Summary
- The interactive version of this report is available at www.spratings.com (free of charge). This 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.
- Despite challenging macroeconomic conditions, credit performance in Q4 2022 was stable, with delinquency buckets remaining low.
- Delinquencies remained relatively unchanged quarter-on-quarter, with 30-60 days delinquencies at 0.32%, 60-90 days at 0.14%, and 90+ days at 0.17%.
- Net losses remained unchanged at 0.01%.
- Germany (47.8%), the U.K. (31.6%), Italy (6.1%), and Spain (5.0%) form 90.4% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, increasing its share to 57.6% of the current volume of securitized assets.
- We rated three new transactions in Q4 2022: Red & Black Auto Germany 9 UG; Bavarian Sky S.A., Compartment German Auto Leases 7, and VCL Multi-Compartment S.A., Compartment VCL 37.
- We upgraded four tranches and affirmed 27.
Table 1
| Key Performance Indicators | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Index | Q4 2022 | Q3 2022 | Q2 2022 | Q1 2022 | Q4 2021 | Q3 2021 | Q2 2021 | |||||||||
| Total delinquencies (%) | 0.62 | 0.59 | 0.54 | 0.55 | 0.57 | 0.58 | 0.65 | |||||||||
| 90+ day delinquencies (%) | 0.17 | 0.15 | 0.14 | 0.15 | 0.16 | 0.18 | 0.22 | |||||||||
| Net losses (%) | 0.01 | 0.01 | 0.01 | 0.02 | 0.01 | 0.01 | 0.01 | |||||||||
| Constant prepayment rate (% annualized)* | 15.5 | 17.5 | 16.7 | 22.1 | 14.7 | 17.8 | 15.8 | |||||||||
| Effective yield (% per year) | 6.4 | 6.5 | 6.5 | 6.6 | 6.2 | 6.5 | 6.8 | |||||||||
| Economic data - EU-19 | ||||||||||||||||
| Unemployment rate (%) | 6.5 | 6.6 | 6.7 | 6.8 | 7.0 | 7.3 | 7.9 | |||||||||
| Y-O-Y GDP growth (%) | #N/A | 2.3 | 4.3 | 5.5 | 4.8 | 3.9 | 14.2 | |||||||||
| *For older quarters, prepayment rate is lower due to data inaccuracy which has been now corrected. Y-O-Y--Year on year. Q--Quarter. 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 | 6.8 | 2.5 | 0.2 | 1.6 | 1.5 | Neutral | ||||||||
| Germany | 2.6 | 1.8 | (0.5) | 1.0 | 1.3 | Neutral | ||||||||
| Italy | 6.7 | 3.8 | (0.1) | 1.4 | 1.2 | Somewhat favorable | ||||||||
| Portugal | 4.9 | 4.8 | 2.2 | 3.8 | 2.7 | Somewhat favorable | ||||||||
| Spain | 5.5 | 4.6 | 0.9 | 1.9 | 2.5 | Somewhat favorable | ||||||||
| U.K. | 7.5 | 4.3 | (1.0) | 1.3 | 1.5 | Neutral | ||||||||
| Unemployment rate (annual average; %) | ||||||||||||||
| France | 7.9 | 7.4 | 7.8 | 7.8 | 7.7 | Somewhat unfavorable | ||||||||
| Germany | 3.6 | 3.0 | 3.5 | 3.5 | 3.5 | Somewhat favorable | ||||||||
| Italy | 9.5 | 8.2 | 8.5 | 8.4 | 8.4 | Somewhat unfavorable | ||||||||
| Portugal | 6.6 | 5.6 | 5.1 | 5.1 | 5.1 | Somewhat favorable | ||||||||
| Spain | 14.8 | 12.8 | 13.0 | 13.2 | 13.0 | Somewhat unfavorable | ||||||||
| U.K. | 4.5 | 3.7 | 4.6 | 4.5 | 3.9 | Somewhat favorable | ||||||||
| CPI (%) | ||||||||||||||
| France | 2.1 | 5.9 | 4.4 | 2.4 | 2.3 | Unfavorable | ||||||||
| Germany | 3.2 | 8.8 | 7.3 | 3.0 | 1.8 | Unfavorable | ||||||||
| Italy | 1.9 | 8.5 | 6.1 | 2.3 | 2.0 | Unfavorable | ||||||||
