S&P Global Ratings took rating actions on 364 rated tranches--181 of which were resolutions of previous CreditWatch placements--across various structured finance sectors globally between July 6 and July 24, 2020, as a result of the COVID-19 pandemic. In addition, we extended existing CreditWatch placements on 271 rated tranches, for a total of 635 actions during the aforementioned time period (see table 1). The regional breakdown including CreditWatch extensions is as follows:
- North America: 575 rating actions (255 CreditWatch negative placements, 280 downgrades, 33 affirmations, and seven withdrawals);
- Europe, the Middle East, and Africa (EMEA): 52 rating actions (10 CreditWatch negative placements, 13 downgrades, 13 downgrades accompanied with CreditWatch negative placements, and 16 affirmations);
- Latin America: seven rating actions (five CreditWatch negative placements, and two downgrades); and
- Asia-Pacific (APAC): one downgrade.
Table 1
| Structured Finance Rating Activity For July 6, 2020 - July 24, 2020(i) | ||||||||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| North America | EMEA | Latin America | APAC | |||||||||||||||||||||||||||||||||||||
| Rating action | ABS auto lease | ABS dealer floorplan | CLO | CMBS | RMBS | TOB | WBS | Total | Corp. sec. | CLO | Repack | RMBS | Total | ABS consumer | Future flow | Repack | Total | Repack | Total | |||||||||||||||||||||
| Negative CreditWatch placement | -- | 19 | -- | -- | 232 | -- | 4 | 255 | 10 | -- | -- | -- | 10 | 2 | -- | 3 | 5 | -- | 0 | |||||||||||||||||||||
| Downgrade | 1 | -- | 39 | 73 | 62 | 105 | -- | 280 | 2 | 11 | -- | -- | 13 | -- | 2 | -- | 2 | 1 | 1 | |||||||||||||||||||||
| Downgrade with negative CreditWatch placement | -- | -- | -- | -- | -- | -- | -- | 0 | 3 | 9 | 1 | -- | 13 | -- | -- | -- | 0 | -- | 0 | |||||||||||||||||||||
| Affirmation | 2 | -- | 9 | 22 | -- | -- | -- | 33 | 11 | 4 | -- | 1 | 16 | -- | -- | -- | 0 | -- | 0 | |||||||||||||||||||||
| Withdrawal | -- | -- | -- | 7 | -- | -- | -- | 7 | -- | -- | -- | -- | 0 | -- | -- | -- | 0 | -- | 0 | |||||||||||||||||||||
| Total | 3 | 19 | 48 | 102 | 294 | 105 | 4 | 575 | 26 | 24 | 1 | 1 | 52 | 2 | 2 | 3 | 7 | 1 | 1 | |||||||||||||||||||||
| (i)Based on an aggregate count of rating actions listed in our public press releases published in the week indicated. We will be updating this summary table on a weekly basis, which may be subject to revisions from time to time. For the most up-to-date version, refer to the most recent publication. EMEA--Europe, Middle East, and Africa. APAC--Asia-Pacific. RMBS-Residential mortgage-backed securities. CLO--Collateralized loan obligations. Corp. Sec.--Corporate securitizations. ABS--Asset-backed securities. CMBS--Commercial mortgage-backed securities. TOB--Tender optoon bond. | ||||||||||||||||||||||||||||||||||||||||
In 2020, 1,782 structured finance rated tranches experienced at least one rating action through July 24, due to the impact of the COVID-19 pandemic and/or the decline in oil and gas prices (see the chart and table 2). The regional breakdown is as follows:
- North America: 1,564 rated tranches (1,021 CreditWatch negative placements, 450 downgrades, 45 downgrades accompanied with CreditWatch negative placements, 41 affirmations, and seven withdrawals).
- EMEA: 143 rated tranches (46 CreditWatch negative placements, 49 downgrades, seven downward outlook revisions, 11 ratings lowered and placed on CreditWatch negative, and 30 affirmations).
- Latin America: 72 rated tranches (43 CreditWatch negative placements, 19 downgrades, nine downgrades accompanied with CreditWatch negative placements, and one withdrawal).
- Asia-Pacific (APAC): three downgrades.
