June 23, 2020

U.S. And Canada Structured FinanceSurveillance Chart Book

Mark RisiWinston ChangJohn DetweilerBrenden KugleU.S. and Canada Structured Finance

U.S. And Canada Structured Finance Highlights– As of June 12, 2020, we have 1,175 structured finance tranches in the U.S. and Canada that have

experienced a rating action due to the COVID-19 pandemic and/or the decline in oil and gas prices (rating actions to date include only U.S.-rated tranches).

– ABS/RMBS: Latest ABS and RMBS servicing reports are generally showing some increase in either the level of forbearance, delinquencies, or even loan extensions. We continue to monitor the collateral impact in each of the asset classes and maintain periodic dialogue with key issuers/servicers during this period to understand their insight into the current and future collateral performance.

– CMBS: The CMBS overall delinquency rate increased by 452 basis points (bps) month over month, to 6.17% in May 2020. The grace period loan status remained high, at 7.15% in May, down from 7.62% in April. The delinquency rate increased for all major property types. Lodging and retail showed the highest magnitude of increase at 1,559 bps and 648 bps, respectively, while multifamily (128 bps), office (41 bps), and industrial (35 bps) showed modest increases (see “SF Credit Brief: U.S. CMBS Delinquency Rate Catapults By An Unprecedented 452 Basis Points,” published June 8, 2020, on RatingsDirect).

– CLO: Most CLO performance metrics have stabilized over the last few weeks. U.S. CLOs have seen 29% of their collateral downgraded or placed on CreditWatch negative.

– Non-traditional: We took various rating actions on 71 ratings from 30 aircraft and aircraft engine ABS transactions on June 17, 2020; 23 ratings were lowered and eight were affirmed. The other 40 ratings remain on CreditWatch without a rating change. Twenty of the lowered ratings also remain on CreditWatch for potential further downgrade. The downgrades reflect the notes' insufficient credit enhancement, the high relative loan-to-value ratios (LTVs), the declining credit quality of the lessees, the higher exposure to wide-body or older aircraft, the collateral coming off lease, and the ongoing uncertainties surrounding airline operations, among others.

2

U.S. Structured Finance12-Month Outlook| Q2 2020

3

Source: S&P Global Ratings.

Collateral Performance

OutlookRating Trends

Collateral Performance

OutlookRating Trends

Residential mortgages Structured credit

RMBS Somewhat weaker Stable to negative CLOs Weaker Negative

RMBS - servicer advance Somewhat weaker Stable Timeshares Weaker Stable to negative

Commercial mortgages Small Business Weaker Stable to negative

CMBS  - N.A. conduit/fusion Somewhat weaker Stable to negative Tobacco Somewhat weaker Stable to negative

CMBS - LL/SASB Somewhat weaker Stable to negative Transportation - Aircraft Weaker Negative

CMBS - LL/SASB (retail) Weaker Stable to negative Transportation - Container Somewhat weaker Stable to negative

CMBS - LL/SASB (lodging) Weaker Stable to negative Transportation - Railcar Somewhat weaker Stable to negative

Asset-backed securities Whole Business Weaker Negative

ABS - Prime auto loans Somewhat weaker Stable Triple Net Lease Weaker Negative

ABS - Subprime auto loans Weaker Stable to negative

ABS - Auto lease Somewhat weaker Stable

ABS - Auto dealer floorplan Somewhat weaker Stable to negative

ABS - credit cards Somewhat weaker Stable

ABS - unsecured consumer loans Weaker Stable to negative

ABS - FFELP student loan Somewhat weaker Stable

ABS - private student loan Somewhat weaker Stable to negative

ABS - commercial equipment Somewhat weaker Stable

Asset-backed commercial paper Somewhat weaker Stable

- The current weakness in the U.S. macro environment and employment situation, especially as it impacts consumers (and knock-on impacts for businesses), has led to increased delinquencies and forbearance requests across many structured finance asset classes. Therefore, structural features such as reserve accounts, servicer advancing, excess spread, and deferrable bonds/notes--when at least one of these features is present in many structured finance transactions/sectors--should (and have) help(ed) to mitigate temporary cash-flow interruptions. However, a longer-than-expected disruption, or a stretched recovery period r weaker-than-expected recovery, would naturally introduce increased liquidity and credit stress.

COVID-19 Activity In U.S. and Canada Structured Finance | As of June 12, 2020

4

Source: S&P Global Ratings

U.S. And Canada Rating Actions Overview

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. ABS includes auto Loan, auto lease, auto dealer floorplan. Non-traditional includes aircraft, triple-net lease, whole business, and timeshare . ABCP/muni structured includes TOB, repack, VRDO. Source: S&P Global Ratings.

