Securitisation Insights

Synthetic SRTs: From Capital Relief to Key Risks

Mon, 9 Mar 2026 07:00:00 +0000

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Andre Soutinho, Assistant Vice President, European RMBS & Covered Bond Ratings, and Nicola De Caro, Senior Vice President, Sector Lead, European Financial Institution Ratings, to discuss Significant Risk Transfer (SRT) transactions--and, in particular, the rapid growth of synthetic securitisations in Europe.

Over the last few years, SRTs have become a core part of how European banks think about capital, risk management, and balance‑sheet efficiency. These deals allow banks to transfer credit risk to investors, often without selling the underlying assets, freeing up capital and supporting new lending.

In this discussion, our analysts unpack how SRT transactions work, why synthetic deals have become so popular, what trends we’re seeing in the market, and how we analyse the key risks in structured finance and financial institutions. We also touch on recent and upcoming regulatory developments, including capital rules, supervisory expectations, and their implications for issuance going forward.

European Data Centre Securitisation

Mon, 9 Feb 2026 14:54:04 +0000

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Mirco Iacobucci, Associate Managing Director, European Commercial Real Estate Ratings, to discuss data centres.

Our analysts discuss how data centres are being financed and how securitisation is becoming a central part of the conversation, especially as investors search for stable, long‑term cash flows and varied sources of funding. They examine how securitising data centre assets actually works, the key differences between the asset-backed securities and commercial mortgage-backed securities approaches, and why the U.S. market is still far ahead of Europe. They also explore whether hyperscalers will remain the only type of data centres backing European securitisations or if we might see broader participation. Finally, they touch on the major risks facing the sector, from regulatory and grid‑capacity pressures to the threat of rapid technological obsolescence, and what all this means for issuance expectations in 2026.

Related Content:

“European CMBS 2026 Outlook: On the Upswing”, https://dbrs.morningstar.com/research/471388
“Demystifying Credit: Data Centres”, https://dbrs.morningstar.com/research/453420

Australian Structured Finance Outlook

Thu, 18 Dec 2025 13:06:17 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Kevin Stephenson, Managing Director, Head of APAC Credit Ratings, to discuss Australia’s securitisation market.

Australia's securitisation market is heading into 2026 with real momentum, supported by a AAA-rated sovereign, resilient borrowers, and a well-regulated financial system, even as global macro and geopolitical risks continue to dominate headlines. In this episode, our analysts unpack why issuance is on track to push toward AUD 100 billion next year and what a cautious Reserve Bank of Australia easing cycle and still-healthy labour market mean for credit performance. Our experts analyse how housing shortages, data-centre build-out, and new asset classes like solar asset-backed security and equity-release residential mortgage-backed securities are reshaping deal flow.

The discussion also explores whether global headwinds--from U.S.-China tensions and tariffs to Al-driven data-centre risk and private credit growth--pose a genuine threat to Australian structured finance or whether the country's diversification, modest public debt, and investor demand from super funds and offshore buyers will keep spreads supported and volumes robust.

UK Buy-to-Let Sector

Tue, 11 Nov 2025 13:13:57 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Andrew Lynch, Vice President and Sector Lead of European Structured Finance Ratings, Surveillance, and Petter Wettestad, Vice President of European Structured Finance Ratings, Surveillance, to discuss the UK’s buy-to-let (BTL) sector.

In this episode analysts shared their observations on the key drivers and challenges facing the BTL sector and delved into the performance of UK BTL RMBS transactions amidst the recent macroeconomic environment, following our publication of a detailed commentary on the topic. Our analysts also discussed some upcoming regulatory changes for landlords and shared their expectations on the asset performance of these transactions.

Related Content:

“UK BTL RMBS Performance Report: Q2 2025” (25 September 2025), https://dbrs.morningstar.com/research/463139

Italian NPLs

Tue, 4 Nov 2025 11:52:30 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Clarice Baiocchi, Vice President and Sector Lead of European Structured Finance Ratings, Surveillance, and Sijia Aulenbacher, Assistant Vice President of European Structured Finance Ratings, Surveillance, to discuss Italian nonperforming loan (NPL) securitisations.

Our analysts delve into the details of recent performance trends based on the latest issuer reports and shed light on the evolution of servicer business plans and transaction structures. They discuss various factors like NPL recoveries and their timings, recovery expenses, as well as senior note amortisation speeds. The panel also share their thoughts and expectations on further developments in the Italian NPL and securitisation markets.

