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Securitisation Insights

Morningstar DBRS
Australia
UK RMBS
Italian NPL Securitisation Market
Europe
Bank Of England
Covered Bonds
London, United Kingdom
UK Buy-To-Let Sector
Data Centre
Chinese Evs
United Kingdom Mortgage Guarantee Scheme
UK Securitisation Framework
Climate Change
RMBS
GACS Law Versions
Senior Notes Collateralisation
European Auto ABS
European RMBS
European Union
Morningstar DBRS Methodology

Enriched viewpoints on securitisation markets from Morningstar DBRS. Join host Mudasar Chaudhry, Head of European Structured Finance Research, as he speaks with industry experts and holds in-depth discussions on keenly selected topics.

PublishesTwice monthlyEpisodes45Founded3 years ago
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Artwork for Securitisation Insights

Latest Episodes

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Christian Aufsatz, Managing Director of European Structured Finance Ratings, and Steven Fortier, V... more

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

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Miklos Halasz, Vice President, European ABS Ratings, Auto, and Andrew Lynch, Vice President, Sect... more

In the latest episode of our “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, and Ketan Thaker, Managing Dire... more

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, was joined by Guglielmo Panizza, Senior Vice President and Sector Lead of European ABS Ratings, and Xiaoxi Sun,... more

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 Car... more

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... more

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... more

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Recent Guests

Christian Aufsatz
Managing Director in European Structured Finance Ratings
Morningstar DBRS
Episode: Climate Risk Exposure in RMBS
Steven Fortier
Vice President in Global Physical Climate Risk Data and Analytics
Morningstar DBRS
Episode: Climate Risk Exposure in RMBS
Miklos Halasz
Vice President in European ABS Ratings
Morningstar DBRS
Episode: UK Securitisation Framework and FCA CP 26/6
Ketan Thaker
Managing Director, European Real Estate and NPL Ratings
Morningstar DBRS
Episode: Australian Versus UK Residential Mortgage Guarantee Schemes
Xiaoxi Sun
AVP
Morningstar DBRS European ABS Ratings Team
Episode: Evolution, Not Disruption: Chinese EVs Through an ABS Lens
Guglielmo Panizza
Senior VP and Sector Lead
Morningstar DBRS European ABS Ratings Team
Episode: Evolution, Not Disruption: Chinese EVs Through an ABS Lens
Andre Soutinho
Assistant Vice President in European RMBS team
Morningstar DBRS
Episode: Synthetic SRTs: From Capital Relief to Key Risks
Nicola De Caro
Senior Vice President in European Financial Institution Ratings
Fig Ratings
Episode: Synthetic SRTs: From Capital Relief to Key Risks
Mirco Iacobucci
Associate Managing Director of European CMBS and Real Estate Ratings
Morningstar DBRS
Episode: European Data Centre Securitisation

Host

Mudasar Chaudhry
Host of the podcast

Talking Points

Recent interactions between the hosts and their guests.

Climate Risk Exposure in RMBS
Q: What should investors be watching for in the next few years when incorporating climate risk into European RMBS analysis?
Steven emphasizes monitoring regional concentration and hotspot exposure, not just average risk. Investors should assess mitigants like adaptation measures, resilience, and insurance, recognize that while current average risk may be remote, regional tail risks and long-horizon changes will become more relevant, and prepare with tools that allow screening and transparency.
Climate Risk Exposure in RMBS
Q: Could you talk us through why climate risk matters and what is needed to assess the risk and why European RMBS is a useful starting point for climate risk analysis?
Christian explains that climate risk is a mega trend that adds a measurable financial dimension to risk assessment. It requires two things: robust climate risk data and accurate exposure/location data. European RMBS is a good starting point because property location reporting is standardized (NUTS3 regions) and transaction-level data are often available in depositories, enabling consistent regional mapping and meaningful benchmarks.
Synthetic SRTs: From Capital Relief to Key Risks
Q: Andre, what are the key regulatory developments shaping this market?
Regulatory developments include the STS framework extending to synthetic securitizations with preferential capital treatment for senior retained tranches, upcoming CRR amendments including the output floor which may cap capital relief, and changes to securitization regulation aiming for harmonization and more principle-based tests that push the SRT market forward.
Synthetic SRTs: From Capital Relief to Key Risks
Q: Nicola, what are the main risks you focus on with synthetic SRT transactions?
Key risks include pro-cyclicality and rollover risk as maturities cluster around three years, investor concentration which can transmit stress, counterparty risk in unfunded deals, model and structure risk, data limitations in private markets, and ensuring genuine risk transfer with clear terms, credible protection, and robust verification.
Evolution, Not Disruption: Chinese EVs Through an ABS Lens
Q: How does DBRS Morningstar assess residual value risk within EV transactions, and does it differ from conventional ICE vehicles?
DBRS Morningstar notes greater price volatility for EVs but frames this within existing stress scenarios; RV risk is mitigated by diversification, conservative RV setting, and relying on third-party data, with more granular review if EV share becomes high.

Audience Metrics

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Frequently Asked Questions About Securitisation Insights

What is Securitisation Insights about and what kind of topics does it cover?

This series centers on securitisation markets, with a strong focus on structured finance, RMBS, ABS, and related regulatory developments across regions. Episodes frequently compare government-backed mortgage schemes, evaluate residual-value risks in auto securitisation, explore synthetic risk transfer mechanics, and assess data centre financing and UK/EU market dynamics. A standout trait is the blend of data-driven risk analysis, practical implications for investors and originators, and frequent involvement from senior Morningstar DBRS analysts and other finance professionals, offering granular insights into market trends, regulation, and deal structures for practitioners. Potential listeners who work in credit ratings, securitisation inves... more

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Which podcasts are similar to Securitisation Insights?

These podcasts share a similar audience with Securitisation Insights:

1. Another Fine Mezz
2. The Credit Edge by Bloomberg Intelligence
3. Unhedged
4. Exchanges
5. The World in Brief from The Economist

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Securitisation Insights launched 3 years ago and published 45 episodes to date. You can find more information about this podcast including rankings, audience demographics and engagement in our podcast database.

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What guests have appeared on Securitisation Insights?

Recent guests on Securitisation Insights include:

1. Christian Aufsatz
2. Steven Fortier
3. Miklos Halasz
4. Ketan Thaker
5. Xiaoxi Sun
6. Guglielmo Panizza
7. Andre Soutinho
8. Nicola De Caro

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