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. |
Summary
- The last quarter of 2020 saw a relative tightening of lockdown measures in Europe compared to Q3 2020. Despite this, delinquency trends in Q4 2020 were similar to those in Q3. Considering the possible lag factor--especially in late delinquencies and net losses--and the continuing shutdown measures, we expect to see more of an impact in Q1 2021.
- 30-60 days delinquencies have slightly decreased to 0.35%, from 0.37% in Q3 2020 (they have been decreasing since Q2 2020). 60-90 days delinquencies remained stable at 0.16% and are back to pre-pandemic levels.
- 90+ days delinquencies on the other hand stayed virtually unchanged (a one basis point increase). Consequently, late delinquencies continue to be high at 0.33%, which we still consider to be indicative of future increased losses. Breaking the performance down by jurisdiction, we see reduced delinquencies in German transactions and delinquencies in U.K. deals remaining unchanged. However, 90+ days delinquencies in Italy, France, and Spain further deteriorated between 2 bps and 4 bps.
- Net losses slightly decreased to 0.02% from 0.04%. They have reduced by 7 bps in the U.K. to 0.02%, remained stable at 0.01% in Germany, reduced to 0.08% from 0.14% in France, and to 0.01% in Italy.
- Germany (54.4%), the U.K. (32.1%), and France (4.8%) form 91.2% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, representing 55.9% of the current volume of securitized assets.
- During Q4 2020, we rated 13 new auto ABS transactions, namely: Auto ABS UK Loans PLC, Driver UK Master S.A., Compartment 2, Swiss Car ABS 2020-1 AG, Turbo Finance 9 PLC, SCF Rahoituspalvelut IX DAC, Cavern Funding 2020 PLC, First Swiss Mobility 2020-2 AG, Red & Black Auto Germany 7 UG (haftungsbeschränkt), KOROMO S.A., Compartment 3, VCL Multi-Compartment S.A., Compartment VCL 31, Citizen Irish Auto Receivables Trust 2020 DAC, Private Driver Espana 2020-1, Fondo De Titulizacion, and Private Driver Italia 2020-1 S.r.l.
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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
- New Issue: Turbo Finance 9 PLC; Oct 08, 2020
- New Issue: SCF Rahoituspalvelut IX DAC; Oct 14, 2020
- New Issue: Swiss Car ABS 2020-1 AG; Oct 15, 2020
- New Issue: Cavern Funding 2020 PLC; Oct 21, 2020
- New Issue: KOROMO S.A., Compartment 3; Oct 22, 2020
- New Issue: Citizen Irish Auto Receivables Trust 2020 DAC; Nov 19, 2020
- New Issue: First Swiss Mobility 2020-2 AG; Nov 23, 2020
- New Issue: VCL Multi-Compartment S.A., Compartment VCL 31; Nov 25, 2020
- New Issue: Private Driver Italia 2020-1 S.r.l.; Nov 25, 2020
- New Issue: Driver UK Master S.A., Compartment 2 (Series 2020-1); Nov 25, 2020
- New Issue: Red & Black Auto Germany 7 UG (haftungsbeschränkt); Nov 26, 2020
- Transaction Update: Auto ABS UK Loans PLC; Nov 27, 2020
- New Issue: Private Driver Espana 2020-1, Fondo De Titulizacion; Nov 30, 2020
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 |
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