Summary
- Despite ongoing challenging macroeconomic conditions, credit performance in Q2 2024 remained mainly unchanged year-on-year. Delinquencies and defaults remained low and within our expectations.
- Year-on-year, 30-60 days delinquencies slightly decreased to 0.30% from 0.31%, 60-90 days increased slightly to 0.15% from 0.14%, and 90+ days increased marginally to 0.26% from 0.23%.
- Net losses increased slightly to 0.04% from 0.02% and remained negligible.
- Germany (52.6%), the U.K. (28.2%), Italy (7.2%), and Spain (3.1%) account for 91% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, increasing its share to 67.1% of the securitized assets' current volume.
- We rated nine new transactions. We also upgraded one tranche and affirmed 30.
Table 1
Key performance indicators | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index | Q2 2024 | Q1 2024 | Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | ||||||||
Total delinquencies (%) | 0.71 | 0.69 | 0.64 | 0.67 | 0.69 | 0.72 | ||||||||
90+ day delinquencies (%) | 0.26 | 0.23 | 0.21 | 0.22 | 0.22 | 0.22 | ||||||||
Net losses (%) | 0.04 | 0.02 | 0.01 | 0.02 | 0.02 | 0.02 | ||||||||
Constant prepayment rate (% annualized) | 11.7 | 14.0 | 12.2 | 15.5 | 16.7 | 19.4 | ||||||||
Effective yield (% per year) | 7.2 | 7.2 | 7.5 | 7.1 | 7.4 | 7.4 | ||||||||
Economic data - EU-19 | ||||||||||||||
Unemployment rate (%) | 6.4 | 6.5 | 6.5 | 6.5 | 6.4 | 6.6 | ||||||||
Y-O-Y GDP growth (%) | N/A | 0.4 | 0.2 | 0.1 | 0.5 | 1.3 | ||||||||
Y-O-Y--Year on year. Q--Quarter. N/A--Not 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 | 0.9 | 1.4 | 1.4 | Somewhat favorable | ||||||
Germany | 0.3 | 1.2 | 1.2 | Somewhat favorable | ||||||
Italy | 0.9 | 1.2 | 1.1 | Somewhat favorable | ||||||
Portugal | 1.4 | 1.8 | 1.8 | Somewhat favorable | ||||||
Spain | 2.2 | 1.9 | 2.0 | Neutral | ||||||
U.K. | 0.6 | 1.2 | 1.7 | Somewhat favorable | ||||||
Switzerland | 1.2 | 1.5 | 1.4 | Somewhat favorable | ||||||
Unemployment rate (annual average; %) | ||||||||||
France | 7.6 | 7.7 | 7.5 | Neutral | ||||||
Germany | 3.3 | 3.2 | 3.1 | Neutral | ||||||
Italy | 7.3 | 7.4 | 7.4 | Neutral | ||||||
Portugal | 6.7 | 6.5 | 6.5 | Neutral | ||||||
Spain | 11.6 | 11.4 | 11.3 | Neutral | ||||||
U.K. | 4.4 | 4.6 | 4.4 | Neutral | ||||||
Switzerland | 4.2 | 4.3 | 4.1 | Neutral | ||||||
CPI (%) | ||||||||||
France | 2.6 | 2.0 | 1.8 | Somewhat favorable | ||||||
Germany | 2.7 | 2.3 | 1.9 | Neutral | ||||||
Italy | 1.4 | 1.9 | 1.7 | Somewhat favorable | ||||||
Portugal | 3.5 | 2.1 | 2.0 | Somewhat favorable | ||||||
Spain | 3.0 | 2.0 | 2.0 | Somewhat favorable | ||||||
U.K. | 2.8 | 2.4 | 2.1 | Somewhat favorable | ||||||
Switzerland | 1.4 | 1.3 | 1.1 | Somewhat favorable | ||||||
Central bank policy rates (end of period; %) | ||||||||||
Eurozone | 3.25 | 2.50 | 2.50 | Somewhat favorable | ||||||
U.K. | 4.71 | 3.33 | 3.00 | 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 | ||||
H1 2024 | 6 | 8 | ||||
H1--First-half. |
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 | ||||
H1 2024 | 8.1 | 10 | ||||
H1--First-half. |
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
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- BBVA Consumer Auto 2020-1 Spanish ABS Auto Loans Rating Raised On Class E-Dfrd Notes; Four Classes Affirmed, June 4, 2024
- New Issue: SCF Rahoituspalvelut XIII DAC, May 31, 2024
- Driver UK Master S.A., Compartment 6 ABS Notes And Schuldschein Loans Assigned Ratings, May 28, 2024
- VCL Master S.A., Compartment 1 Series A 2024-1 Auto ABS Notes Assigned Ratings; Other Ratings Affirmed, May 28, 2024
- New Issue: Driver UK Master S.A., Compartment 6, May 28, 2024
- RevoCar 2020 UG German Auto ABS Notes Ratings Affirmed, May 21, 2024
- New Issue: Satus 2024-1 PLC, April 30, 2024
- New Issue: TitriSocram 2024, April 26, 2024
- New Issue: Silver Arrow S.A., Compartment 17, April 19, 2024
- New Issue: RevoCar 2024-1 UG (haftungsbeschränkt), April 17, 2024
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: | Shweta Sawant, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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