5

Cumulative Number Of Tranches Affected By COVID-19(i)

ABS RMBS CMBS CLO Non-traditional

ABCP/munistructured

Number of outstanding ratings 3,689 18,452 2,575 4,258 1,248 6,859

CreditWatch negative 55 234 219 425 84 54

Downgrade - 18 1 19 28 20

Default - - - - - 5

Affirmation and removal from CreditWatch - - - - 8 -

Rating actions (% of total) 1.5% 1.4% 8.5% 10.4% 9.6% 1.2%

ABS

Frank TrickAnalytical Manager – ABS Secured+1 (212) 438-1108Frank.trick@spglobal.com

Kate ScanlinAnalytical Manager - ABS Unsecured+1 (212) 438-2002Kate.scanlan@spglobal.com

Amy MartinSector Lead– ABS Secured+1 (212) 438-2538Amy.martin@spglobal.com

John AnglimSector Lead– ABS Unsecured+1 (212) 438-2385John.anglim@spglobal.com

ABS—Sector Update

7

Auto loan/lease/floorplan and equipment surveillance

– Extensions (as reported in Reg AB II loan level reports) in auto loan ABS rose significantly in April relative to March. In the prime segment for April, extensions on a dollar basis equaled 5.76% of outstanding loans as of the beginning of the month, a 54% increase over March's elevated level of 3.75%. For the four subprime auto loan ABS shelves (Santander's DRIVE and SDART, AmeriCredit, and World Omni's Select), extensions more than doubled to 15.75% from 6.82% in March.

– The general increase in extensions in April was expected because it was the first full month of social distancing and stay-at-home orders for many states. These containment efforts contributed to the number of newly unemployed workers doubling in April from March.

– Twenty of the 21 Reg AB II shelves in our analysis reported higher extensions in April than in March, with only Ally, which had the highest extensions in March, posting lower levels. Meanwhile, four of the 10 144a subprime ABS issuers reported lower extensions in April compared to March, perhaps signaling that the extra $600 a week in unemployment pay is benefiting this segment of the market.

– Thirty-three U.S. subprime auto ABS ratings were placed on CreditWatch negative on May 12, 2020. The CreditWatch negative placements reflect the COVID-19 economic downturn, which we expect to negatively affect the performance of all auto loan originators. Although we expect increasing extensions to be temporary and the economy to begin to rebound in the second half of the year, we believe this will still lead to higher cumulative net losses and reduced excess spread over the life of each transaction.

– Nineteen ratings on 10 Ford Auto Dealer Floorplan transactions remain on CreditWatch negative (as of April 6, 2020).

– Three ratings on one Ford auto lease ABS transaction remain on CreditWatch negative (as of April 6, 2020).

– There was no Hertz exposure/no outstanding rated rental fleet ABS transactions.

Student Loan, credit card, and unsecured surveillance

– Both private and FFELP transactions are seeing significant increases in forbearance use, resulting in a decline in available funds. Delinquencies have remained stable, and in some cases they have declined as many borrowers have moved from delinquency status to forbearance status. Most student loan servicers granted an initial forbearance period of 90 days, which will begin to expire in June. Issuers are determining how to address the forbearance expiration. While we expect FFELP classes with nearer-term maturity to be affected to a greater extent by the COVID-19-related performance, we have not had any negative rating actions or CreditWatch placements to date due to the COVID-19 pandemic.

– CCABS delinquencies and losses to date have been generally stable, partly due to the availability of payment deferrals. Payment rates and receivable balances have declined because of lower consumer discretionary spending. Our payment rate assumptions are still well below current trust payment rates, and there is generally ample excess receivables in the securitizations to back the notes.

– Unsecured consumer performance remains generally stable, as borrowers can apply for and receive temporary COVID-19-related forbearance. Borrowers are also generally benefiting from federal assistance; we would expect to see an increase in delinquencies and losses subject to evolving macroeconomic conditions and expiration of these benefits.

– There were no CreditWatch placement to date as a direct result of COVID-19-induced stress, or other rating actions.

Cumulative Number Of Tranches Affected By COVID-19(i)

ABS—Rating Actions

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. Source: S&P Global Ratings.

8

Auto loan Autolease

Dealerfloorplan

Equipment MH/RV Student loan

Credit cards and

unsecured consumer

Number of outstanding ratings

1,281 138 77 152 95 1,629 317

CreditWatch negative 33 3 19 - - - -

Downgrade - - - - - - -

Default - - - - - - -

Affirmation and removal from CreditWatch

- - - - - - -

Rating actions (% of total) 2.6% 2.2% 24.7% - - - -

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. ABS includes auto loan, auto lease, auto dealer floorplan, equipment, MH/RV, student loan, credit card, and unsecured consumer. Source: S&P Global Ratings.

9

Total outstanding (no.) Rating action (no.) Rating action (%)

‘A-1+’ 39 - -

‘AAA’ 1,343 15 1.1

‘AA’ 1,276 7 0.6

‘A’ 488 - -

‘BBB’ 229 - -

‘BB’ 113 20 16.3

‘B’ 76 13 17.3

‘CCC’ to ’CC’ 125 - -

ABS—Rating Actions By Category

Secured ABS—Key Performance Metrics

Source: S&P Global Ratings.

10

0.57% 0.59% 0.67%

8.63% 8.37%9.32%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

Feb March April

Prime And Subprime Auto Loan Extensions And Losses

Prime Ext Subprime Ext

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

Jan-20 Feb-20 Mar-20 Apr-20

Weighted Average Residual Value Loss / (Gain) %

1-Month Avg 3-Month Avg 6-Month Avg 12-Month Avg

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

50.0%

Feb Mar Apr

DFP Three-Month Average Payment Rate

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

Feb March April

Equipment ABS

CNL % 60+ Delinq %

Unsecured ABS—Key Performance Metrics(i)

(i)Latest available data as of June 2, 2020. Source: S&P Global Ratings.

