Table 1
Key Performance Indicators | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index | Q4 2021 | Q3 2021 | Q2 2021 | Q1 2021 | Q4 2020 | Q3 2020 | ||||||||
Total delinquencies (%) | 0.58 | 0.60 | 0.65 | 0.73 | 0.84 | 0.85 | ||||||||
90+ day delinquencies (%) | 0.16 | 0.18 | 0.22 | 0.27 | 0.34 | 0.34 | ||||||||
Net losses (%) | 0.02 | 0.01 | 0.02 | 0.03 | 0.02 | 0.04 | ||||||||
Constant prepayment rate (% annualized) | 15.4 | 18.5 | 16.7 | 18.4 | 12.6 | 18.1 | ||||||||
Effective yield (% per year) | 6.2 | 6.5 | 6.6 | 6.6 | 6.2 | 6.3 | ||||||||
Economic data - EU-19 | ||||||||||||||
Unemployment rate (%) | 7.0 | 7.4 | 7.9 | 8.1 | 8.2 | 8.6 | ||||||||
Y-O-Y GDP growth (%) | 4.6 | 3.9 | 14.4 | (1.1) | (4.4) | (4.0) | ||||||||
Y-O-Y--Year on year. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat. |
Table 2
Scenarios For Auto ABS Collateral | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2020 | 2021F | 2022F | 2023F | 2024F | Baseline effect on collateral credit quality | |||||||||
Real GDP (Y-O-Y growth; %) | ||||||||||||||
France | (8.0) | 6.7 | 3.8 | 2.2 | 1.6 | Favorable | ||||||||
Germany | (4.9) | 2.7 | 4.3 | 2.5 | 1.5 | Favorable | ||||||||
Italy | (9.0) | 6.4 | 4.7 | 1.8 | 1.0 | Favorable | ||||||||
Spain | (10.8) | 4.5 | 7.0 | 4.4 | 2.4 | Favorable | ||||||||
U.K. | (9.7) | 6.9 | 4.6 | 2.2 | 1.9 | Favorable | ||||||||
Unemployment rate (annual average; %) | ||||||||||||||
France | 8.0 | 8.0 | 7.8 | 7.7 | 7.4 | Neutral | ||||||||
Germany | 3.9 | 3.6 | 3.4 | 3.3 | 3.2 | Neutral | ||||||||
Italy | 9.3 | 9.6 | 9.1 | 8.9 | 8.7 | Unfavorable | ||||||||
Spain | 15.5 | 15.1 | 14.4 | 14.0 | 13.8 | Somewhat Unfavorable | ||||||||
U.K. | 4.5 | 4.6 | 4.5 | 4.3 | 4.0 | Somewhat Unfavorable | ||||||||
CPI (%) | ||||||||||||||
France | 0.5 | 2.1 | 1.9 | 1.6 | 1.8 | Somewhat Unfavorable | ||||||||
Germany | 0.4 | 2.9 | 2.2 | 1.7 | 1.8 | Unfavorable | ||||||||
Italy | (0.1) | 1.7 | 1.7 | 1.2 | 1.5 | Somewhat Unfavorable | ||||||||
Spain | (0.3) | 2.8 | 2.2 | 1.4 | 1.6 | Somewhat Unfavorable | ||||||||
U.K. | 0.9 | 2.4 | 3.4 | 1.5 | 1.9 | Somewhat Unfavorable | ||||||||
Central bank policy rates (end of period; %) | ||||||||||||||
Eurozone | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | Somewhat Favorable | ||||||||
U.K. | 0.29 | 0.10 | 0.55 | 0.75 | 1.00 | Somewhat Favorable | ||||||||
CPI--Consumer price index. F--Forecast. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings. |
Summary
- Collateral performance in our European auto ABS index during fourth-quarter 2021 continues to improve as conditions in the European economies recover.
- Although 30-60 days delinquencies increased by 1 basis point to 0.31%, 60-90 days delinquencies have decreased to 0.12% from 0.13%.
- Overall across the region, 90+ days delinquencies further decreased to 0.16% from 0.18%. The main drivers continue to be the U.K.'s strong performance, where they decreased to 0.17% from 0.21%, and the improving conditions in Germany, where severe delinquencies dropped to 0.15% from 0.16%. While late delinquencies remain stable in Spain at 0.2%, other markets such as Italy and France have been somewhat volatile, with 90+ days delinquencies increasing by 0.01% to 0.14% and 0.06%, respectively.
- Net losses remain low, in spite of a marginal increase to 0.02% from 0.01%. As the figures are stable in all markets, this is only due to the increase in net losses recorded in the U.K., which reached 0.03% from 0.02% in the previous quarter.
- Germany (46.5%), the U.K. (31.4%), and Spain (5.8%) form 83.7% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, representing 54.1% of the current volume of securitized assets.
