Summary
- Despite challenging macroeconomic conditions in 2023, credit performance in Q4 2023 remained mainly unchanged year-on-year. Nominal delinquencies decreased marginally and defaults remained low and within our expectations.
- Year-on-year, 30-60 days delinquencies slightly decreased to 0.30% from 0.33%, 60-90 days decreased slightly to 0.13% from 0.14%, and 90+ days increased marginally to 0.20% from 0.19%.
- Net losses decreased slightly to 0.01% from 0.02% and remained negligible.
- Germany (52.4%), the U.K. (30.3%), Italy (6.1%), and Spain (3.9%) form 92.7% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, increasing its share to 68.7% of the securitized assets' current volume.
- We rated nine new transactions in Q4 2023: Red & Black Auto Germany 10 UG (haftungsbeschraenkt), Cars Alliance Auto Leases France V 2023-1, Asset-Backed European Securitisation Transaction Twenty-Two S.r.l., VCL Multi-Compartment S.A., Compartment VCL 40, Auto ABS French Leases 2023, Finance Ireland Auto Receivables No. 1 DAC, Silver Arrow S.A., Compartment 16, Driver UK Master S.A., Compartment 6, and Driver UK Master S.A., Compartment 7.
- We upgraded 13 tranches and affirmed 20.
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.
Table 1
Key performance indicators | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index | Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | Q4 2022 | Q3 2022 | ||||||||
Total delinquencies (%) | 0.62 | 0.65 | 0.67 | 0.71 | 0.66 | 0.59 | ||||||||
90+ day delinquencies (%) | 0.20 | 0.21 | 0.21 | 0.22 | 0.19 | 0.15 | ||||||||
Net losses (%) | 0.01 | 0.02 | 0.02 | 0.02 | 0.02 | 0.01 | ||||||||
Constant prepayment rate (% annualized) | 9.8 | 16.2 | 17.2 | 20.0 | 12.7 | 17.5 | ||||||||
Effective yield (% per year) | 6.9 | 7.1 | 7.4 | 7.4 | 6.8 | 6.5 | ||||||||
Economic data - EU-19 | ||||||||||||||
Unemployment rate (%) | 6.4 | 6.5 | 6.5 | 6.6 | 6.7 | 6.7 | ||||||||
Y-O-Y GDP growth (%) | - | 0.0 | 0.6 | 1.3 | 1.8 | 2.4 | ||||||||
Y-O-Y--Year on year. Q--Quarter. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat. |
Table 2
Scenarios for auto ABS collateral | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
2024f | 2025f | 2026f | Baseline effect on collateral credit quality | |||||||
Real GDP (Y-O-Y growth; %) | ||||||||||
France | 0.9 | 1.5 | 1.3 | Neutral | ||||||
Germany | 0.5 | 1.5 | 1.4 | Somewhat unfavorable | ||||||
Italy | 0.6 | 1.2 | 1.3 | Neutral | ||||||
Portugal | 1.8 | 2.2 | 2.0 | Somewhat favorable | ||||||
Spain | 1.8 | 2.0 | 2.1 | Somewhat favorable | ||||||
U.K. | 0.4 | 1.5 | 1.6 | Somewhat unfavorable | ||||||
Switzerland | 1.0 | 1.4 | 1.4 | Neutral | ||||||
Unemployment rate (annual average; %) | ||||||||||
France | 7.5 | 7.5 | 7.3 | Neutral | ||||||
Germany | 3.1 | 3.0 | 3.0 | Neutral | ||||||
Italy | 7.8 | 7.9 | 7.8 | Neutral | ||||||
Portugal | 6.6 | 6.5 | 6.5 | Neutral | ||||||
Spain | 12.1 | 12.0 | 11.8 | Somewhat unfavorable | ||||||
U.K. | 4.6 | 4.3 | 4.2 | Neutral | ||||||
Switzerland | 4.1 | 4.0 | 3.9 | Neutral | ||||||
CPI (%) | ||||||||||
France | 2.7 | 1.9 | 1.7 | Unfavorable | ||||||
Germany | 3.0 | 2.1 | 1.6 | Unfavorable | ||||||
Italy | 2.4 | 1.8 | 1.9 | Unfavorable | ||||||
Portugal | 3.5 | 2.1 | 2.0 | Unfavorable | ||||||
Spain | 3.1 | 1.9 | 1.8 | Unfavorable | ||||||
U.K. | 3.0 | 2.2 | 2.0 | Unfavorable | ||||||
Switzerland | 1.8 | 1.4 | 1.2 | Somewhat unfavorable | ||||||
Central bank policy rates (end of period; %) | ||||||||||
Eurozone | 3.75 | 2.50 | 2.50 | Unfavorable | ||||||
U.K. | 4.50 | 2.75 | 2.50 | Unfavorable | ||||||
Switzerland | 1.25 | 1.00 | 1.00 | Somewhat 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 | 41 | - |
2023 | 57 | 1 |
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 |
2023 | 9.0 | 15 |
Summary Of Methodology For Our European And U.K. Auto ABS Index
What is included in the U.K. and European auto ABS index?
