Summary
- This quarter's European auto ABS index report includes interactive charts to capture data on 90+ day delinquencies, quarterly net losses for European auto ABS collateral, and the number of new car registrations for European jurisdictions. The interactive version is available at www.spratings.com (free of charge).
- Despite rising inflation and rate hikes by central banks, credit performance in Q2 2022 was stable, with delinquency buckets remaining low and unchanged.
- 30-60 days delinquencies remained constant at 0.31%.
- 60-90 days delinquencies remained stable at 0.12%.
- 90+ days delinquencies were unchanged at 0.15%.
- Net losses decreased to 0.01% from 0.02%, which was mainly due to reduced net losses in our U.K. index.
- Germany (44.8%), the U.K. (34.6%), Italy (6.1%), and Spain (5.3%) form 90.8% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, marginally increasing its share to 54.4% of the current volume of securitized assets.
- We rated three new transactions in Q2 2022: Silver Arrow S.A., Compartment 14, Dowson 2022-1 PLC, and SCF Rahoituspalvelut XI DAC.
- We upgraded 24 notes and affirmed 32. This was partly due to the publication of our revised criteria for rating global auto ABS transactions, and the subsequent removal of tranches from under criteria observation.
Table 1
| Key Performance Indicators | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Index | Q2 2022 | Q1 2022 | Q4 2021 | Q3 2021 | Q2 2021 | Q1 2021 | ||||||||
| Total delinquencies (%) | 0.58 | 0.58 | 0.59 | 0.60 | 0.66 | 0.73 | ||||||||
| 90+ day delinquencies (%) | 0.15 | 0.15 | 0.16 | 0.18 | 0.22 | 0.27 | ||||||||
| Net losses (%) | 0.01 | 0.02 | 0.01 | 0.01 | 0.01 | 0.03 | ||||||||
| Constant prepayment rate (% annualized) | 18.4 | 22.7 | 15.3 | 18.5 | 16.5 | 18.3 | ||||||||
| Effective yield (% per year) | 6.2 | 6.7 | 6.2 | 6.5 | 6.8 | 6.6 | ||||||||
| Economic data - EU-19 | ||||||||||||||
| Unemployment rate (%) | 6.6 | 6.8 | 7.0 | 7.3 | 7.9 | 8.2 | ||||||||
| Y-O-Y GDP growth (%) | N/A | 5.4 | 4.8 | 3.9 | 14.6 | (0.9) | ||||||||
| Y-O-Y--Year on year. N/A--Not available. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat. | ||||||||||||||
Table 2
| Scenarios For Auto ABS Collateral | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 2022F | 2023F | 2024F | 2025F | Baseline effect on collateral credit quality | |||||||||
| Real GDP (Y-O-Y growth; %) | ||||||||||||||
| France | 7.0 | 2.6 | 1.7 | 1.6 | 1.5 | Somewhat favorable | ||||||||
| Germany | 2.9 | 1.9 | 2.0 | 1.9 | 1.6 | Somewhat favorable | ||||||||
| Italy | 6.6 | 2.8 | 1.9 | 1.5 | 0.8 | Somewhat favorable | ||||||||
| Portugal | 5.6 | 3.9 | 4.1 | 3.6 | 2.7 | Somewhat favorable | ||||||||
| Spain | 5.1 | 4.1 | 2.7 | 2.5 | 2.2 | Somewhat favorable | ||||||||
| U.K. | 7.4 | 3.2 | 1.0 | 1.7 | 2.0 | Somewhat favorable | ||||||||
| Unemployment rate (annual average; %) | ||||||||||||||
| France | 7.9 | 7.3 | 7.5 | 7.4 | 7.4 | Somewhat favorable | ||||||||
| Germany | 3.6 | 3.0 | 3.0 | 2.9 | 3.0 | Somewhat favorable | ||||||||
| Italy | 9.5 | 8.8 | 8.7 | 8.5 | 8.3 | Somewhat unfavorable | ||||||||
| Portugal | 7.8 | 5.5 | 5.0 | 5.0 | 5.0 | Somewhat favorable | ||||||||
| Spain | 14.8 | 13.4 | 13.0 | 12.9 | 12.7 | Somewhat unfavorable | ||||||||
| U.K. | 4.5 | 4.1 | 4.4 | 4.1 | 4.0 | Somewhat favorable | ||||||||
| CPI (%) | ||||||||||||||
| France | 2.1 | 5.2 | 2.7 | 2.0 | 2.0 | Unfavorable | ||||||||
| Germany | 3.2 | 7.6 | 4.1 | 2.3 | 2.0 | Unfavorable | ||||||||