Table 2
| Structured Finance Rated Tranches Having Experienced A COVID-19 Related Rating Action Through July 24, 2020(i) | ||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| North America | ||||||||||||||||||||||||||||||
| Rating action | RMBS | ABS auto loan | ABS auto lease | ABS auto dealer floorplan | ABS whole business | CMBS | Repack | Aircraft | CLO | TOB | VRDO | Small business | Triple net lease ABS | Total | ||||||||||||||||
| Downgrade | 181 | -- | 1 | -- | -- | 83 | 12 | 3 | 43 | 121 | 6 | -- | -- | 450 | ||||||||||||||||
| CreditWatch negative placement | 232 | 33 | -- | 19 | 11 | 118 | -- | 43 | 530 | 5 | -- | 1 | 29 | 1,021 | ||||||||||||||||
| Downgrade with CreditWatch negative placement | -- | -- | -- | -- | 2 | 3 | 2 | 23 | 15 | -- | -- | -- | -- | 45 | ||||||||||||||||
| Affirmation | -- | -- | 2 | -- | -- | 22 | -- | 8 | 9 | -- | -- | -- | -- | 41 | ||||||||||||||||
| Withdrawal | -- | -- | -- | -- | -- | 7 | -- | -- | -- | -- | -- | -- | -- | 7 | ||||||||||||||||
| Total(ii) | 413 | 33 | 3 | 19 | 13 | 233 | 14 | 77 | 597 | 126 | 6 | 1 | 29 | 1,564 | ||||||||||||||||
| EMEA | ||||||||||||||||||||||||||||||
| Rating action | CMBS | Corporate securitization(iii) | CLO | ABS rental fleet | Covered bonds(iv) | RMBS | ABS | Repack | SME | ABCP | ABS Consumer | Total | ||||||||||||||||||
| Downgrade | 21 | 2 | 11 | -- | -- | 11 | -- | 2 | -- | 1 | 1 | 49 | ||||||||||||||||||
| CreditWatch negative placement | -- | 10 | 19 | -- | -- | 3 | 13 | 1 | 2 | -- | -- | 48 | ||||||||||||||||||
| Downward outlook revision(vi) | -- | -- | -- | -- | 7 | -- | -- | -- | -- | -- | -- | 7 | ||||||||||||||||||
| Downgrade with CreditWatch negative placement | 1 | 8 | -- | 1 | -- | -- | -- | -- | -- | -- | -- | 10 | ||||||||||||||||||
| Affirmation | -- | 21 | 4 | -- | -- | 4 | -- | -- | -- | -- | -- | 29 | ||||||||||||||||||
| Total(v) | 22 | 41 | 34 | 1 | 7 | 18 | 13 | 3 | 2 | 1 | 1 | 143 | ||||||||||||||||||
| Latin America | ||||||||||||||||||||||||||||||
| Rating action | ABS consumer | ABS commercial | CMBS | Future flow | Receivables | Repack | CDO | RMBS | Total | |||||||||||||||||||||
| Downgrade | 9 | -- | -- | 4 | 1 | 3 | -- | 2 | 19 | |||||||||||||||||||||
| CreditWatch negative placement | 17 | 8 | 2 | -- | 10 | 6 | -- | -- | 43 | |||||||||||||||||||||
| Downgrade with CreditWatch negative placement | -- | 3 | -- | 1 | 4 | -- | 1 | -- | 9 | |||||||||||||||||||||
| Withdrawal | 1 | -- | -- | -- | -- | -- | -- | -- | 1 | |||||||||||||||||||||
| Total(v) | 27 | 11 | 2 | 5 | 15 | 9 | 1 | 2 | 72 | |||||||||||||||||||||
| APAC | ||||||||||||||||||||||||||||||
| Rating action | ABCP | Repack | Total | |||||||||||||||||||||||||||
| Downgrade | 2 | 1 | 3 | |||||||||||||||||||||||||||
| Total(v) | 2 | 1 | 3 | |||||||||||||||||||||||||||
| (i)Based on an aggregate count of rated tranches that have experienced at least one rating action listed in our public press releases. The summary table includes the most recent rating action for the rated tranche. We will be updating this summary table on a weekly basis, which may be subject to revisions from time to time. For the most up-to-date version, refer to the most recent publication. (ii)Generally includes all public rating actions related to the COVID-19 impact and/or the decline in oil prices. (iii)Includes seven SPURs. (iv)Outlooks generally limited to covered bonds. (v)Generally includes all public rating actions related to the COVID-19 impact. (vi)Generally applicable to covered bonds; can include movements from positive to stable and stable to negative. RMBS--Residential mortgage-backed securities. ABS--Asset-backed securities. CLO--Collateralized loan obligations. CMBS--Commercial mortgage-backed securities. TOB--Tender option bond. VRDO--Variable rate demand obligations. EMEA--Europe, the Middle East, and Africa. CDO--Collateralized debt obligations. SME--Small and medium-sized enterprises. ABCP--Asset-backed commercial paper. SPURs--S&P Global Ratings underlying ratings. APAC--Asia-Pacific. | ||||||||||||||||||||||||||||||
S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The consensus among health experts is that the pandemic may now be at, or near, its peak in some regions but will remain a threat until a vaccine or effective treatment is widely available, which may not occur until the second half of 2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.