Related Content:

“Italian Nonperforming Loan Securitisations Performance--Q2 2025 Update” (24 September 2025), https://dbrs.morningstar.com/research/463004/
“Italian Nonperforming Loan Securitisations Business Plans Evolution--Q2 2025 Update” (24 September 2025), https://dbrs.morningstar.com/research/463005
“Italian Nonperforming Loan Securitisations Transaction Structures--Q2 2025 Update” (24 September 2025), https://dbrs.morningstar.com/research/463006

UK Housing Market

Wed, 8 Oct 2025 15:05:59 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by European Structured Finance Ratings Surveillance analysts, Andrew Lynch, Vice President and Sector Lead, and Clare Wootton, Vice President, to discuss the UK Housing Market.

In this episode, our analysts discuss the recent trends in UK house prices and the mortgage market, delving into details of UK RMBS transactions and how they are performing against the backdrop of the current macroeconomic environment. The panel highlight some of their observations across the prime and nonprime sectors, discussing the key drivers and challenges faced, and share their thoughts and expectations on the asset performance of UK RMBS transactions going forward.

Related Content:

“UK Prime and Nonprime RMBS Performance Report: Q2 2025” - https://dbrs.morningstar.com/research/463138

Covered Bonds in Focus

Mon, 15 Sep 2025 13:00:59 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Tomas Rodriguez-Vigil Junco, Senior Vice President, Sector Lead, European RMBS & Covered Bond Ratings to discuss the world of covered bonds.

In this episode, Chaudry and Rodriguez-Vigil Junco discussed the background of covered bonds, how they differ from typical securitisations, and why they remain such an important funding tool in European markets. They took a closer look at our “Global Methodology for Rating and Monitoring Covered Bonds”, which is out for Request for Comment, highlighting some key changes under consideration and the reasons behind them. Additionally, they touched on some of the broader trends we're observing across the covered bond landscape.

Related Content:
“Global Methodology for Rating and Monitoring Covered Bonds--Request for Comment”
https://dbrs.morningstar.com/research/462239

Spain's Foreclosure and Bankruptcy Landscape

Mon, 18 Aug 2025 06:00:00 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Jorge Aranda Rodriguez, Senior Analyst, European Nonperforming & Reperforming Loan Ratings, to discuss Spain's foreclosure and bankruptcy landscape.

Chaudhry and Aranda Rodriguez dived into the latest statistics around foreclosures and bankruptcies in Spain. At first glance, the numbers appear stable as foreclosure filings are at historic lows and the banking system’s nonperforming loan ratio is just 3.2%. However, our analysts noted that these positive indicators may mask a series of underlying vulnerabilities.

Related Content:

“Spain's Foreclosure and Bankruptcy Landscape: Stability on the Surface, Pressure Beneath” (14 July 2025) https://dbrs.morningstar.com/research/458132

Irish Buy-to-Let Sector

Wed, 16 Jul 2025 11:19:31 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Andrew Lynch, Vice President of European Structured Finance Ratings, Surveillance, and Petter Wettestad, Vice President of European Structured Finance Ratings, Surveillance, to discuss the Irish buy-to-let (BTL) sector.

In this episode, the panellists summarised their observations across BTL in Ireland, including the key drivers and challenges facing the industry. Our experts delved into details of Irish BTL residential mortgage-backed securities (RMBS) transactions and how they are performing amidst the recent macroeconomic environment as well as stricter local rent reforms. They also shared their thoughts and expectations on the asset performance of RMBS transactions based on our analysis.

For our thoughts on recent trends in Irish house prices and the mortgage market, please check out episode 30 on Irish prime and nonprime RMBS.

Related Content:

“Irish Buy-to-Let Performance Report: Q1 2025”,https://dbrs.morningstar.com/research/456754

Global ABS 2025

Thu, 12 Jun 2025 12:53:45 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, collated thoughts from the following Morningstar DBRS analysts featured at this year’s Global ABS conference in Barcelona:

Christian Aufsatz, Managing Director and Head of European Structured Finance Ratings, moderated the Day 1 ‘The Stability Among Chaos: Capital Markets Forecast’ panel
Mirco Iacobucci, Senior Vice President and Sector Lead of European Commercial Real Estate Ratings, spoke on the Day 2 ‘Financing the “Cloud”: Digital Infrastructure’ panel
Mudasar Chaudhry, Senior Vice President and Head of European Structured Finance Research, spoke on the Day 2 ‘Roundtable Series: Researchers’ Perspectives’ panel
Lorenzo Coccioli, Vice President of European RMBS & Covered Bond Ratings, spoke on the Day 2 ‘Past Your Prime? Equity Release & RMBS Market Updates’ panel

Related research is available at the following link: Morningstar DBRS at Invisso Global ABS 2025

Irish Prime and Nonprime RMBS

Wed, 4 Jun 2025 16:39:03 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Andrew Lynch, Vice President of European Structured Finance Ratings, Surveillance and Clare Wootton, Vice President of European Structured Finance Ratings, Surveillance to discuss the Irish housing market.

