	3.81	0.95	49.52	0.00	42.86
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	3.91	14.82	27.05	43.18	8.59	0.09	0.00	0.68
CCC	0.15	0.20	1.22	6.30	17.68	29.31	38.45	2.44	0.00	4.25
CC	0.00	0.00	0.00	0.00	3.85	4.81	0.96	40.38	0.00	50.00
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	54.33	33.51	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	36.91	14.19	7.17	6.22	0.24	0.00	0.08
BB	1.65	4.12	9.51	18.85	38.65	11.44	14.83	0.56	0.00	0.39
B	0.91	1.82	5.28	17.21	24.91	40.80	7.88	0.23	0.00	0.96
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	4.85	4.85	0.97	36.89	0.00	52.43
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	72.96	24.28	2.18	0.17	0.22	0.12	0.07	0.00	0.00	0.00
AA	60.64	29.81	7.40	1.44	0.30	0.24	0.13	0.00	0.00	0.04
A	28.29	21.30	33.65	11.97	3.40	0.84	0.35	0.15	0.00	0.05
BBB	9.63	14.38	14.47	35.32	13.16	6.82	5.84	0.28	0.00	0.12
BB	2.48	5.69	10.88	17.55	36.71	12.31	13.25	0.59	0.00	0.54
B	1.14	2.88	6.76	17.95	23.79	38.72	7.08	0.41	0.00	1.28
CCC	0.54	0.83	3.03	10.51	17.84	27.86	30.01	1.91	0.00	7.48
CC	0.00	0.00	0.00	0.00	4.90	4.90	0.98	35.29	0.00	53.92
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	90.17	8.45	0.68	0.11	0.22	0.20	0.18	0.00	0.00	0.00
AA	79.42	17.75	1.50	0.65	0.17	0.21	0.22	0.00	0.00	0.08
A	46.53	26.13	22.25	2.64	1.09	0.64	0.36	0.30	0.00	0.06
BBB	15.81	17.90	19.15	29.85	6.79	5.13	4.33	0.37	0.00	0.68
BB	4.64	8.41	13.03	19.87	31.06	12.03	7.54	0.99	0.00	2.45
B	2.10	5.01	11.02	20.70	22.27	29.50	6.76	0.29	0.00	2.33
CCC	0.73	1.40	4.66	12.46	19.43	27.18	23.64	1.46	0.00	9.04
CC	0.00	0.00	0.00	0.00	5.62	5.62	1.12	33.71	0.00	53.93
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
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	68.15	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	0.95	3.81	0.95	27.62	0.00	42.86	23.81
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	1.36	8.82	18.82	18.95	6.64	0.09	0.00	0.68	44.00
CCC	0.00	0.10	0.88	3.96	13.73	21.10	20.96	1.76	0.00	4.25	33.27
CC	0.00	0.00	0.00	0.00	0.96	4.81	0.00	11.54	0.00	50.00	32.69
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	22.55	24.69	3.11	0.14	0.12	0.07	0.05	0.00	0.00	0.00	49.27
AA	16.42	18.05	8.94	1.89	0.28	0.11	0.07	0.00	0.00	0.03	54.23
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	5.36	7.19	19.50	13.46	6.65	5.44	0.19	0.00	0.08	40.53
BB	0.38	1.70	4.26	9.30	18.56	10.06	14.21	0.46	0.00	0.39	40.68
B	0.14	0.59	1.37	7.83	12.66	12.25	4.69	0.23	0.00	0.96	59.29
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	0.97	2.91	0.00	3.88	0.00	52.43	39.81
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	19.36	21.36	1.75	0.07	0.06	0.08	0.06	0.00	0.00	0.00	57.26
AA	12.43	13.06	6.85	1.15	0.19	0.10	0.03	0.00	0.00	0.04	66.14
A	6.58	8.17	16.07	11.21	2.96	0.63	0.14	0.08	0.00	0.05	54.11
BBB	1.98	4.17	4.44	15.47	11.80	5.81	4.63	0.22	0.00	0.12	51.37
BB	0.34	1.98	3.63	5.41	13.70	10.33	11.98	0.46	0.00	0.54	51.64
B	0.09	0.87	1.74	5.84	8.26	6.35	2.88	0.32	0.00	1.28	72.37
CCC	0.05	0.29	0.93	4.11	8.70	10.56	7.23	0.88	0.00	7.48	59.78
CC	0.00	0.00	0.00	0.00	0.98	0.98	0.00	1.96	0.00	53.92	42.16
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	1.68	0.30	0.00	0.00	0.00	0.04	0.02	0.00	0.00	0.00	97.96
AA	1.14	0.46	0.09	0.05	0.05	0.00	0.00	0.00	0.00	0.08	98.13
A	0.70	1.01	0.82	0.34	0.13	0.11	0.04	0.03	0.00	0.06	96.76
BBB	0.09	0.28	0.61	1.07	0.87	0.67	0.78	0.14	0.00	0.68	94.82
BB	0.00	0.02	0.09	0.35	1.06	1.53	1.44	0.55	0.00	2.45	92.52
B	0.00	0.00	0.00	0.00	0.12	0.17	0.41	0.06	0.00	2.33	96.91
CCC	0.00	0.00	0.00	0.00	0.00	0.28	0.06	0.17	0.00	9.04	90.45
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	53.93	46.07
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.00	98.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.07	2.69	97.24	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	1.50	98.50	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.09	0.81	98.20	0.90	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.03	96.58	2.39	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	82.14	3.57	0.00	14.29
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00
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	99.96	0.02	0.02	0.01	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.43	97.55	0.02	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.28	2.51	97.09	0.11	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.08	0.16	1.43	97.50	0.76	0.05	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.10	0.97	94.38	4.18	0.38	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	2.39	93.89	3.72	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	28.00	62.00	5.00	0.00	5.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	99.95	0.01	0.03	0.01	0.00	0.00	0.00	0.00	0.00	0.00
AA	4.94	95.03	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.97	4.81	94.02	0.20	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.24	0.51	2.87	94.77	1.49	0.14	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.19	1.73	88.75	8.40	0.92	0.00	0.00	0.00
B	0.00	0.00	0.04	0.00	3.91	89.55	6.26	0.12	0.00	0.12
CCC	0.00	0.00	0.00	0.00	0.00	34.88	47.09	8.14	0.00	9.88
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.11	0.00	88.89
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	99.93	0.01	0.04	0.01	0.00	0.00	0.00	0.00	0.00	0.00
AA	7.57	92.40	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.87	7.12	90.77	0.24	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.47	0.99	4.37	91.95	1.98	0.22	0.02	0.00	0.00	0.00
BB	0.00	0.00	0.31	2.37	84.03	11.81	1.41	0.07	0.00	0.00
B	0.00	0.00	0.05	0.10	3.88	88.21	6.72	0.47	0.00	0.57
CCC	0.00	0.00	0.00	0.00	0.00	34.35	45.04	4.58	0.00	16.03
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
Four-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	9.92	90.04	0.04	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.86	9.02	87.92	0.20	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.66	1.40	5.66	89.83	2.09	0.30	0.05	0.00	0.00	0.00
