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COMMENTS

COVID-19 Activity In Global Structured Finance As Of Dec. 11, 2020

COMMENTS

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COVID-19 Activity In Global Structured Finance As Of Dec. 11, 2020

S&P Global Ratings took rating actions on 283 rated tranches across various structured finance sectors globally between Oct. 19 and Dec. 11 due to the COVID-19 pandemic (see table 1). The rating actions include the resolution of 91 ratings that were previously placed on CreditWatch negative. The regional breakdown is as follows:

  • North America: 263 rating actions (four downgrades accompanied by negative CreditWatch placements, 211 other downgrades [not accompanied by a Watch placement], two affirmations occurring after a previous downgrade, and 46 affirmations).
  • Europe, the Middle East, and Africa (EMEA): 15 rating actions (five CreditWatch negative placements, six downgrades, and four affirmations).
  • Latin America: three rating actions (two CreditWatch negative placements and one affirmation).
  • Asia-Pacific (APAC): two downgrades.

Table 1

Structured Finance Rating Activity For Oct. 19, 2020 - Dec. 11, 2020(i)
North America EMEA Latin America APAC
Rating action Aircraft Auto Loan CLO CMBS RMBS Student Loan TOB Total CLO CMBS SME Total ABS Auto Loan ABS Credit Card ABS Equipment Total ABS RMBS Total
CreditWatch negative placement -- -- -- -- -- -- -- 0 -- -- 5 5 1 -- 1 2 -- -- 0
Downgrade with CreditWatch negative placement -- -- -- -- -- 4 -- 4 -- -- -- 0 -- -- -- 0 -- -- 0
Downgrade 2 -- 7 74 62 2 64 211 1 5 -- 6 -- -- -- 0 1 1 2
Downward outlook revision -- -- -- -- -- -- -- 0 -- -- -- 0 -- -- -- 0 -- -- 0
Affirmation after previous downgrade with CreditWatch negative placement(ii) -- -- -- -- -- 2 -- 2 -- -- -- 0 -- -- -- 0 -- -- 0
Affirmation -- 24 3 -- 8 -- 11 46 4 4 1 -- 1 -- -- 0
Withdrawal -- -- -- -- -- -- -- 0 -- -- -- 0 -- -- -- 0 -- -- 0
Total 2 24 10 74 70 8 75 263 5 5 5 15 1 1 1 3 1 1 2
(i)Based on an aggregate count of rating actions listed in our public press releases published in the period indicated. We will be updating this summary table on a periodic 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 then subsequently affirmed at that rating level. 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. TOB--Tender option bond. SME--Small and medium-sized enterprise.

In 2020, 2,551 structured finance rated tranches experienced at least one rating action through Dec. 11, 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: 2,300 rated tranches (12 CreditWatch negative placements, 15 ratings lowered and placed on CreditWatch negative, 1,836 downgrades, 430 affirmations, and seven withdrawals).
  • EMEA: 172 rated tranches (35 CreditWatch negative placements, 11 ratings lowered and placed on CreditWatch negative, nine downward outlook revisions, 74 downgrades, and 43 affirmations).
  • Latin America: 74 rated tranches (seven CreditWatch negative placements, 25 downgrades, 30 affirmations, 10 withdrawals, and two upgrades following a CreditWatch negative placement).
  • Asia-Pacific (APAC): five rated tranches (five downgrades).

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Table 2

Structured Finance Rated Tranches Having Experienced A COVID-19 Related Rating Action Through Dec. 11, 2020(i)
North America
Rating action ABS auto lease ABS auto loan ABS auto dealer floorplan ABS whole business Aircraft CLO CMBS Repack RMBS Small business Student Loan TOB Triple net lease ABS VRDO Total
CreditWatch negative placement -- -- -- 4 -- -- 1 -- -- -- -- 7 -- -- 12
Downgrade with CreditWatch negative placement -- -- -- 2 -- -- 7 2 -- -- 4 -- -- -- 15
Downgrade 1 8 6 4 62 492 276 12 685 2 5 277 -- 6 1,836
Affirmation 2 28 13 3 15 123 52 -- 135 -- -- 30 29 -- 430
Withdrawal -- -- -- -- -- -- 7 -- -- -- -- -- -- -- 7
Total(ii) 3 36 19 13 77 615 343 14 820 2 9 314 29 6 2,300
EMEA
Rating action ABCP ABS ABS Consumer ABS rental fleet CLO CMBS Corporate securitization(iii) Covered bonds(iv) Repack RMBS SME Total
CreditWatch negative placement -- 6 -- -- 7 -- 10 -- -- 7 5 35
Downgrade with CreditWatch negative placement -- -- -- 1 -- 1 8 -- 1 -- -- 11
Downward outlook revision(v) -- -- -- -- -- -- -- 9 -- -- -- 9
Downgrade 1 -- 1 -- 24 26 3 -- 3 12 4 74
Affirmation -- 7 -- -- 10 -- 21 -- -- 5 -- 43
Total(vi) 1 13 1 1 41 27 42 9 4 24 9 172
Latin America
Rating action ABS Auto Loan ABS consumer ABS commercial ABS Credit Card ABS Equipment CMBS Future flow Receivables Repack CDO RMBS Total
CreditWatch negative placement 1 1 -- -- 1 -- -- 1 3 -- -- 7
Downgrade with CreditWatch negative placement -- -- -- -- -- -- -- -- -- -- -- 0
Downgrade -- 10 4 -- -- 1 4 -- 4 -- 2 25
Affirmation -- 8 8 6 -- 2 -- 5 -- 1 -- 30
Upgrade -- -- -- -- -- -- -- 2 -- -- -- 2
Withdrawal -- 5 2 -- -- -- -- 3 -- -- -- 10
Total(vi) 1 24 14 6 1 3 4 11 7 1 2 74
APAC
Rating action ABCP ABS Repack RMBS Total
Downgrade 2 1 1 1 5
Total(vi) 2 1 1 1 5
(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 periodic 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. CDO--Collateralized debt obligations. SME--Small and medium-sized enterprises. ABCP--Asset-backed commercial paper. SPURs--S&P Global Ratings underlying ratings. EMEA--Europe, the Middle East, and Africa. APAC--Asia-Pacific.

S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. While countries' early approval of a number of vaccines is a positive development, this is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by mid-2021. We use 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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