The panellists discussed recent trends in housing prices and the mortgage market, including Irish RMBS transactions and how various subsectors are performing amidst the current macroeconomic environment. They summarised observations across the prime and nonprime sectors, reviewing the key drivers and challenges faced, and concluded with their thoughts and expectations on the asset performance of RMBS transactions based on Morningstar DBRS’ analysis.

Related Content:

Irish Prime and Nonprime RMBS Performance Report: Q1 2025
https://dbrs.morningstar.com/research/454309

Lending into Retirement

Tue, 13 May 2025 15:27:30 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Ketan Thaker, Managing Director, European Real Estate & NPL Ratings at Morningstar DBRS and Simon Webb, Managing Director, Finance and Capital Markets at LiveMore Capital, to discuss lending into retirement.

With a focus on the UK, the panellists explored the lending solutions available to borrowers over 50, the current market dynamics that are shaping this niche market segment, and how the market has evolved over time with the products on offer. They also shared their thoughts on the credit considerations of residential mortgage-backed securities (RMBS) deals that are either entirely or partially composed of later-life loans and discussed the credit rating angle, key considerations, and whether servicers are equipped to manage such a distinct asset class.

Related Content:

Rating European Structured Finance Transactions Methodology (19 November 2024)
https://dbrs.morningstar.com/research/443199

Italian Unpaid Fiscal Claims: A Potential New NPL Subcategory

Wed, 9 Apr 2025 16:15:42 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Lorenzo Simonte, Assistant Vice President, European NPL Ratings and Norman Pepe, Partner at iLS London-Milan to discuss a unique development in the Italian securitisation market: a proposal to securitise unpaid tax bills due to the Italian national tax system.

The panellists explored how this can be made possible and how current Italian securitisation law makes provisions for such transactions. They also explored the credit rating angle, key considerations, and whether servicers are ready to manage such a unique asset class.

Related Content:

“Italian Unpaid Fiscal Claims: A Potential New NPL Subcategory”
https://dbrs.morningstar.com/research/449419

Bridging Loans in RMBS

Mon, 24 Mar 2025 17:34:17 +0000

In recent years the market has seen expansion in the use of bridging loans due to their less onerous lending criteria and expedience in availability of credit to the borrower. Due to the market expansion, originators now have a track record of origination and monitoring these portfolios, and the expectation is to see a first public European securitisation backed by the pool of bridging loans.

Related Content:

Methodology “European RMBS Insight Methodology”
https://dbrs.morningstar.com/research/449129

European Office Sector in Focus

Thu, 27 Feb 2025 10:08:54 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Dinesh Thapar, Vice President, European Commercial Real Estate Ratings, to discuss key trends affecting the European office sector.

Our analysts discussed how the definition of so-called "prime" office space is evolving and how, as interest rates come down, overall European commercial real estate investments seem to be turning a corner. They also examined whether, in light of this, the office sector is moving in line with the broader market or some of the issues more entrenched.

To wrap it up, they highlighted the impact the aforementioned trends had on Morningstar DBRS-rated commercial mortgage-backed securities (CMBS) transactions with large office exposure and also provided our 2025 outlook for the European office sector.

Related Content:

Commentary – “European CMBS: Office Sector in Focus”
https://dbrs.morningstar.com/research/444135/european-cmbs-office-sector-in-focus

Climate Transition and Fixed Income: Identifying Leaders and Laggards

Thu, 12 Dec 2024 15:13:01 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Barbara Lambotte, Head of Sustainable Fixed Income Research at Morningstar Sustainalytics, and Christian Aufsatz, Managing Director, European Structured Finance Ratings at Morningstar DBRS, to discuss the climate transition and fixed income.

Our guests discussed the interconnectivity of climate change and credit and how transitioning to a net-zero economy creates risks and opportunities for fixed income investors. They also explored the upside and the downside of labelled bonds and how investors identify and select the leaders from the traditional green bonds to broader transition related fixed-income investments as well as how they incorporate downside risk.

