Fitch

The ratings firm also took negative action with respect to Ally, Synchrony, Discover, Sallie Mae and Navient, citing the impact that the coronavirus crisis is having on their revenues and profits.

According to a new academic research report, CLO managers have taken advantage of S&P's ratings methodology for a ratings boost on lower-rated tranches - enabling them to offer more return for what seemed like less risk.

Fitch assumes a significant spike in defaults over the next few months, as well as declining new issuance volume during the second and third quarters of 2020, fewer maturing loans and fewer resolutions by special servicers.

Historically low interest rates, low unemployment and positive yet slowing economic growth will support stable U.S. structured finance asset performance in 2020.

The delinquency rate for commercial mortgage-backed securities ended 2019 at its lowest point in nearly 11 years, aided by increased issuance and the resolution of legacy transactions, Fitch Ratings said.

Charge-offs in prime bank cards fell to 3.01%, a third consecutive month in the sector. Meanwhile, retail-card ABS had its best charge-off performance since October 2018.

Trustees are concerned about obtaining proper consents from legacy residential mortgage-backed securities investors in a timely fashion in order to make the switch from Libor to another index, Fitch Ratings said.

Life insurance companies increased their mortgage investments to levels higher than historical norms, creating more potential danger for their portfolios in the event of a real estate downturn, a Fitch Ratings report said.

The post-crisis operational improvements at both Fannie Mae and Freddie Mac have resulted in stronger mortgage loan performance, a Fitch Ratings report said.

Mortgages using alternative documentation like bank statements for underwriting performed stronger than expected, but uncertainty remains about their default rates in stressed environments, Fitch Ratings said.