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Serenor Capital
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Expertise / Underwriting

NPL Portfolio Underwriting

We analyse loan portfolios before acquisition to estimate the amount, timing and cost of expected recoveries, and to convert those estimates into a price a buyer can defend.

When this service is relevant

  • A bank or securitisation vehicle has opened a sale process and released a loan tape.
  • An investor has received a portfolio teaser and needs a screening view before committing diligence budget.
  • A bid is due and the price has to be defensible to an investment committee.
  • A first offer has been submitted and the seller has come back for a revised bid.
  • An investor has data-room access but no local view on enforcement timelines or collateral realisation.
  • A bank is preparing a disposal and wants to understand the range buyers are likely to underwrite to.

Questions we help answer

  1. 01What is the expected recovery?
  2. 02How long will recovery take?
  3. 03What are the main downside risks?
  4. 04Which exposures drive most of the portfolio value?
  5. 05What assumptions depend on collateral or legal enforcement?
  6. 06What is the maximum acquisition price?
  7. 07At what price does the transaction meet the investor's required return?

Scope of work

01

Portfolio and data

  • Loan tape review, field mapping and normalisation
  • Reconciliation of tape balances against accounting records where available
  • Identification of missing, stale or internally inconsistent fields
  • A written statement of what the data does and does not support
02

Segmentation

  • Segmentation by borrower type, exposure size, collateral, security status, legal stage and payment history
  • Concentration analysis: which exposures carry the portfolio value
  • Sampling framework for segments reviewed statistically rather than individually
03

Exposure-level review

  • Individual review of the largest and most material positions
  • Borrower and guarantor analysis, including trading status and asset position where information exists
  • Collateral analysis: type, location, condition, title and the basis of any existing valuation
  • Security and creditor-ranking review, including registration status and competing claims
  • Legal status review: stage of proceedings, procedural risk, limitation issues
04

Recovery and cost modelling

  • Recovery paths constructed by segment and for each material exposure
  • Timing assumptions anchored to procedural stage rather than portfolio averages
  • Servicing, legal, valuation, holding and disposal cost assumptions
  • Downside scenarios on the assumptions with the largest effect on value
  • Sensitivity analysis and break-even pricing
05

Pricing and decision support

  • Cash-flow model discounted at the investor's required return
  • Maximum acquisition price and a price-to-return grid
  • Bid structuring considerations, including staged or deferred consideration
  • Investment committee memorandum with supporting appendices

Typical deliverables

  • Portfolio screening note
  • Loan-level underwriting model
  • Recovery model
  • Risk register
  • Pricing model
  • Sensitivity analysis
  • Bid recommendation
  • Investment Committee memorandum

What is outside the scope

  • We do not acquire portfolios and do not act as principal in a transaction.
  • We do not provide legal opinions. Legal risk is identified, quantified where possible, and referred to counsel.
  • We do not issue valuation certificates. Existing collateral valuations are reviewed and challenged; formal valuations are commissioned from licensed valuers where the position requires one.

Method

Process

  1. 01

    Data Review

    Understand the portfolio and identify missing or inconsistent information.

  2. 02

    Segmentation

    Group exposures according to borrower profile, collateral, legal status and likely recovery path.

  3. 03

    Exposure Review

    Analyse the largest and most material positions individually.

  4. 04

    Recovery Modelling

    Estimate expected recovery amounts, costs and timing.

  5. 05

    Downside Analysis

    Test the assumptions that matter most to investment value.

  6. 06

    Pricing

    Translate expected cash flows into a maximum acquisition price.

Serenor Credit™

The framework behind the work

Every assignment runs on the same framework. Serenor Credit™ holds the loan-level structure, the recovery assumptions, the collateral and security position, the legal status, the cost lines and the timetable in one place, so that two people working on two segments of the same portfolio are applying the same definitions.

That consistency has a practical value at the bid stage. Exposures can be compared on a common basis, exceptions surface as exceptions rather than as noise, and every assumption behind a price traces back to the exposure that produced it. After closing, the same structure carries into monitoring, which is why variance can be attributed to a named assumption rather than to the portfolio as a whole.

It is a framework and an internal analytical platform. It is not a decision system, and nothing in it substitutes for the judgement of an investment committee or for legal, financial and collateral review by qualified advisers.

Loan data, collateral, security and legal position, recovery scenarios, and costs and timing are structured through Serenor Credit™ into expected recoveries, a downside case and a maximum acquisition price.

Inputs

  • Loan Data
  • Collateral
  • Security & Legal Position
  • Recovery Scenarios
  • Costs & Timing
FrameworkSerenor Credit™

Outputs

  • Expected Recoveries
  • Downside Case
  • Maximum Acquisition Price

Reviewing a distressed-credit opportunity in Morocco?

If you are evaluating a portfolio, preparing a transaction or monitoring acquired exposures, we would be pleased to discuss the situation.

Discuss an Opportunity