BB	0.00	0.00	0.40	2.30	80.74	14.34	1.95	0.17	0.00	0.09
B	0.00	0.00	0.00	0.00	1.18	87.43	9.03	0.76	0.00	1.60
CCC	0.00	0.00	0.00	0.00	0.00	0.00	8.33	16.67	0.00	75.00
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	99.89	0.02	0.07	0.02	0.00	0.00	0.00	0.00	0.00	0.00
AA	12.14	87.81	0.05	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	3.70	11.00	85.18	0.13	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.81	1.96	6.90	88.37	1.47	0.39	0.11	0.00	0.00	0.00
BB	0.00	0.00	0.54	3.09	82.01	11.56	2.26	0.25	0.00	0.29
B	0.00	0.00	0.00	0.00	1.57	86.81	8.38	1.05	0.00	2.18
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
10-year weighted average
AAA	99.26	0.15	0.45	0.15	0.00	0.00	0.00	0.00	0.00	0.00
AA	18.72	80.95	0.33	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	4.74	17.49	77.60	0.18	0.00	0.00	0.00	0.00	0.00	0.00
BBB	1.26	3.36	11.76	82.77	0.21	0.21	0.42	0.00	0.00	0.00
BB	0.00	0.00	1.78	7.56	88.22	1.56	0.00	0.22	0.00	0.67
B	0.00	0.00	0.00	0.00	5.08	92.37	0.85	0.00	0.00	1.69
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	92.25	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.75
AA	1.57	95.45	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	2.98
A	0.07	2.34	94.42	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.17
BBB	0.00	0.00	1.50	96.21	0.00	0.00	0.00	0.00	0.00	0.00	2.29
BB	0.00	0.00	0.09	0.54	95.58	0.90	0.00	0.00	0.00	0.00	2.89
B	0.00	0.00	0.00	0.00	0.51	93.33	2.39	0.00	0.00	0.00	3.76
CCC	0.00	0.00	0.00	0.00	0.00	0.00	78.57	3.57	0.00	14.29	3.57
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00	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	77.37	0.02	0.02	0.01	0.00	0.00	0.00	0.00	0.00	0.00	22.58
AA	1.85	79.43	0.02	0.00	0.00	0.00	0.00	0.00	0.00	0.00	18.71
A	0.17	2.01	79.97	0.11	0.00	0.00	0.00	0.00	0.00	0.00	17.74
BBB	0.05	0.10	1.22	81.78	0.74	0.05	0.00	0.00	0.00	0.00	16.06
BB	0.00	0.00	0.06	0.75	80.14	4.13	0.38	0.00	0.00	0.00	14.54
B	0.00	0.00	0.00	0.00	2.20	82.43	3.69	0.00	0.00	0.00	11.68
CCC	0.00	0.00	0.00	0.00	0.00	27.50	49.00	5.00	0.00	5.00	13.50
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.86	0.00	50.00	7.14
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	53.09	0.00	0.02	0.00	0.00	0.00	0.00	0.00	0.00	0.00	46.88
AA	2.43	56.51	0.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	41.04
A	0.45	2.88	57.52	0.17	0.00	0.00	0.00	0.00	0.00	0.00	38.98
BBB	0.10	0.17	1.79	60.42	1.28	0.12	0.00	0.00	0.00	0.00	36.12
BB	0.00	0.00	0.08	1.02	58.15	7.21	0.75	0.00	0.00	0.00	32.79
B	0.00	0.00	0.04	0.00	3.07	65.76	5.79	0.12	0.00	0.12	25.10
CCC	0.00	0.00	0.00	0.00	0.00	31.40	29.65	7.56	0.00	9.88	21.51
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	88.89	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
Three-year weighted average
AAA	29.61	0.00	0.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00	70.38
AA	2.37	32.93	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	64.71
A	0.45	3.09	34.40	0.16	0.00	0.00	0.00	0.00	0.00	0.00	61.90
BBB	0.11	0.22	2.05	38.03	1.51	0.17	0.02	0.00	0.00	0.00	57.90
BB	0.00	0.00	0.07	0.96	36.27	8.94	0.93	0.07	0.00	0.00	52.75
B	0.00	0.00	0.05	0.10	2.43	48.91	5.38	0.41	0.00	0.57	42.14
CCC	0.00	0.00	0.00	0.00	0.00	28.24	26.72	3.82	0.00	16.03	25.19
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
Four-year weighted average
AAA	17.27	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	82.73
AA	1.96	20.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	78.04
A	0.53	2.61	21.62	0.08	0.00	0.00	0.00	0.00	0.00	0.00	75.17
BBB	0.11	0.16	1.98	25.32	1.32	0.19	0.05	0.00	0.00	0.00	70.86
BB	0.00	0.00	0.06	0.29	23.05	9.60	1.09	0.17	0.00	0.09	65.65
B	0.00	0.00	0.00	0.00	0.28	33.68	6.74	0.63	0.00	1.60	57.08
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.33	0.00	75.00	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
Five-year weighted average
AAA	9.41	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	90.59
AA	1.50	10.90	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	87.60
A	0.44	2.09	11.79	0.03	0.00	0.00	0.00	0.00	0.00	0.00	85.66
BBB	0.11	0.18	1.72	14.47	0.84	0.25	0.07	0.00	0.00	0.00	82.38
BB	0.00	0.00	0.04	0.18	11.92	7.22	1.36	0.25	0.00	0.29	78.74
B	0.00	0.00	0.00	0.00	0.35	18.69	6.11	0.79	0.00	2.18	71.88
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
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	0.16	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	99.84
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	0.21	0.00	0.00	0.00	99.79
BB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.22	0.00	0.67	99.11
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.69	98.31
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, 1997-2023 (%)
	--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	0.02	0.03	0.04	0.05	0.07	0.07	0.07
A	0.00	0.01	0.02	0.03	0.04	0.04	0.04	0.04	0.04	0.04
BBB	0.01	0.01	0.02	0.06	0.10	0.18	0.26	0.35	0.45	0.54
BB	0.02	0.12	0.22	0.35	0.57	0.83	1.13	1.45	1.76	2.14
B	0.06	0.33	0.85	1.57	2.40	3.19	3.88	4.53	5.01	5.26
CCC	1.42	2.88	4.60	6.15	7.18	7.61	8.21	8.73	9.16	9.16
CC	37.93	60.18	68.38	70.81	72.03	72.03	72.03	72.03	72.03	72.03
IG	0.00	0.01	0.01	0.03	0.04	0.06	0.08	0.10	0.12	0.14
SG	0.40	0.82	1.25	1.68	2.14	2.53	2.95	3.37	3.73	4.02
Overall	0.08	0.17	0.26	0.35	0.45	0.55	0.64	0.74	0.83	0.90
CLO--Collateralized loan obligation. IG--Investment-grade. SG--Speculative-grade. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 19

U.S. CLO rating transitions, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.76	98.24	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.09	1.61	98.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.64	99.36	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.87	97.89	1.24	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.74	93.40	4.86	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	82.14	3.57	0.00	14.29
