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COVID-19 Activity In Global Structured Finance As Of Oct. 16, 2020

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COVID-19 Activity In Global Structured Finance As Of Oct. 16, 2020

S&P Global Ratings took rating actions on 249 rated tranches across various structured finance sectors globally between Sept. 21 and Oct. 16 due to the COVID-19 pandemic (see table 1). The rating actions include the resolution of 172 ratings that were previously placed on CreditWatch negative. The regional breakdown is as follows:

  • North America: 227 rating actions (98 downgrades and 129 affirmations).
  • Europe, the Middle East, and Africa (EMEA): 17 rating actions (five CreditWatch negative placements, eight downgrades, two downward outlook revisions, and two affirmations).
  • Latin America: five rating actions (one downgrade and four affirmations).

Table 1

Structured Finance Rating Activity For Sept. 21, 2020 - Oct. 16, 2020(i)
North America EMEA Latin America
Rating action Auto Loan CMBS RMBS Student Loan TOB Total CLO Covered Bonds Repack RMBS Total ABS consumer Total
CreditWatch negative placement -- -- -- -- -- 0 -- -- -- 5 5 -- 0
Downgrade with CreditWatch negative placement -- -- -- -- -- 0 -- -- -- -- 0 -- 0
Downgrade -- 2 119 1 7 129 6 -- 1 1 8 1 1
Downward outlook revision -- -- -- -- -- 0 -- 2 -- -- 2 -- 0
Affirmation after previous downgrade with CreditWatch negative placement(ii) 3 1 94 -- -- 98 2 -- -- -- 2 4 4
Withdrawal -- -- -- -- -- 0 -- -- -- -- 0 -- 0
Total 3 3 213 1 7 227 8 2 1 6 17 5 5
(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, 2,363 structured finance rated tranches experienced at least one rating action through Oct. 16, due to the impact of the pandemic and/or the decline in oil and gas prices (see the chart and table 2). The regional breakdown is as follows:

  • North America: 2,125 rated tranches (93 CreditWatch negative placements, 16 ratings lowered and placed on CreditWatch negative, 1,624 downgrades, 385 affirmations, and seven withdrawals).
  • EMEA: 162 rated tranches (35 CreditWatch negative placements, 11 ratings lowered and placed on CreditWatch negative, nine downward outlook revisions, 68 downgrades, and 39 affirmations).
  • Latin America: 72 rated tranches (nine CreditWatch negative placements, one rating lowered and placed on CreditWatch negative, 25 downgrades, 27 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 Oct. 16, 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 13 24 -- -- 4 1 -- -- 7 -- 44 -- -- -- 93
Downgrade with CreditWatch negative placement -- -- -- -- 2 7 2 -- -- 5 -- -- -- -- 16
Downgrade 623 8 1 6 4 202 12 61 485 1 213 6 2 -- 1,624
Affirmation 127 4 2 13 3 52 -- 16 120 -- 19 -- -- 29 385
Withdrawal -- -- -- -- -- 7 -- -- -- -- -- -- -- -- 7
Total(ii) 763 36 3 19 13 269 14 77 612 6 276 6 2 29 2,125
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 12 -- -- 7 6 -- -- -- -- 35
Downgrade with CreditWatch negative placement 1 8 -- 1 -- -- -- 1 -- -- -- 11
Downward outlook revision(v) -- -- -- -- 9 -- -- -- -- -- -- 9
Downgrade 21 3 23 -- -- 12 -- 3 4 1 1 68
Affirmation -- 21 6 -- -- 5 7 -- -- -- -- 39
Total(vi) 22 42 41 1 9 24 13 4 4 1 1 162
Latin America
Rating action ABS consumer ABS commercial CMBS Future flow Receivables Repack CDO RMBS Total
CreditWatch negative placement 2 -- -- -- 1 6 -- -- 9
Downgrade with CreditWatch negative placement -- -- -- -- 1 -- -- -- 1
Downgrade 10 4 1 4 -- 4 -- 2 25
Affirmation 8 9 2 -- 7 -- 1 -- 27
Withdrawal 5 2 -- -- 3 -- -- -- 10
Total(vi) 25 15 3 4 12 10 1 2 72
APAC
Rating action ABCP ABS Repack Total
CreditWatch negative placement -- 1 -- 1
Downgrade 2 -- 1 3
Total(vi) 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 applicable to covered bonds and can include movements from positive to stable and stable to negative. (vi)Generally includes all public rating actions related to the COVID-19 impact. 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 current consensus among health experts is that COVID-19 will remain a threat until a vaccine or effective treatment becomes widely available, which could be around mid-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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