articles Ratings /ratings/en/research/articles/200924-covid-19-activity-in-global-structured-finance-as-of-sept-18-2020-11664067 content
Log in to other products

Login to Market Intelligence Platform


Looking for more?

Request a Demo

You're one step closer to unlocking our suite of comprehensive and robust tools.

Fill out the form so we can connect you to the right person.

If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ.

  • First Name*
  • Last Name*
  • Business Email *
  • Phone *
  • Company Name *
  • City *
  • We generated a verification code for you

  • Enter verification Code here*

* Required

Thank you for your interest in S&P Global Market Intelligence! We noticed you've identified yourself as a student. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. Please contact your professors, library, or administrative staff to receive your student login.

At this time we are unable to offer free trials or product demonstrations directly to students. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. We apologize for any inconvenience this may cause.

In This List

COVID-19 Activity In Global Structured Finance As Of Sept. 18, 2020

Capital Markets View - October 2020


SF Credit Brief: CLO Insights: How Middle Market CLOs Are Faring During COVID; Second Quote Book Published


Ratings Raised In Spanish RMBS Transactions AyT Caja Murcia I And II; AyT Caja Murcia I's Class A Notes Affirmed


U.S. Auto Loan ABS Tracker: August 2020 Performance

COVID-19 Activity In Global Structured Finance As Of Sept. 18, 2020

(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
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
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: As the situation evolves, we will update our assumptions and estimates accordingly.

Key Publications

This report does not constitute a rating action.

Primary Credit Analyst:Winston W Chang, New York (1) 212-438-8123;
Secondary Contacts:James M Manzi, CFA, Washington D.C. (1) 202-383-2028;
Brenden J Kugle, Centennial + 1 (303) 721 4619;

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and and (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: