Default, Transition, and Recovery: 2023 Annual Global Leveraged Loan CLO Default And Rating Transition Study

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

...- Collateralized loan obligation (CLO) defaults rose to eight tranches rated by S&P Global Ratings in 2023, from six in 2022. - All eight tranches that defaulted were from U.S. CLO 2.0 vintages, were initially rated in the '##' or 'B' categories, and had been downgraded to the '###' and '##' categories before 2021. - The CLO downgrade rate remained low but increased to near 0.5% in 2023 (from 0.1%), while upgrades outnumbered downgrades and defaults for a third consecutive year. - CLO trends were more positive in Europe, with no defaults or downgrades for a third consecutive year and the upgrade rate rising to a six-year high. Defaults among collateralized loan obligations (CLOs) rated by S&P Global Ratings rose to eight...

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