European Auto ABS: Too Much Green Can Add Uncertainty

08/06/24 • 22 min

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Guglielmo Panizza, Vice President, European ABS Ratings, and Miklos Halasz, Assistant Vice President, European ABS Ratings, to discuss the treatment of alternative-fuelled vehicles in asset-backed securities (ABS) transactions.

The episode provides an overview of the European auto market covering key trends and some differences among jurisdictions. Road vehicles contribute roughly 15% of global CO2 emissions, and, more specifically, cars and vans contribute around 10%. Working towards net-zero targets, the auto industry is shifting towards alternative fuel vehicles, and we are beginning to see this change also in securitised European auto pools. The speakers examine whether this transition from internal combustion engines to alternative-fuelled vehicles has any impact on the credit performance or credit rating analysis of auto ABS transactions.

Previous Episode

European Residential Solar ABS

In this episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads our European Structured Finance Research team, is joined by Rehanna Sameja, Senior Vice President, European RMBS & Covered Bond Ratings and Jonathan Riber, Senior Vice President, Sector Lead U.S. ABS Ratings, Consumer Assets, to discuss the solar energy sector.

The episode covered the key components of our recently published commentary, "Sun is Beginning to Shine on European Residential Solar ABS" available at https://dbrs.morningstar.com/research/433299, and our global "Rating Solar ABS Transactions" methodology available at https://dbrs.morningstar.com/research/434677. The panel also discussed recent advances in the solar energy sector, the state of the solar asset-backed securities (ABS) securitisation market, the unique traits of solar ABS contracts, and their probable influence on credit considerations. The panel also looked at divergence across different solar contract types and explored analytical considerations for rating them accordingly.

Next Episode

EPCs Creating Ripples, Not Waves, for House Prices in England and Wales

In the latest episode of Morningstar DBRS’ “European Securitisation Insights” podcast, host Mudasar Chaudhry, who leads Morningstar DBRS’ European Structured Finance Research team, is joined by Dylan Cissou, Senior Vice President, Lead, Structured Finance Analytics, Quant, and Christian Aufsatz, Managing Director, European Structured Finance Ratings to discuss the potential impact of Energy Performance Certificate (EPC) scores on residential property values in England/Wales and how EPC scores could affect Morningstar DBRS’ structured finance credit analysis in European mortgage-backed securities.

The episode also explores whether there is a quantitative relationship between energy-efficiency improvements and house prices, and includes a discussion of how Morningstar DBRS embarked on this quantitative exercise, which data sets were used, and how the models to test different variables were chosen.