| Italy | 1.9 | 6.3 | 2.6 | 1.7 | 1.6 | Unfavorable | ||||||||
| Portugal | 0.8 | 5.8 | 3.0 | 2.3 | 2.0 | Unfavorable | ||||||||
| Spain | 3.0 | 7.9 | 3.4 | 2.7 | 2.0 | Unfavorable | ||||||||
| U.K. | 2.6 | 8.7 | 4.8 | 1.6 | 1.8 | Unfavorable | ||||||||
| Central bank policy rates (end of period; %) | ||||||||||||||
| Eurozone | 0.00 | 0.83 | 1.75 | 2.00 | 2.00 | Unfavorable | ||||||||
| U.K. | 0.17 | 1.75 | 2.00 | 2.25 | 2.25 | Unfavorable | ||||||||
| CPI--Consumer price index. F--Forecast. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings. | ||||||||||||||
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Table 3
| Summary Of Rating Actions | ||
|---|---|---|
| Rating action (tranches) | Upgrade | Downgrade |
| 2018 | 33 | - |
| 2019 | 17 | - |
| 2020 | 15 | - |
| 2021 | 29 | - |
| 2022 (until Q2) | 26 | - |
Table 4
| S&P Global Ratings-Rated Public Issuances | ||
|---|---|---|
| Year of origination | Size (bil. €) | No. of new issues |
| 2018 | 16.4 | 24 |
| 2019 | 10.1 | 15 |
| 2020 | 14.3 | 23 |
| 2021 | 13.2 | 21 |
| 2022 (until Q2) | 3.4 | 5 |
Summary Of Methodology For Our European And U.K. Auto ABS Index
What is 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 [Please hyperlink all, thanks]
- Credit Conditions Europe Q3 2022: Pain On The Horizon, June 28, 2022
- Economic Outlook Eurozone Q3 2022: Inflation Dulls The Post-COVID Bounce, June 27, 2022
- Autonoria 2019 FCT French Auto Loan Ratings Raised On Five Classes Of Notes; One Class Affirmed, June 9, 2022
- RevoCar 2019-2 Class D-Dfrd German Auto ABS Notes Rating Raised; Other Ratings Affirmed, June 8, 2022
- Red & Black Auto Germany 7 UG (haftungsbeschränkt) Class B Rating Raised; Class A, C, And D Ratings Affirmed, June 8, 2022
- Bavarian Sky UK 4 PLC U.K. Auto ABS Ratings Affirmed, June 8, 2022
- E-Carat 11 PLC U.K. Auto ABS Notes Ratings Affirmed; Class E-Dfrd, F-Dfrd, And G-Dfrd Ratings Removed From UCO, June 6, 2022
- Cronus Finance DAC Class A Greek ABS Ratings Raised Following Sovereign Upgrade, June 1, 2022
- New Issue: SCF Rahoituspalvelut XI DAC, June 1, 2022
- Thetis Finance No. 2 Portuguese ABS Auto Loans Ratings Raised On Two Classes; Four Classes Affirmed, May 31, 2022
- BBVA Consumer Auto 2020-1 Spanish ABS Auto Loans Ratings Raised On Three Classes; Two Classes Affirmed, May 31, 2022
- Motopark Finance PLC's Class B U.K. ABS Notes Rating Raised; Class A Rating Affirmed, May 20, 2022
- Motor 2016-1 PLC Class D And E U.K. Auto ABS Notes Ratings Raised, May 13, 2022
- Retail Automotive CP Germany 2021 Class A To D-Dfrd Notes Ratings Affirmed; Class E-Dfrd And Class F-Dfrd Ratings Raised, May 11, 2022
- Credit FAQ: What Are The Main Legal Challenges Facing European Leasing Securitizations?, May 5, 2022
- Asset-Backed European Securitisation Transaction Sixteen German Auto ABS Ratings Raised; Class A Rating Affirmed, April 25, 2022
- RevoCar 2020 UG German Auto ABS Notes Ratings Affirmed; Class C-Dfrd And D-Dfrd Ratings Removed From UCO, April 21, 2022
- New Issue: Silver Arrow S.A., Compartment 14, April 7, 2022
- New Issue: Dowson 2022-1 PLC, April 7, 2022
- Global Auto ABS Methodology And Assumptions, March 31, 2022
This report does not constitute a rating action.
| Primary Credit Analyst: | Sebastian Mauersberger, Frankfurt + 49 1729 913944; sebastian.mauersberger@spglobal.com |
| Secondary Contact: | 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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