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

S&P Global Ratings took 187 rating actions across the various structured finance sectors globally during the week ended June 19, 2020, as a result of the COVID-19 pandemic (see table 1). The regional breakdown is as follows:

  • North America: 171 rating actions (41 CreditWatch negative placements, 104 downgrades, 22 downgrades accompanied with CreditWatch negative placements, and four affirmations).
  • Europe, the Middle East, and Africa (EMEA): two downgrades.
  • Latin America: 14 rating actions (11 CreditWatch negative placements, two downgrades, and one downgrade accompanied with a CreditWatch negative placement).

Table 1

Structured Finance Rating Activity For June 15, 2020 - June 19, 2020(i)
North America EMEA Latin America
Rating action Aircraft RMBS CMBS Total ABS consumer RMBS Total ABS Commercial ABS consumer Receivables RMBS Total
Negative CreditWatch placement 40 -- 1 41 -- -- 0 7 -- -- -- 7
Downgrade 7 97 -- 104 1 1 2 -- 1 -- 1 2
Downgrade with negative CreditWatch placement 20 -- 2 22 -- -- 0 1 -- 4 -- 5
Affirmation 4 -- -- 4 -- -- 0 -- -- -- -- 0
Total 71 97 3 171 1 1 2 8 1 4 1 14
(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. ABS--Asset-backed securities. CMBS--Commercial mortgage-backed securities. ABCP--Asset-backed commercial paper.

In 2020, 1,468 structured finance rated tranches experienced at least one rating action through June 19, 2020, due to the impact of the COVID-19 pandemic and/or the decline in oil and gas prices (see chart 1 and table 2). The regional breakdown is as follows:

  • North America: 1,275 rated tranches (1,049 CreditWatch negative placements, 178 downgrades, 44 downgrades accompanied with CreditWatch negative placements, and four affirmations).
  • EMEA: 124 rated tranches (95 CreditWatch negative placements, 20 downgrades, seven downward outlook revisions, one rating lowered and placed on CreditWatch negative, and one affirmation).
  • Latin America: 67 rated tranches (40 CreditWatch negative placements, 17 downgrades, nine downgrades accompanied with CreditWatch negative placements, and one withdrawal).
  • APAC: two downgrades.

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Table 2

Structured Finance Rated Tranches Having Experienced A COVID-19 Related Rating Action Through June 19, 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 115 -- -- -- -- -- 21 7 4 25 6 -- -- 178
Negative CreditWatch placement 238 33 3 19 11 220 2 43 425 25 -- 1 29 1049
Downgrade with negative CreditWatch placement -- -- -- -- 2 3 -- 23 15 1 -- -- -- 44
Affirmation -- -- -- -- -- -- -- 4 -- -- -- -- -- 4
Total(ii) 353 33 3 19 13 223 23 77 444 51 6 1 29 1,275
EMEA
Rating action CMBS Corporate securitization(iii) CLO ABS rental fleet Covered bonds(iv) RMBS ABS Repack SME ABCP ABS Consumer Total
Downgrade 10 -- -- -- -- 6 -- 2 -- 1 1 20
Negative CreditWatch placement 3 41 25 -- 6 10 7 1 2 -- -- 95
Downward outlook revision(vi) -- -- -- -- 7 -- -- -- -- -- -- 7
Downgrade with negative CreditWatch placement -- -- -- 1 -- -- -- -- -- -- -- 1
Affirmation -- -- -- -- -- 1 -- -- -- -- -- 1
Total(v) 13 41 25 1 13 17 7 3 2 1 1 124
Latin America
Rating action ABS consumer ABS commercial CMBS Future flow Receivables Repack CDO RMBS Total
Downgrade 9 -- -- 2 1 3 -- 2 17
Negative CreditWatch placement 17 8 2 -- 10 3 -- -- 40
Downgrade with negative CreditWatch placement -- 3 -- 1 4 -- 1 -- 9
Withdrawal 1 -- -- -- -- -- -- -- 1
Total(v) 27 11 2 3 15 6 1 2 67
APAC
Rating action ABCP Total
Downgrade 2 2
Total(v) 2 2
(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.

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/100044623

Key Publications

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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