Commentary

Irish and UK NPL Securitisations Performance—2023 Update

Nonperforming Loans

Summary

This commentary analyses the performance of Irish and UK nonperforming loan (NPL) transactions publicly rated by DBRS Morningstar. It is based on the latest available information provided by the servicers and identifies key trends in the Irish and UK jurisdictions, along with peculiarities observed at the transaction level based on deal-specific aspects. This commentary provides a summary of the macroeconomic scenario for each country and, for each transaction, provides an overview of the performance evolution, the evolution of the amortisation and collateralisation for the Class A notes, and the distribution of issuer available funds on note redemptions, interest payments, and costs.

Highlights include the following:
-- Three Irish transactions have had improved performance after completing sizeable portfolio sales in September 2022.
-- The Irish and UK transactions’ Class A notes are amortising at a reasonable speed, and the Class A notes of one Irish and one UK transaction are expected to be fully redeemed in one year.
-- The collateralisation levels of the Class A notes have improved for all six Irish and UK transactions, indicating an efficient process of collections and distributions for redemptions of the Class A notes.

“The transactions face higher time pressure to redeem the notes compared with last year, as most interest cap agreements have a five-year duration, and interest rates on the notes will increase further to coupon caps on the expiry of interest cap agreements,” stated Sijia Aulenbacher, Senior Analyst, European NPLs at DBRS Morningstar.