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00
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	94.73	4.50	0.70	0.05	0.02	0.00	0.01	0.00	0.00	0.00
AA	11.46	85.99	2.06	0.40	0.03	0.03	0.03	0.00	0.00	0.00
A	1.40	8.19	86.23	3.04	0.84	0.21	0.08	0.01	0.00	0.00
BBB	0.33	1.48	5.83	87.03	2.95	1.11	1.25	0.01	0.00	0.01
BB	0.06	0.08	1.17	5.73	85.23	4.39	3.20	0.12	0.00	0.02
B	0.03	0.06	0.40	2.80	9.57	82.25	4.74	0.09	0.00	0.06
CCC	0.00	0.00	0.00	1.65	10.34	20.39	64.47	1.72	0.00	1.42
CC	0.00	0.00	0.00	0.00	2.30	2.30	1.15	56.32	0.00	37.93
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	89.20	9.36	1.28	0.09	0.05	0.00	0.01	0.00	0.00	0.00
AA	22.10	72.86	4.06	0.74	0.06	0.10	0.06	0.00	0.00	0.01
A	4.77	13.37	73.61	6.23	1.48	0.36	0.15	0.01	0.00	0.01
BBB	1.26	3.90	9.68	74.16	5.96	2.44	2.57	0.02	0.00	0.01
BB	0.33	0.63	2.67	9.61	71.77	8.23	6.44	0.21	0.00	0.12
B	0.10	0.30	1.50	6.29	15.32	69.13	6.83	0.20	0.00	0.33
CCC	0.00	0.00	0.46	5.21	18.22	30.63	40.05	2.83	0.00	2.60
CC	0.00	0.00	0.00	0.00	3.66	4.88	1.22	31.71	0.00	58.54
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	84.82	13.52	1.39	0.11	0.10	0.03	0.03	0.00	0.00	0.00
AA	31.83	62.01	4.99	0.83	0.09	0.15	0.09	0.00	0.00	0.02
A	9.16	15.97	64.46	8.04	1.65	0.45	0.23	0.01	0.00	0.02
BBB	2.79	6.51	11.20	64.49	8.30	3.27	3.33	0.07	0.00	0.02
BB	0.69	1.40	4.29	11.26	62.58	10.91	8.32	0.32	0.00	0.23
B	0.48	0.78	2.75	9.22	15.57	63.40	6.50	0.41	0.00	0.89
CCC	0.24	0.32	1.82	8.85	21.74	30.91	29.72	2.53	0.00	3.87
CC	0.00	0.00	0.00	0.00	5.19	6.49	1.30	22.08	0.00	64.94
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	83.14	15.35	1.17	0.11	0.12	0.06	0.04	0.00	0.00	0.00
AA	40.56	53.63	4.62	0.74	0.11	0.19	0.11	0.00	0.00	0.03
A	14.69	17.04	57.94	8.02	1.54	0.47	0.25	0.01	0.00	0.03
BBB	4.58	9.00	11.74	58.34	9.05	3.59	3.52	0.11	0.00	0.07
BB	1.06	2.37	5.86	11.19	57.66	12.51	8.52	0.47	0.00	0.38
B	0.81	1.27	4.20	11.87	13.61	58.54	7.38	0.59	0.00	1.74
CCC	0.61	0.87	3.41	12.84	23.32	28.56	24.02	1.92	0.00	4.45
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	84.63	14.24	0.71	0.10	0.14	0.10	0.07	0.00	0.00	0.00
AA	48.15	47.51	3.26	0.61	0.10	0.21	0.12	0.00	0.00	0.04
A	19.95	18.76	52.99	6.39	1.13	0.47	0.26	0.00	0.00	0.05
BBB	6.66	10.85	12.53	54.56	8.34	3.49	3.32	0.14	0.00	0.11
BB	1.54	3.36	7.20	11.80	55.93	11.45	7.56	0.54	0.00	0.62
B	1.01	2.07	5.61	12.97	13.75	55.22	6.48	0.69	0.00	2.21
CCC	0.97	1.41	5.20	14.45	21.85	27.84	22.03	1.32	0.00	4.93
CC	0.00	0.00	0.00	0.00	6.85	6.85	1.37	16.44	0.00	68.49
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	93.70	5.22	0.36	0.07	0.21	0.23	0.21	0.00	0.00	0.00
AA	77.39	20.62	0.72	0.56	0.11	0.23	0.27	0.00	0.00	0.10
A	43.95	25.63	27.84	1.52	0.26	0.33	0.40	0.00	0.00	0.07
BBB	14.21	18.65	19.88	35.17	5.67	3.09	2.49	0.16	0.00	0.68
BB	3.61	7.78	13.27	18.99	40.17	8.84	4.59	0.71	0.00	2.05
B	2.44	5.21	12.52	21.85	19.08	33.28	3.11	0.08	0.00	2.44
CCC	1.00	1.91	7.09	15.09	22.18	25.55	19.73	0.45	0.00	7.00
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
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 20

U.S. CLO rating transitions, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	92.70	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.30
AA	1.22	94.96	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.82
A	0.09	1.25	94.99	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.67
BBB	0.00	0.00	0.64	96.79	0.00	0.00	0.00	0.00	0.00	0.00	2.57
BB	0.00	0.00	0.00	0.62	94.66	1.24	0.00	0.00	0.00	0.00	3.48
B	0.00	0.00	0.00	0.00	0.69	87.85	4.86	0.00	0.00	0.00	6.60
CCC	0.00	0.00	0.00	0.00	0.00	0.00	78.57	3.57	0.00	14.29	3.57
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00	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	72.84	4.50	0.69	0.04	0.02	0.00	0.01	0.00	0.00	0.00	21.91
AA	9.60	72.66	2.05	0.39	0.03	0.03	0.03	0.00	0.00	0.00	15.21
A	0.92	7.28	73.49	3.04	0.81	0.17	0.07	0.01	0.00	0.00	14.21
BBB	0.23	1.05	5.23	75.45	2.93	1.10	1.24	0.01	0.00	0.01	12.77
BB	0.01	0.06	0.95	5.11	73.83	4.36	3.20	0.12	0.00	0.02	12.32
B	0.00	0.03	0.27	2.40	8.87	70.50	4.68	0.09	0.00	0.06	13.10
CCC	0.00	0.00	0.00	1.20	9.97	19.57	56.90	1.72	0.00	1.42	9.22
CC	0.00	0.00	0.00	0.00	1.15	2.30	1.15	48.28	0.00	37.93	9.20
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	48.96	9.22	1.24	0.08	0.03	0.00	0.01	0.00	0.00	0.00	40.46
AA	13.72	48.29	4.01	0.71	0.05	0.07	0.04	0.00	0.00	0.01	33.09
A	2.64	9.86	49.68	6.19	1.43	0.33	0.12	0.01	0.00	0.01	29.74
BBB	0.60	2.28	7.19	51.70	5.79	2.41	2.52	0.02	0.00	0.01	27.47
BB	0.13	0.45	1.74	7.37	49.40	7.40	6.31	0.20	0.00	0.12	26.88
B	0.03	0.20	0.77	4.63	12.65	47.19	6.19	0.20	0.00	0.33	27.81
CCC	0.00	0.00	0.38	3.83	16.31	27.11	27.34	2.60	0.00	2.60	19.83
CC	0.00	0.00	0.00	0.00	1.22	4.88	1.22	19.51	0.00	58.54	14.63
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	30.65	12.98	1.28	0.10	0.04	0.03	0.03	0.00	0.00	0.00	54.89
AA	13.98	29.05	4.89	0.75	0.07	0.08	0.06	0.00	0.00	0.02	51.11
A	3.54	9.58	31.65	7.89	1.57	0.40	0.16	0.01	0.00	0.02	45.18
BBB	0.88	2.98	6.56	33.07	7.86	3.15	3.18	0.07	0.00	0.02	42.23
BB	0.22	0.66	2.07	7.02	30.77	9.12	7.98	0.30	0.00	0.23	41.62
B	0.07	0.33	0.78	5.24	10.29	31.59	4.91	0.37	0.00	0.89	45.52
CCC	0.00	0.16	1.26	5.61	16.52	22.69	13.28	2.13	0.00	3.87	34.47
CC	0.00	0.00	0.00	0.00	1.30	6.49	0.00	5.19	0.00	64.94	22.08
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	21.21	14.23	1.00	0.08	0.04	0.06	0.04	0.00	0.00	0.00	63.34
AA	12.25	18.49	4.40	0.61	0.09	0.09	0.06	0.00	0.00	0.03	63.99
A	4.61	7.76	22.06	7.69	1.43	0.38	0.13	0.01	0.00	0.03	55.89
BBB	0.99	3.19	5.00	23.11	8.20	3.25	3.20	0.10	0.00	0.07	52.89
BB	0.21	0.89	2.17	5.01	20.38	9.68	7.75	0.43	0.00	0.38	53.10
B	0.13	0.30	0.93	5.00	6.49	18.74	4.79	0.51	0.00	1.74	61.38
CCC	0.00	0.44	1.40	6.81	14.59	15.81	5.41	1.40	0.00	4.45	49.69
