Take Notes

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 American market.

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 that standard across the EU, some of the hold ups some countries are having in trying to enact this law, as well as some of the important legal differences that still exist between jurisdictions.

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.