European Auto ABS: Early Delinquencies Continue to Rise

This commentary provides an overview of early-stage arrears asset performance within European auto asset-backed securities (ABS) following Morningstar DBRS’ review of loan and lease-level data reported on the European DataWarehouse for EU-domiciled transactions, supplemented with market data for UK transactions.

Key highlights include:
-- Across EU portfolios, the average 31- to 60-day arrears ratio increased to 0.28% in 2023 compared with 0.22% in 2022;
-- In UK portfolios, the average 31- to 60-day arrears ratio increased to 1.4% in 2023 from 1.0% of 2022. The surge was more pronounced in UK near-prime portfolios, which witnessed an increase to 2.2% from 1.8%, while UK prime portfolios experienced a limited increase in this ratio to only 0.33% from 0.26%
-- Certain subsets of auto ABS transactions appear more sensitive, such as those associated with noncaptive originators.