European Securitisation Insights Morningstar DBRS

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.

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.

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.

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.

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.

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.