Italian banks have made extensive use of GACS-eligible securitisations this year to offload NPL exposure. Scope has rated 10 GACS-eligible securitisations this year through which sellers have reduced their NPL exposure by some EUR 38.7 billion.

Scope’s expectation is that the GACS guarantee will be extended as is; i.e. excluding unlikely-to-pay loans (UTPs) or leasing receivables, as the inclusion of additional assets would alter the scope of the original decree too much for it to be extended by ministerial decree. Even if the scope is broadened, it is unlikely that there is enough time to structure a transaction mainly consisting of UTPs or leasing receivables before the March 2019 deadline.

The total volume of NPL portfolio sales this year has been around EUR 35 billion, roughly equal to the volume of GACS-eligible securitisations. For the remainder of the year, we expect around EUR 30 billion of NPLS to be sold either through portfolio sales or GACS-eligible securitisations. If the GACS guarantee is not renewed, Scope estimates there will be a decline in NPL sales in 2018 and the total volume would fall in the range of EUR 80-90 billion.

See full note here, including a table of all Scope-rated GACS securitisations.