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	16.78	12.40	0.49	0.06	0.02	0.07	0.05	0.00	0.00	0.00	70.12
AA	9.99	12.38	2.94	0.42	0.07	0.10	0.03	0.00	0.00	0.04	74.05
A	4.52	6.55	15.89	5.87	0.98	0.34	0.09	0.00	0.00	0.05	65.71
BBB	1.25	2.76	3.66	16.86	7.00	2.80	2.70	0.11	0.00	0.11	62.73
BB	0.17	0.88	1.95	3.40	13.63	8.62	6.40	0.47	0.00	0.62	63.87
B	0.05	0.64	1.24	3.72	4.60	9.15	3.77	0.55	0.00	2.21	74.07
CCC	0.09	0.44	1.50	5.64	9.60	11.37	2.20	0.88	0.00	4.93	63.35
CC	0.00	0.00	0.00	0.00	1.37	1.37	0.00	0.00	0.00	68.49	28.77
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	1.14	0.03	0.00	0.00	0.00	0.05	0.02	0.00	0.00	0.00	98.76
AA	0.53	0.21	0.01	0.03	0.06	0.00	0.00	0.00	0.00	0.10	99.05
A	0.45	0.52	0.42	0.05	0.00	0.00	0.05	0.00	0.00	0.07	98.43
BBB	0.09	0.25	0.39	0.53	0.39	0.16	0.18	0.11	0.00	0.68	97.23
BB	0.00	0.02	0.12	0.21	0.57	0.94	0.19	0.47	0.00	2.05	95.43
B	0.00	0.00	0.00	0.00	0.00	0.17	0.17	0.08	0.00	2.44	97.14
CCC	0.00	0.00	0.00	0.00	0.00	0.36	0.09	0.00	0.00	7.00	92.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	67.61	32.39
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
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	0.99	1.61	5.66	18.82	26.70	41.62	3.44	0.15	0.00	0.99
CCC	0.26	0.35	2.03	9.88	24.25	30.51	27.95	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	23.57	1.80	0.17	0.19	0.09	0.06	0.00	0.00	0.00
AA	57.73	33.08	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	15.33	40.65	12.82	5.42	5.48	0.18	0.00	0.11
BB	1.83	4.10	9.83	17.63	42.50	9.76	13.11	0.67	0.00	0.58
B	1.46	2.30	7.60	21.49	23.64	38.53	3.38	0.23	0.00	1.38
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	78.08	20.31	1.01	0.15	0.20	0.15	0.10	0.00	0.00	0.00
AA	64.58	29.03	4.80	0.90	0.15	0.31	0.18	0.00	0.00	0.06
A	27.88	22.59	37.18	9.50	1.69	0.71	0.39	0.00	0.00	0.07
BBB	9.23	14.80	15.26	39.41	11.33	4.86	4.75	0.20	0.00	0.16
BB	2.46	5.35	11.14	16.92	41.58	10.53	10.53	0.70	0.00	0.80
B	1.69	3.47	9.40	21.73	21.96	36.29	3.47	0.23	0.00	1.77
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	6.85	6.85	1.37	16.44	0.00	68.49
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	93.20	5.64	0.39	0.08	0.23	0.25	0.23	0.00	0.00	0.00
AA	82.65	15.18	0.78	0.61	0.13	0.25	0.30	0.00	0.00	0.11
A	47.84	26.38	22.97	1.65	0.29	0.36	0.44	0.00	0.00	0.08
BBB	15.34	19.98	20.58	31.01	6.15	3.35	2.67	0.17	0.00	0.74
BB	4.01	8.66	14.56	20.28	34.76	9.65	5.12	0.76	0.00	2.20
B	2.69	5.75	13.82	24.12	20.50	27.18	3.34	0.09	0.00	2.50
CCC	1.00	1.91	7.09	15.09	22.18	25.55	19.73	0.45	0.00	7.00
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
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
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	10.64	17.83	18.13	2.14	0.15	0.00	0.99	47.67
CCC	0.00	0.18	1.41	6.26	18.43	22.05	11.73	1.94	0.00	2.47	35.54
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	52.38
AA	18.27	19.15	6.97	0.97	0.14	0.14	0.10	0.00	0.00	0.04	54.24
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	4.94	6.92	22.32	11.99	4.96	4.98	0.16	0.00	0.11	42.15
BB	0.36	1.54	3.73	8.48	20.26	8.84	12.50	0.60	0.00	0.58	43.10
B	0.23	0.54	1.69	9.06	11.59	11.20	1.23	0.23	0.00	1.38	62.85
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	20.29	17.68	0.70	0.09	0.03	0.11	0.07	0.00	0.00	0.00	61.03
AA	14.10	13.92	4.32	0.62	0.10	0.14	0.04	0.00	0.00	0.06	66.71
A	6.55	9.11	18.27	8.77	1.47	0.51	0.14	0.00	0.00	0.07	55.10
BBB	1.76	3.95	4.80	18.13	9.71	3.93	3.88	0.16	0.00	0.16	53.51
BB	0.27	1.40	3.11	5.35	15.81	8.94	9.28	0.58	0.00	0.80	54.47
B	0.08	1.08	2.08	6.24	7.55	5.93	0.92	0.23	0.00	1.77	74.11
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	1.37	1.37	0.00	0.00	0.00	68.49	28.77
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	1.23	0.04	0.00	0.00	0.00	0.05	0.03	0.00	0.00	0.00	98.66
AA	0.58	0.22	0.02	0.03	0.06	0.00	0.00	0.00	0.00	0.11	98.98
A	0.50	0.57	0.46	0.06	0.00	0.00	0.06	0.00	0.00	0.08	98.28
BBB	0.10	0.27	0.43	0.58	0.43	0.17	0.17	0.12	0.00	0.74	97.00
BB	0.00	0.03	0.13	0.24	0.63	1.05	0.21	0.50	0.00	2.20	95.02
B	0.00	0.00	0.00	0.00	0.00	0.19	0.19	0.09	0.00	2.50	97.03
CCC	0.00	0.00	0.00	0.00	0.00	0.36	0.09	0.00	0.00	7.00	92.55
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	67.61	32.39
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.76	98.24	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.09	1.61	98.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	0.64	99.36	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.87	97.89	1.24	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.74	93.40	4.86	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	0.00	82.14	3.57	0.00	14.29
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00
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	2.79	97.21	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.34	2.49	97.03	0.14	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.10	0.20	1.28	97.44	0.92	0.07	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.10	1.11	93.28	5.04	0.47	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	3.53	90.68	5.80	0.00	0.00	0.00
CCC	0.00	0.00	0.00	0.00	0.00	28.00	62.00	5.00	0.00	5.00
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.00	0.00	50.00
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	5.68	94.32	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.09	4.92	93.75	0.24	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.28	0.54	2.67	94.59	1.76	0.16	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.23	1.95	86.71	10.00	1.11	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	5.48	84.91	9.26	0.18	0.00	0.18
CCC	0.00	0.00	0.00	0.00	0.00	34.88	47.09	8.14	0.00	9.88
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	11.11	0.00	88.89
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	8.55	91.45	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	2.08	7.34	90.31	0.27	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.55	1.05	4.17	91.66	2.30	0.25	0.02	0.00	0.00	0.00
