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).
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
- European ABS: Initial Liquidity Risk Evolves To Medium-Term Credit Risk In The Wake Of COVID-19, Dec. 8, 2020
- The U.S. Lodging Sector Faces A Challenging Recovery From The Effects Of The COVID-19 Pandemic, Dec. 7, 2020
- EMEA Structured Finance Surveillance Chart Book, Dec. 7, 2020
- CLO Spotlight: Credit Estimates For Entities Backing U.S. Middle-Market CLOs Took A Hit From COVID-19, Dec. 1, 2020
- COVID-19 Tests The Resilience Of European CLOs In 2020, Dec. 1, 2020
- Sustainable Covered Bonds: Assessing The Impact Of COVID-19, Dec. 1, 2020
- Flattening The Curve--The Outlook For U.K. RMBS Arrears In The Wake Of COVID-19, Nov. 23, 2020
- SF Credit Brief: CLO Loan Prices Get A Booster Shot From Vaccine News, Though The O/C Test Impact May Be Modest, Nov. 17, 2020
- Performance Watch: Japan Private-Sector RMBS Endures Pandemic Challenges, Nov. 6, 2020
- Scenario Analysis: Japanese RMBS' Credit Enhancements Tolerate Pandemic Stresses, Nov. 5, 2020
- Global Structured Finance: Credit Concerns Loom On COVID-19 Resurgence, Oct. 21, 2020
- SF Credit Brief: CLO Insights: How Middle Market CLOs Are Faring During COVID; Second Quote Book Published, Oct. 16, 2020
- U.S. CMBS Conduit Update Q3 2020: New Issue Credit Metrics Mixed And The Effects Of COVID-19 Continue To Be Monitored, Oct. 13, 2020
- As The Deadline For The Transition From LIBOR Approaches, Work Remains For U.S. Structured Finance, Oct. 6, 2020
- U.S. And European CMBS COVID-19 Impact: Retail And Lodging Are The Hardest Hit, Sept. 28, 2020
- Latin American Cross-Border Repackaged Transactions Show Resilience During The COVID-19 Pandemic, Report Says, Sept. 24, 2020
- "Where Do We Go From Here?": Highlights From S&P Global Ratings' 2020 European Structured Finance Conference, Sept. 14, 2020
- SF Credit Brief: U.S. CMBS Delinquency And Forbearance Rates Decline To 8.29% And 8.54%, Respectively, Sept. 11, 2020
- Quarterly U.S. Credit Card Quality Index: Issuance Declines 80% In Second-Quarter 2020, But Performance Remains Steady, Sept. 4, 2020
- How The European CLO Market Has Developed Over 180 Days Of COVID-19, Sept. 2, 2020
- U.K. Mortgage Payment Holiday Risks Emerge As COVID-19 Requests Have Peaked, Sept. 2, 2020
- CLO Portfolio Overlap: European Managers May Look Beyond Their First Choice Of Assets In The COVID-19 Era, Sept. 1, 2020
- CLO Spotlight: Sector Averages Of Reinvesting U.S. BSL CLO Assets: COVID-19 Caused Significant Deterioration In Second-Quarter 2020, Aug. 31, 2020
- Checkup On Not-For-Profit Health Care SBPA-Backed VRDOs In The COVID-19 Era, Aug. 24, 2020
- Can COVID-19 Cause A Cash Crunch For Certain U.S. RMBS? Aug. 21, 2020
- SF Credit Brief: To Pay or Not To Pay: Navigating Through U.S. ABS Auto Loans As They Roll Off Extension Status, Aug. 14, 2020
- U.S. Auto Loan ABS Tracker: June 2020 Performance, Aug. 14, 2020
- Servicer Evaluation Spotlight Report™: Somebody's Watching Me--The Importance Of Quality Call Monitoring In Residential Mortgage Servicing, Aug. 13, 2020
- China Securitization Performance Watch 2Q 2020: The Worst May Have Passed, Aug. 11, 2020
- Leveraged Finance: Monitoring Middle Market Entities Amid COVID-19, Aug. 6, 2020
- Latin America Structured Finance Collateral Performance COVID-19 Update Published, Aug. 6, 2020
- U.S. And Canadian Credit Card ABS Performance Risk Increases As Unemployment Supplements Wane, Aug. 6, 2020
- Tender Option Bond Ratings Recap As Of June 2020: How COVID-19 Has Affected The Secondary Derivative Market, July 31, 2020
- S&P Global Ratings Publishes Surveillance Chart Book For U.S. And Canada Structured Finance, July 30, 2020
- Global Securitization 2020 Issuance Forecast Trimmed By A Quarter, Now At $830B, July 21, 2020
- Update For April 2020 European Corporate Securitizations CreditWatch Placements, July 21, 2020
- SF Credit Brief: Though Still Elevated, Drops In May Extensions Are The First Signs Of A Possible Road To U.S. Auto Loan ABS COVID-19 Recovery, July 16, 2020
- Economic Research: Canadian House Prices Are Likely To Decline Sharply Into Next Year; Strong Fundamentals Restrain Broader Housing Market Risks For Now, July 16, 2020
- U.S. CMBS Conduit Update Q2 2020: COVID-19 Impact Still Emerging; Questions Remain, July 16, 2020
- Student Housing In The COVID-19 Pandemic Era: School's Out, But For How Long? July 9, 2020
- How COVID-19 Will Change Covered Bonds, July 8, 2020
- SF Credit Brief: U.S. CMBS Delinquency Rate Experiences Another Steep Rise; However, A Decline In Grace Status May Flatten The Future Delinquency Curve, July 7, 2020
- Vacancy Up, Ratings Down? European Office CMBS Transactions After COVID-19, June 29, 2020
- Investment-Grade U.K. And Dutch RMBS Ratings Likely To Remain Resilient To COVID-19 Effects, June 29, 2020
- SF Credit Brief: U.S. Auto Loan Extension Congestion Partially Clears Up In May, June 22, 2020
- Proposed California Legislation To Provide Further Borrower Relief Could Negatively Affect Auto Loan ABS, June 18, 2020
- LatAm SF: In The Thick Of The Pandemic, June 12, 2020
- Credit FAQ: How COVID-19 Is Affecting ABCP, June 12, 2020
- Servicer Evaluation Spotlight Report™: Are Special Servicers Poised For A "Prime" Comeback Due To COVID-19?, June 8, 2020
- Credit FAQ: How European ABS And RMBS Servicers Are Managing COVID-19 Disruption And Payment Holidays, June 4, 2020
- SF Credit Brief: Will Spring U.S. Auto Loan Extensions Bring Summer Payments?, June 4, 2020
- How Credit Distress Due To COVID-19 Could Affect Irish Reperforming RMBS, June 3, 2020
- Non-QM RMBS And COVID-19: Locking Down States' Exposure, June 1, 2020
- Under Stress: Assessing CLO Manager Performance During COVID-19, June 1, 2020
- Latin America COVID-19 Bi-Weekly Update, June 1, 2020; https://www.spglobal.com/ratings/en/research/pdf-articles/2020-06-01-latin-america-covid-19-bi-weekly-update
- COVID-19 Is Testing The Resilience Of Global Structured Finance, May 18, 2020
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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