Commercial Real Estate in Europe and the U.S.

Fri, 29 Nov 2024 10:01:26 +0000

In the latest episode of our “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Erin Stafford, Managing Director of North American Real Estate Ratings, and Mirco Iacobucci, Senior Vice President and Sector Lead of European Commercial Real Estate Ratings, to discuss the current state of the commercial real estate (CRE) sector and commercial mortgage-backed security (CMBS) markets both in Europe and the U.S.

Our analysts discussed the CMBS subsectors that continue to face headwinds, others that are either evolving and surviving, as well as others that are emerging as a new subasset classes. Our analysts reflected on the performance of CMBS credit ratings and the challenges that must be addressed in an environment of higher interest rates for a longer period. They also shared their credit outlooks as well as views on issuance in the CMBS market.

UK RMBS: Resilient for the Most Part

Mon, 21 Oct 2024 10:51:13 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Andrew Lynch, Vice President, European Structured Finance Ratings, Surveillance, and Petter Wettestad, Assistant Vice President, European Structured Finance Ratings, Surveillance, to discuss the UK Housing Market.

Morningstar DBRS’ analysts discussed the recent trends, such as UK house prices showing signs of cooling off but recent data suggesting a recent reversal in that trend. They delved into details of UK RMBS and how its various subsectors are currently performing in the aftermath of high inflation and high interest rates. They further explored the key drivers and challenges faced by the different segments of the UK mortgage market and, based on these factors and our analysis, also shared their thoughts on how the market is shaping up, discussing any wider impact on the UK RMBS transactions as a whole.

Related Content:

Commentary – “UK RMBS: Resilient for the Most Part”
https://dbrs.morningstar.com/research/439421/uk-rmbs-resilient-for-the-most-part
Methodology – “European RMBS Insight: UK Addendum”
https://dbrs.morningstar.com/research/437988/european-rmbs-insight-uk-addendum

Growing Footprint of Private Credit in Structured Finance

Mon, 7 Oct 2024 16:33:34 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Carlos Silva, Senior Vice President, Sector Lead, European Structured Credit Ratings, and Jerry van Koolbergen, Managing Director, U.S. Structured Credit Ratings, to discuss the varied drivers of private credit expansion over the past few years.

Morningstar DBRS’ analysts delved into details of private credit, exploring the similarities between private credit funds and the typical securitisation-like set up observed in some transactions. They shared how Morningstar DBRS analyses the underlying corporate credits within these structures as well as sharing their views on the credit and issuance outlook of private credit through the securitisation lens both in the Europe and the U.S.

Related Content:

“Growing Footprint of Private Credit in Europe”
https://dbrs.morningstar.com/research/433875/growing-footprint-of-private-credit-in-europe
“Global Methodology for Rating CLOs and Corporate CDOs”
https://dbrs.morningstar.com/research/439759/global-methodology-for-rating-clos-and-corporate-cdos
“Global Methodology for Rating Debt Issued by Investment Funds”
https://dbrs.morningstar.com/research/432214/global-methodology-for-rating-debt-issued-by-investment-funds

EPCs Creating Ripples, Not Waves, for House Prices in England and Wales

Mon, 2 Sep 2024 15:42:20 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads Morningstar DBRS’ European Structured Finance Research team, is joined by Dylan Cissou, Senior Vice President, Lead, Structured Finance Analytics, Quant, and Christian Aufsatz, Managing Director, European Structured Finance Ratings to discuss the potential impact of Energy Performance Certificate (EPC) scores on residential property values in England/Wales and how EPC scores could affect Morningstar DBRS’ structured finance credit analysis in European mortgage-backed securities.

The episode also explores whether there is a quantitative relationship between energy-efficiency improvements and house prices, and includes a discussion of how Morningstar DBRS embarked on this quantitative exercise, which data sets were used, and how the models to test different variables were chosen.

Related Content:

“EPCs Creating Ripples, Not Waves, for House Prices in England and Wales” https://dbrs.morningstar.com/research/433237/epcs-creating-ripples-not-waves-for-house-prices-in-england-and-wales

European Auto ABS: Too Much Green Can Add Uncertainty

Tue, 6 Aug 2024 13:40:53 +0000

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Guglielmo Panizza, Vice President, European ABS Ratings, and Miklos Halasz, Assistant Vice President, European ABS Ratings, to discuss the treatment of alternative-fuelled vehicles in asset-backed securities (ABS) transactions.

