Spanish RPL RMBS: Resilient Performance and an Established Asset Class

Spanish reperforming loan (RPL) residential mortgage-backed securities (RMBS) have evolved into an established segment of the European securitisation market over the past decade. Cumulative issuance, including refinancings, has reached approximately EUR7 billion since the first transaction in 2016, of which KBRA has rated EUR3.8 billion since 2022. Issuance has been supported by Spanish banks’ efforts to reduce problem assets and optimise capital consumption, while the stock of Stage 2 loans (performing loans that have experienced elevated credit risk) on bank balance sheets suggests further potential issuance. Although these assets still account for only a modest portion of the European securitisation market, bank appetite for public securitisation continues to build as portfolios reach issuance-ready scale. At the same time, investor interest has increased, driven by the emergence of larger, more diversified collateral pools and the opportunity to gain exposure to a developing…