Valuation
NPL classification contagion inside a group
A performing line beside a defaulted affiliate is not diversification.
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- Serenor Capital
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A portfolio can show dozens of 'performing' lines that depend on the same group as a line already non-performing. Until those links are mapped, the tape's NPL ratio is a presentation figure.
What has to be linked
Useful fields on a Moroccan tape are the group identifier, common shareholders, cross-guarantees, account pledges, and cash that runs through a holding company. Two company names with the same manager and the same address are not two independent risks.
Diligence that stops at the account number misses that graph. The work is to draw it before segmenting. See loan tape analysis.
Do not invent the threshold
The classification circular contemplates cases where a related counterparty's situation matters. The further step — 'every group exposure becomes compromised on a set date' — is not a rule this note lays down. The applicable text and the file decide.
Until that characterisation is done, the economic analysis can already refuse to treat the related line as performing in the base case. That is a labelled scenario choice, not a legal conclusion.
Effect on price
If portfolio value rests on a few lines still marked performing, and those lines fall with the group default, the base case was an unstated upside. The downside case is where that assumption is tested. See downside case pricing.
Debtor concentration, in the sense of the weight of the ten largest names, is not enough. Two mid-sized balances can be one risk.
Documentation
The data room should contain the seller's organisation chart for heavy groups, the classification decisions, and a note of contagion already applied. Absence of that document is itself information: the seller has not isolated the risk, or is not showing it.
Serenor Capital maps these links under a mandate. The note does not replace that work on a live tape.
In this series
- Investing in Moroccan NPLs
- NPL loan tape analysis
- Write-offs of fully provisioned loans in Morocco
- Irregular claims are wider than 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
- Is every subsidiary classified with the parent automatically?
- The exact trigger is a question of the prudential text and of the file. This note does not replace the circular with a mechanical rule. It says the link has to be looked for, then characterised.
- Is contagion the same as concentration?
- No. Concentration measures weight. Contagion describes classification moving from one exposure to another. The two can coexist.
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.