Research
Italian NPL ABS Cash Flow Projections
The GACS government-guarantee scheme successfully helped Italian banks with removing large volumes of NPL from their balance sheets. However,…
Read more
Research
Models for the cure rate of defaulted loans to small and medium enterprises in Italy
We explore the transition frequencies for Italian loans to small and medium size enterprises from non-performing to performing, i.e.…
Research
Updated NPL Ratios and Developing an NPL Transaction Platform in Asia
In prior studies we projected the development of the ratio of non-performing loans to total loans (NPL Ratio) under…
Research
The impact of high inflation and energy prices on non-performing loans
We ask whether non-performing bank loans in Europe will rise because of high inflation and high energy prices and…
Research
Valuation of Non-Performing Loans: Calibration of unsecured recovery curves
The statistical valuation of granular loan portfolios requires investors to determine the most suitable recovery curves. In this…
Research
2022 Release of Performing Loan Valuation Models
NPL Markets Ltd. is pleased to announce the release of an extended suite of valuation models for illiquid performing…
Research
NPL update from 2021 EBA stress test
We analyse credit data from the EU-wide bank stress and the risk dashboard published by the European Banking Authority…
Research
Recent developments and disclosure challenges for EU securitisations
In this article we report on recent regulatory developments and focus on challenges in meeting the disclosure requirements for…
Research
NPL Portfolio Transactions – Data Requirements
We comment on recent developments regarding the data requirements for NPL transactions and the revised data templates published by…
Research
Towards an optimal bank balance sheet after Covid
We explain why challenger credit models are important to capture the impact of Covid on loan performance especially where…
Research
How auction methods can boost non-performing loan sales
In this article we describe how different auction formats are relevant for different types of NPL and how the…
Research
10 lessons from the new European securitisation disclosure regime
We summarize our initial experience and highlight some pitfalls with preparing ESMA-compliant securitisation disclosures. The new regulatory disclosure…
Research
Updated forecasts of NPL ratios after COVID-19
Our update on the development of non-performing loans after the economic contraction caused by COVID-19. We update our…
Research
Cash flow models for non-performing loan securitisations
Asset-backed securities (ABS) of non-performing loans (NPL) in Europe have been issued mostly in Italy thus far with a…
Research
Impact of the Prudential Backstop on Bank’s Balance Sheet
Whilst the COVID-19 pandemic is dominating all NPL related news, it’s easy to forget about impending new regulation concerning…
Research
Forecasting NPL Ratios after COVID-19
The COVID-19 pandemic has caused a sudden slump in economic activity across most countries. The first quarter of 2020…
Research
How to value bank loans in a crisis
The volume of legacy NPL is still elevated in many of the European countries which are now severely hit…
Research
Heterogeneity matters: the benefits of loan-level investor reports for NPL transactions
Larger NPL portfolios, whether sold outright or securitised, are typically heterogeneous in terms of default vintage, borrower type, collateral…
Research
The No Data Option in Securitisation Disclosures
Can asset-backed securities with missing data be compliant with securitisation regulation? We recently published an article on The importance of…
Research
The importance of collecting historical recovery data for NPL transactions
The year 2020 will see important changes in the use and disclosure of detailed recovery cash flow data for…
Research
Best Practice Guide on Portfolio Data Requirements
This best practice guide explains the data format and minimum data requirements of the NPL Markets platform to sell…
Research
Technical Paper: Regulatory demands benefit market for non-performing loans
This is a snapshot of the first of two technical documents providing details for the valuation of illiquid loans…
Research
Technical Paper: Regulatory demands benefit market for non-performing loans
This is a snapshot of the first of two technical documents providing details for the valuation of illiquid loans…