DBRS Morningstar Releases Commentary on History and Post-COVID-19 Future of European NPL Securitisations

DBRS Morningstar released a commentary on nonperforming loan (NPL) securitisations titled, “European NPL Securitisations: Steady Supply but Uncertain Outlook on Performance Post COVID-19”.

European nonperforming loan (NPL) securitisations have gone from a niche product to a pan-European solution to support the divestment of NPLs from banks and offer access to distress investments for investors. In 2019, there was a steady supply of new transactions across new and diverse regions in Europe. Following this, the NPL sector continues to develop into a stable asset class that can help to support the financial markets in Europe.

In this commentary, we focus on how the asset class has developed, including
-- The increase in NPL securitisation issuance following Italy’s renewal of Garanzia Cartolarizzazione Sofferenze (GACS) programme.
-- The emergence of new countries to NPL securitisations, such as Greece and Spain.
-- How transactions differ from country to country, and even within countries, both in terms of their structure as well as in the collateral composition.
-- An overview of how servicers perform with respect to their initial business plan and DBRS Morningstar’s expectations.
-- The evolution of transaction performance since the outbreak of the Coronavirus Disease (COVID-19) and key trends observed to date.
-- Market expectations in 2020 in light of the challenges resulting from the coronavirus.

Notes:
A copy of this commentary is available at www.dbrsmorningstar.com.

For more information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, visit www.dbrsmorningstar.com or contact us at [email protected].

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information on DBRS Morningstar considerations for European NPL transactions and Coronavirus Disease (COVID-19), please see the following commentary: https://www.dbrsmorningstar.com/research/360393/european-npl-transactions-risk-exposure-to-coronavirus-covid-19-effects.

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