(Editor's Note: In previously published versions of this report, certain COVID-19-affected tranches in Latin America were misclassified. We corrected those classifications in this report.)
S&P Global Ratings took rating actions on 932 rated tranches--638 of which were resolutions of previous CreditWatch placements--across various structured finance sectors globally between Aug. 17, 2020, and Sept. 18, 2020, as a result of the COVID-19 pandemic (see table 1). The regional breakdown is as follows:
- North America: 901 rating actions (54 CreditWatch negative placements, 690 downgrades, 12 downgrades accompanied with CreditWatch negative placements, 11 affirmations after a previous COVID-19-related downgrade and CreditWatch placement, and 134 affirmations);
- Europe, the Middle East, and Africa (EMEA): 11 rating actions (six CreditWatch negative placements and five downgrades); and
- Latin America: 20 rating actions (five downgrades, 14 affirmations, and one rating withdrawn).
Table 1
| Structured Finance Rating Activity For Aug. 17, 2020 - Sept. 18, 2020(i) | ||||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| North America | EMEA | Latin America | ||||||||||||||||||||||||||||||||
| Rating action | ABS whole busines | Aircraft | CLO | CMBS | RMBS | Small Business | Student Loan | TOB | Total | CLO | CMBS | Total | ABS commercial | Receivables | Repack | Total | ||||||||||||||||||
| CreditWatch negative placement | -- | -- | 7 | 1 | -- | -- | -- | 46 | 54 | 5 | -- | 5 | -- | -- | -- | 0 | ||||||||||||||||||
| Downgrade with CreditWatch negative placement | -- | -- | -- | 7 | -- | -- | 5 | -- | 12 | -- | -- | 0 | -- | -- | -- | 0 | ||||||||||||||||||
| Downgrade | 4 | 57 | 283 | 85 | 236 | 2 | -- | 23 | 690 | 4 | 2 | 6 | 4 | -- | 1 | 5 | ||||||||||||||||||
| Affirmation after previous downgrade with CreditWatch negative placement(ii) | -- | 1 | 8 | 2 | -- | -- | -- | -- | 11 | -- | -- | -- | -- | -- | -- | 0 | ||||||||||||||||||
| Affirmation | 3 | 8 | 52 | 22 | 30 | -- | -- | 19 | 134 | -- | -- | 0 | 9 | 5 | -- | 14 | ||||||||||||||||||
| Withdrawal | -- | -- | -- | -- | -- | -- | -- | -- | 0 | -- | -- | 0 | 1 | -- | -- | 1 | ||||||||||||||||||
| Total | 7 | 66 | 350 | 117 | 266 | 2 | 5 | 88 | 901 | 9 | 2 | 11 | 14 | 5 | 1 | 20 | ||||||||||||||||||
| (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. (ii)Ratings that were initially downgraded and placed on CreditWatch with negative implications simultaneously, and then subsequently affirmed at that rating level and removed from CreditWatch. 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. NNN--Triple net. TOB--Tender optoon bond. | ||||||||||||||||||||||||||||||||||
In 2020, 2,284 structured finance rated tranches experienced at least one rating action through Sept. 18, 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: 2,054 rated tranches (253 CreditWatch negative placements, 1,493 downgrades, 17 downgrades accompanied with CreditWatch negative placements, 284 affirmations, and seven withdrawals).
- EMEA: 153 rated tranches (36 CreditWatch negative placements, 60 downgrades, seven downward outlook revisions, 11 ratings lowered and placed on CreditWatch negative, and 39 affirmations).
- Latin America: 73 rated tranches (15 CreditWatch negative placements, 24 downgrades, two downgrades accompanied with CreditWatch negative placements, 22 affirmations, and 10 withdrawals).
- Asia-Pacific (APAC): four rated tranches (one CreditWatch negative placement and three downgrades).
Table 2
| Structured Finance Rated Tranches Having Experienced A COVID-19 Related Rating Action Through Sept. 18, 2020(i) | ||||||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| North America | ||||||||||||||||||||||||||||||||
| Rating action | RMBS | ABS auto loan | ABS auto lease | ABS auto dealer floorplan | ABS whole business | CMBS | Repack | Aircraft | CLO | Student Loan | TOB | VRDO | Small business | Triple net lease ABS | Total | |||||||||||||||||
| CreditWatch negative placement | 163 | 27 | -- | -- | 4 | 1 | -- | -- | 7 | -- | 51 | -- | -- | -- | 253 | |||||||||||||||||
| Downgrade with CreditWatch negative placement | -- | -- | -- | -- | 2 | 8 | 2 | -- | -- | 5 | -- | -- | -- | -- | 17 | |||||||||||||||||
| Downgrade | 502 | 8 | 1 | 6 | 4 | 200 | 12 | 61 | 485 | -- | 206 | 6 | 2 | -- | 1,493 | |||||||||||||||||
| Affirmation | 30 | 1 | 2 | 13 | 3 | 51 | -- | 16 | 120 | -- | 19 | -- | -- | 29 | 284 | |||||||||||||||||
| Withdrawal | -- | -- | -- | -- | -- | 7 | -- | -- | -- | -- | -- | -- | -- | -- | 7 | |||||||||||||||||
| Total(ii) | 695 | 36 | 3 | 19 | 13 | 267 | 14 | 77 | 612 | 5 | 276 | 6 | 2 | 29 | 2,054 | |||||||||||||||||
| EMEA | ||||||||||||||||||||||||||||||||
