Investing
Granular and single-name NPL portfolios
The word 'granular' does not excuse skipping the large names.
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- Serenor Capital
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The pricing method depends on the shape of the book. A recovery curve is a tool for small, comparable lines. It becomes a mistake as soon as a handful of files carry the value.
Two methods
A granular pocket — consumer, small mortgages, comparable small SMEs — is described by transition rates, delays and a unit cost. The error on one line is absorbed by the count, if the lines really are alike.
A single name is read as a credit: contract, security, procedure, debtor, scenarios. Applying the pocket average drowns it in a rate that is not its own. Segmentation is the sort that comes first. See NPL loan tape analysis.
Test value, not the count
Rank lines by contribution to face value, then by contribution to modelled value. The two rankings differ: a small, well-secured line can be worth more than a large balance of default interest.
If the ten largest names carry an essential share of value, the book is underwritten as a sum of files, whatever the residual thousand lines. That is concentration, seen here as a choice of method.
Unit cost
Granularity has an operating price. Contacting, chasing and filing against thousands of debtors costs an amount per file that can exceed the value of the line. A curve that forgets that cost overstates the pocket.
The cost is documented from the servicing plan, not from an imported European rate. See pricing from face value to cash flows.
What the seller calls granular
The memorandum often uses the word to reassure. The check is arithmetic and it is done on the tape, not on the adjective. The pricing note states the share of the 10 and the 20 largest names.
Serenor Capital does this sort under an analytical mandate. The note does not offer a numerical cut-off dressed up as a market standard.
In this series
- Investing in Moroccan NPLs
- Corporate NPL underwriting
- Assignment of mortgage rank in Morocco
- Vintage analysis of Moroccan NPLs
This note is a method of reading a file or a published series. It is not legal, tax or investment advice, and it is not an opinion on a particular exposure. Serenor Capital does not buy claims for its own account, manage a fund, or carry on collection.
Sources and references
- Bank Al-Maghrib, Annual Report on Banking Supervision, financial year 2025 — PDF
- Bank Al-Maghrib, Circular No. 19/G/2002 of 23 December 2002 on the classification of claims and their provisioning, as amended — PDF
- Circular No. 1/W/2025, adopted on 5 December 2025, effective 1 January 2027. It does not restate the 2012–2025 figures discussed here.
- Serenor public series, banks, social basis — Morocco NPL Monitor and methodology
Frequently asked questions
- At what size does a file leave the curve?
- There is no universal cut-off. Pull out the lines whose estimation error would move the price materially, and every line that does not resemble the pocket: an unusual security, insolvency proceedings, a rank dispute.
- Does a large number of lines prove granularity?
- No. A thousand small lines plus one exposure at 40% of face value are not a granular book. The test is the share of value, not the number of contracts.
Evaluating an NPL Portfolio
Serenor Capital supports financial institutions and investors in the analysis and valuation of non-performing loan portfolios in Morocco.
Serenor Capital publishes research on non-performing loans, distressed-credit valuation and the development of Morocco’s secondary credit market.
This note is general commentary on method and market structure. It is not investment advice, legal advice, or a recommendation in relation to any portfolio, transaction or financial asset.