European non-performing loan securitisations revisited

Portfolio Lead Advisory Services Weekly Digest - Edition 17

In July’s Edition 4 of our Weekly Digest, we reviewed the current status of the European NPL securitisation market. We noted recent ratings actions as a result of the COVID-19 pandemic, and provided a brief overview of the government-backed schemes in Italy (GACS) and Greece (HAPS).

There have been several developments in the months’ since, particularly around the NPL securitisation regulatory framework. Both Basel and the European Commission have proposed technical amendments, and whilst initial reactions have been generally positive, there remains apprehension around the updated capital treatments and regulators responsibilities. Indeed, the European Parliament this week has responded with its own set of draft amendments to the European Commission’s proposal, to be voted on at the end of this month.

In this fast changing landscape, we have launched a special NPL securitisations publication, with in-depth analysis of the instrument’s background and structures, from the perspectives of each of the actors involved: sellers and buyers, but also rating agencies, advisors and lawyers. We also take a deeper look at GACS and HAPS, including the capital impacts of such schemes, and how they compare to market securitisations.

With the effects of the COVID-19 pandemic beginning to take shape in banks’ balance sheets, it becomes ever more critical for financial institutions to have a clear understanding of the deleveraging tools at their disposal. We hope you find this special publication both engaging and informative, and look forward to any comments you may have.

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