Moody's Talks - Securitization Spotlight

Should European non-bank direct lenders turn to collateralized loan obligation financing, transaction collateral will likely reflect the wide range of borrowers to which private credit lenders cater. Speakers: Sean Marion, MD-EMEA Structured Finance at Moody's Ratings; Shan Lai, VP-Senior Analyst at Moody's Ratings Host: Aaron Johnson, VP-Senior Research Writer at Moody's Ratings Related research: Robust structures will mitigate heightened collateral risks in private credit CLOsEscalating private credit competition will increase risk and scrutiny

Basel 3.1 reforms will lead banks to apply high haircuts to unsustainably high property values and adjust mortgage risk weights to better differentiate between low-risk and high-risk loans. Speakers: Alexander Zeidler, VP-Sr Credit Officer at Moody's Ratings; Guillaume Lucien-Baugas, VP-Senior Analyst at Moody's Ratings Hosts: Aaron Johnson, VP-Senior Research Writer at Moody's Ratings; Danielle Reed, VP-Senior Research Writer at Moody's Ratings Related Research: Basel 3.1 will reduce risk of boom and bust property cycles, boost private credit marketRising interest rates will weaken commercial property values and raise refinancing riskExplanatory comment – Haircuts smooth CRE values through the property market cycle

Recent cyberattacks on three mortgage servicers did not hurt rated residential mortgage-backed security performance, but show how disrupted operations can affect structured finance transactions. Speakers: Peter McNally, VP-Sr Credit Officer at Moody's Ratings; Frank Wissman, VP-Senior Analyst at Moody's Ratings Host: Aaron Johnson, VP-Senior Research Writer at Moody's Ratings

As solar panels become more common in Europe, the first solar loan asset-backed security becomes more likely. But while the asset class is new, many associated risks are familiar to ABS investors. Speakers: Armin Krapf, VP-Sr Credit Officer at Moody's Investors Service; Pedro Sancholuz Ruda, VP-Sr Credit Officer at Moody's Investors Service Host: Aaron Johnson, Vice President – Research at Moody’s Investors Service

Interest rate hikes in the wake of the pandemic have driven an increase in commercial real estate delinquencies, but a variety of factors help mitigate many refinancing and other performance risks. Speakers: Alexander Zeidler, VP-Sr Credit Officer at Moody's Investors Service; Brian Snow, VP-Sr Credit Officer at Moody's Investors Service; Darrell Wheeler, VP-Sr Credit Officer at Moody's Investors Service Host: Aaron Johnson, Vice President – Research at Moody’s Investors Service

High interest rates will weigh on collateral performance in 2024 as structured finance markets adjust to structural shifts, regulatory reforms and geopolitical polarization. Speaker: Annabel Schaafsma, Global Head of Structured Finance at Moody's Investors Service Host: Aaron Johnson, Vice President – Research at Moody’s Investors Service

Home price growth has stalled in most major economies globally. However, despite rising wages, housing affordability is weakening after record or near-record house price appreciation in recent years. Speakers: Rodrigo Conde Puentes, VP-Senior Analyst; Darrell Wheeler, VP-Sr Credit Officer; Si Chen, Analyst Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service

Various negative macroeconomic trends loom larger for middle market companies than for larger corporates, but the impact on middle market collateralized loan obligations is limited. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service

Asset-backed securities exposed to small and medium-sized enterprises remain among the transactions most vulnerable to continued slow economic growth around the globe. How has economic weakness eroded collateral performance thus far and what do we expect for the rest of 2023? Guests: Sandie Zhang, Analyst – Structured Finance, Moody’s Investors Service; Monica Curti, Vice President – Structured Finance, Moody’s Investors Service; Daniel Gan, Analyst – Structured Finance, Moody’s Investors Service. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers).

Multifamily commercial real estate has performed well of late in both the US and Europe, but will that continue amid high rates and increased scrutiny on buildings energy efficiency? Guests: Darrell Wheeler, Head of CMBS Research – Structured Finance, Moody’s Investors Service; Brian Snow, Vice President – Structured Finance, Moody’s Investors Service. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers). Related Links: CRE fortunes vary by lender and property type, with office facing multiple risksCredit quality erosion to continue as refinancing becomes more difficultSector Update – Q2 2023: Physical office occupancy recovering, but values are downMoody's DQT - Office and hotel conduit/fusion DQT increase sharply in June 2023

With Libor’s demise imminent, how prepared are US CLOs to move on from the long-time benchmark? Guest: Peter Hallenbeck, Vice President, Senior Officer Legal Review – Structured Finance Group, Moody’s Investors Service Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers). Related Research: Private Credit – Cross Region: Middle-market CLOs, BDCs and closed-end funds: structures lead to divergent credit risks

Moody’s analysts David Burger, Mark Wasden and Neal Epstein explain how differences in structure and asset risk give rise to divergent credit profiles among the three investment vehicles. Speakers: David Burger, VP – Senior Credit Officer, Moody’s Investors Service; Mark Wasden, Senior Vice President, Moody's Investors Service; Neal Epstein, VP – Senior Credit Officer, Moody's Investors Service Hosts: Aaron Johnson, VP – Senior Research Writer, Moody’s Investors Service; Danielle Reed, VP – Senior Research Writer, Moody’s Investors Service

