Revision of Our Approach to Residual Value Risk

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.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.

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