“Looking at our transaction monitoring activity for the 12 months ended October 2025, ratings drift was positive across consumer-related asset classes and balanced to mildly positive across SME and corporate ABS,” said Antonio Casado, Head of Structured Finance Monitoring. “CRE rating activity was mixed but in general exceeded our expectations, reflecting mild capitalisation rate compression and improving investor sentiment. NPL ABS underperformed as anticipated, driven by elevated liquidation discounts and the slow pace of collections on predominantly secured portfolios backing Italian NPL transactions.”

CRE
“The ratings outlook for CRE in 2026 has turned to balanced from negative,” said Paula Lichtensztein, Senior Representative, Structured Finance. “The market has entered a phase of stabilisation and consolidation following a period of turbulence driven by global economic uncertainty and evolving regulatory frameworks”.

Although financing costs remain high relative to historical norms, limiting liquidity and capital appreciation, investor sentiment is gradually recovering. Market participants are selectively re-engaging, focusing on assets that are appropriately priced or offer value-add potential capable of delivering adequate returns.

NPL

“Our mildly negative outlook on NPL ABS reflects continued rating pressure on legacy Italian ABS, amid stronger NPL segments such as more recent Italian NPL cohorts, unsecured NPL and non-Italian NPLs. Recoveries on unsecured and reperforming exposures remain underpinned by the continued economic resiliency, tight labour markets, and effective portfolio management,” Lichtensztein said. Recoveries on secured exposures are also supported by strong residential property markets. However, the segment remains highly sensitive to economic and financial stability risks.

“For Italian mixed NPL transactions, we expect negative ratings drift to abate, as distressed valuations have stabilised and current ratings already reflect adjusted expectations after a prolonged period of rating adjustments” Lichtensztein added. Collateral liquidation discounts will remain broadly unchanged, supported by stable transaction volumes and modest price appreciation in Italian real estate.

Consumer

“We maintain a positive rating outlook for European consumer ABS in 2026, supported by resilient collateral performance, tight labour market conditions and robust structural protections,” said Lichtensztein. “We expect ratings across consumer and auto ABS transactions to remain broadly resilient under a range of economic scenarios. Upgrades are likely, particularly across junior and mezzanine tranches, as transactions continue to deleverage; with senior tranche ratings gaining further strength.”

We also maintain our positive rating outlook for European prime RMBS in 2026, underpinned by strong borrower affordability, high collateral quality, and conservative origination standards. These pillars continue to support stable credit performance and ratings stability.

SME ABS

We maintain our positive outlook on SME ABS and a stable outlook on corporate ABS. Rating upgrades are likely to occur on deleveraging SME ABS, supported by static pool structures,” said Casado. “. For fund securitisations, rating stability is supported by the expansion of private credit and mid-market direct lending, with a growing investor base enhancing liquidity and refinancing options, thereby reducing structural risk. While these factors are supportive, the outlook assumes stable funding and market conditions, as leverage risk remains a key consideration.“

Download the Structured Finance monitoring report and 2026 rating outlook.