Valuation
Vintage analysis of Moroccan NPLs
The year of classification is not the year of origination, nor the economic age of the distress.
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- Serenor Capital
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Vintages in a portfolio do not age in the same way. The vintage that matters for price is the year of classification, read together with what has already happened since, not the year the contract was signed.
Three dates
Origination says when the risk was taken. First missed payment says when cash stopped. Prudential classification says when the bank placed the file on the grid. A loan tape that gives only one of these forces a guess at the other two.
For segmentation, classification date is the base vintage, crossed with product and security. First-missed-payment date, where it exists, refines economic age. See loan tape analysis.
What age changes
A file classified a few quarters ago may still have a debtor who can be reached and security that has not been enforced. A file classified many years ago has often already seen reminders, a failed settlement, and sometimes a stalled procedure. Applying the cure rate of young files overstates near-term cash.
Recovery timing recalls that two identical rates at different dates do not have the same present value. Vintage is one reason for that difference.
Moratoria and shifted vintages
A period of suspended instalments can delay classification without delaying the economic deterioration. The prudential vintage then looks younger than the distress. Treating it as a fresh default is optimistic.
This note does not quantify the outstanding that benefited from a moratorium. Without a verified line in the report or on the tape, the effect is described, not measured.
Use in the model
Curves by vintage are estimated only when the pocket is large enough and homogeneous enough. Otherwise vintage is a signal to take the file out of the curve and underwrite it.
The vintages that carry value are shown in the pricing note, with the count. A pie chart without a count is not an analysis.
In this series
- Recovery timing and recovery rate
- NPL loan tape analysis
- Granular and single-name NPL portfolios
- Loan moratoria and Morocco's NPL stock
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
- Can origination year be used as the vintage?
- Only as context. A 2014 loan classified in 2023 does not have nine years of default. It has the age of its classification, plus the arrears history that led there.
- Is a crisis vintage uniform?
- No. Two files classified in the same year can have unrelated security and procedure. Vintage is a cut, not a single curve.
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.