Of the 348 monitoring reviews we conducted in 2024 across 147 outstanding transactions, 10.6% led to rating upgrades, 10.9% to downgrades. 

NPLs continued to see most downgrades, albeit with less downwards rating pressure in the second half of the year. NPL downgrades were mainly attributable to depressed sales prices, disappointing collections, and the general downward review of original business plans by servicers.

Upgrades were distributed across sectors with a particularly strong showing in RMBS and consumer ABS. Upgrades were mainly driven by deleveraging and low levels of borrower insolvencies in the case of performing ABS and better-than-expected performance of unsecured NPL exposures.

Overall, Scope’s structured finance team covered 335 instruments across 181 transactions in 2024. The major asset classes were NPL (88 instruments), CRE/CMBS (45), and Other (mainly CLN & Repackaged-debt and Reverse Mortgages, 45). By the end of 2024, Scope had rated almost EUR 313bn-equivalent in structured finance instruments since 2014.

Download the Structured Finance Activity Report here.