11

U.S. Student Loans: Forbearance (%) U.S. Student Loans - Average Delinquency Rate (%)

U.S. Credit Cards Bank Cards – Charge-Off Rate (%)

U.S. Credit Cards Bank Cards – Average 60+ day delinquency rate (%)

ABS—Key Publications

12

– U.S. Auto Loan ABS Tracker: April 2020 Performance, June 4, 2020

– Will Spring U.S. Auto Loan Extensions Bring Summer Payments? June 4, 2020

– U.S. Credit Card Quality Index: Monthly Performance – April 2020, June 2, 2020

– Canadian Credit Card Quality Index: Monthly Performance – April 2020, June 2, 2020

– Prime/Nonprime Auto Loan ABS Ratings Avoid CreditWatch For Time Being, May 21

– Thirty-Three U.S. Subprime Auto ABS Ratings From 26 Transactions Placed On CreditWatch Negative, May 12, 2020

– Effects Of COVID-19 On U.S. Student Loan ABS, April 30, 2020

– COVID-19 Elevates Risks For U.S. Auto Dealer Floorplan ABS, April 27, 2020

– U.S. Commercial Small-Ticket ABS Will Be First In Sector To Feel Impact Of COVID-19, April 13, 2020

– The Potential Effects Of COVID-19 On U.S. Auto Loan ABS, March 26, 2020

– Credit FAQ: Assessing The Credit Effects of COVID-19 On U.S. And Canadian Credit Card ABS, March 25, 2020

RMBS

James TaylorAnalytical Manager - RMBS+ 1 (212) 438 6067james.taylor@spglobal.com

Jeremy SchneiderSector Lead - RMBS+ 1 (212) 438 5230jeremy.schneider@spglobal.com

Vanessa PurwinAnalytical Manager - RMBS+ 1 (212) 438 0455vanessa.purwin@spglobal.com

RMBS—Sector Update– May remittance data showed anticipated delinquency increase (see RMBS - Key Performance Metrics

slide).

– However, delinquency reporting for borrowers on a temporary forbearance plan has been inconsistent as issuers apply different reporting methods

– Nonetheless, the level of borrowers in forbearance seems to be plateauing according to the latest data from the Mortgage Bankers’ Association and Black Knight. According to Black Knight, as of June 2, 8.9% of borrowers were in forbearance, reflecting a decline of 34,000 borrowers over the prior week--the first decline since the COVID-19 crisis began. Black Knight also reports a drop in the number of borrowers in forbearance who made their monthly payment: 22% in May vs. 46% in April.

– We are watching the non-government-sponsored entity (GSE) space as some states such as New York and California are contemplating legislation to extend 12 months forbearance to COVID-19-affected borrowers on private-label mortgages. This compares to the current one-to-three- month forbearance plans that most servicers have been offering non-qualified mortgage (non-QM) borrowers.

– There have been 11 COVID-19-related rating actions since May 25, all affecting the legacy portfolio.

– Two hundred and thirty-four U.S. RMBS classes from 69 transactions remain on CreditWatch negative.

14

RMBS—Rating Actions

(i)Outstanding ratings as of March 2020. Rating activity as of June 12, 2020. Legacy transactions issued pre-2009. Source: S&P Global Ratings.

15

Non-qualifiedmortgage (QM) Prime 2.0 Credit risk transfer Legacy (pre-

2009)

Number of outstanding ratings 872 1,489 918 14,825

CreditWatch negative 109 - 125 -

Downgrade - - - 18

Default - - - -

Affirmation and removal from CreditWatch - - - -

Rating actions (% of total) 12.5% - 13.6% 0.1%

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Rating activity as of June 12, 2020. Source: S&P Global Ratings.

16

RMBS—Rating Actions by Category

Cumulative Number Of Tranches Affected By COVID-19(i)

Total outstanding(as of 3/15) (no.)

Negative rating actions

(no.)

Negative rating actions (%)

Total outstanding(as of 3/15) (no.)

Negative rating actions

(no.)

Negative rating actions (%)

‘AAA’ 1,637 - - 584 - -

‘AA’ 463 - - 2,039 - -

‘A’ 248 - - 1,228 6 0.5

‘BBB' 332 34 10.2% 870 5 0.6

‘BB’ 439 71 16.2% 920 1 0.1

‘B’ 507 129 25.4% 1,236 3 0.2

‘CCC’ to ‘CC’ 1 - - 5,623 3 0.1

‘D’ - - - 2,325 - -

New Era Legacy

(i)Latest data as of the end of May 2020. Source: S&P Global Ratings.