| Portugal | 0.9 | 6.8 | 4.2 | 2.3 | 2.0 | Unfavorable | ||||||||
| Spain | 3.0 | 9.0 | 5.1 | 2.3 | 1.5 | Unfavorable | ||||||||
| U.K. | 2.6 | 9.4 | 7.0 | 0.9 | 1.6 | Unfavorable | ||||||||
| Central bank policy rates (end of period; %) | ||||||||||||||
| Eurozone | 0.00 | 2.50 | 2.75 | 2.25 | 2.00 | Unfavorable | ||||||||
| U.K. | 0.17 | 2.73 | 3.17 | 2.50 | 2.50 | Unfavorable | ||||||||
| CPI--Consumer price index. f--Forecast. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings. | ||||||||||||||
Chart 1
Chart 2
Chart 3
Chart 4
Chart 5
Chart 6
Chart 7
Chart 8
Chart 9
Chart 10
Chart 11
Table 3
| Summary Of Rating Actions | ||
|---|---|---|
| Rating action (tranches) | Upgrade | Downgrade |
| 2018 | 33 | - |
| 2019 | 17 | - |
| 2020 | 15 | - |
| 2021 | 29 | - |
| 2022 | 41 | - |
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 | 6.5 | 10 |
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 2022, only collateral data until Dec. 31, 2022, 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
- European RMBS Outlook 2023, Jan. 12, 2023
- European Structured Finance Outlook 2023, Jan. 12, 2023
- Europe Bends (2022), A Tightrope Walk (2023), Dec. 14, 2022
- EMEA Structured Finance Chart Book, Dec. 8, 2022
- Credit Conditions Europe Q1 2023: Time To Face The Music, Dec. 1, 2022
- Economic Outlook U.K. Q1 2023: A Moderate Yet Painful Recession, Nov. 29, 2022
- Satus 2021-1 PLC Class B To D-Dfrd U.K. Auto ABS Notes Ratings Raised Following Review; Other Ratings Affirmed, Nov 29, 2022
- Economic Outlook Eurozone Q1 2023: Reality Check, Nov. 28, 2022
- VCL Multi-Compartment S.A. Compartment VCL 37 German Auto ABS Notes Assigned Ratings, Nov. 25, 2022
- Driver UK Master S.A., Compartment 2 Auto ABS Notes Ratings Affirmed, Nov. 25, 2022
- European Auto ABS Index Report Q3 2022, Nov. 7, 2022
- Red & Black Auto Lease Germany 3 S.A. Class B Auto ABS Notes Rating Raised; Class A Notes Affirmed, Oct. 21, 2022
- Bavarian Sky S.A., Compartment German Auto Leases 7 Class A Notes Assigned Rating, Oct. 20, 2022
- Red & Black Auto Germany 9 UG (haftungsbeschrankt) German Auto ABS Notes Assigned Ratings, Oct. 19, 2022
- Driver UK Master S.A., Compartment 3 Series 2016-1 Class A And B Auto ABS Ratings Reinstated And Affirmed, Oct. 6, 2022
- Cost Of Living Crisis: Despite Pockets Of Weakness, European Consumer ABS Shows Structural Resilience, Oct. 6, 2022
This report does not constitute a rating action.
| Primary Credit Analyst: | Agustina Lopreiato, Madrid + 39 02 72 111 281; agustina.lopreiato@spglobal.com |
| Secondary Contacts: | Sebastian Mauersberger, Frankfurt + 49 1729 913944; sebastian.mauersberger@spglobal.com |
| Doug Paterson, London + 44 20 7176 5521; doug.paterson@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 acknowledgement 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 nonpublic 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.spglobal.com/ratings (free of charge), and www.ratingsdirect.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.spglobal.com/usratingsfees.