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European Auto ABS Index Report Q1 2024

Take Notes - The Rise Of U.S. CLO ETFs

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2025 U.S. Residential Mortgage And Housing Outlook

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Weekly European CLO Update


European Auto ABS Index Report Q1 2024

Table 1

Key performance indicators
Index Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Q4 2022
Total delinquencies (%) 0.68 0.66 0.68 0.71 0.74 0.68
90+ day delinquencies (%) 0.25 0.22 0.23 0.24 0.24 0.20
Net losses (%) 0.03 0.01 0.02 0.02 0.02 0.02
Constant prepayment rate (% annualized) 11.8 11.8 14.8 16.1 18.8 12.4
Effective yield (% per year) 7.0 7.4 7.0 7.3 7.4 6.8
Economic data - EU-19
Unemployment rate (%) 6.7 6.7 6.7 6.5 6.5 6.6
Y-O-Y GDP growth (%) N/A 0.1 0.1 0.6 1.3 1.9
Y-O-Y--Year on year. Q--Quarter. N/A -- Non applicable. 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 0.8 1.4 1.4 Somewhat favorable
Germany 0.3 1.2 1.2 Somewhat favorable
Italy 0.6 1.1 1.1 Somewhat favorable
Portugal 1.4 1.8 1.8 Somewhat favorable
Spain 1.8 1.9 2.0 Neutral
U.K. 0.3 1.4 1.7 Somewhat favorable
Switzerland 1.0 1.4 1.4 Somewhat favorable
Unemployment rate (annual average; %)
France 7.7 7.6 7.5 Neutral
Germany 3.3 3.2 3.0 Neutral
Italy 7.5 7.5 7.5 Neutral
Portugal 6.7 6.5 6.5 Neutral
Spain 11.5 11.4 11.3 Neutral
U.K. 4.3 4.3 4.2 Neutral
Switzerland 4.4 4.3 4.1 Neutral
CPI (%)
France 2.7 1.9 1.9 Somewhat favorable
Germany 2.7 2.2 1.9 Neutral
Italy 1.9 1.9 1.9 Neutral
Portugal 3.5 2.1 2.0 Somewhat favorable
Spain 3.0 2.0 2.0 Somewhat favorable
U.K. 3.0 2.3 2.1 Somewhat favorable
Switzerland 1.5 1.4 1.2 Neutral
Central bank policy rates (end of period; %)
Eurozone 3.40 2.65 2.65 Somewhat favorable
U.K. 4.50 3.00 2.75 Somewhat favorable
Switzerland 1.00 1.00 1.00 Neutral
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 indexes?

We include a transaction three months after its closing date because we do not 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 performance impression.

For 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 including transactions in the calculations for receivables with a long-term nature too early may give an overly positive impression as performance developments have not occurred yet. However, performance developments appear in the early stages for short-term receivables, which lowers the risk of an overly positive impression.

What is the data source?

We compile data from investor reports based on each transaction's definition of arrears and defaults.

Is the index loan count or "dollar" weighted?

We calculate the index as the receivables' current balance in each arrear's status divided by each transaction's current balance. Non-euro-denominated transactions are converted to euro-denominated.

When a transaction redeems, how does it affect the index? Does it affect the previous quarter(s)?

When a transaction redeems, it does not contribute to the index beyond that point and does not affect reported values for the previous quarter(s).

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 2023, only collateral data until Dec. 31, 2023, 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

This report does not constitute a rating action.

Primary Credit Analyst:Agustina Lopreiato, Madrid +34 914 23 32 24;
agustina.lopreiato@spglobal.com
Secondary Contacts:Doug Paterson, London + 44 20 7176 5521;
doug.paterson@spglobal.com
Sebastian Mauersberger, Frankfurt + 49 1729 913944;
sebastian.mauersberger@spglobal.com
Research Contributor:Rohit Nair, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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