We include a transaction 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 index's denominator and may give an overly positive impression of performance.
As a comparison, our RMBS index includes transactions 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 underlying receivables' nature. 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 occurred 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?
We compile data from investor reports based on each transaction's definition of arrears and default.
Is the index loan count or "dollar" weighted?
We calculate the index as the receivables' current balance in each arrear's status (as reported in investor reports), divided by each transaction's current balance (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 Q4 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 principal prepayments' annualized ratio 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 Research
- Cardiff Auto Receivables Securitisation 2022-1 PLC Class B To E U.K. Auto ABS Ratings Raised; Class A Notes Affirmed, Dec. 20, 2023
- Citizen Irish Auto Receivables Trust 2020 Class B To D Irish Auto ABS Ratings Raised; Class A Rating Affirmed, Dec. 20, 2023
- Satus 2021-1 PLC Class B To E-Dfrd U.K. Auto ABS Ratings Raised; Class F-Dfrd Notes Affirmed, Dec. 19, 2023
- Auto ABS UK Loans PLC Auto ABS Ratings Affirmed, Nov. 29, 2023
- Credit Conditions Europe Q1 2024: Adapting to New Realities, Nov. 28, 2023
- Economic Research: Economic Outlook Eurozone Q1 2024: Headed For A Soft Landing, Nov. 27, 2023
- Driver UK Master S.A., Compartment 6 ABS Notes And Schuldschein Loans Assigned Ratings, Nov. 27, 2023
- Driver UK Master S.A., Compartment 7 S.A. Class A And B Auto ABS Notes Assigned Ratings, Nov. 27, 2023
- U.K: Economic Outlook 2024: More Stagflation Ahead, Nov. 27, 2023
- Silver Arrow S.A., Compartment 16 German Auto ABS Transaction Assigned Rating, Nov. 17, 2023
- Finance Ireland Auto Receivables No. 1 DAC Irish ABS Notes Assigned Ratings, Nov. 15, 2023
- European Auto ABS Index Report Q3 2023, Nov. 9, 2023
- VCL Multi-Compartment S.A., Compartment VCL 35 Class B German Auto ABS Rating Raised; Class A Rating Affirmed, Nov. 7, 2023
- Private Driver Espana 2020-1, Fondo De Titulizacion Spanish Auto ABS Rating Affirmed, Oct. 27, 2023
- Private Driver Italia 2020-1 S.r.l Class A Italian Auto ABS Rating Affirmed, Oct. 27, 2023
- Auto ABS French Leases 2023 French ABS Notes Assigned Ratings, Oct. 26, 2023
- VCL Multi-Compartment S.A., Compartment VCL 40 German Auto ABS Notes Assigned Ratings, Oct. 25, 2023
- Cars Alliance Auto Leases France V 2023-1 FCT FCT French ABS Transaction Assigned Ratings, Oct. 23, 2023
- Asset-Backed European Securitisation Transaction Twenty-Two Srl Italian ABS Notes Assigned Ratings, Oct. 23, 2023
- Autoflorence 2 Class B, C, And D-Dfrd Italian Auto ABS Ratings Raised; Other Ratings Affirmed, Oct. 19, 2023
- Red & Black Auto Germany 10 UG (haftungsbeschränkt) German Auto ABS Notes Assigned Ratings, Oct. 4, 2023
This report does not constitute a rating action.
Primary Credit Analyst: | Sebastian Mauersberger, Frankfurt + 49 1729 913944; sebastian.mauersberger@spglobal.com |
Secondary Contacts: | Agustina Lopreiato, Madrid +34 914 23 32 24; agustina.lopreiato@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 |
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