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U.S. And Canada Structured Finance Surveillance Chart Book

As of Dec. 11, 2020, we have 1,836 structured finance tranches in the U.S. that have seen their rating lowered due to the COVID-19 pandemic and/or the decline in oil and gas prices. No rating actions have been taken on Canadian structured finance tranches, which are backed by prime consumer collateral. The rating actions make up approximately 5.0% of the outstanding S&P Global Ratings-rated tranches in the U.S. and Canada. Reductions of supplemental unemployment payments in the U.S. and Canada pose risks to consumer collateral performance if the labor markets do not return to normal. Ratings on 27 tranches (0.07%) remain on CreditWatch with negative implications.