17

RMBS—Key Performance Metrics(i)

− S&P rated transactions issued post-2012 only

− Credit Risk Transfer remittance data reflects 1-2 month lag in borrower behavior

0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Feb-20 Mar-20 Apr-20 May-20

CP

R

DQ

Prime 2.030+ days DQ 60+ days DQ CPR

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Feb-20 Mar-20 Apr-20 May-20

CP

R

DQ

Credit Risk Transfer

30+ days DQ 60+ days DQ CPR

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

1.0%

3.0%

5.0%

7.0%

9.0%

11.0%

13.0%

15.0%

17.0%

19.0%

Feb-20 Mar-20 Apr-20 May-20

CP

RDQ

Non-QM30+ days DQ 60+ days DQ CPR

RMBS—Key Publications

18

– Presale: Verus Securitization Trust 2020-INV1, June 3, 2020

– Non-QM RMBS And COVID-19: Locking Down States' Exposure, June 1, 2020

– Presale: Ellington Financial Mortgage Trust 2020-1, June 1, 2020

– Presale: Verus Securitization Trust 2020-2, May 21, 2020

– 232 Ratings From 68 U.S. RMBS Transactions Issued In 2009 Or Later Placed On CreditWatch Negative, April 20, 2020

– S&P Global Ratings Is Assessing The Impact Of COVID-19 On Mortgage Market Outlooks For Global RMBS, April 17, 2020

– Guidance: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, April 17, 2020

– Credit FAQ: The Role Of Servicer Advances In U.S. RMBS Amidst COVID-19, April 8, 2020

– Credit FAQ: Assessing The Credit Effects Of COVID-19 On U.S. RMBS, March 20, 2020

CMBS

Ryan ButlerAnalytical Manager - CMBS+ 1 (212) 438 2122ryan.butler@spglobal.com

Senay DawitSector Lead - CMBS+ 1 (212) 438 0132Senay.dawit@spglobal.com

James DigneyAnalytical Manager - CMBS+ 1 (212) 438 1832james.digney@spglobal.com

CMBS—Sector Update– The U.S. CMBS overall delinquency rate increased by 452 bps month over month, to 6.17% in May

2020.

– The delinquency rate increased for all major property types. However, lodging and retail showed the highest magnitude of increase at 1,559 bps and 648 bps, respectively, while multifamily (128 bps), office (41 bps), and industrial (35 bps) showed modest increases.

– CMBS master servicers (Wells Fargo, Midland, and KeyBank) are fielding unprecedented levels of borrower requests for relief/forbearance, particularly for hotels and retail properties.

– In the lodging sector, limited-service and extended-stay hotels have generally continued to perform, but resort hotels in fly-to destinations and large conference center hotels have been more acutely affected, with many being temporarily closed.

– In the retail sector, the immediate area of concern is regional malls. S&P Global Ratings took significant negative rating actions in March 2020, but the COVID-19 pandemic has accelerated the sectoral shift impacting regional shopping malls.

– Malls comprise 1.7% of the S&P Global Ratings’ surveillance book by loan count (125 out of 7,450), and 9.4% by principal balance ($20 billion out of $212 billion).

– In May 2020, 123 classes from 22 single asset single borrower (SASB) and large loan transactions, backed by either lodging or retail loans, were placed on CreditWatch negative.

– In June 2020, 96 classes from 30 conduit transactions, primarily reflecting speculative-grade bonds from 2.0 era deals with significant lodging/retail exposure, were also placed on CreditWatch negative.

20

CMBS—Rating Actions

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. Source: S&P Global Ratings.

21

Conduit SASB/LL Other (Incl. CTL)

Number of outstanding ratings 1,266 1,274 35

CreditWatch negative 96 123 -

Downgrade - - 1

Default - - -

Affirmation and removal from CreditWatch - - -

Rating actions (% of total) 7.6% 9.7% 2.9%

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. Source: S&P Global Ratings.

22

Total outstanding Rating action (no.) Rating action (%)

AAA 977 16 1.6

AA 472 16 3.4

A 323 13 4.0

BBB 331 46 13.9

BB 226 70 31.0

B 197 50 25.4

CCC-CC 33 9 27.3

CMBS—Rating Actions by CategoryCumulative Number Of Tranches Affected By COVID-19(i)

Source: S&P Global Ratings.

23

CMBS—Key Performance Metrics

0

5

10

15

20

25

30

35

40

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0% Delinquent balance (bil. $)

Delinquency Rate And Delinquency Balance

DQ balance DQ rate

DQ---Delinquency.

Source: S&P Global Ratings.

24

CMBS—Key Performance Metrics Cont.

(200)

(100)

0

100

200

300

400

500

(Bps

)

Y-o-Y Change In Delinquency Rate (Bps)

Y-0-Y--Year over year. Bps--Basis points.

Source: S&P Global Ratings.

25

CMBS—Key Performance Metrics Cont.

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

Delinquency Rate By Property Type

Multifamily Lodging Industrial Office Retail

(%)

CMBS—Key Publications

26

– Ratings On 96 Classes From 30 U.S. CMBS Conduit Transactions Placed On CreditWatch Negative, June 3, 2020

– Ratings On 123 Classes From 22 U.S. CMBS SASB And Large Loan Transactions Placed On CreditWatch Negative, May 6, 2020

– U.S. CMBS Conduit Update Q1 2020: The Magnitude Of COVID-19 Fallout Remains Uncertain, April 17, 2020

– U.S. Lodging-Backed CMBS Bracing For The Impact Of COVID-19, March 23, 2020

– Various Rating Actions Taken On 24 U.S. CMBS Transactions Due To Exposure To Underperforming Retail Loans, March 20, 2020

– U.S. CMBS: Rent Declines Could Weaken Retail Loan Performance In The Big Apple, Feb. 18, 2020

– U.S. CMBS: Manhattan – A Tale Of The Big Apple's Three Office Markets, Feb. 10, 2020

– U.S. CMBS: Supply Gains Take A Bite Out Of Hotel Performance In The Big Apple, Jan. 29, 2020

– Shop With Caution – CMBS Mall Loans Worth Watching, Jan. 8, 2020

Non-TraditionalIldiko Szilank

Analytical Manager - Non-Traditional

+ 1 (212) 438 2614

ildiko.szilank@spglobal.com

Belinda Ghetti

Sector Lead – Non-Traditional

+ 1 (212) 438 1595

belinda.ghetti@spglobal.com

Non-Traditional—Sector Update– Consumer confidence in travel, leisure, and hotel sectors and various government stimuli will determine

future credit performance of multiple non-traditional ABS collateral.