The episode provides an overview of the European auto market covering key trends and some differences among jurisdictions. Road vehicles contribute roughly 15% of global CO2 emissions, and, more specifically, cars and vans contribute around 10%. Working towards net-zero targets, the auto industry is shifting towards alternative fuel vehicles, and we are beginning to see this change also in securitised European auto pools. The speakers examine whether this transition from internal combustion engines to alternative-fuelled vehicles has any impact on the credit performance or credit rating analysis of auto ABS transactions.

Related Content:

“European Auto ABS: Too Much Green Can Add Uncertainty” https://dbrs.morningstar.com/research/432991/european-auto-abs-too-much-green-can-add-uncertainty
“Rating European Auto Wholesale Securitisations” https://dbrs.morningstar.com/research/435289/rating-european-auto-wholesale-securitisations

European Residential Solar ABS

Wed, 17 Jul 2024 13:21:40 +0000

In this episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Rehanna Sameja, Senior Vice President, European RMBS & Covered Bond Ratings and Jonathan Riber, Senior Vice President, Sector Lead U.S. ABS Ratings, Consumer Assets, to discuss the solar energy sector.

The episode covered the key components of our recently published commentary, "Sun is Beginning to Shine on European Residential Solar ABS" available at https://dbrs.morningstar.com/research/433299, and our global "Rating Solar ABS Transactions" methodology available at https://dbrs.morningstar.com/research/434677. The panel also discussed recent advances in the solar energy sector, the state of the solar asset-backed securities (ABS) securitisation market, the unique traits of solar ABS contracts, and their probable influence on credit considerations. The panel also looked at divergence across different solar contract types and explored analytical considerations for rating them accordingly.

UK Labour Government and Housing Market

Fri, 5 Jul 2024 10:41:05 +0000

In this episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Adriana Alvarado, Senior Vice President, Sector Lead of Global Sovereign Ratings and Ketan Thaker, Managing Director of European RMBS & Covered Bond Ratings to discuss the impact of the new Labour government on the UK’s housing market.

The episode explored the shift to the newly elected Labour Party-led government after 14 years of Conservative Party-led rule, the election result’s impact on the UK economy, and the key takeaways from this change. As always, house prices and housing availability are important to UK voters. The panel discussed the views presented in the pre-election Labour Party manifesto, particularly those around housing plans for the next parliament. Past governments have repeatedly failed to meet housebuilding targets, and the speakers examined whether the problem lies in the number of houses built or other factors at play. The panel also delved into our credit view on how the new government’s proposed policies could affect the performance of UK residential mortgage-backed security (RMBS) transactions.

Global ABS 2024

Thu, 6 Jun 2024 09:11:19 +0000

In this episode of Morningstar DBRS’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, collates the thoughts of Morningstar DBRS analysts featured at this year’s 2024 Global ABS conference in Barcelona:

- Ronja Dahmen, Vice President, European RMBS & Covered Bond Ratings spoke on the Day 1 panel European Residential MBS

- Christian Aufsatz, Head of European Structured Finance, moderated the Day 2 Issuer Roundtable

- Mudasar Chaudhry, Head of European Structured Finance Research, moderated the Day 2 Investor Roundtable

- Sebastiano Romano, Vice President, European NPL Ratings, spoke on the Day 1 European NPL/RPL Supply panel

Related research is available at the following link: https://go-dbrs.morningstar.com/GlobalABS2024

Climate Change-Driven Credit Considerations in Structured Finance

Fri, 19 Apr 2024 08:46:29 +0000

In this episode, Mudasar Chaudhry, who leads European Structured Finance Research at Morningstar DBRS, is joined by Begum Gursoy, Director, Sustainable Finance Solutions at Morningstar Sustainalytics, and Christian Aufsatz, Managing Director, European Structured Finance Ratings at Morningstar DBRS, to discuss topics related to climate change and relevant credit considerations in structured finance.

The inaugural part of the session saw us discussing the key differences between second-party opinions (SPOs) and credit ratings. We then turned our attention to the key considerations in the context of SPOs and credit risk analysis when considering climate change. We also discussed if SPOs or a lack thereof, impact credit ratings analysis in European Structured Finance. The speakers also shared their views on whether ESG-labelled transactions carry any premium and how they see the market evolving.

