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

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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on CreditWatch negative, seven downgrades, four ratings lowered and placed on CreditWatch negative, and one rating withdrawn).

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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.

Copy and paste the below URL into your browser to download an Excel workbook containing a list of rating actions for the previous week:

https://www.spglobal.com/ratings/_division-assets/excel/89COVID19ActivityJune5.xls

Key Publications

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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