– It is challenging to assess how much sales and collections will decline from permanent business closures and from payment moratoriums.

– Timeshare: We increased our base-case loss assumptions by 1.25x and are testing transactions for liquidity stress and credit stability. The first post-COVID-19 new issuance deal was rated with higher credit enhancement and stronger structure.

– Triple-net lease: The sector is under pressure, with transactions on CreditWatch negative and ratings at or below ‘A’.

– Whole business: Dine-in, mall-based, and gym-related whole business ABS sectors are more vulnerable and on CreditWatch Negative, mainly at the ‘BBB’ level.

– Aircraft: We took rating actions on 71 ratings from 30 aircraft and aircraft engine ABS transactions on June 17, 2020; 23 were lowered and eight were affirmed. The other 40 ratings remain on CreditWatch without a rating change. Twenty of the lowered ratings also remain on Watch for potential further downgrade. The downgrades reflect the notes' insufficient credit enhancement, the high relative LTVs, the declining credit quality of the lessees, the higher exposure to wide-body or older aircraft, the collateral coming off lease, and the ongoing uncertainties surrounding airline operations, among others.

– Small business: Transactions issued post-2008 are generally backed by SBA 7(a) loans, which benefit from a government stimulus package that covers six months of principal and interest on the loans. We generally expect transaction performance to be relatively stable in the near term. Pre-2008 loans could be vulnerable to high concentration in certain industries that most adversely affected by the current environment. Testing continues for liquidity and credit stresses.

– Container and rail ABS: We believe both of these sectors are less vulnerable to the current environment than aircraft ABS.

28

Non-Traditional—Rating Actions

(i)Cumulative actions since March 1, 2020. Latest data through June 17, 2020. (i) 23 downgraded tranches still remain on CreditWatch Negative. Source: S&P Global Ratings.

29

Smallbusiness

Aircraft Timeshare Triple-net lease Whole business All Other

Number of outstanding ratings 82 80 140 37 73 836

CreditWatch negative 1 43 - 29 11 -

Downgrade - 26(i) - - 2 -

Default - - - - - -

Affirmation and removal from CreditWatch

- 8 - - - -

Rating actions (% of total) 1.2% 96.3% - 78.4% 17.8% -

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Non-traditional includes aircraft, triple-net lease, whole business, small business, and timeshare . Cumulative actions since March 1, 2020. Latest data through June 17, 2020. Source: S&P Global Ratings.

30

Total outstanding Rating action (no.) Rating action (%)

‘AAA’ 238 - -

‘AA’ 26 2 10.5

‘A’ 456 48 39.7

‘BBB’ 359 43 25.6

‘BB’ 49 17 53.1

‘B’ 47 7 53.9

‘CCC’ to ‘CC’ 53 3 10.3

Non-Traditional—Rating Actions by CategoryCumulative Number Of Tranches Affected By COVID-19(i)

Source: S&P Global Ratings.

31

Non-Traditional—Key Performance Metrics

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Jan-

10A

pr-1

0Ju

l-10

Oct

-10

Jan-

11A

pr-1

1Ju

l-11

Oct

-11

Jan-

12A

pr-1

2Ju

l-12

Oct

-12

Jan-

13A

pr-1

3Ju

l-13

Oct

-13

Jan-

14A

pr-1

4Ju

l-14

Oct

-14

Jan-

15A

pr-1

5Ju

l-15

Oct

-15

Jan-

16A

pr-1

6Ju

l-16

Oct

-16

Jan-

17A

pr-1

7Ju

l-17

Oct

-17

Jan-

18A

pr-1

8Ju

l-18

Oct

-18

Jan-

19A

pr-1

9Ju

l-19

Oct

-19

Jan-

20A

pr-2

0

(%)

30-day

60-day

90-plus-day

Total

Timeshare Average Delinquency Rates (%)

Source: S&P Global Ratings.

32

Non-Traditional—Key Performance Metrics Cont.

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

Jan

-10

Ap

r-10

Jul-

10O

ct-1

0Ja

n-1

1A

pr-

11Ju

l-11

Oct

-11

Jan

-12

Ap

r-12

Jul-

12O

ct-1

2Ja

n-1

3A

pr-

13Ju

l-13

Oct

-13

Jan

-14

Ap

r-14

Jul-

14O

ct-1

4Ja

n-1

5A

pr-

15Ju

l-15

Oct

-15

Jan

-16

Ap

r-16

Jul-

16O

ct-1

6Ja

n-1

7A

pr-

17Ju

l-17

Oct

-17

Jan

-18

Ap

r-18

Jul-

18O

ct-1

8Ja

n-1

9A

pr-

19Ju

l-19

Oct

-19

Jan

-20

Ap

r-20

30-day

60-day

90-plus-day

Total

Small Business Weighted Average Delinquency Rates (%)

DSCR--Debt service coverage ratio. NNN--Triple-net lease. W/A--Weighted average. Source: S&P Global Ratings.