BB	0.00	0.00	0.36	2.55	81.64	13.71	1.65	0.08	0.00	0.00
B	0.00	0.00	0.00	0.14	5.06	83.96	9.39	0.65	0.00	0.79
CCC	0.00	0.00	0.00	0.00	0.00	34.35	45.04	4.58	0.00	16.03
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
Four-year weighted average
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	11.03	88.97	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	3.13	9.21	87.44	0.23	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.75	1.45	5.38	89.62	2.39	0.35	0.06	0.00	0.00	0.00
BB	0.00	0.00	0.43	2.37	78.39	16.27	2.24	0.20	0.00	0.10
B	0.00	0.00	0.00	0.00	1.23	83.24	12.31	1.04	0.00	2.18
CCC	0.00	0.00	0.00	0.00	0.00	0.00	8.33	16.67	0.00	75.00
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	13.29	86.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	4.00	11.07	84.79	0.14	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.91	2.03	6.43	88.40	1.67	0.44	0.12	0.00	0.00	0.00
BB	0.00	0.00	0.57	3.17	80.11	12.99	2.56	0.28	0.00	0.32
B	0.00	0.00	0.00	0.00	1.60	83.24	10.95	1.37	0.00	2.85
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
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	19.59	80.41	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	5.00	18.08	76.73	0.19	0.00	0.00	0.00	0.00	0.00	0.00
BBB	1.32	3.52	11.87	82.42	0.22	0.22	0.44	0.00	0.00	0.00
BB	0.00	0.00	1.85	7.64	87.96	1.62	0.00	0.23	0.00	0.69
B	0.00	0.00	0.00	0.00	5.36	91.96	0.89	0.00	0.00	1.79
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	92.70	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	7.30
AA	1.22	94.96	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.82
A	0.09	1.25	94.99	0.00	0.00	0.00	0.00	0.00	0.00	0.00	3.67
BBB	0.00	0.00	0.64	96.79	0.00	0.00	0.00	0.00	0.00	0.00	2.57
BB	0.00	0.00	0.00	0.62	94.66	1.24	0.00	0.00	0.00	0.00	3.48
B	0.00	0.00	0.00	0.00	0.69	87.85	4.86	0.00	0.00	0.00	6.60
CCC	0.00	0.00	0.00	0.00	0.00	0.00	78.57	3.57	0.00	14.29	3.57
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.00	0.00	80.00	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	76.79	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	23.21
AA	2.07	77.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	20.22
A	0.20	1.90	79.16	0.14	0.00	0.00	0.00	0.00	0.00	0.00	18.61
BBB	0.07	0.11	1.03	81.24	0.88	0.07	0.00	0.00	0.00	0.00	16.60
BB	0.00	0.00	0.06	0.86	78.42	4.98	0.47	0.00	0.00	0.00	15.21
B	0.00	0.00	0.00	0.00	3.23	77.87	5.75	0.00	0.00	0.00	13.16
CCC	0.00	0.00	0.00	0.00	0.00	27.50	49.00	5.00	0.00	5.00	13.50
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.86	0.00	50.00	7.14
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	52.30	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	47.70
AA	2.67	53.72	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	43.61
A	0.50	2.75	56.12	0.20	0.00	0.00	0.00	0.00	0.00	0.00	40.43
BBB	0.12	0.16	1.54	59.53	1.52	0.14	0.00	0.00	0.00	0.00	37.00
BB	0.00	0.00	0.09	1.16	55.35	8.56	0.90	0.00	0.00	0.00	33.94
B	0.00	0.00	0.00	0.00	4.30	60.08	8.55	0.18	0.00	0.18	26.71
CCC	0.00	0.00	0.00	0.00	0.00	31.40	29.65	7.56	0.00	9.88	21.51
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	88.89	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
Three-year weighted average
AAA	28.72	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	71.28
AA	2.49	30.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	67.34
A	0.46	2.90	32.98	0.18	0.00	0.00	0.00	0.00	0.00	0.00	63.47
BBB	0.12	0.17	1.77	37.20	1.75	0.20	0.02	0.00	0.00	0.00	58.76
BB	0.00	0.00	0.08	1.04	33.56	10.34	1.09	0.08	0.00	0.00	53.80
B	0.00	0.00	0.00	0.14	3.18	44.29	7.51	0.58	0.00	0.79	43.50
CCC	0.00	0.00	0.00	0.00	0.00	28.24	26.72	3.82	0.00	16.03	25.19
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
Four-year weighted average
AAA	16.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.81
AA	1.90	17.36	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	80.75
A	0.52	2.21	20.33	0.09	0.00	0.00	0.00	0.00	0.00	0.00	76.86
BBB	0.13	0.09	1.60	24.50	1.51	0.22	0.06	0.00	0.00	0.00	71.88
BB	0.00	0.00	0.03	0.26	20.55	10.84	1.25	0.20	0.00	0.10	66.77
B	0.00	0.00	0.00	0.00	0.19	28.03	9.19	0.85	0.00	2.18	59.56
CCC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	8.33	0.00	75.00	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
Five-year weighted average
AAA	8.54	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	91.46
AA	1.28	9.11	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	89.62
A	0.43	1.39	11.10	0.04	0.00	0.00	0.00	0.00	0.00	0.00	87.04
BBB	0.12	0.12	1.11	14.02	0.95	0.28	0.08	0.00	0.00	0.00	83.32
BB	0.00	0.00	0.00	0.12	9.95	8.08	1.54	0.28	0.00	0.32	79.70
B	0.00	0.00	0.00	0.00	0.23	13.91	7.98	1.03	0.00	2.85	74.00
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
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	0.17	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	99.83
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	0.22	0.00	0.00	0.00	99.78
BB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.23	0.00	0.69	99.07
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.79	98.21
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
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, 2002-2023 (%)
	--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	0.18	0.33	0.48
BB	0.00	0.00	0.00	0.00	0.00	0.09	0.38	0.94	1.71	2.72
B	0.05	0.11	0.11	0.19	0.45	0.82	0.82	1.05	1.31	1.47
CCC	1.75	4.05	6.46	8.76	10.84	12.60	14.14	14.93	15.29	15.44
CC	15.63	15.63	15.63	15.63	15.63	15.63	15.63	15.63	15.63	15.63
IG	0.00	0.00	0.00	0.00	0.00	0.00	0.02	0.04	0.07	0.11
SG	0.36	0.76	1.20	1.68	2.18	2.71	3.21	3.75	4.31	4.94
Overall	0.10	0.21	0.34	0.47	0.61	0.76	0.91	1.08	1.26	1.46
CLO--Collateralized loan obligation. IG--Investment-grade. SG--Speculative-grade. Sources: S&P Global Ratings Credit Research & Insights and S&P Global Market Intelligence's CreditPro®.

