Moody's Talks - Securitization Spotlight

Libor transition looms larger for some asset classes than others

Episode Summary

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.

Episode Notes

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:

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• 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