In this month’s episode, Peter McNally of our New York Structured Finance research team joins hosts Aaron Johnson and Tanguy Hespel to break down the extent to which asset classes globally face ESG-related risks. And then, Lana Deharveng, from our New York Structured Credit team, will talk about how CLOs are increasingly adopting ESG-focused investment criteria.

In this latest segment, Peter Hallenbeck of the Structured Credit team and Masako Oshima of the Consumer Assets team consider the effect that Libor transition will have on various structured finance asset classes. Plus, Aaron Johnson and Greg O’Reilly discuss the performance of structured finance collateral one year into the coronavirus pandemic.

Related content:

• CLOs – EMEA: Sector Update – Q4 2020: New CLO structures closer to pre-pandemic levels, performance improved but risks remain
• CLOs – US: Sector Update – Q4 2020: Market indicators rebound as investor optimism grows
• Structured Finance – China: Sector Update Q4 2020 - Performance stable, issuance up as economy recovers
• RMBS – EMEA : Sector Update – Q4 2020: Performance stays stable for year-end
• Credit Card ABS – US: Sector Update – Q4 2020: Credit card ABS performance was strong
• Auto ABS – US: Sector Update – Q4 2020: Performance improves as economy continues to stabilize
• RMBS – US: Sector update – Q4 2020: New deal issuance remains robust, performance still at risk
• RMBS and ABS – EMEA Coronavirus performance monitor — January 2021
• CMBS - US: Sector Update – Q3 2020: Rebound in fundamentals offset by record share of interest-only loans
• Libor Transition – Global:  Finalization of retirement delay for key US dollar benchmarks reduces credit risks
• Libor Transition – Global: ISDA progress on Libor transition in derivatives market is credit positive
• Structured finance – Global Libor risk would loom larger for certain securitization sectors in adverse scenario
• Structured Finance — RMBS – US: Most US RMBS have weak Libor documentation, structures lessen Libor-phaseout risk
• Structured finance — Europe: Euribor reform reduces uncertainty for structured finance transactions
• Structured finance — Global: Libor transition continues to create risks for new transactions
• Structured Finance — RMBS – United Kingdom: Libor transition poses cash flow risks for deals, especially legacy securitisations
• Structured Finance – Global: Post-Libor reference rates result in lower volatility under stressed scenarios

In this month’s featured segment, Yehudah Forster of the Residential Mortgage-backed Securities team breaks down potential changes to the qualified mortgage rules, and what they mean for the credit quality of future RMBS. Plus, Aaron Johnson and Xhen Pisha draw on our 2021 outlooks to highlight the structured finance asset classes on the bumpiest roads as the economy recovers from a tumultuous 2020.

In this episode:

• Yehudah Forster of the Residential Mortgage-backed Securities team breaks down potential changes to the qualified mortgage rules, and what they mean for the credit quality of future RMBS (begins at 4:57)

Featured content:

• RMBS – US: New qualified mortgage rules will expand credit box for prime RMBS, increasing risk - The CFPB's new QM rules will allow some riskier loans to qualify, and also result in a non-QM market that is more akin to non-prime
   

Other related content:

• Structured Finance – Global: 2021 Outlook – Speed and extent of recovery will vary by asset class and region, with pandemic weighing on performance
• Consumer ABS – US 2021 Outlook – Weaker asset performance will weigh on deals as underwriting slowly normalizes from 2020 tightening
• RMBS – US: 2021 Outlook – COVID-19 fallout will drive originators to uphold high standards, but weaken existing deals' performance
• RMBS and ABS – EMEA: 2021 Outlook — Tight underwriting will aid new deal asset quality as coronavirus fallout spurs performance risks
• Structured Finance – China: 2021 Outlook - Economic recovery will support asset quality and performance
• Structured Finance – Australia: 2021 Outlook - Asset quality will be sound, but uneven recovery will hurt performance
• SFG – Europe: Significance of remaining pandemic-related risks to collateral vary by asset class and region
• Government Policy – US: New administration's swift policy pivot on health, economy and climate will affect energy and consumer-related sectors
• Housing and Housing Finance – US : Biden’s policy agenda, including home ownership and affordability, has varied credit effects for many sectors

Hosted by Aaron Johnson and Xhensila Pisha of the Structured Finance team, our new Securitization Spotlight podcast series brings you the insight you need to keep on top of corporate and consumer debt securitization markets. From the impact of an evolving regulatory landscape and the ongoing recovery from the pandemic, to the ongoing effects of lower-for-longer interest rates and investors’ growing focus on ESG considerations, Aaron, Xhen and their guests will deliver the analysis that matters.