Table 26

European CLO rating transitions, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.61	97.39	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.29	93.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	4.53	95.47	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.33	0.66	99.01	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.34	99.66	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	90.03	6.18	3.42	0.32	0.05	0.00	0.00	0.00	0.00	0.00
AA	9.76	85.66	2.36	1.82	0.41	0.00	0.00	0.00	0.00	0.00
A	2.22	10.68	80.55	2.60	3.29	0.40	0.26	0.00	0.00	0.00
BBB	0.24	1.65	8.05	81.84	3.60	2.65	1.95	0.03	0.00	0.00
BB	0.10	0.25	1.01	7.74	82.75	3.71	4.41	0.03	0.00	0.00
B	0.00	0.00	0.10	1.10	8.30	85.65	4.80	0.00	0.00	0.05
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	78.68	13.94	6.69	0.54	0.15	0.00	0.00	0.00	0.00	0.00
AA	19.75	70.73	5.31	3.49	0.70	0.00	0.02	0.00	0.00	0.00
A	6.36	18.01	61.99	5.65	6.74	0.73	0.42	0.10	0.00	0.00
BBB	0.97	4.44	13.46	63.90	7.27	5.81	4.02	0.13	0.00	0.00
BB	0.28	0.81	2.56	14.50	65.85	6.88	9.02	0.11	0.00	0.00
B	0.00	0.06	0.29	2.76	15.15	72.99	8.63	0.00	0.00	0.12
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	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
Three-year weighted average
AAA	67.51	23.43	8.21	0.57	0.28	0.00	0.00	0.00	0.00	0.00
AA	28.68	57.25	9.12	4.10	0.79	0.03	0.03	0.00	0.00	0.00
A	12.83	19.17	47.50	10.32	8.60	0.92	0.46	0.21	0.00	0.00
BBB	2.70	8.07	14.44	48.90	11.49	8.36	5.80	0.25	0.00	0.00
BB	0.54	1.93	4.80	16.91	52.61	10.41	12.61	0.19	0.00	0.00
B	0.00	0.21	0.90	5.54	17.39	65.84	9.98	0.00	0.00	0.14
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	83.87	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
Four-year weighted average
AAA	61.79	29.94	7.59	0.37	0.31	0.00	0.00	0.00	0.00	0.00
AA	36.50	47.50	11.66	3.60	0.68	0.06	0.00	0.00	0.00	0.00
A	19.14	18.76	38.06	14.09	8.39	0.91	0.30	0.34	0.00	0.00
BBB	5.86	10.61	13.77	38.38	14.64	9.66	6.73	0.34	0.00	0.00
BB	1.04	3.40	7.25	17.82	42.73	12.43	15.08	0.25	0.00	0.00
B	0.08	0.78	1.33	7.67	19.03	60.61	10.10	0.16	0.00	0.23
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	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
Five-year weighted average
AAA	61.34	32.66	5.51	0.23	0.26	0.00	0.00	0.00	0.00	0.00
AA	42.84	41.92	12.17	2.43	0.57	0.06	0.00	0.00	0.00	0.00
A	25.31	16.81	33.61	15.80	6.78	1.00	0.20	0.48	0.00	0.00
BBB	9.22	11.69	12.13	33.24	15.48	10.30	7.50	0.44	0.00	0.00
BB	2.18	5.50	8.94	16.58	36.30	13.87	16.32	0.31	0.00	0.00
B	0.26	1.55	2.24	9.57	20.69	55.26	9.48	0.52	0.00	0.43
CCC	0.00	0.11	0.33	5.59	12.81	27.82	39.87	2.63	0.00	10.84
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
10-year weighted average
AAA	78.79	18.86	1.88	0.28	0.19	0.00	0.00	0.00	0.00	0.00
AA	68.65	26.48	3.74	0.76	0.28	0.09	0.00	0.00	0.00	0.00
A	42.13	25.14	21.28	5.43	3.37	1.41	0.11	1.14	0.00	0.00
BBB	16.90	11.99	15.11	27.36	8.45	9.93	8.82	0.90	0.00	0.53
BB	5.99	7.77	9.43	18.80	23.37	17.26	12.93	1.48	0.00	2.97
B	1.09	3.73	6.22	14.77	25.04	34.06	12.44	0.62	0.00	2.02
CCC	0.29	0.59	0.73	8.22	14.98	29.81	29.96	3.08	0.00	12.33
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	90.64	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.36
AA	2.42	96.65	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.93
A	0.00	5.99	92.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.50
BBB	0.00	0.00	4.53	94.17	0.00	0.00	0.00	0.00	0.00	0.00	1.29
BB	0.00	0.00	0.33	0.33	98.03	0.00	0.00	0.00	0.00	0.00	1.32
B	0.00	0.00	0.00	0.00	0.34	98.65	0.00	0.00	0.00	0.00	1.01
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
One-year weighted average
AAA	71.50	6.06	3.40	0.32	0.05	0.00	0.00	0.00	0.00	0.00	18.67
AA	8.17	75.49	2.34	1.82	0.41	0.00	0.00	0.00	0.00	0.00	11.77
A	1.67	10.25	71.86	2.57	3.29	0.40	0.26	0.00	0.00	0.00	9.70
BBB	0.06	1.50	7.55	72.94	3.57	2.65	1.92	0.00	0.00	0.00	9.82
BB	0.00	0.13	1.01	7.26	74.66	3.58	4.41	0.00	0.00	0.00	8.94
B	0.00	0.00	0.10	0.90	8.05	75.40	4.65	0.00	0.00	0.05	10.85
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	46.49	13.51	6.56	0.46	0.15	0.00	0.00	0.00	0.00	0.00	32.83
AA	11.53	51.59	5.26	3.46	0.65	0.00	0.02	0.00	0.00	0.00	27.48
A	4.02	15.68	45.64	5.53	6.74	0.70	0.42	0.10	0.00	0.00	21.18
BBB	0.36	3.18	11.45	47.39	7.10	5.74	3.83	0.06	0.00	0.00	20.89
BB	0.04	0.42	2.14	12.14	50.23	6.14	8.95	0.04	0.00	0.00	19.90
B	0.00	0.06	0.29	2.11	13.62	52.50	8.10	0.00	0.00	0.12	23.19
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	40.63	0.00	15.63	43.75
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	27.63	22.35	7.92	0.43	0.28	0.00	0.00	0.00	0.00	0.00	41.38
AA	10.90	31.06	8.90	4.02	0.68	0.03	0.03	0.00	0.00	0.00	44.39
A	6.03	14.09	25.65	10.04	8.32	0.85	0.46	0.14	0.00	0.00	34.43
BBB	0.96	5.12	10.24	27.10	11.20	8.07	5.16	0.14	0.00	0.00	32.01
BB	0.15	1.04	3.56	11.49	31.26	8.97	12.30	0.08	0.00	0.00	31.14
B	0.00	0.21	0.69	3.81	12.75	35.55	8.18	0.00	0.00	0.14	38.67
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	25.81	0.00	16.13	58.06
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	19.17	27.92	7.01	0.18	0.24	0.00	0.00	0.00	0.00	0.00	45.47
AA	9.55	19.39	11.27	3.45	0.51	0.03	0.00	0.00	0.00	0.00	55.80
A	6.08	10.71	15.61	13.71	7.82	0.80	0.27	0.19	0.00	0.00	44.82
BBB	1.60	5.44	7.30	15.48	14.26	9.09	5.48	0.23	0.00	0.00	41.12
BB	0.33	1.66	4.43	9.08	19.60	10.53	14.55	0.12	0.00	0.00	39.70
B	0.00	0.47	0.63	4.23	10.10	24.43	6.81	0.16	0.00	0.23	52.94
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	10.00	0.00	16.67	73.33
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Five-year weighted average