Related research is available at the following link:

Commentary - ESG: Climate Risk and Credit: -- https://dbrs.morningstar.com/research/413235/esg-climate-risk-and-credit
Methodology - Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings: https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings

Energy Performance in European CMBS: Reporting and Regulations

Mon, 18 Mar 2024 09:51:22 +0000

In this episode, Mudasar Chaudhry, who leads European Structured Finance Research at Morningstar DBRS, is joined by Mirco Iacobucci, Senior Vice President, Sector Lead, European Real Estate Ratings, and Patrizia Catanese, Assistant Vice President, European Real Estate Ratings, to discuss how disclosures on energy efficiency and their implementation are addressed within the European commercial mortgage-backed securities (CMBS) sector.

We delve into details on how Morningstar DBRS’ environmental, social, and governance (ESG) criteria framework incorporates ESG considerations in the credit rating process with reference to commercial real estate and how real estate assets contribute to carbon emissions. In the context of our analysis, we discuss how we evaluate the impact of the energy efficiency data, if available, on cash flow, value, and loan refinancing prospects. The conversation also revolves around some regulatory and disclosure requirements coming into force in the near future, which may affect CMBS.

Related Content:

Commentary - Energy Performance in European CMBS: Reporting and Regulations: https://dbrs.morningstar.com/research/428005

Special Servicers Under the Magnifying Glass of Italian Courts

Tue, 20 Feb 2024 16:27:09 +0000

In this episode, Mudasar Chaudhry, Head of European Structured Finance Research at Morningstar DBRS, is joined by Lorenzo Simonte, Assistant Vice President, European Nonperforming Loan (NPL) Ratings at Morningstar DBRS, and Norman Pepe, Partner at iLS , to discuss the role of different types of servicers in the context of Italian NPL transactions. We further discuss the decisions of some Italian courts that consider the distinction between master servicing and special servicing activities to be in breach of the Italian Securitisation Law. We also delve into details of how these developments may affect the credit ratings of Italian NPL transactions.

By downloading or listening to this podcast, you are agreeing to the DBRS Morningstar disclaimer and legal terms and conditions found at dbrsmorningstar.com/about/disclaimer and dbrsmorningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. DBRS Morningstar will not be liable for losses arising from your use of the information. Please note that the content of this podcast is intended for European audiences only.

Relevance of Residential EPCs to Credit Analysis

Wed, 20 Dec 2023 16:18:06 +0000

In this episode, Mudasar Chaudhry, Head of European Structured Finance Research, is joined by Richa Pandey, Analyst for European Structured Finance Research, and Christian Aufsatz, Managing Director and Head of European Structured Finance, to introduce Energy Performance Certificates (EPCs). We discussed if there is quantitative relationship between energy-efficiency improvements and lower probability of default for associated loans as well as if EPCs of residential properties can affect credit ratings. We also discussed some regulatory and disclosure requirements, which can further assist with the availability of consistent EPC data. While the speakers acknowledged the presence of some initial evidence of credit implications related to EPC factors, their current significance falls short of justifying their inclusion as pertinent for quantitative credit analysis.

Related Content:

Commentary - RMBS: Not All EPCs Created Equal: https://www.dbrsmorningstar.com/research/410781/rmbs-not-all-epcs-created-equal
Commentary - Residential EPCs versus Credit Relevance: https://www.dbrsmorningstar.com/research/421101/residential-epcs-versus-credit-relevance

Climate Risk in Structured Finance and Who Pays for the Losses Arising From Climate Change

Tue, 5 Dec 2023 16:57:00 +0000

In this episode Mudasar Chaudhry, Head of European Structured Finance Research, is joined by Christian Aufsatz, Managing Director, Head of European Structured Finance, and Marcos Alvarez, Senior Vice President, Global Head of Insurance, to give an introduction to climate change scenarios and how climate risk could result in an increase in debt issuers’ default probability or a reduction in asset valuations. Speakers discuss the intersection of climate and credit analysis, and what DBRS Morningstar is focusing on as a credit rating agency. We further explore who ultimately pays for losses caused by climate change.

Related Content:

Commentary - ESG: Climate Risk and Credit: https://www.dbrsmorningstar.com/research/413235/esg-climate-risk-and-credit
Commentary - European Securitisation and ESG-Related Issuance: Credit Relevance of Indirect Exposure to ESG Factors https://www.dbrsmorningstar.com/research/417250/european-securitisation-and-esg-related-issuance-credit-relevance-of-indirect-exposure-to-esg-factors
Methodology - DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings: https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings

Prevalence of Esoteric Assets in European CMBS

Thu, 30 Nov 2023 14:53:47 +0000

In this episode Mudasar Chaudhry, Head of European Structured Finance Research, is joined by Dinesh Thapar, Vice President, European CMBS, to discuss the recent trends in European commercial mortgage-backed securities (CMBS) and how the market is evolving from traditional CMBS to esoteric assets as the underlying collateral. We will also discuss the impact of high inflation and the rapid rise of interest rates and their impacts on European CMBS transactions as well as provide a general outlook for the asset class.

