Scope covered 366 structured finance instruments across 182 transactions in the 12-month period to March 2024, of which 84 were new ratings across 50 new transactions and 282 were monitoring reviews across 132 existing transactions. Of the instruments monitored in this 12-month period, 14.2% were upgraded and 17.4% were downgraded.

Upgrades in the first quarter were mainly attributable to deleveraging in the case of performing ABS; better-than-expected performance of unsecured NPL exposures; and transaction-specific structural changes and portfolio stabilisation in the case of CRE/CMBS.

NPLs continued to see most downgrades, followed by CRE/CMBS, although both improved relative to the previous quarter (65.3% vs 68% and 14.3% vs 22%, respectively). Downgrades of NPL transactions were mainly attributable to depressed sales prices and disappointing collections. For CRE/CMBS, refinancing risk and depressed values against a backdrop of persistent inflation and rising interest rates continue to haunt the asset class.

Of the new instruments, approximately 42.9% was rated AAA, while 1.4% was rated sub-investment grade. The total rated volume to the end of Q1 2024 was EUR 274bn-equivalent, up 15.2% year-on-year, including EUR 2.7bn of rated new-issue volumes in the first quarter of 2024.

In the first quarter of 2024, we updated our General Structured Finance, Consumer and Auto ABS, and Asset Portfolio Rating Methodologies (available here). None of the updates are expected to impact existing ratings.

Download the Activity Report here.