NPLs
NPLs refers to securitisations that are structured utilising non-performing loans from either one or a collection of loan issuers.
Typically involving large whole loan portfolios from distressed asset investors or non-core asset disposals from a bank, NPL securitisations are a strongly growing part of the structured credit and ABS markets. NPL structures used to date include ABS, RMBS and CLOs, though it is likely that these will broaden to CMBS and beyond in time.
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Italian NPL volumes significantly down
Volumes fall down 20% for Italian NPL collections during the first half of the year
After hitting a three year low in 1Q24 (SCI, 30 May), Italian NPL volumes were down 20% over 1H24 compared to the same periods in 2022 and 2023, according to Scope ratings.
Total collections in 1H24 reached €1,200m from 45 transactions. This is a significant drop in returns YoY, with 1H23 seeing €1,450m from 44 transactions.
News 16 August 2024
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Swedish SRT finalised
SRT market update
Further demonstration of the growing interest, opportunities and activity from the Nordics for risk-transfer mechanisms has materialised.
Swedish lender Marginalen Bank has completed a risk sharing transaction with seasoned SRT investor Christofferson, Robb & Company (CRC). Entitled Project Argo, the significant risk transfer transaction is SEK1bn cash securitisation that references a portfolio of non-performing consumer loans. Additionally, the securitisation .......
SRT Market Update 1 August 2024
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Northern green light
Norwegian securitisation to benefit from 'plug-and-play' scenario
The EEA’s long-awaited passage of the EU Securitisation Regulation should finally open the door for Norway’s securitisation market (SCI 14 June). Indeed, the jurisdiction is expected to hit the ground running.
Markus Nilssen, partner at BAHR, explains: “Banks here are exposed to higher capital requirements than elsewhere in Europe; for example, a 4.5% systemic risk buffer on .......
News Analysis 28 June 2024
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Norway gets SecReg green light
Market updates and sector developments
The EU Securitisation Regulation was incorporated into the EEA Agreement on 12 June and it is widely expected that the rules will come into force in Norway on 1 January 2025. The regulation covers both true sale and synthetic securitisations, as well as rules on STS securitisations.
Legislative rules implementing the Securitisation Regulation in Norwegian law have already .......
Market Moves 14 June 2024
Five-point plan
EU securitisation reform package mooted
AFME has published a position paper that outlines a five-point plan to revive the securitisation market in the EU. Entitled ‘EU Securitisation back on track’, the paper describes the different ways that securitisation can be used as a tool to support EU growth and strategic objectives, identifies the regulatory hurdles that currently impede its impact and outlines a package .......
News 6 June 2024
Italian NPL volumes hit three-year low
Market updates and sector developments
Italian NPL volumes last quarter hit their lowest point since 2021, according to Scope Ratings. Volumes were down 19% on the 2022-2023 average.
March 2024 was particularly poor, with volumes down 36% compared to March 2023 and 2022 - despite the total number of transactions (44) being higher (2022 and 2023 saw 41 and 43 deals respectively).
Over .......
Market Moves 30 May 2024
AI credit analysis project launched
Market updates and sector developments
Stratiphy and Chenavari Financial Group have joined forces to develop custom AI tools aimed at improving the quality of and mitigating the subjectivity within credit analysis. By harnessing the wealth of existing data and employing a range of AI techniques, the project aims to enhance efficiency, pricing capability and precision in forecasting within credit analysis.
Representatives of each .......
Market Moves 13 May 2024
Not dead yet
Hope remains for a 'vibrant' Indian NPL securitisation market
Developing a vibrant secondary market in loan sales remains possible in India, despite the failure of its ‘bad bank’ National Asset Reconstruction Company Ltd (NARCL) to gain traction. The country has large volumes of bad debt and government policy is committed towards cleaning up these distressed assets. Although gross NPL volumes stood at a multi-year low of 3.2% in December .......
News Analysis 15 April 2024
Tectonic shift
Evolution of European NPL market could change geography of ABS opportunities
The European NPL market is poised for change this year, as Italy sees volumes decline and government-backed schemes coming to an end. Yet, while the evolution is likely to be gradual, NPL stocks are rising in less fancied geographies, offering some promise for prospective ABS issuance – as demonstrated by iQera’s recent closure on a private NPL ABS deal.
News Analysis 13 February 2024
PRA urged to fix non-neutrality issue
Market updates and sector developments
PCS has submitted its response to the UK PRA in connection with the consultation on the introduction of the output floor pursuant to Basel 3.1, as it relates to securitisation (SCI 1 November 2023). While welcoming the PRA’s suggestions, the organisation points out that “all the obvious difficulties that flow from a rigid application of the proposed Basel .......
