Securitisation Insights

In the latest episode of our “Securitisation Insights” podcast, Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Marcos Alvarez, Managing Director, Global Financial Institution Ratings, and Christian Aufsatz, Managing Director, European Structured Finance Ratings, to discuss the potential impact of wildfires on European securitisations, with a particular focus on insurance, residential mortgage-backed securities (RMBS), and the growing importance of physical climate risk.

The effects of wildfires can extend beyond the environmental and into structured finance through property damage, insurance claims, disruption to local economies, and pressure on household finances and borrower performance.

The topic has become increasingly relevant as Europe experiences more frequent periods of extreme heat and drought. After one of the most severe wildfire years on record in 2025, 2026 has seen several heat waves and significant wildfire activity across the continent. In August, major fires in France and Spain made headlines because of their proximity to large urban areas, including Bordeaux and Madrid.

Related Content:

“Beyond the Burned Area: What the 2026 Wildfires Mean for French and Spanish RMBS”, https://dbrs.morningstar.com/research/486319

“Fire at Europe's Urban Edge: Wildfires in Spain and France Test Insurers' Secondary Peril Defences” https://dbrs.morningstar.com/research/486187

"The Summer of 2026: Heatwaves, Wildfires, and Droughts--Weather Extremes Are Stacking Up” https://dbrs.morningstar.com/research/487811

By downloading or listening to this podcast, you are agreeing to the Morningstar DBRS disclaimer and legal terms and conditions found at dbrs.morningstar.com/about/disclaimer and dbrs.morningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. Morningstar DBRS 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.

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, Vice President of Global Physical Climate Risk Data and Analytics, to discuss climate risk exposure in residential mortgage-backed securities (RMBS).

This topic sits at the intersection of structured finance, property markets, and climate risk. In European RMBS, investors have traditionally relied on tools like diversification, borrower behaviour, and credit enhancement to assess risk. But as physical climate risk becomes more prominent, we ask how we can actually measure exposure and whether it matters for credit today.

With new datasets and analytical approaches, we can now link property-level exposure with regional climate risk in a much more structured way. But this also raises broader questions about what the data tells us, what it misses, and how investors should interpret it.

Related Content:

“Climate Risk Navigator: Climate and Credit--Short-Term Headwinds, Long-Term Risks”, https://dbrs.morningstar.com/research/457580

 “Climate Risk Navigator – European RMBS HEATMap”, https://dbrs.morningstar.com/research/480803

By downloading or listening to this podcast, you are agreeing to the Morningstar DBRS disclaimer and legal terms and conditions found at dbrs.morningstar.com/about/disclaimer and dbrs.morningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. Morningstar DBRS 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.

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 conference in Barcelona:

Mirco Iacobucci, Associate Managing Director of European Commercial Real Estate Ratings, spoke on the Day One “Beyond the Clouds: Financing Digital Infrastructure” panel

Kevin Stephenson, Managing Director and Head of APAC Credit Ratings, spoke on the Day Two “Deals Down Under: Opportunities in Aussie ABS” panel

Stephan Rompf, Vice President of European Structured Credit Ratings, Funds, spoke on the Day Two “Big Capital, Small Business: Outlook for SME Lending” panel

Mudasar Chaudhry, Senior Vice President and Lead of European Structured Finance Research, moderated the Day Two “The Bear and the Bull: Investors’ Roundtable” panel

Related research is available at the following link: https://go-dbrs.morningstar.com/FT-AFME-GlobalABS2026

By downloading or listening to this podcast, you are agreeing to the Morningstar DBRS disclaimer and legal terms and conditions found at dbrs.morningstar.com/about/disclaimer and dbrs.morningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. Morningstar DBRS 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.

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, Sector Lead, European Structured Finance Ratings, Surveillance, to discuss the UK securitisation framework and the Financial Conduct Authority’s (FCA) Consultation Paper CP 26/6 (CP 26/6 or the Consultation).

CP 26/6, published on 17 February 2026 and closed on 18 May, outlined proposals to simplify and streamline the rules governing UK securitisations. The Consultation was broad in scope, touching on investor due diligence, risk retention, cost savings, the public/private transparency divide, and loan-level reporting templates. 

In this episode, our analysts discuss what the proposed changes mean for credit analysis—across residential mortgage-backed securities, auto asset backed-securities, and collateralised loan obligations—and where we see improved transparency, as well as areas where it may be reduced.

Related Content:

 “UK Auto ABS and FCA CP 26/6: Reporting, Reloaded”, https://dbrs.morningstar.com/research/481271

By downloading or listening to this podcast, you are agreeing to the Morningstar DBRS disclaimer and legal terms and conditions found at dbrs.morningstar.com/about/disclaimer and dbrs.morningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. Morningstar DBRS 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.

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 Director, European Real Estate & NPL Ratings, to discuss Australian and UK residential mortgage guarantee schemes.

Our analysts dive into a topic that sits at the intersection of housing policy, property markets, and credit risk. In Australia, the government’s expanded 5% deposit scheme is making it easier for first-time buyers to enter the market, but also raising important questions about affordability, house prices, and the risks embedded in high loan-to-value ratio lending. In the UK, the government is taking a more modest approach to its mortgage guarantee framework with a far less visible impact on the housing market. This episode addresses a key question: how do these differing government policy choices shape housing demand, market dynamics, and ultimately the credit risk to which investors are exposed?

Related Content:

“Australia's 5% Deposit Scheme: Balancing Affordability, Home Ownership, and Credit Risk”, https://dbrs.morningstar.com/research/478698

By downloading or listening to this podcast, you are agreeing to the Morningstar DBRS disclaimer and legal terms and conditions found at dbrs.morningstar.com/about/disclaimer and dbrs.morningstar.com/about/termsandconditions, including that the information provided is not investment, financial or other advice. Morningstar DBRS 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.