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COMMENTS

COVID-19 Activity In Global Structured Finance For The Week Ending June 5, 2020


COVID-19 Activity In Global Structured Finance For The Week Ending June 5, 2020

S&P Global Ratings took 119 rating actions across the various structured finance sectors globally during the week ended June 5, 2020, as a result of the COVID-19 pandemic (see table 1). The regional breakdown is as follows:

  • North America: 97 CreditWatch negative placements, two downgrades, and four downgrades accompanied with CreditWatch negative placements; and
  • Europe, the Middle East, and Africa (EMEA): six CreditWatch negative placements, nine downgrades, and one downward outlook revision.

Table 1

Structured Finance Rating Activity For June 1, 2020 - June 5, 2020(i)
North America EMEA
Rating action CMBS CLO Repack Total CMBS RMBS Covered bonds Total
Negative CreditWatch placement 96 1 -- 97 -- -- 6 6
Downgrade -- 1 1 2 8 1 -- 9
Downgrade with negative CreditWatch placement -- 4 -- 4 -- -- -- 0
Downward outlook revision -- -- -- -- -- -- 1 1
Total 96 6 1 103 8 1 7 16
(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)Downward outlook revisions may include movements from positive to stable or stable to negative. EMEA--Europe, Middle East, and Africa. CLO--Collateralized loan obligation. RMBS-Residential mortgage-backed securities.

In 2020, there are 1,324 structured finance rated tranches that have experienced at least one rating action through June 5, 2020, due to the impact of the COVID-19 pandemic and/or the decline in oil and gas prices (see the below chart 1 and table 2). The regional breakdown is as follows:

  • North America: 1,160 rated tranches (1,083 placed on CreditWatch negative, 64 downgrades, and 13 ratings lowered and placed on CreditWatch negative);
  • EMEA: 114 rated tranches (92 placed on CreditWatch negative, 14 downgrades, seven rating outlooks revised downward, and one affirmation); and
  • Latin America: 50 rated tranches (38 placed on CreditWatch negative, seven downgrades, four ratings lowered and placed on CreditWatch negative, and one rating withdrawn).

image

Table 2

Structured Finance Rated Tranches Having Experienced A COVID-19 Related Rating Action Through June 5, 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 Triple net lease ABS Total
Downgrade 11 -- -- -- -- -- 21 -- 1 25 6 -- 64
Negative CreditWatch placement 238 33 3 19 11 220 2 74 428 25 -- 29 1082
Downgrade with negative CreditWatch placement -- -- -- -- 2 -- -- 3 8 1 -- -- 14
Total(ii) 249 33 3 19 13 220 23 77 437 51 6 29 1160
EMEA
Rating action CMBS Corporate securitization(iii) CLO ABS rental fleet Covered bonds(iv) RMBS ABS Repack SME ABCP Total
Downgrade 8 -- -- -- -- 3 -- 2 -- 1 14
Negative CreditWatch placement 3 41 18 1 6 13 7 1 2 -- 92
Downward outlook revision(vi) -- -- -- -- 7 -- -- -- -- -- 7
Affirmation -- -- -- -- -- 1 -- -- -- -- 1
Total(v) 11 41 18 1 13 17 7 3 2 1 114
Latin America
Rating action ABS consumer ABS commercial CMBS Future flow Receivables Repack CDO RMBS Total
Downgrade -- -- -- 2 1 3 -- 1 7
Negative CreditWatch placement 18 1 2 -- 14 3 -- -- 38
Downgrade with negative CreditWatch placement -- 2 -- 1 -- -- 1 -- 4
Withdrawal 1 -- -- -- -- -- -- -- 1
Total(v) 19 3 2 3 15 6 1 1 50
(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. EMEA--Europe, the Middle East, and Africa. ABS--Asset-backed securities. CLO--Collateralized loan obligation. CMBS--Commercial mortgage-backed securities. TOB--Tender option bond. VRDO--Variable rate demand obligation. CDO--Collateralized debt obligation. SME--Small and medium-sized enterprise. ABCP-- Asset-backed commercial paper. SPURs--S&P Global Ratings underlying ratings.

S&P Global Ratings acknowledges a high degree of uncertainty about the rate of spread and peak of the coronavirus outbreak. Some government authorities estimate the pandemic will peak about midyear, and we are using this assumption in assessing the economic and credit implications. We believe the measures adopted to contain COVID-19 have pushed the global economy into recession (see our macroeconomic and credit updates here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

An Excel workbook containing a list of rating actions for the previous week can be downloaded at https://www.standardandpoors.com/web/guest/article/-/view/sourceId/100044255

