RMBS Methodology Request for Comment Explained
On March 6th Moody's published a Request for Comment (RFC) for Moody’s Approach to Rating RMBS Using the MILAN Framework and a related RFC for RMBS Rating Methodology Settings for Australia, Canada, Ireland, New Zealand and the United Kingdom. These RFCs describe proposed changes to our framework for rating RMBS and covered bonds and the associated settings for these countries.
Discussion Topics
- What are the main changes proposed to the methodology and what is the rationale for those changes?
- Which models are being made available to the market?
- What is the expected impact of the proposed updates on RMBS transactions and Covered Bonds issued in Australia, Canada, Ireland, New Zealand and the United Kingdom?
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SpeakersOlga Gekht Associate Managing Director, Structured Finance Group Moody's Ratings
Steven Becker Vice President - Senior Analyst Moody's Investors Service
Pier Paolo Vaschetti Vice President - Senior Credit Officer Moody's Investors Service
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Steven Becker is a Vice President – Senior Analyst in Moody’s Structured Finance Group in Frankfurt am Main. Steven has more than 10 years of experience within structured finance and is currently a lead analyst in the EMEA Consumer Primary Rating team.
Steven joined Moody’s Germany GmbH in 2009 leading and development projects relating to the Moody’s tools and models used within the rating process. He joined the Primary Ratings team in London in March 2012 responsible for the assignment of new ratings to transactions across all major European jurisdictions and relocated to Germany in March 2018.
In his tenure, he has been involved in analysing numerous Consumer ABS and RMBS transactions in the EMEA region. He has extensive experience analysing complex structure finance transaction including master trust, equity release and non-performing loan transaction. Steven has authored the publication of various reports on the UK securitisation market, speaking in external conferences and taking part in investor and arranger meetings.
Steven holds a BSc in International Finance and a BA in Financial Services.
Pier Paolo Vaschetti is a Vice President – Senior Credit Officer in the Methodology Development Group responsible for the development of structured finance methodologies. In his previous role, he was lead analyst for several structure finance transactions across different regions and backed by a variety of assets. He is also author of rating methodologies for RMBS and other asset classes and speaker in several Moody’s conferences. He spent two years in the Moody’s London office mainly working on UK RMBS transactions.
Before joining Moody’s, he completed a Masters in Quantitative Finance at Bocconi in Milan, Italy. Previous to that, he obtained degrees in Political Economy at Bocconi University.