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.

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• 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.

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