Copy and paste the below URL into your browser to download an Excel workbook containing a list of rating actions for the previous two weeks:
https://www.spglobal.com/ratings/_division-assets/excel/101COVID19ActivityJuly24.xls
Key Publications
- S&P Global Ratings Publishes Surveillance Chart Book For U.S. And Canada Structured Finance, July 30, 2020
- Update For April 2020 European Corporate Securitizations CreditWatch Placements, July 21, 2020
- Surveillance Chart Book For EMEA Structured Finance, July 20, 2020; http://www.standardandpoors.com/pt_LA/web/guest/article/-/view/sourceId/100044108
- SF Credit Brief: Though Still Elevated, Drops In May Extensions Are The First Signs Of A Possible Road To U.S. Auto Loan ABS COVID-19 Recovery, July 16, 2020
- Economic Research: Canadian House Prices Are Likely To Decline Sharply Into Next Year; Strong Fundamentals Restrain Broader Housing Market Risks For Now, July 16, 2020
- U.S. CMBS Conduit Update Q2 2020: COVID-19 Impact Still Emerging; Questions Remain, July 16, 2020
- CLO Spotlight: U.S. CLO Exposure To Negative Corporate Rating Actions (As Of July 12, 2020), July 14, 2020
- S&P Global Ratings Publishes Surveillance Chart Book For U.S. And Canada Structured Finance, July 13, 2020
- Student Housing In The COVID-19 Pandemic Era: School's Out, But For How Long? July 9, 2020
- How COVID-19 Will Change Covered Bonds, July 8, 2020
- SF Credit Brief: U.S. CMBS Delinquency Rate Experiences Another Steep Rise; However, A Decline In Grace Status May Flatten The Future Delinquency Curve, July 7, 2020
- Vacancy Up, Ratings Down? European Office CMBS Transactions After COVID-19, June 29, 2020
- Investment-Grade U.K. And Dutch RMBS Ratings Likely To Remain Resilient To COVID-19 Effects, June 29, 2020
- SF Credit Brief: U.S. Auto Loan Extension Congestion Partially Clears Up In May, June 22, 2020
- Proposed California Legislation To Provide Further Borrower Relief Could Negatively Affect Auto Loan ABS, June 18, 2020
- LatAm SF: In The Thick Of The Pandemic, June 12, 2020
- Credit FAQ: How COVID-19 Is Affecting ABCP, June 12, 2020
- Servicer Evaluation Spotlight Report™: Are Special Servicers Poised For A "Prime" Comeback Due To COVID-19?, June 8, 2020
- Credit FAQ: How European ABS And RMBS Servicers Are Managing COVID-19 Disruption And Payment Holidays, June 4, 2020
- SF Credit Brief: Will Spring U.S. Auto Loan Extensions Bring Summer Payments?, June 4, 2020
- How Credit Distress Due To COVID-19 Could Affect Irish Reperforming RMBS, June 3, 2020
- Non-QM RMBS And COVID-19: Locking Down States' Exposure, June 1, 2020
- Under Stress: Assessing CLO Manager Performance During COVID-19, June 1, 2020
- Latin America COVID-19 Bi-Weekly Update, June 1, 2020
- Credit FAQ: Reporting Requirements For COVID-19 Payment Holidays In European Structured Finance, May 27, 2020
- Canadian Credit Card Quality Index: COVID-19 Has Slammed The Brakes On First-Quarter Issuance, May 26, 2020
- Credit FAQ: How Will COVID-19 Affect Australian RMBS Ratings?, May 24, 2020
- COVID-19 Is Testing The Resilience Of Global Structured Finance, May 18, 2020
- China Securitization Performance Watch 1Q 2020: COVID Pain Still To Come, May 18, 2020
- SF Credit Brief: Over Half Of CLOs In CLO Insights Index Have Ratings On Watch; About 10% Paid Down Senior Notes Due To Interest Diversion, May 15, 2020
- U.S. Auto Loan ABS Tracker: March 2020 Performance, May, 12, 2020
- European Auto And Consumer ABS: Analysis Adjusted To Reflect COVID-19 Effects, May 11, 2020
- European CMBS: Assessing The Liquidity Risks Caused By COVID-19, May 6, 2020
- How COVID-19 Changed The European CLO Market In 60 Days, May 6, 2020
- Credit FAQ: Webinar Follow-Up: Challenging Times Ahead For Latin American Rated Entities Amid COVID-19, May 5, 2020
- SF Credit Brief: While Stay-At-Home Orders Clear Traffic, U.S. Auto Loan Extensions Rise, May 1, 2020
This report does not constitute a rating action.
| Primary Credit Analyst: | Winston W Chang, New York + 1 (212) 438 8123; winston.chang@spglobal.com |
| Secondary Contacts: | James M Manzi, CFA, Washington D.C. (1) 434-529-2858; james.manzi@spglobal.com |
| Brenden J Kugle, Centennial + 1 (303) 721 4619; brenden.kugle@spglobal.com |
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