Take Notes

We're joined by nontraditional ABS Analysts Deborah Newman and Rajesh Subramanian, as well Kapil Jain from Structured Finance Methodologies, who discuss our request for comment (RFC) for proposed updates to our global aircraft ABS criteria. We review some of the proposed changes, the implications in terms of ratings impact, and the next steps in the process. Related Article: Request For Comment -...

In this week's episode of Take Notes, hosts Tom Schopflocher and Jim Manzi discuss their recently published chartbook: U.S. Structured Finance Snapshot: The Health Of U.S. Consumers. Topics include U.S. macroeconomic conditions, consumer ABS, housing/RMBS, and non-agency multifamily CMBS, and how the trends in asset classes reflect the health of U.S. consumers. Related Article: U.S. Structured Fin...

Following the implementation of the EU Covered Bond Directive, analysts Casper Andersen and Ana Galdo join us this week to discuss the journey European covered bonds have been on to harmonize. We go over some key elements of the legislation, recap the harmonization timeline so far, and discuss what the directive means for covered bonds going forward. Related Articles: European Covered Bonds Reach...

With the European commercial real estate market facing asset price inflation risks, analyst Mathias Herzog joins us this week to discuss the region's CMBS performance. We discuss key European market trends and how they impact our ratings, noting that generally, ratings will be lower on new transactions with the same leverage as measured by the underlying assets' market value. For existing ratings,...

Credit analyst Erin Kitson joins us this week to discuss the Australian RMBS sector's likely resilience to rising interest rates in the country due to inflationary pressures. We do deep dives on a scenario analysis we performed to explore borrower sensitivity to rising interest rates, the fixed-rate phenomenon in the sector, property prices, unemployment, geographic diversity, and ratings performa...

We're joined by Chris Plumb and Jie Liang to discuss Private Equity CFOs, including the recent Astrea 7 transaction. Disruptions from the COVID-19 pandemic led to temporary performance fluctuations in the outstanding Astrea transactions we rate. Rising rates and market volatility may affect returns on the underlying private equity assets in the near term. Related Article - Presale: Astrea 7 Pte. L...

Our host, Jim Manzi, is joined by U.S. CLO sector lead Stephen Anderberg, Director Daniel Hu, and research analyst Evan Gunter to do a deep dive into the history of U.S. CLO defaults. Of the 16,000+ CLO tranches that we have rated since the mid-late 1990s, there have been 50 that defaulted. We go over some notable observations and trends (e.g., rating categories, timings, etc.) in our historical d...

We're joined by Doug Paterson to discuss buy now, pay later (BNPL) lending, a form of consumer credit where goods and services are paid for in installments over a period typically less than 12 months, instead of being paid for in full at the time of purchase. We discuss how BNPL lending has evolved from traditional consumer financing; the market's rapid 60%-70% annual growth and the stricter regul...

Host Tom Schopflocher and S&P Global Ratings analyst Amy Martin discuss the U.S. auto loan ABS market, which roared back to life in 2021 with issuance at the highest level since 2005. Learn about vintage-specific performance trends, the relationship between unemployment and losses, loan-term trends, and more. Related Articles: U.S. Auto Loan ABS Tracker: Full Year And December 2021 Performance Glo...

Expanding on our covered bond market coverage, Casper Andersen joins us to provide some insights into the growing Norwegian And Finnish markets, which are the 10th- and 14-largest in Europe, respectively. We give an overview of each market's adopted legal frameworks, key characteristics, and collateral securing their covered pools. We also give our ratings outlooks for each market. Related Article...

Our Latin American team joins us this week to discuss the 2022 outlook for the Latin American Structured Finance market. We expect flat issuance relative to last year and stable collateral performance, continuing the trends from 2021. We go into more detail about the major regional markets and asset classes that we expect will be most active in the coming year, as well as delve into the major risk...

We're joined by credit analysts Antonio Farina and Marta Escutia to discuss sustainable covered bond market, which has been expanding over the last couple of years. Overall, we view the lack of supply, rather than demand, is constraining further growth in sustainable issuance. We discuss in detail the different factors contributing to this lack of supply. We also discuss our outlook for the market...