33

Non-Traditional—Key Performance Metrics Cont.

1.0

1.1

1.2

1.3

1.4

1.5

1.6

1.7

1.8

1.9

Jan-20 Feb-20 Mar-20 Apr-20 May-20

Trip

le-n

et le

ase

-m

onth

ly D

SC

R (x

)

NNN W/A Monthly DSCR

Weighted by bond balance

Non-Traditional—Key Publications

34

– A Deal-By-Deal Look Behind Today's Aircraft And Aircraft Engine ABS Rating Actions, June 17, 2020

– Various Actions On Aircraft And Aircraft Engine ABS Transaction Ratings Previously Placed On Watch, June 17, 2020

– Ratings On Three Classes From ECAF I Ltd. Lowered And Remain On CreditWatch Negative, May 29, 2020

– Ratings Lowered On TGIF Funding LLC Series 2017-1 Notes And Remain On CreditWatch Negative, May 14, 2020

– Twenty-Nine Ratings On Six Single-Tenant Triple-Net Lease-Backed Securitizations Placed On CreditWatch Negative, May 4, 2020

– Stranded Cost Securitizations Remain Insulated Despite Current Service Disruption Moratoriums, May 1, 2020

– Small Business ABS Credit Quality Hinges On Pandemic Duration And Stimulus Efficacy, April 28, 2020

– Four Ratings On Two FOCUS Brands Funding LLC Series Placed On CreditWatch Negative Due To COVID-19 Stress, April 21, 2020

– COVID-19 Containment Measures Put U.S. Timeshare Loan Payments To The Test, April 2, 2020

– Nine Ratings On Three Whole Business Securitizations Placed On Watch Negative Due To Stress From COVID-19, March 24, 2020

– Insurance-Backed Securitizations Likely To Show Near-Term Resilience To COVID-19, March 24, 2020

– 77 Ratings On 32 Aircraft And Aircraft Engine ABS Deals Placed On Watch Negative Over Reduced Travel Due To Coronavirus, March 19, 2020

CLO

Jimmy Kobylinski

Analytical Manager - CLO

+ 1 (212) 438 6314

jimmy.kobylinski@spglobal.com

Stephen Anderberg

Sector Lead – CLO

+ 1 (212) 438 8991

Stephen.anderberg@spglobal.com

Brian O’Keefe

Analytical Manager - CLO

+ 1 (212) 438 1513

brian.okeefe@spglobal.com

CLO—Sector Update– After peaking in late March and early April, negative rating actions on corporate entities issuing the loans

in U.S. CLOs have slowed down, reflecting the first credit effects of theCOVID-19 containment measures.

– Since early March, when the first COVID-19 rating actions appeared within U.S. CLO collateral pools, about 30% of U.S. BSL CLO collateral has been downgraded or placed on CreditWatch negative; this compares to about 40% of North American corporate ratings affected by COVID-19 overall.

– The average U.S. BSL CLO 'CCC' bucket is now just under 12%, nearly triple what it was before COVID-19, and exposure to obligors with ‘B-’ ratings has increased to nearly 26% from about 20% earlier.

– As a result, nearly 12% of U.S. CLO ratings have been placed on CreditWatch negative: 437 tranches from 317 CLO transactions as of June 14, 2020, are currently on CreditWatch negative. A large majority (92.4%) of these CreditWatch placements are on speculative-grade CLO tranches.

– An Excel list of U.S. CLO tranche ratings on CreditWatch negative or downgraded due to COVID-19 or related events as of June 14, 2020, can be downloaded at: http://www.standardandpoors.com/pt_LA/web/guest/article/-/view/sourceId/100044420.

– Negative rating actions on corporate loan issuers, which peaked during the weeks ending March 27th (with 300 negative rating actions) and April 3rd (287 actions) have slowed dramatically, with the week ending June 9th seeing just 28 negative corporate rating actions.

– As a result, CLO collateral pool metrics have stabilized in recent weeks, with the proportion of loans from ‘CCC’ rated obligors and those with ratings on CreditWatch negative staying steady or improving a bit.

– This, combined with rising loan prices, has begun to take the pressure off of CLO junior overcollateralization (O/C) tests; the average CLO junior O/C test cushion is currently 1.13% compared to 1.14% last week.

– Approximately 23% of U.S. CLOs are failing one or more of their O/C tests.

36

CLO—Rating Actions

37

Broadly syndicated loans Middle market

Number of outstanding ratings 3,758 500

CreditWatch negative 420 5

Downgrade 19 -

Default - -

Affirmation and removal from CreditWatch - -

Rating actions (% of total) 11.7% 1.0%

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Latest data for week ended June 12, 2020. Source: S&P Global Ratings.

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. Source: S&P Global Ratings.

38

Total outstanding Rating action (no.) Rating action (%)

‘AAA’ 1,096 - -

‘AA’ 871 - -

‘A’ 754 14 1.9

‘BBB’ 729 23 3.2

‘BB’ 614 224 36.6

‘B’ 184 172 92.9

‘CCC’ to ‘CC’ 11 11 100.0

CLO—Rating Actions by CategoryCumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Source: S&P Global Ratings.

