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In This List
COMMENTS

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

Capital Markets View - October 2020

COMMENTS

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

NEWS

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

COMMENTS

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  • Latin America: 20 rating actions (five downgrades, 14 affirmations, and one rating withdrawn).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).

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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

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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