UK RPL Securitisations Performance - 2024 Update
Nonperforming LoansSummary
This commentary analyses the performance of UK reperforming loan (RPL) transactions publicly rated by Morningstar DBRS. It is based on the latest available information provided by the servicers and identifies the key trend of UK jurisdiction along with peculiarities observed at a transaction level based on deal-specific aspects. The commentary provides a summary of the macroeconomic scenario and, for each transaction, an overview of the performance evolution, the Class A notes amortisation and collateralisation evolution and distribution of issuer available funds on note redemptions, interest payments, and costs.
Key highlights
-- The two UK RPL transactions have amortised fast, though at a different pace, driven by the feature of their fast-amortising pools with reperforming loans.
-- The performance of the most recent transaction, Wolf III, is slightly below the servicer's initial business plan.
-- Although Wolf and Wolf III share the same servicer, the characteristics of the two pools are different, which are also reflected in the performance of the transactions.
"Our outlook on the credit rating of the rated notes is stable, as the borrowing costs have already touched the peak, and the economic activity is expected to recover gradually," states Sijia Aulenbacher, Senior Analyst, European Structured Finance Ratings, Surveillance, at Morningstar DBRS.
Available Documents
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