In this two-part series of DBRS Morningstar’s “European Securitisation Insights” podcast, host Mudasar Chaudhry, Head of European Structured Finance Research, focuses on the climate risk and potential impact on credit. Mudasar is joined by Christian Aufsatz, Head of European Structured Finance, and Rehanna Sameja, Senior Vice President of European RMBS, to give an introduction to climate change, climate change scenarios, and how climate risk could increase an issuer’s default probability or a reduction in asset valuation(s). The guests also delved into how DBRS Morningstar considers climate risk in its rating analysis of European structured finance transactions and, in terms of time horizons, how climate risk compares with typical time horizons for other types of credit risk.