Fitch Ratings launched the first pan-European Consumer Asset Backed Securities performance index today. The agency has devised four indices, which provide an overall measure of the European consumer ABS market, monitoring key performance factors: delinquencies, losses and excess spread.
The indices follow: Fitch delinquency index (Fitch DI), Fitch gross loss index (Fitch GLI), Fitch net loss indices (Fitch NLI), and Fitch excess spread index (Fitch ESI).
The rating agency will regularly update these to provide a performance comparison benchmark for consumer ABS in Europe. The indices comprise the 56 outstanding Fitch-rated consumer ABS transactions that closed prior to December 2002. Additional transactions will be added to the indices 12 months after closing.