Market Moves 1 February 2024
Building momentum
Chinese consumer ABS market tipped for growth
Chinese securitisation issuance posted a 7% decline in volumes last year. However, backed by solid mortgage originations, vehicle sales and foreign investor interest, China could well be on its way to long-term growth if its structured finance market can stay afloat.
After seeing the market’s first triple-A rated consumer ABS last year, the consumer segment is likely to .......
News 24 January 2024
CIFC launches multi-strategy credit fund
Market updates and sector developments
CIFC has launched a UCITS multi-strategy credit fund, combining sub-investment grade fixed income with structured finance, senior secured loans and liquid credit investments identified by its distressed team. The firm is looking to capitalise on growing sentiment that rates have peaked and on investors' resulting appetite for fixed-rate credit in order to "lock in the current high rates".
The .......
Market Moves 4 January 2024
Basel 3 'roadmap', reporting ITS published
Market updates and sector developments
The EBA has published its roadmap on the so-called Banking Package, which implements the final Basel 3 reforms in the EU. The roadmap aims to strengthen the prudential framework, as well as ensure an international level playing field. It also seeks to provide clarity on how it will develop the mandates implementing the legislation and finalise the most significant .......
Market Moves 14 December 2023
Generating traction in a stalled market
Matteo Cidonio, managing partner at GWM Group, answers SCI's...
Q: The past couple of years have been a very difficult period for the CRE market globally. You recently said there are opportunities for investors who target the right real estate categories and more specifically segments, even in the current market. What would you see as being the top segments in Europe currently, and why?
The Structured Credit Interview 11 December 2023
A: Commercial real estate has .......
Job swaps weekly: EU finance ministers choose Calviño for EIB
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Nadia Calviño chosen to become head of the European Investment Bank (EIB). Elsewhere, the Structured Finance Association welcomes seven industry leaders to its new board of directors, while a Mayer Brown partner and structured finance specialist has joined Jones Day as partner in its London office.
Spain’s deputy prime minister .......
Market Moves 8 December 2023
SIFMA calls for STC framework
Market updates and sector developments
A new SIFMA blog highlights three actions that will mitigate what the association calls the “perverse incentives” created by the lack of appropriate risk-sensitivity of the SEC-SA framework, under the US Basel 3 Endgame (B3E) proposal. The blog describes the proposal as “the most restrictive approach to set capital requirements for banks’ securitisation exposures in the developed world”.
As .......
Market Moves 29 November 2023
Scope sees ratings drift reverse in Q3
Market updates and sector developments
Ratings drift in structured finance instruments improved in the third quarter of 2023 for the first time in more than a year, Scope Ratings has revealed. The metric measures the ratio between upgrades minus downgrades and the total number of monitored ratings over the past year.
While the agency oversaw just 12% of 294 instruments upgraded against 17% .......
Market Moves 7 November 2023
Legacy adjustments
Call for enhanced transparency for restructured mortgages
A number of recent RMBS have securitised legacy Irish and Spanish restructured residential mortgages (see SCI’s International ABS Deal Tracker). Fitch says it anticipates an increase in both loan restructurings and non-performing loan formation in both of these jurisdictions amid affordability constraints, as borrowers face higher interest rates and greater cost of living pressures.
“Loan restructuring arrangements .......
News 25 October 2023
'Endgame' comment period extended
Market updates and sector developments
US federal bank regulatory agencies have extended the comment period for both the Basel Endgame risk-based regulatory capital proposal and the G-SIB surcharge proposal until 16 January 2024 (SCI 28 July). Comments on both proposals were originally due by 30 November, but the comment period has been extended to allow interested parties more time to analyse the issues .......
Market Moves 23 October 2023
US CLN market could reach US$220bn
Market updates and sector developments
JPMorgan securitised products research analysts estimate that the potential size of the US CLN market could amount to US$220bn, as banks become more comfortable with issuing the notes for capital relief purposes, following the Federal Reserve’s clarification of what defines a synthetic securitisation (SCI 29 September). Indeed, they suggest that the move may mark the beginning of a .......
Market Moves 16 October 2023
Freddie B-piece investments closed
Market updates and sector developments
Sabal Investment Holdings has closed a series of five B-piece investments, representing approximately US$2bn in collateral balance, across three Freddie Mac multifamily CMBS programmes. The programmes comprise SB-Deals, K-Deals and Q-Deals.
Three SB-Deals closed by Sabal are backed by Freddie Mac multifamily small balance loans (SBLs), totalling US$90m in bond balance across US$933m in collateral balance and 338 .......
Market Moves 12 October 2023