A History Of U.S. CLO Defaults - a podcast by S&P Global Ratings

Our host, Jim Manzi, is joined by U.S. CLO sector lead Stephen Anderberg, Director Daniel Hu, and research analyst Evan Gunter to do a deep dive into the history of U.S. CLO defaults. Of the 16,000+ CLO tranches that we have rated since the mid-late 1990s, there have been 50 that defaulted. We go over some notable observations and trends (e.g., rating categories, timings, etc.) in our historical data. We also discuss how we look at current tranches that are candidates for a potential default, and what a typical "path to default" might look like.

Related Article - CLO Spotlight: U.S. CLO Defaults As Of March 17, 2022

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