Related Content:

Esoteric Assets Prevail in European CMBS: https://www.dbrsmorningstar.com/research/421014/esoteric-assets-prevail-in-european-cmbs.

Revision of Our Approach to Residual Value Risk

Kevin.Kear@morningstar.com (paolo conti, DBRS Morningstar, Mudasar Chaudhry) — Tue, 17 Oct 2023 08:27:49 +0000

In this episode of DBRS Morningstar’s “European Securitisation Insights” podcast, Mudasar Chaudhry, Head of European Structured Finance Research, is joined by Paolo Conti, Head of European ABS, to discuss the proposed updates to DBRS Morningstar’s "Rating European Consumer and Commercial Asset-Backed Securitisations" methodology. Speakers shared thoughts on what residual value (RV) risk is and why it matters in European ABS transactions. The proposed updates to the methodology relate to a revision of our approach to RV risk and the application of stresses to salary assignment loans. In particular, our revised approach provides for the incorporation of dependency on the remaining term.

Related Content:

The proposed “Rating European Consumer and Commercial Asset-Backed Securitisations” methodology is available on DBRS Morningstar’s website at the following link: https://www.dbrsmorningstar.com/research/420356/dbrs-morningstar-requests-comments-on-proposed-methodology-for-rating-european-consumer-and-commercial-asset-backed-securitisations.

UK Buy-to-Let Market: Challenges Ahead

Tue, 10 Oct 2023 05:30:00 +0000

In this episode of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the recent trends observed in the UK Buy-to-Let (BTL) market.

Mudasar is joined by Lorenzo Coccioli, Vice President of European RMBS & Covered Bonds. They delve into the details and share thoughts on the recent trends observed in the UK BTL sector. House prices in the UK are showing signs of declines due to persistent inflation and the ongoing cost-of-living crisis, which has been further compounded by the effects of the sharp increase in interest rates. Given this background, the speakers also share their thoughts on how the market is shaping up and the wider impact on the UK RMBS transactions.

Related Content:

UK BTL Sector: Treading Turbulent Waters: https://www.dbrsmorningstar.com/research/420444/uk-btl-sector-treading-turbulent-waters

Evolution of Foreclosures and Bankruptcies in Spain

Tue, 18 Jul 2023 12:37:30 +0000

In this episode, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the recent trends observed in relation to the evolution of foreclosures and bankruptcies in Spain over the past few years.

Mudasar is joined by Alberto Cruces, Vice President, and Jorge Aranda, Senior Analyst, both members of the European NPL team based in DBRS Morningstar's Madrid office. Speakers delved into details of the legal processes, discussed the latest statistics, and shared their view of the consequences for current and future nonperforming loan portfolios in Spain.

Related Content:

Spain Foreclosures and Bankruptcies: Is the System Ready for an Uptick: https://www.dbrsmorningstar.com/research/41556

Global ABS 2023

Wed, 14 Jun 2023 22:34:23 +0000

In this episode of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, collates the thoughts of the following four DBRS Morningstar analysts featured at this year’s 2023 Global ABS conference in Barcelona:

- Christian Aufsatz, Head of European Structured Finance, moderated the Day 2 Institutional Investor’s Roundtable;

- Sinem Erol-Aziz, Vice President of European NPLs, spoke on the Day 1 Greek & Cypriot Securitisation & NPL Management panel;

- Rehanna Sameja, Senior Vice President of European RMBS, spoke on the Day 2 European Residential MBS panel; and

- Mudasar Chaudhry, Head of European Structured Finance Research, moderated the ABS Reseachers’ Roundtable

Related Content:

Commentary: Greece and Cyprus—Two Different NPL Journeys: https://www.dbrsmorningstar.com/research/415579/greece-and-cyprustwo-different-npl-journeys

Climate Risk and Credit - Part Two

Mon, 12 Jun 2023 08:36:55 +0000

In this two-part series of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the climate risk and potential impact on credit.

