Italian NPL volumes hit three-year low
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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 the last two years, March has been a bumper month for Italian NPL proceeds. In March 2022, NPL proceeds exceeded €300m compared to around €150m in January and just over €200m in February of the same year. Likewise, March 2023 saw proceeds jump to nearly €350m after January and February both saw proceeds shy of €200m. But this year’s March boom has gone bust, with January and February seeing proceeds of around €175m and March proceeds only just exceeding €200m.
The lucrativeness of these deals has also seemingly taken a nosedive. This year to date has seen 45 transactions closed in total – more than in every half-year from 1H19 onwards. However, total proceeds are below €600m. This equates to roughly €13m per deal, while 1H19 saw figures of around €32m per deal and 2H23 around €35m per deal.
In other news…
Final STS guidelines released
The EBA has published its final report on the STS criteria guidelines for on-balance sheet securitisation and amending Guidelines EBA/GL/2018/08 and EBA/GL/2018/09 on the STS criteria for ABCP and non-ABCP securitisation. The move follows a three-month public consultation, which ran from April to June last year (SCI 21 April 2023).
The guidelines aim to provide a single point of consistent interpretation of the STS criteria and ensure a common understanding of them by originators, original lenders, securitisation special purpose entities (SSPEs), investors, competent authorities and third-party verification agents verifying STS compliance, in accordance with Article 28 of Regulation (EU) 2017/2402 throughout the EU.
Notably, Chapter 6 of the report focuses on criteria relating to transparency, with relation to data on historical default and loss performance. It clarifies that “for the purposes of Article 26d(1) of Regulation (EU) 2017/2402, where the originator cannot provide data in line with the data requirements contained therein, external data that are publicly available or are provided by a third party - such as a rating agency or another market participant - may be used, provided that all of the other requirements of that article are met”.
The term ‘substantially similar exposures’ is also highlighted as referring to exposures that meet certain conditions, one of which is that the most relevant factors determining the expected performance of the underlying exposures must be similar.
In a recent blog post, European DataWarehouse (EDW) says that it has already been supporting originators that do not have ‘substantially similar exposures’ on their balance sheets or have less than five years of historical data, by leveraging its loan-level database of over 1,800 ABS transactions. EDW compiles the required set of performance data that includes dynamic delinquencies and static default and loss information - as required by Article 22(1) of Regulation (EU) 2017/2402 for non-ABCP securitisations - and can offer originators proxy data on ‘substantially similar exposures’ in their STS process for on-balance sheet securitisations, as per the new EBA guidelines for Article 26d(1).
EDW’s securitisation repository includes data spanning a time series of more than 10 years, from over 10 jurisdictions and across all major asset classes.