AAA	16.01	29.26	4.67	0.03	0.13	0.00	0.00	0.00	0.00	0.00	49.90
AA	7.18	12.68	11.48	2.18	0.38	0.00	0.00	0.00	0.00	0.00	66.11
A	5.78	5.94	11.19	15.08	5.90	0.80	0.12	0.24	0.00	0.00	54.95
BBB	2.19	4.19	3.87	9.82	14.88	9.26	5.71	0.32	0.00	0.00	49.76
BB	0.44	2.75	4.10	4.84	11.74	11.47	15.18	0.17	0.00	0.00	49.30
B	0.09	0.43	0.95	4.05	7.33	13.28	4.40	0.34	0.00	0.43	68.71
CCC	0.00	0.11	0.22	2.19	7.56	9.53	13.47	0.88	0.00	10.84	55.20
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.90	0.00	17.24	75.86
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	3.33	1.27	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	95.40
AA	2.84	1.18	0.33	0.09	0.00	0.00	0.00	0.00	0.00	0.00	95.56
A	1.25	2.23	1.85	1.14	0.49	0.43	0.00	0.11	0.00	0.00	92.51
BBB	0.05	0.32	1.11	2.38	2.06	2.01	2.43	0.21	0.00	0.53	88.91
BB	0.00	0.00	0.00	0.59	2.02	2.61	4.21	0.65	0.00	2.97	86.95
B	0.00	0.00	0.00	0.00	0.31	0.16	0.78	0.00	0.00	2.02	96.73
CCC	0.00	0.00	0.00	0.00	0.00	0.15	0.00	0.44	0.00	12.33	87.08
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
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	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	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
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	83.87	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
Four-year weighted average
AAA	52.34	37.46	9.39	0.42	0.38	0.00	0.00	0.00	0.00	0.00
AA	45.20	34.68	14.64	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	7.09	12.62	15.06	27.22	17.73	11.70	8.15	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	1.90	10.97	26.76	44.12	14.45	0.22	0.00	0.34
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	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
Five-year weighted average
AAA	54.43	38.63	6.41	0.23	0.31	0.00	0.00	0.00	0.00	0.00
AA	50.06	31.92	14.38	2.89	0.68	0.08	0.00	0.00	0.00	0.00
A	29.40	17.90	24.28	18.51	7.94	1.17	0.23	0.56	0.00	0.00
BBB	10.65	13.27	12.40	24.75	17.88	11.89	8.66	0.51	0.00	0.00
BB	2.54	6.40	10.36	18.88	26.45	16.04	18.98	0.36	0.00	0.00
B	0.34	2.02	2.91	12.44	26.46	42.26	12.33	0.67	0.00	0.56
CCC	0.00	0.11	0.33	5.59	12.81	27.82	39.87	2.63	0.00	10.84
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
10-year weighted average
AAA	78.62	19.18	1.77	0.24	0.19	0.00	0.00	0.00	0.00	0.00
AA	69.54	25.62	3.69	0.77	0.29	0.10	0.00	0.00	0.00	0.00
A	42.80	25.43	20.13	5.52	3.42	1.43	0.11	1.16	0.00	0.00
BBB	17.09	12.13	15.17	26.66	8.55	10.04	8.92	0.91	0.00	0.53
BB	6.06	7.85	9.53	18.94	22.60	17.45	13.07	1.50	0.00	3.00
B	1.10	3.77	6.28	14.91	25.27	33.44	12.56	0.63	0.00	2.04
CCC	0.29	0.59	0.73	8.22	14.98	29.81	29.96	3.08	0.00	12.33
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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
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	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	40.63	0.00	15.63	43.75
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	25.81	0.00	16.13	58.06
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	17.56	34.97	8.78	0.23	0.31	0.00	0.00	0.00	0.00	0.00	38.15
AA	11.45	15.09	14.23	4.35	0.64	0.04	0.00	0.00	0.00	0.00	54.20
A	7.37	11.98	12.07	16.96	9.68	0.99	0.33	0.23	0.00	0.00	40.39
BBB	1.93	6.45	7.88	12.21	17.27	11.01	6.63	0.28	0.00	0.00	36.34
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	14.22	13.77	9.74	0.22	0.00	0.34	54.09
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	10.00	0.00	16.67	73.33
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	15.88	34.64	5.52	0.04	0.15	0.00	0.00	0.00	0.00	0.00	43.77
AA	7.96	10.74	13.63	2.59	0.45	0.00	0.00	0.00	0.00	0.00	64.63
A	6.67	5.68	10.19	17.66	6.90	0.94	0.14	0.28	0.00	0.00	51.53
BBB	2.53	4.75	3.50	8.57	17.19	10.69	6.59	0.37	0.00	0.00	45.81
BB	0.51	3.20	4.72	5.53	9.24	13.25	17.66	0.20	0.00	0.00	45.69
B	0.11	0.56	1.23	5.27	9.30	6.95	5.72	0.45	0.00	0.56	69.84
CCC	0.00	0.11	0.22	2.19	7.56	9.53	13.47	0.88	0.00	10.84	55.20
CC	0.00	0.00	0.00	0.00	0.00	0.00	0.00	6.90	0.00	17.24	75.86
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	3.40	1.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	95.31
AA	2.87	1.20	0.34	0.10	0.00	0.00	0.00	0.00	0.00	0.00	95.50
A	1.27	2.26	1.88	1.16	0.50	0.44	0.00	0.11	0.00	0.00	92.39
BBB	0.05	0.32	1.12	2.40	2.08	2.03	2.46	0.21	0.00	0.53	88.78
BB	0.00	0.00	0.00	0.60	2.04	2.64	4.26	0.66	0.00	3.00	86.81
B	0.00	0.00	0.00	0.00	0.31	0.16	0.78	0.00	0.00	2.04	96.70
CCC	0.00	0.00	0.00	0.00	0.00	0.15	0.00	0.44	0.00	12.33	87.08
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, 2023 and multi-year averages, NR adjusted (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D
2023
AAA	100.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.61	97.39	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.29	93.71	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	4.53	95.47	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.33	0.66	99.01	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.34	99.66	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	99.71	0.11	0.11	0.06	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.05	98.85	0.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	2.62	97.38	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	0.08	0.34	99.15	0.42	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.36	99.64	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Two-year weighted average
AAA	99.62	0.08	0.23	0.08	0.00	0.00	0.00	0.00	0.00	0.00
