May US auto securitisations - early past-dues drive a rise in delinquencies, but NPLs decline

Research evidence excerpt

May US auto securitisations - early past-dues drive a rise in delinquencies, but NPLs decline

Global Research

16 June 2026ab

Santander Equities

SpainMay US auto securitisations - early past-dues

drive a rise in delinquencies, but NPLs decline Banks, Ex-S&L

12-month rating Buy

12m price target €12.70SAN's US auto securitisations (50% of auto book, 25% of US standalone book ex

WBS, 85% of US standalone LLPs ex WBS) worsened in May more than in prior years,

implying a modest underlying deterioration even when adjusting for seasonal effects. Price (16 Jun 2026) €11.52

However, most of that deterioration is concentrated in the early past-due buckets, with RIC: SAN.MC BBG: SAN SM

actual NPL conversion rates (and net losses) remaining moderate for now on the back of

rising collateral values (+3-4% yoy). While currently we do not anticipate major Trading data and key metrics

downside risks to our estimates, underlying trends remain directionally negative and 52-wk range €11.52-6.80

thus upcoming securitisation data needs to be monitored closely. Market cap. €169b/US$196b

Shares o/s 14,678m (ORD)

Total delinquencies up +118bp mom to 19.07%, leading to QTD negative

seasonality (+306bp vs c16% in March), a worse evolution than in previous years Free float 99%

(vs +222bp in 2025 and +111bp in 2024 over the same period). When looking at Avg. daily volume ('000) 26,079

the YTD trend, we see a -57bp decline so far in 2026, also comparing badly with Avg. daily value (m) €266.5

the -141bp seen over the same period of last year or the -196bp of 2024. On a Common s/h equity (12/26E) €107b

yearly basis, while the total past due ratio is up +312bp yoy, the increase is mostly P/BV (12/26E) 1.5x

explained by early delinquencies (+281bp yoy) rather than by >90 days past due Tier 1 ratio 14%