- We rated nine new transactions, including brand new transactions and additional notes in master transactions: Autoflorence 2 S.R.L., Cars Alliance UK Master PLC, Dowson 2021-2 PLC, Driver UK Master S.A., Compartment 2, Driver UK Multi-Compartment S.A., Compartment Private Driver UK 2020-1, Red & Black Auto Germany 8 UG (haftungsbeschränkt), Retail Automotive CP Germany 2021 UG, Satus 2021-1 PLC, and SCF Rahoituspalvelut X DAC.
- During this quarter, we affirmed our ratings on 23 outstanding classes of notes and raised our ratings on six classes of notes.
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Table 3
Summary Of Rating Actions | ||
---|---|---|
Rating action (tranches) | Upgrade | Downgrade |
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 | - | - |
Q1 2021 | 1 | - |
Q2 2021 | 17 | - |
Q3 2021 | 5 | - |
Q4 2021 | 6 | - |
Table 4
S&P Global Ratings-Rated Public Issuances | ||
---|---|---|
Quarter of origination | Size (bil. €) | No. of new issues |
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 |
Q1 2021 | 1.5 | 2 |
Q2 2021 | 2.9 | 6 |
Q3 2021 | 2.4 | 4 |
Q4 2021 | 6.4 | 9 |
Summary Of Methodology For Our European And U.K. Auto ABS Index
What is it included in the U.K. and European Auto ABS index?
A transaction is included once three months have elapsed since the closing date, because we don't expect performance developments to be visible immediately after closing. As the index is current-balance weighted, including transactions with less than nine months of performance will lower the denominator of the index and may give an overly positive impression of performance.
As a comparison, in our RMBS index, transactions are included after nine months since closing have elapsed, while for the credit cards index transactions are immediately included in the calculations. The main reason for these differences lies in the nature of the underlying receivables. We believe that for receivables that display a long-term nature, including transactions in the calculations too early may give an overly positive impression, as performance developments have not taken place yet. On the other hand, for short-term receivables, performance developments appear in the early stages and therefore the risk of an overly positive impression is much lower.
What is the data source?
Data is compiled from investor reports and as such is based on each tranaction's definition of arrears and default.
Is the index loan count or "dollar" weighted?
The index is calculated as the current balance of receivables in each arrear status (as reported in investor reports), divided by the current balance of each transaction (as reported in investor reports). Non-euro denominated transactions are converted to euro.
When a transaction redeems how does it affect the index? Does it affect the past quarter(s)?
When a transaction redeems it does not contribute to the index beyond that point. It has no effect on reported values for previous quarters.
When do we cut off the index for a given quarter?
The cut off is based on the period covered in investor reports. For example, if the index is up to fourth-quarter 2021, only collateral data until Dec. 31, 2021, is included.
Why do prior quarter's numbers sometimes change?
There are two main reasons:
- The servicer/party providing the investor report might amend data.
- Newer data for the most recent quarter is available.
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
- Driver UK Multi-Compartment S.A., Compartment Private Driver UK 2020-1's Auto ABS Class A Notes Assigned Rating, Dec. 29, 2021
- Dowson 2020-1 PLC Class A To D U.K. Auto ABS Notes Ratings Raised Following Review; Class E-Dfrd Rating Affirmed, Dec. 10, 2021
- DRIVER ESPANA SIX, FONDO DE TITULIZACION Class B Spanish Auto ABS Rating Raised; Class A Rating Affirmed, Dec. 7, 2021
- Driver UK Master S.A., Compartment 2 Series 2021-B Auto Loan Notes Assigned Rating; All Outstanding Series Affirmed, Nov. 25, 2021
- Satus 2021-1 PLC U.K. Auto ABS Notes Assigned Ratings, Nov. 26, 2021
- Driver Multi-Compartment S.A., Compartment Driver fifteen Ratings Affirmed Following Review, Nov. 4, 2021
- Retail Automotive CP Germany 2021 UG German Auto ABS Notes Assigned Ratings, Oct. 29, 2021
- Dowson 2021-2 PLC U.K. Auto ABS Notes Assigned Ratings, Oct. 28, 2021
- Red & Black Auto Germany 8 UG (haftungsbeschränkt) ABS Notes Assigned Ratings, Oct. 27, 2021
- SCF Rahoituspalvelut X Finnish Auto ABS Notes Assigned Ratings, Oct. 19, 2021
- Autoflorence 2’s Italian Auto ABS Notes Assigned Ratings, Oct. 12, 2021
- Cars Alliance UK Master PLC's Asset-Backed Class A Notes Rated, Oct. 7, 2021
This report does not constitute a rating action.
Primary Credit Analyst: | Roberto Amato, Frankfurt + 49 69 3399 9161; roberto.amato@spglobal.com |
Research Contributor: | Sneha Santwani, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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