Mudasar is joined by Christian Aufsatz, Head of European Structured Finance, and Rehanna Sameja, Senior Vice President of European RMBS, to give an introduction to climate change, climate change scenarios, and how climate risk could increase an issuer’s default probability or a reduction in asset valuation(s). The guests also delved into how DBRS Morningstar considers climate risk in its rating analysis of European structured finance transactions and, in terms of time horizons, how climate risk compares with typical time horizons for other types of credit risk.

Related Content:

ESG: Climate Risk and Credit: https://www.dbrsmorningstar.com/research/413235/esg-climate-risk-and-credit

Climate Risk and Credit - Part One

Wed, 7 Jun 2023 21:20:02 +0000

Related Content:

ESG: Climate Risk and Credit: https://www.dbrsmorningstar.com/research/413235/esg-climate-risk-and-credit

European Auto ABS: A Sector Update

Mon, 22 May 2023 12:14:33 +0000

In this episode of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the European auto asset-backed securities (ABS) sector and key changes in transaction structures within this space due to rising interest rates.

Chaudhry is joined by Guglielmo Panizza, Vice President, and Miklos Halasz, Assistant Vice President, both from our European ABS team to discuss how increasing interest rates are affecting excess spreads and how portfolio asset repricing is evident in European auto ABS transactions.

Related Content:

European ABS: Excess Spread Compression in Auto ABS: https://www.dbrsmorningstar.com/research/413373/european-abs-excess-spread-compression-in-auto-abs
Oldie but not Goldie: Vehicle Manufacturer Analysis in European Auto ABS: https://www.dbrsmorningstar.com/research/410084/oldie-but-not-goldie-vehicle-manufacturer-analysis-in-european-auto-abs

European SME Sector Navigating a Challenging Macroeconomic Environment

Kevin.Kear@morningstar.com (Morningstar DBRS ) — Thu, 27 Apr 2023 18:31:43 +0000

In this episode of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research at DBRS Morningstar, focuses on the European small and medium-size enterprise (SME) sector. He is joined by Carlos Silva, Head of European Structured Credit, and Maria Lopez, Senior Vice President of European Structured Credit, to discuss how the recent rise in interest rates is affecting both the assets and liabilities sides of European SME securitisation transactions. They further delve into details of how originators and issuers continue to evolve lending practices and transaction structures, respectively, as well as the potential impact of these changes on credit ratings.

European CMBS Outlook and Rising Demand for Greener Offices

Kevin.Kear@morningstar.com (Morningstar DBRS ) — Thu, 30 Mar 2023 15:00:59 +0000

In this edition of DBRS Morningstar’s European Securitisation Insights Podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the CMBS market's forecast and discusses the rising demand for environmentally friendly office spaces in Europe. He is joined by Mirco Iacobucci, Head of European CMBS to discuss outlook of various different CRE asset types and Andrea Selvarolo, Senior Analyst in the European CMBS team who delves into details of changing dynamics in European office sector and rise in demand of newer and greener places for work.

Related Content:

European CMBS 2023 Outlook: https://www.dbrsmorningstar.com/research/408294/european-cmbs-2023-outlook

CMBS: European Net-Zero Targets and the Rising Demand for Green Office Space: https://www.dbrsmorningstar.com/research/408726/cmbs-european-net-zero-targets-and-the-rising-demand-for-green-office-space

U.K. Housing and RMBS Methodology Update

Kevin.Kear@morningstar.com (Morningstar DBRS ) — Thu, 9 Mar 2023 16:43:42 +0000

In this edition of DBRS Morningstar’s European Securitisation Insights, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the housing market's forecast and UK RMBS transactions. He is joined by Ketan Thaker, Head of European RMBS, and Andrew Lynch, Vice President, European Surveillance, who discuss changes in DBRS Morningstar’s rating methodology, the rationale behind them, and how they affect the existing transactions that DBRS Morningstar rates.

Related Content:

DBRS Morningstar Publishes Final European RMBS Insight: UK Addendum: https://www.dbrsmorningstar.com/research/402865/dbrs-morningstar-publishes-final-european-rmbs-insight-uk-addendum%20%3Ca%20href

DBRS Morningstar Upgrades and Confirms Ratings on 22 UK RMBS Transactions Following Update to European RMBS Insight: UK Addendum: https://www.dbrsmorningstar.com/research/407499/dbrs-morningstar-upgrades-and-confirms-ratings-on-22-uk-rmbs-transactions-following-update-to-european-rmbs-insight-uk-addendum