39

CLO—Key Performance Metrics

Reinvesting U.S. BSL CLO Transactions: Collateral Pool Metrics(i)

DateLoans from companies rated Loans from companies with ratings

on Avg. CLO junior O/C test cushion

Average price of loans in portfolio

CLO par loss since Jan. 1

‘B-’ ‘CCC’ Below ‘CCC-’ Watch negative Negative outlook

March 1, 2020 20.16% 4.13% 0.63% 1.61% 17.18% 3.76% 95.83 -0.07%

March 20, 2020 22.91% 6.92% 0.65% 8.47% 18.85% 3.74% 79.53 -0.09%

March 29, 2020 23.23% 8.43% 0.72% 9.89% 20.86% 3.74% 80.92 -0.09%

April 5, 2020 23.47% 10.06% 0.81% 10.71% 24.37% 3.73% 83.11 -0.10%

April 12, 2020 23.86% 10.91% 1.36% 10.62% 27.40% 3.72% 86.22 -0.10%

April 19, 2020 23.83% 11.84% 1.66% 9.92% 29.79% 3.59% 87.32 -0.10%

April 26, 2020 24.47% 12.10% 1.65% 10.07% 32.18% 3.00% 86.80 -0.17%

May 3, 2020 25.40% 12.31% 1.61% 9.82% 32.56% 2.38% 86.73 -0.23%

May 10, 2020 25.67% 12.33% 1.27% 9.24% 34.16% 2.14% 87.08 -0.25%

May 17, 2020 25.91% 12.23% 1.29% 9.25% 35.03% 2.04% 87.51 -0.25%

May 24, 2020 25.73% 12.25% 1.35% 9.00% 35.76% 1.64% 88.41 -0.28%

May 31, 2020 25.71% 12.12% 1.27% 9.04% 35.52% 1.29% 90.12 -0.31%

Source: S&P Global Ratings.

40

CLO—Key Performance Metrics

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

Average 'B-', ‘CCC’ Category, And Non-Performing Exposure

Non-Perform CCC Bucket 'B-'

0102030405060708090100

0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%

Average Jr. O/C Cushion During COVID-19 And Count Of Jr. O/C Fails

count of jr OC fails 2015 and prior 2016 & 2017

2018 2019 average

2400

2500

2600

2700

2800

2900

3000

3100

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

50.0%

Average S

PW

AR

F

Ave

rage

Exp

osur

e (%

)

Average Watch Negative And Negative Outlook And SPWARF

CreditWatch Negative Outlook Negative SPWARF

-0.4%

-0.3%

-0.2%

-0.1%

0.0%

Average Portfolio Par Change Since Start Of 2020

CLO—Key Publications

41

– 2019 Annual Global Structured Finance Default And Rating Transition Study, June 9, 2020

– A Breakdown Of U.S. CLO CreditWatch Negative Placements As Of June 1, 2020, June 5, 2020

– U.S. CLO Exposure To Negative Corporate Rating Actions As Of May 31, 2020, June 2, 2020

– Under Stress: Assessing CLO Manager Performance During COVID-19, June 1, 2020

– The U.S. Speculative-Grade Corporate Default Rate Is Likely To Reach 12.5% By March 2021, May 28, 2020

– Sector Averages Of Reinvesting U.S. BSL CLO Assets: COVID-19-Related Corporate Downgrades Caused Significant Deterioration In First-Quarter 2020, May 18, 2020

– Acosta Inc.'s Modern Day Bankruptcy: A CLO-Distressed Funds Clash, May 7, 2020

– Scenario Analysis: How Credit Distress Due To COVID-19 Could Affect U.S. CLO Ratings, April 24, 2020

– The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs: First-Quarter 2020, April 7, 2020

ABCP Muni StructuredCathy de la Torre

Analytical Manager

+ 1 (212) 438 0502

cathy.de.la.torre@spglobal.com

ABCP Muni Structured—Sector Update– The credit quality of the issuances remains stable for the ABCP sector, based on the percentage of fully

supported transactions (85%), well-diversified SF asset sector exposure for the partially supported transactions (largest sector being autos at 7.55%, including subprime at only 1.5%), high-investment-grade ratings on banks and non-bank institutions providing liquidity support, and extensive experience of bank and non-bank sponsors.

– On June 12, 2020, we published our article “Credit FAQ: How COVID-19 Is Affecting ABCP.” Key questions include:

– What is the likelihood that the negative outlook for U.S. banks will eventually lead to a lowered rating?

– Will S&P Global Ratings monitor the number of transactions in a portfolio that have undergone waivers/covenant amendments due to the impact of COVID-19?

– Will European ABCP will get relief on disclosure requirements from regulators during the pandemic?

– We continue to see amendments to partially supported transactions across asset classes whereby lenders are granting extensions to provide some relief for those experiencing temporary hardships. Cash collections could decline from normal levels over the next few months due to deferrals and delinquencies. Wireless providers and utility companies, however, are not cutting off service for those customers who are late on payments, or request payment assistance, due to COVID-19-related hardships. In certain cases, COVID-19-related receivables will be excluded from being an eligible receivable, or from certain performance metrics, such as delinquency and default trigger calculations. Some transactions are even temporarily amending default or delinquency triggers while increasing enhancement in deals.