Key Publications

  • CDO Spotlight: A Breakdown Of U.S. CLO CreditWatch Negative Placements (As Of June 1, 2020), June 5, 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
  • S&P Global Ratings Publishes Surveillance Chart Book For EMEA Structured Finance, June 2, 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
  • Effects Of COVID-19 On U.S. Student Loan ABS, April 30, 2020
  • U.S. Single-Tenant Triple-Net Securitizations’ Near-Term Liquidity Substantially Strained Amid COVID-19 Crisis, April 28, 2020
  • Small Business ABS Credit Quality Hinges On Pandemic Duration And Stimulus Efficacy, April 28, 2020
  • COVID-19 Elevates Risks For U.S. Auto Dealer Floorplan ABS, April 27, 2020
  • Scenario Analysis: How Credit Distress Due To COVID-19 Could Affect U.S. CLO Ratings, April 24, 2020
  • COVID-19 Tracker: Multi-Seller FIDCs Sector Highlights, April 23, 2020
  • CLO Spotlight: Redesigning The CLO Blueprint After COVID-19, April 21, 2020
  • Inside Global ABCP: Ratings Remain Stable Under COVID-19 Related Market Uncertainties, April 21, 2020
  • U.S. CMBS Conduit Update Q1 2020: The Magnitude Of COVID-19 Fallout Remains Uncertain, April 17, 2020
  • Container And Railcar Leasing ABS Risks In Light Of COVID-19, April 15, 2020
  • COVID-19 Fallout Threatens Mexican Equipment ABS Performance, April 15, 2020
  • Credit FAQ: U.S. CLOs In The Time Of Coronavirus - Webinar Follow Up, April 15, 2020
  • U.S. CLO Exposure To Negative Corporate Rating Actions (As Of April 12, 2020), April 14, 2020
  • U.S. Commercial Small-Ticket ABS Will Be First In Sector To Feel Impact Of COVID-19, April 13, 2020
  • Servicer Evaluation Spotlight Report™: U.S. Residential Mortgage Servicers Gear Up To Face COVID-19 Related Challenges, April 10, 2020
  • S&P Global Ratings May Add Additional Qualitative Factors When Rating CLO Tranches Due To Changing Credit Dynamics, April 9, 2020
  • Assessing The Potential Credit Effects Of COVID-19 On U.S. ABCP, April 9, 2020
  • European Credit Card ABS: Assessing The Credit Effects Of COVID-19, April 9, 2020
  • Credit FAQ: How Will COVID-19 Affect Japanese Structured Finance?, April 8, 2020
  • Credit FAQ: The Role Of Servicer Advances In U.S. RMBS Amidst COVID-19, April 8, 2020
  • Servicer Evaluation Spotlight Report™: U.S. Commercial Mortgage Servicers Preparing For Impact From COVID-19, April 3, 2020
  • VRDO Issuance Is Down Due To COVID-19 Concerns, April 3, 2020
  • COVID-19: Coronavirus-Related Public Rating Actions On Nonfinancial Corporations And Affected European CLOs, April 2, 2020
  • COVID-19 Containment Measures Put U.S. Timeshare Loan Payments To The Test, April 2, 2020
  • Credit FAQ: A Deeper Dive Into The Potential Credit Effects Of COVID-19 On European CMBS, April 2, 2020
  • Scenario Analysis: How Credit Distress Due To COVID-19 Could Affect European CLO Ratings, April 2, 2020
  • Credit FAQ: How Will COVID-19 Affect Australian And New Zealand ABS Transactions?, April 1, 2020
  • European ABS And RMBS: Assessing The Credit Effects Of COVID-19, March 30, 2020
  • COVID-19 Credit Update: Latin America Structured Finance Is In Lockdown, March 27, 2020
  • The Potential Effects Of COVID-19 On U.S. Auto Loan ABS, March 26, 2020
  • European Corporate Securitizations: Assessing The Credit Effects Of COVID-19, March 26, 2020
  • Credit FAQ: What Do The First Performance Reports Reveal About COVID-19's Effects On China Auto ABS And RMBS?, March 26, 2020
  • European CLOs: Assessing The Credit Effects Of COVID-19, March 25, 2020
  • Credit FAQ: Assessing The Credit Effects Of COVID-19 On U.S. And Canadian Credit Card ABS, March 25, 2020
  • Credit FAQ: How Will COVID-19 Affect Australian Structured Finance?, March 25, 2020
  • Global Covered Bonds: Assessing The Credit Effects Of COVID-19, March 25, 2020
  • European CMBS: Assessing The Credit Effects Of COVID-19, March 24, 2020
  • Insurance-Backed Securitizations Likely To Show Near-Term Resilience To COVID-19, March 24, 2020
  • U.S. Lodging-Backed CMBS Bracing For The Impact Of COVID-19, March 23, 2020
  • Credit FAQ: Assessing The Credit Effects Of COVID-19 On U.S. RMBS, March 20, 2020
  • U.S. Whole Business Securitizations Under Stress From COVID-19, March 18, 2020
  • CLO Spotlight: Coronavirus Will Put U.S. CLO Diversity And Managers To The Test, March 13, 2020
  • Credit FAQ: Will Mortgage Payment Suspensions Related To COVID-19 Affect European RMBS?, March 13, 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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