S&P Global Ratings’ global structured finance research provides the latest credit insights, including all asset-class presales, industry news, and sector trends.
Annually Global and various regional reports recapping on previous annual performance and discussing outlooks for the various structured finance sectors (by region and product).
Semiannually An update on the global asset-backed commercial paper (ABCP) market. It discusses market trends, the top 10 sponsors and asset types, among other things.
Quarterly A comprehensive analysis of ABS transaction performance in Australia and New Zealand and valuable insight into the performance of the programs' underlying assets and securities. The quarterly report provides comparative data on each program.
Monthly Performance indicators provided.
Quarterly Review of China securitization transactions, including those issued under the credit asset securitization (CAS) scheme managed by the China Banking and Insurance Regulatory Commission (CBIRC) and People’s Bank of China (PBOC), the securitization scheme managed by the China Securities Regulatory Commission (CSRC), and the asset-backed notes (ABN) scheme managed by China’s National Association of Financial Market Institutional Investors (NAFMII).
Quarterly Performance indicators provided.
Quarterly Credit card ABS performance indicators provided.
Monthly Performance tracker of the U.S. auto loan ABS market.
Quarterly CMBS data for the European region, including maturities, delinquencies, and specially serviced loans, as well as rating and note-level matters.
Annually The report provides the latest iteration of our stressed principal loss projections at the various rating categories for our rated conduit and single borrower/large loan transactions.
Monthly Insights on the performance of overall delinquency rate (DQ) of the U.S. CMBS market, including charts of delinquencies rates by vintage and property type.
Semiannually Our 'B' economic stress loss projections for rated U.S. and Canadian conduit and single-borrower/large-loan transactions. The 'B' economic stress scenario is used for looking at loss expectations, losses that have already been realized, losses from specially serviced loans, and base-case losses expected from non-specially serviced loans.
Quarterly Performance review of U.S. conduit commercial mortgage-backed securities, including a summary table of S&P Global Ratings’ reviewed conduits.
Ongoing S&P Global assessments of jurisdictional support for selected jurisdictions and asset types for the purposes of rating covered bonds under its methodology.
Ongoing S&P Global Ratings assessments of "target asset spreads", which are used in the rating of covered bonds globally according to its methodology. Our assessments of target asset spreads are for selected jurisdictions and asset types, calculated by applying the criteria.
Ongoing Report on the local covered bond market (i.e.: Spanish, Dutch, German, French, Danish, Swedish, Norwegian, and Finnish). It explains how the relevant legal framework works, provides an overview on the local mortgage market, compares key characteristics of the existing programs, and includes the results of a scenario analysis.
Quarterly The report lays out core characteristics and risk indicators that are regularly assessed in the analytical process. It also explains S&P Global Ratings’ approach to rating covered bonds, and the effect of criteria changes.
Quarterly Performance and developments in the European and global covered bond market, including new programs rated.
Quarterly Various reports analyzing portfolio data provided by the programs administrator of the Spanish Multicedulas as part of S&P Global Ratings’ covered bond program surveillance. The data for all covered bond programs is presented in a standardized format.
Monthly Arrears data for prime and nonconforming loans in addition to other RMBS loan subsets. The data provided covers the entire Australian RMBS portfolio of loans. In addition, the quarterly RMBS Performance Watch provides an update on housing and mortgage market themes and additional data sets, including prepayment rates and pool statistics for the entire Australian and New Zealand RMBS sector.
Quarterly Separate publications for European, U.K., Italian, Spanish, Dutch, and Portuguese RMBS markets; showing comparative analysis for key performance indicators.
Annually
A look back at issuance and credit trends observed in the U.K., Dutch, Spanish, Italian, French, and Irish RMBS markets in the previous year, and what these trends may mean for developments going forward for each jurisdiction.
Ongoing Report provides updates to this list as S&P Ratings adds, confirms, or removes third-party due diligence firms.
Ongoing S&P Global Ratings’ outlook assumptions to help market participants better understand its current approach to reviewing different RMBS markets.
Annually Surveillance reports on the structured notes issued by Japan Housing Finance Agency (JHF), highlighting performance trends in the underlying pools of loan receivables.
Annually The combined performance trend of pools of all the RMBS transactions that companies in Japan’s private sector originated, rated by S&P Global Ratings.
Ongoing List of U.S. residential mortgage originators and aggregators, providing mortgage operational assessment (MOA) rankings and associated losses coverage adjustment (LCA) factors for these companies.
Ongoing Updates on the servicer evaluation sector.
Ongoing The CLO Insights 2021 U.S. BSL Index is an index of 475 U.S. broadly syndicated loan collateralized loan obligations (BSL CLOs) we rate that began issuing trustee reports at the start of 2021 and, per their transaction documents, are scheduled to continue reinvesting for the entirety of 2021. Static CLO transactions have been excluded. The 2021 index is the successor to last year's CLO Insights 2020 Index (which included CLOs scheduled to reinvest through 2020), and it includes CLOs across various vintages issued by 114 different managers. We plan to provide monthly updates of key metrics based off this index for the remainder of 2021.
Ongoing The U.S. CLO Insights 2021 MM Index is an index of 65 rated U.S. middle-market collateralized loan obligations (MM CLOs) that began issuing trustee reports at the start of 2021 and, per their transaction documents, are scheduled to continue reinvesting for the entirety of 2021. The 2021 index includes MM CLOs across various vintages issued by 20 different CLO managers. S&P Global Ratings plans to provide periodic updates of key metrics based off this index for the remainder of 2021.
Quarterly Report examines the aggregated asset quality held by European CLOs, observed through key credit metrics.
Quarterly Reports provide collateral pool performance benchmarks for U.S. and European CLOs. They also highlight different CLO manager investment styles (e.g., some managers prefer to invest in loans from higher rated issuers while others prefer to maintain highly diversified portfolios).
Quarterly A list of the top 250 companies ranked by the amount of their loans in U.S. broadly syndicated collateralized loan obligations (BSL CLOs).
Ongoing U.S. broadly syndicated collateralized loan obligations (CLOs) are backed primarily by broadly syndicated loans (BSLs) issued by U.S. companies. The CLO group within S&P Global Ratings' U.S. structured finance department believes that a review of the recent rating action reports published by U.S. corporate ratings can provide insights on developing sector trends. Accordingly, we have compiled a list of key quotes or paraphrases from recently published corporate ratings reports on issuers with loans held in BSL CLOs.
Quarterly Series of reports discussing the credit profile of BSL (broadly syndicated loan) CLO collateral by industry category.