AA	1.71	98.15	0.14	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.30	4.19	95.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.33	3.95	95.72	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	0.68	98.75	0.57	0.00	0.00	0.00	0.00
B	0.00	0.00	0.12	0.00	0.62	99.26	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	99.45	0.11	0.33	0.11	0.00	0.00	0.00	0.00	0.00	0.00
AA	2.41	97.39	0.20	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.56	5.78	93.65	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.62	5.62	93.76	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	1.30	97.89	0.81	0.00	0.00	0.00	0.00
B	0.00	0.00	0.18	0.00	0.91	98.91	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Four-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	3.30	96.42	0.29	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.99	7.74	91.27	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	1.09	7.64	91.27	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.23	1.81	96.84	1.13	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.04	98.96	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	98.96	0.21	0.63	0.21	0.00	0.00	0.00	0.00	0.00	0.00
AA	4.40	95.20	0.40	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	1.37	10.44	88.19	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	1.49	10.42	88.10	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.31	2.48	96.58	0.62	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	1.49	98.51	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	87.50	2.50	7.50	2.50	0.00	0.00	0.00	0.00	0.00	0.00
AA	0.00	92.59	7.41	0.00	0.00	0.00	0.00	0.00	0.00	0.00
A	0.00	6.90	93.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BBB	0.00	0.00	9.52	90.48	0.00	0.00	0.00	0.00	0.00	0.00
BB	0.00	0.00	0.00	5.56	94.44	0.00	0.00	0.00	0.00	0.00
B	0.00	0.00	0.00	0.00	0.00	100.00	0.00	0.00	0.00	0.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Securities 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, 2023 and multi-year averages, NR included (%)
From/to	AAA	AA	A	BBB	BB	B	CCC	CC	C	D	NR
2023
AAA	90.64	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	9.36
AA	2.42	96.65	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.93
A	0.00	5.99	92.51	0.00	0.00	0.00	0.00	0.00	0.00	0.00	1.50
BBB	0.00	0.00	4.53	94.17	0.00	0.00	0.00	0.00	0.00	0.00	1.29
BB	0.00	0.00	0.33	0.33	98.03	0.00	0.00	0.00	0.00	0.00	1.32
B	0.00	0.00	0.00	0.00	0.34	98.65	0.00	0.00	0.00	0.00	1.01
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	80.54	0.11	0.11	0.06	0.00	0.00	0.00	0.00	0.00	0.00	19.18
AA	1.00	86.05	0.10	0.00	0.00	0.00	0.00	0.00	0.00	0.00	12.85
A	0.00	2.54	83.98	0.00	0.00	0.00	0.00	0.00	0.00	0.00	13.47
BBB	0.00	0.00	2.13	84.52	0.00	0.00	0.00	0.00	0.00	0.00	13.35
BB	0.00	0.00	0.08	0.25	87.57	0.42	0.00	0.00	0.00	0.00	11.67
B	0.00	0.00	0.00	0.00	0.36	90.61	0.00	0.00	0.00	0.00	9.03
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	57.83	0.00	0.15	0.00	0.00	0.00	0.00	0.00	0.00	0.00	42.02
AA	1.37	68.76	0.14	0.00	0.00	0.00	0.00	0.00	0.00	0.00	29.73
A	0.20	3.59	65.07	0.00	0.00	0.00	0.00	0.00	0.00	0.00	31.14
BBB	0.00	0.22	3.18	65.35	0.00	0.00	0.00	0.00	0.00	0.00	31.25
BB	0.00	0.00	0.00	0.34	71.90	0.57	0.00	0.00	0.00	0.00	27.19
B	0.00	0.00	0.12	0.00	0.49	77.65	0.00	0.00	0.00	0.00	21.73
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	35.71	0.00	0.11	0.00	0.00	0.00	0.00	0.00	0.00	0.00	64.18
AA	1.71	47.34	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	50.95
A	0.42	4.23	43.16	0.00	0.00	0.00	0.00	0.00	0.00	0.00	52.19
BBB	0.00	0.47	3.74	43.21	0.00	0.00	0.00	0.00	0.00	0.00	52.57
BB	0.00	0.00	0.00	0.49	52.03	0.81	0.00	0.00	0.00	0.00	46.67
B	0.00	0.00	0.18	0.00	0.55	60.55	0.00	0.00	0.00	0.00	38.73
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	25.53	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	74.47
AA	2.29	35.82	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	61.89
A	0.60	5.36	30.56	0.00	0.00	0.00	0.00	0.00	0.00	0.00	63.49
BBB	0.00	0.66	4.59	31.00	0.00	0.00	0.00	0.00	0.00	0.00	63.76
BB	0.00	0.00	0.23	0.45	40.18	1.13	0.00	0.00	0.00	0.00	58.01
B	0.00	0.00	0.00	0.00	0.52	49.22	0.00	0.00	0.00	0.00	50.26
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	16.70	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	83.30
AA	3.00	23.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	74.00
A	0.55	7.42	17.03	0.00	0.00	0.00	0.00	0.00	0.00	0.00	75.00
BBB	0.00	0.60	6.25	17.86	0.00	0.00	0.00	0.00	0.00	0.00	75.30
BB	0.00	0.00	0.31	0.62	27.02	0.62	0.00	0.00	0.00	0.00	71.43
B	0.00	0.00	0.00	0.00	0.75	34.33	0.00	0.00	0.00	0.00	64.93
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
10-year weighted average
AAA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
AA	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
A	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BBB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
BB	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
B	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	100.00
CCC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
CC	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
C	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A	N/A
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, June 9, 2023
• Global Methodology And Assumptions For CLOs And Corporate CDOs, June 21, 2019

Related Research

• 2023 Annual Global Corporate Default And Rating Transition Study, March 28, 2024
• 2023 Annual Global Structured Finance Default And Rating Transition Study, March 18, 2024

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