articles Ratings /ratings/en/research/articles/210311-european-auto-abs-index-report-q4-2020-11836271 content esgSubNav
In This List
COMMENTS

European Auto ABS Index Report Q4 2020

COMMENTS

Weekly European CLO Update

COMMENTS

Credit FAQ: Proposed Updates To Our Methodology For Rating CDOs Of Project Finance Debt

COMMENTS

CLOs' Diverse Top 30 'B-' Credits Will Face Differing Pressures In 2025

COMMENTS

How We Rate Data Centers Across Public And Private Markets


European Auto ABS Index Report Q4 2020

Table 1

Key Performance Indicators
Index Q4 2020 Q3 2020 Q2 2020 Q1 2020 Q4 2019 Q3 2019 Q2 2019
Total delinquencies (%) 0.85 0.87 1.11 0.73 0.69 0.71 0.69
90+ day delinquencies (%) 0.33 0.34 0.28 0.15 0.15 0.15 0.14
Net losses (%) 0.02 0.04 0.02 0.03 0.03 0.05 0.04
Constant prepayment rate (% annualized) 12.5 17.9 13.4 16.8 12.4 13.6 12.6
Effective yield (% per year) 5.6 6.3 5.8 6.2 5.8 6.0 5.7
Y-O-Y new car registrations growth - EU-15 (%) N/A N/A N/A N/A 10.7 2.0 (3.4)
Economic data - EU-19
Unemployment rate (%) 8.3 8.5 7.9 7.4 7.4 7.5 7.5
Y-O-Y GDP growth (%) (5.1) (4.3) (14.7) (3.2) 1.0 1.4 1.3
N/A--Not applicable. Y-O-Y--Year on year. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat.

Table 2

Scenarios For Auto ABS Collateral
Actual Forecast
2019 2020F 2021F 2022F 2023F Baseline effect on collateral credit quality
Real GDP (Y-O-Y growth; %)
France 1.5 (9.0) 6.2 4.4 2.5 Unfavorable
Germany 0.6 (5.6) 3.7 3.2 1.9 Unfavorable
Italy 0.3 (8.7) 5.3 3.2 1.7 Unfavorable
Portugal 2.2 (12.2) 5.7 6.0 3.0 Unfavorable
Spain 2.0 (11.3) 6.5 6.4 2.6 Unfavorable
U.K. 1.3 (11.0) 6.0 5.0 2.4 Unfavorable
Unemployment rate (annual average; %)
France 8.5 8.2 9.4 9.2 8.8 Unfavorable
Germany 3.1 4.3 4.8 4.3 3.9 Somewhat Unfavorable
Italy 9.9 9.1 10.3 10.1 9.5 Unfavorable
Portugal 6.5 9.6 8.7 7.0 6.5 Unfavorable
Spain 14.1 15.9 17.6 16.4 15.6 Unfavorable
U.K. 3.8 4.8 6.7 5.2 4.5 Unfavorable
CPI (%)
France 1.3 0.5 0.7 1.3 1.2 Somewhat Unfavorable
Germany 1.4 0.3 1.4 1.5 1.4 Somewhat Unfavorable
Italy 0.6 (0.1) 0.8 1.1 1.1 Somewhat Unfavorable
Portugal 0.3 0.3 0.8 1.2 1.2 Somewhat Unfavorable
Spain 0.8 (0.3) 0.9 1.4 1.5 Somewhat Unfavorable
U.K. 1.8 0.9 1.8 1.9 1.9 Somewhat Unfavorable
Central bank policy rates (end of period; %)
Eurozone 0.00 0.00 0.00 0.00 0.00 Neutral
U.K. 0.75 0.10 0.10 0.10 0.10 Somewhat Favorable
Y-O-Y--Year on year. CPI--Consumer price index. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings.

Chart 1

image

Chart 2

image

Chart 3

image

Chart 4

image

Chart 5

image

Chart 6

image

Chart 7

image

Chart 8

image

Chart 9

image

Chart 10

image

Chart 11

image

Table 3

Summary Of Rating Actions
Rating action (tranches) Upgrade Downgrade
Q1 2016 2 -
Q2 2016 4 -
Q3 2016 9 -
Q4 2016 3 -
Q1 2017 5 -
Q2 2017 3 -
Q3 2017 5 -
Q4 2017 1 -
Q1 2018 2 -
Q2 2018 12 -
Q3 2018 3 -
Q4 2018 16 -
Q1 2019 - -
Q2 2019 5 -
Q3 2019 9 -
Q4 2019 3 -
Q1 2020 10 -
Q2 2020 5 -
Q3 2020 - -
Q4 2020 - -

Table 4

S&P Global Ratings-Rated Public Issuances
Quarter of origination Size (bil. €) No. of new issues
Q1 2016 3.1 5
Q2 2016 5.7 9
Q3 2016 2.6 3
Q4 2016 5.0 8
Q1 2017 1.9 3
Q2 2017 3.7 5
Q3 2017 4.2 8
Q4 2017 3.3 5
Q1 2018 3.9 5
Q2 2018 5.3 7
Q3 2018 2.7 6
Q4 2018 4.6 6
Q1 2019 0.9 1
Q2 2019 0.9 2
Q3 2019 4.8 6
Q4 2019 3.6 6
Q1 2020 3.2 5
Q2 2020 2.0 3
Q3 2020 0.4 2
Q4 2020 8.8 13

Glossary

Periodic net loss rate

We calculate the periodic net loss rate as the ratio of net losses in the collection period over the total outstanding collateral balance.

Delinquency rate

We calculate the delinquency rate as the ratio of outstanding collateral in arrears in the collection period over the total outstanding collateral balance.

Constant prepayment rate

We calculate the constant prepayment rate as the annualized ratio of principal prepayments during the collection period over the total outstanding collateral balance.

Effective yield

We calculate the yield rate as the annualized ratio of revenue (interest) generated during the collection period over the total outstanding collateral balance.

Related Criteria And Research

This report does not constitute a rating action.

Primary Credit Analyst:Roberto Amato, Frankfurt + 49 69 3399 9161;
roberto.amato@spglobal.com
Research Contributor:Shweta Sawant, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.


 

Create a free account to unlock the article.

Gain access to exclusive research, events and more.

Already have an account?    Sign in