| Rating action | CMBS | Corporate securitization(iii) | CLO | ABS rental fleet | Covered bonds(iv) | RMBS | ABS | Repack | SME | ABCP | ABS Consumer | Total | ||||||||||||||||||||
| CreditWatch negative placement | -- | 10 | 20 | -- | -- | 2 | 6 | -- | -- | -- | -- | 38 | ||||||||||||||||||||
| Downgrade with CreditWatch negative placement | 1 | 8 | -- | 1 | -- | -- | -- | 1 | -- | -- | -- | 11 | ||||||||||||||||||||
| Downward outlook revision(vi) | -- | -- | -- | -- | 7 | -- | -- | -- | -- | -- | -- | 7 | ||||||||||||||||||||
| Downgrade | 21 | 3 | 17 | -- | -- | 11 | -- | 2 | 4 | 1 | 1 | 60 | ||||||||||||||||||||
| Affirmation | -- | 21 | 4 | -- | -- | 5 | 7 | -- | -- | -- | -- | 37 | ||||||||||||||||||||
| Total(v) | 22 | 42 | 41 | 1 | 7 | 18 | 13 | 3 | 4 | 1 | 1 | 153 | ||||||||||||||||||||
| Latin America | ||||||||||||||||||||||||||||||||
| Rating action | ABS consumer | ABS commercial | CMBS | Future flow | Receivables | Repack | CDO | RMBS | Total | |||||||||||||||||||||||
| CreditWatch negative placement | 8 | -- | -- | -- | 1 | 6 | -- | -- | 15 | |||||||||||||||||||||||
| Downgrade with CreditWatch negative placement | 1 | -- | -- | -- | 1 | -- | -- | -- | 2 | |||||||||||||||||||||||
| Downgrade | 9 | 4 | 1 | 4 | -- | 4 | -- | 2 | 24 | |||||||||||||||||||||||
| Affirmation | 3 | 9 | 2 | -- | 7 | -- | 1 | -- | 22 | |||||||||||||||||||||||
| Withdrawal | 5 | 2 | -- | -- | 3 | -- | -- | -- | 10 | |||||||||||||||||||||||
| Total(v) | 26 | 15 | 3 | 4 | 12 | 10 | 1 | 2 | 73 | |||||||||||||||||||||||
| APAC | ||||||||||||||||||||||||||||||||
| Rating action | ABCP | ABS | Repack | Total | ||||||||||||||||||||||||||||
| CreditWatch negative placement | -- | 1 | -- | 1 | ||||||||||||||||||||||||||||
| Downgrade | 2 | -- | 1 | 3 | ||||||||||||||||||||||||||||
| Total(v) | 2 | 1 | 1 | 4 | ||||||||||||||||||||||||||||
| (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.
Key Publications
- Surveillance Chart Book For EMEA Structured Finance, Sept. 21, 2020; http://www.standardandpoors.com/pt_LA/web/guest/article/-/view/sourceId/100044108
- "Where Do We Go From Here?": Highlights From S&P Global Ratings' 2020 European Structured Finance Conference, Sept. 14, 2020
- SF Credit Brief: U.S. CMBS Delinquency And Forbearance Rates Decline To 8.29% And 8.54%, Respectively, Sept. 11, 2020
- Quarterly U.S. Credit Card Quality Index: Issuance Declines 80% In Second-Quarter 2020, But Performance Remains Steady, Sept. 4, 2020
- How The European CLO Market Has Developed Over 180 Days Of COVID-19, Sept. 2, 2020
- U.K. Mortgage Payment Holiday Risks Emerge As COVID-19 Requests Have Peaked, Sept. 2, 2020
- CLO Portfolio Overlap: European Managers May Look Beyond Their First Choice Of Assets In The COVID-19 Era, Sept. 1, 2020
- CLO Spotlight: Sector Averages Of Reinvesting U.S. BSL CLO Assets: COVID-19 Caused Significant Deterioration In Second-Quarter 2020, Aug. 31, 2020
- Checkup On Not-For-Profit Health Care SBPA-Backed VRDOs In The COVID-19 Era, Aug. 24, 2020
- Can COVID-19 Cause A Cash Crunch For Certain U.S. RMBS? Aug. 21, 2020
- S&P Global Ratings Publishes Surveillance Chart Book For U.S. And Canada Structured Finance, Aug. 20, 2020
- SF Credit Brief: To Pay or Not To Pay: Navigating Through U.S. ABS Auto Loans As They Roll Off Extension Status, Aug. 14, 2020
- U.S. Auto Loan ABS Tracker: June 2020 Performance, Aug. 14, 2020
- Servicer Evaluation Spotlight Report™: Somebody's Watching Me--The Importance Of Quality Call Monitoring In Residential Mortgage Servicing, Aug. 13, 2020
- China Securitization Performance Watch 2Q 2020: The Worst May Have Passed, Aug. 11, 2020
- Leveraged Finance: Monitoring Middle Market Entities Amid COVID-19, Aug. 6, 2020
- Latin America Structured Finance Collateral Performance COVID-19 Update Published, Aug. 6, 2020
- U.S. And Canadian Credit Card ABS Performance Risk Increases As Unemployment Supplements Wane, Aug. 6, 2020
- Tender Option Bond Ratings Recap As Of June 2020: How COVID-19 Has Affected The Secondary Derivative Market, July 31, 2020
- S&P Global Ratings Publishes Surveillance Chart Book For U.S. And Canada Structured Finance, July 30, 2020
- Global Securitization 2020 Issuance Forecast Trimmed By A Quarter, Now At $830B, July 21, 2020
- Update For April 2020 European Corporate Securitizations CreditWatch Placements, July 21, 2020
- 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
- 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
- COVID-19 Is Testing The Resilience Of Global Structured Finance, May 18, 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) 202-383-2028; james.manzi@spglobal.com |
| Brenden J Kugle, Centennial + 1 (303) 721 4619; brenden.kugle@spglobal.com |
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