– We continue to see amendments and substitutions on variable-rate demand obligations (VRDOs) and letter of credit (LOC)-backed commercial paper as issuers respond to the strong demand for short-term securities.

– One hundred and six linked rating actions were processed for the month of April and May, highlighted by negative rating actions on issues related to Sutter Health, Geisinger Health, Metropolitan Transportation Authority, and J.C. Penney.

43

ABCP Muni Structured—Rating Actions

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. VRDO--Variable-rate demand obligation. TOB--Tender option bond. Source: S&P Global Ratings.

44

ABCP VRDO TOB Repack

Number of outstanding ratings 166 3,207 3,364 122

CreditWatch negative - 24 27 3

Downgrade - - 14 6

Default - - - 5

Affirmation and removal from CreditWatch - - - -

Rating actions (% of total) - 0.8% 1.2% 11.5%

Cumulative Number Of Tranches Affected By COVID-19(i)

(i)Cumulative actions since March 1, 2020. Latest data as of June 12, 2020. Source: S&P Global Ratings.

45

Total outstanding Rating action (no.) Rating action (%)

‘A-1+’ 73 - -

‘A-1’ 281 - -

‘A-2’ 1 - -

‘AAA’ 699 - -

‘AA’ 4,719 19 1.5%

‘A’ 949 32 6.4%

‘BBB’ 104 1 0.4%

‘BB’ 23 3 2.4%

‘B’ 3 2 2.7%

‘CCC’ to ‘CC’ 7 - -

ABCP Muni Structured—Rating Actions by Category

Cumulative Number Of Tranches Affected By COVID-19(i)

All multiples are weighted average based on net investments of each transaction. Data as of February 2020. (i)Losses assumed as $ 0 when net investment is $0; loss horizon consistent with funding under respective liquidity agreements. (ii)Commercial-other: min. losses reported for one transaction only; includes fleet leases, future flows, and insurance premiums finance assets. (iii)Dealer floorplan has net losses of $0; percentage included is the weighted average total credit enhancement available. CD--Calendar day. CE--Credit enhancement. Source: S&P Global Ratings.

46

ABCP Muni Structured—Key Performance Metrics30 CD 3 months 6 months 1 year

Top 10 support providers short-term rating on Watch Negative

0 0 0 0

Asset Actual CE to loss horizon losses(i)

Autos 655

Student loans 155

Equipment 161

Commercial-other(ii) 159

Dealer floorplan (%)(iii) 36.60

Credit cards 51

Consumer-other 194

Trade receivables 61

(i)Latest data as of March 2020. Source: S&P Global Ratings.

47

ABCP Muni Structured—Key Performance Metrics

Liquidity provider geographic exposure

Total ABCP commitment

Europe 37.49%

U.S. 28.34%

Canada 17.68%

Japan 9.83%

Non-Financial Institutions (Germany and U.S.)

6.61%

Australia 0.05%

Total 100.00%

Banks Providing Liquidity To ABCP Programs(i)

Top 10 LOC providers

Bank of America N.A. 18.46%

Citibank N.A. 13.49%

Sumitomo Mitsui Banking Corp. 8.64%

Wells Fargo Bank, N.A. 7.30%

TD Bank N.A. 7.09%

JPMorgan Chase Bank N.A. 6.79%

U.S. Bank N.A. 6.67%

PNC Bank, N.A. 6.32%

Barclays Bank PLC 4.71%

MUFG Union Bank N.A. 3.40%

ABCP Muni Structured—Key Publications

Source: S&P Global Ratings.

48

– Credit FAQ: How COVID-19 Is Affecting ABCP, June 12, 2020

– Ratings On Eight Classes From Five J.C. Penney Co. Inc.-Related Transactions Lowered, May 21, 2020

– Ratings Lowered On 14 Tender-Option Bond Trust Receipts Issued By FMSbonds Inc. And Mesirow Financial Inc., May 21, 2020

– FMSbonds Inc. And Mesirow Financial Inc. 'AA', 'AA/A-1' Receipt Ratings On Various Issues Placed On CreditWatch Negative, May 8, 2020

– Inside Global ABCP: Rating Remain Stable Under COVID-19 Related Market Uncertainties, April 21, 2020

– Assessing The Potential Credit Effects Of COVID-19 On U.S. ABCP, April 9, 2020

– Various Ratings Lowered On 55 Receipts For Multiple Issuers, April 9, 2020

– VRDO Issuance Is Down Due To COVID-19 Concerns, April 3, 2020

– All U.S. Public Finance Sector Outlooks Are Now Negative, April 1, 2020

Appendix

EMEA Structured Finance

50

For similar information in EMEA structured finance, please download the most recent EMEA Surveillance Chart Book by clicking here.

Copyright © 2020 by Standard & Poor’s Financial Services LLC. All rights reserved.

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.spcapitaliq.com (subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Australia: S&P Global Ratings Australia Pty Ltd holds Australian financial services license number 337565 under the Corporations Act 2001. S&P Global Ratings' credit ratings and related research are not intended for and must not be distributed to any person in Australia other than a wholesale client (as defined in Chapter 7 of the Corporations Act).

STANDARD & POOR'S, S&P and RATINGSDIRECT are registered trademarks of Standard & Poor's Financial Services LLC.

spglobal.com/ratings

51