Host Tom Schopflocher discusses the economic factors supporting the U.S. housing market and what could happen to the record high pace of home price appreciation should they change course. Based on these factors, we carried out a statistical study to determine the likelihood of a sudden correction in home prices. We also ran a scenario analysis to understand how a sharp drop in home prices might im...

Credit analyst Doug Paterson joins us this week to discuss the rise of electric vehicles (EVs) in European auto ABS transactions as the transition to EVs from internal combustion ones is expected to accelerate. We discuss some of the drivers behind the transition, price depreciation of EVs and how it affects our analysis of auto ABS deals, and our thoughts on the share of EVs in securitized pools...

Director Jay Srivats joins our host Tom Schopflocher this week to give an update on the U.S. timeshare securitization sector. We discuss the consolidation trends in the sector this year and their impact on issuance volume, the adjustments to our base-case default assumptions in our rating analysis in response to the pandemic, and the sector's overall stable ratings performance despite pandemic-rel...

Sector Lead Casper Andersen and analyst Natalie Swiderek join us this week to give an overview of the 2021 German, Swedish, and Danish covered bond markets, the three largest in Europe. We explore some of the differences between the regional markets and deep dive into the current trends in each market.

Credit analyst Irina Penkina joins us to discuss the possible impact LIBOR replacement could have on our U.K. RMBS ratings. We deep dive into different types of scenario analysis we developed to look at the patterns in the upcoming LIBOR transition and the resulting amended terms that could trigger a negative rating action on U.K. RMBS transactions, and more.

RMBS Sector Lead Jeremy Schneider joins us this week to discuss how U.S. home prices have made significant gains recently, leading to a shift in the U.S. housing market's to being overvalued. We further discuss how the overvaluation has led us to update the home value assessments we use when evaluating mortgage pools backing certain RMBS.

We're joined by Jose Coballasi and Antonio Zellek to discuss the current state of Structured Finance in Latin America. We touch on Latin America's overall ongoing recovery from the COVID-19 pandemic; the most relevant asset classes in Brazil, Argentina, and Mexico; ratings performance; and our forward-looking views on issuance in the region. We also detail Fintech's increasing role in the Latin Am...

We're joined by Matt Mitchell to discuss how Structured Finance securitizations prepare against cyber risks. We discuss how a securitization could be vulnerable to a cyberattack, the structural features that are available to mitigate and manage the cyberattack, how we account for cyber risk in our rating analysis, and how our ratings could be affected

This time, Casper Anderson joins us to discuss commercial real estate (CRE) in covered bonds. Is CRE in covered bonds worth the risk? We do a deep dive into that question by looking at the divergence of different CRE asset performances due to the pandemic, their exposures in different jurisdictions, the outlooks for CRE in Europe, and more.

Our host Tom Schopflocher is joined by analyst Casper Anderson to discuss covered bonds; this time it's the EU directive, which is now on its way to becoming law in all EU countries. The EU directive is the first real attempt at establishing a pan-European standard for covered bonds (as well as an attempt at strengthening the EU capitals market union). We discuss how the law seeks to establish tha...

Environmental, social, and governance (ESG) has become even more prevalent since our last episode on the subject on Oct. 17, 2019. Kate Scanlin and Matt Mitchell join us this time to discuss our recently introduced ESG industry report cards, which help explain the influence ESG credit factors have on our credit rating analysis for specific Structured Finance sectors.

Host Tom Schopflocher speaks with credit analyst Alastair Bigley on key developments in the European RMBS market for first-quarter 2021. Performance has remained stable overall due to government support, with some deviation by country. Prepayments had started to increase again at the end of last year, but may slow as more borrowers move to fixed-rate products.

Although nonperforming loans (NPLs) are toxic, there is a market for securitizing NPLs. We're joined by analyst Fabio Alderotti this week to discuss the trends we are seeing in the southern European NPL market, and what we expect to see from that market in the future. We also deep dive into the different factors we consider in our rating analysis of NPL securitizations.