As climate change intensifies, how are utility companies using securitization to recover costs related to unforeseen developments like major storms and other natural disasters? And how is the market for these transactions evolving? Guests: Inga Smolyar, Vice President – Structured Finance Group, Moody’s Investors Service, Tracy Rice, Vice President – Structured Finance Group, Moody’s Investors Service, Natividad Martel, Vice President – Public Project and Infrastructure Finance Group, and Matthew Kuchtyak, Vice President – Sustainable Finance Group. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers). Related Research: As extreme weather events and net-zero efforts rise, ABS will lower utility credit riskInflation-tied social risk remains low for UCRC ABS despite its rise for utilitiesSecond Party Opinion – SCE Recovery Funding LLC's Series 2023-A Assigned SQS2 Sustainability Quality Score 2023 Outlook - Despite weak economy, strong demand for assets will uphold deal credit quality and performance

Jerome Cheng and Tengfu Li discuss how China’s economic rebound will support residential mortgage-backed securities and a handful of Asia-Pacific banking systems with close ties to the country. Speakers: Tengfu Li, AVP – Analyst, Moody’s Investors Service; Jerome Cheng, Associate Managing Director, Moody’s Investors Service Hosts: Danielle Reed, VP – Senior Research Writer, Moody’s Investors Service; Aaron Johnson, VP – Senior Research Writer, Moody’s Investors Service Related content on Moodys.com (may only be available to registered users or subscribers): RMBS – China: Economic rebound, low rates and policy support are positive for mortgage borrowersBanks – Asia-Pacific: China's reopening will benefit only a few banking systems in Asia-Pacific

Structured finance transactions are exposed to recent banking stresses in the US and Europe at both the collateral and counterparty levels. But will that impact be material? And what kinds of protections do transaction structures provide? Guests: Edward Manchester, Senior Vice President – Structured Finance Group, Moody’s Investors Service, and Amy Tobey, Senior Vice President – Structured Finance Group, Moody’s Investors Service. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers).

As borrowing costs continue to rise and consumers’ purchasing power wanes, borrowers’ ability to make debt payments is weakening. What makes auto ABS among the securitization sectors most vulnerable to this deterioration in consumers’ finances? And what does the sector’s ongoing transition to electric power mean for transactions we rate? Guests: Maxwell Price, Analyst – Structured Finance Group, Moody’s Investors Service; and Robin Liu, Vice President – Structured Finance Group, Moody’s Investors Service Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers). Auto-related ABS – US: Slower used auto price drops will ease asset risks; trends for BEV values are less certainAuto ABS – US: Worsening performance among non-prime borrowers will strain junior note protectionUK Auto ABS – Europe: Auto sector transformation spreads to used car market, a credit negative for auto ABS

European small and medium-sized enterprises, and in turn securitizations backed by their debt, remain among the most vulnerable borrowers as the COVID-19 pandemic has given way to Ukraine War-driven economic uncertainty over the past year. With the war still raging and economies weakening, where are some of the biggest risks in the sector? And what kind of mitigants do ABS structures provide? Guests: Monica Curti, Vice President – Structured Finance Group, Moody’s Investors Service. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers).

Rising rates and a deteriorating macroeconomic environment will make it more difficult for commercial real estate borrowers to refinance, but some will have more difficulty than others. Guests: Darrell Wheeler, Vice President – Moody’s Investors Service Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service To read more on this topic, visit these reports on Moodys.com (some content only available to registered users or subscribers). Higher interest rates will subdue post-pandemic 2023 recovery for commercial real estateCMBS and CRE CLOs – US: 2023 Outlook - Higher rates and slower economy pose risks to new deal credit quality and existing deal performance

With the global economy on the verge of a downturn amid extraordinarily high levels of uncertainty, the performance of assets backing structured finance transactions will weaken in 2023. But erosion will not be distributed evenly across markets. Guests: Annabel Schaafsma, Managing Director – Global Structured Finance, Moody’s Investors Service Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service To read more on this topic, visit Securitization Spotlight page on Moodys.com (some content only available to registered users or subscribers).

Interest rate hikes in many regions have slowed home price growth, but even where prices have started to decline, affordability remains strained. What are the implications for mortgage-backed securities, particularly for transactions backed by mortgages originated in the past year, when home prices were peaking? Guests: Rodrigo Conde Puentes, Vice President – Structured Finance Group, Moody’s Investors Service, Sonny Weng, Vice President – Structured Finance Group, Moody’s Investors Service, and Ilya Serov, Associate Managing Director – Structured Finance Group. Host: Aaron Johnson, Vice President – Research, Moody’s Investors Service. To read more on this topic, read these reports on Moodys.com (some content only available to registered users or subscribers). Rising interest rates and inflation are eroding housing affordability in many Asia-Pacific countriesHousing – Europe: Risks grow across sectors along with likelihood of housing downturnRMBS – US: Sector update – Q3 2022: Prime jumbo issuance drops, performance stays healthy