Moody's publishes Request for Comment on minimum portfolio credit enhancement in EMEA ABS and RMBS

London, 26 November 2014 -- Moody's Investors Service has today published a Request for Comment (RFC) seeking market participants' feedback on proposed changes to the minimum portfolio credit enhancement (CE) levels in EMEA asset-backed securities (ABS) and residential mortgage-backed securities (RMBS). The CE consistent with the highest rating achievable in a given market is currently the greater of the (1) the model implied credit enhancement, (2) the minimum portfolio CE and (3) expected loss (EL) multiple. We are proposing that the second of these, the minimum portfolio CE, is no longer necessary for most EMEA markets.

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