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European And U.K. Credit Card ABS Index Report Q3 2024

The interactive version of this report is available at www.spratings.com (free of charge). This includes interactive charts to capture data on total delinquencies, payment rates, and charge-off rates for U.K. and European credit cards collateral.

Table 1

Key performance indicators: U.K.
Index (%) Q3 2024 Q2 2024 Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022 Q2 2022
Total delinquency rate* 1.3 1.4 1.5 1.4 1.3 1.4 1.4 1.4 1.4 1.5
Charge-off rate* 2.7 3.0 2.9 2.7 3.2 2.9 2.9 3.0 2.9 3.1
Payment rate* 35.1 34.6 32.8 32.6 33.2 33.1 32.9 32.6 33.1 32.3
Yield rate* 16.4 16.2 15.7 15.7 15.6 15.0 15.6 15.7 15.1 14.5
Net spread* 13.7 13.2 12.7 13.0 12.4 12.2 12.7 12.7 12.3 11.4
Economic data
Unemployment rate (%)§ 4.1 4.4 4.3 4.2 4.2 4.3 3.8 3.6 3.7 3.8
Y-O-Y GDP growth§ N.A N.A 0.3 -0.2 0.2 0.6 0.5 0.7 2.1 3.9
*The quarterly performance data reflect the three-month average performance during the quarter, rather than the value as of quarter-end. For example, the data for first quarter reflects the average performance for January, February, and March, rather than the value for March alone. §Office for National Statistics, England, and Wales, not seasonally adjusted. Y-O-Y--Year-on-year. N.A.--Not available. Source: S&P Global Ratings.

Table 2

Key performance indicators: Continental Europe
Index (%) Q3 2024 Q2 2024 Q1 2024 Q4 2023 Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022
Total delinquency rate* 1.9 1.9 1.8 1.8 1.8 1.9 1.8 1.8 1.7
Charge-off rate* 3.0 3.3 3.7 3.1 3.2 1.5 1.6 2.1 1.4
Payment rate* 28.2 25.9 27.3 26.7 26.7 29.0 26.6 25.2 25.4
Yield rate* 20.0 18.4 18.5 18.5 17.7 17.6 17.1 16.5 16.8
Net spread* 17.0 15.1 14.8 15.3 14.5 16.1 15.4 14.4 15.5
Economic data - EU-19
Unemployment rate (%)§ 6.3 6.5 6.7 6.7 6.7 6.5 6.5 6.7 6.7
Y-O-Y GDP growth (%)§ N.A 0.7 0.6 0.40 0.1 0.6 1.3 1.9 2.4
*The quarterly performance data reflect the three-month average performance during the quarter, rather than the value as of quarter-end. For example, the data for first quarter reflect the average performance for January, February, and March, rather than the value for March alone. Y-O-Y--Year-on-year. Sources: §ECB/Eurostat, S&P Global Ratings.

Table 3

Scenarios for U.K. and European credit card ABS collateral
2024f 2025f 2026f
Real GDP (%) change
U.K. 1.0 1.3 1.6
France 1.1 1.2 1.4
Spain 2.7 2.1 2.0
Switzerland 1.3 1.5 1.4
Unemployment rate (%)
U.K. 4.4 4.6 4.4
France 7.5 7.6 7.5
Spain 11.6 11.4 11.3
Switzerland 4.2 4.3 4.1
CPI (%)
U.K. 2.6 2.3 2.0
France 2.5 1.9 1.8
Spain 3.0 2.1 2.0
Switzerland 1.3 1.1 1.1
Bank of England policy rate Q4 average (%) 4.71 3.33 3.00
ECB policy rate Q4 average (%) 3.25 2.50 2.50
Swiss National Bank policy rate Q4 average (%) 0.75 0.75 0.75
CPI--Consumer price index. f--Forecast. Sources: Oxford Economics, S&P Global Ratings.

U.K. ABS Credit Card Focus

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Table 4

Issuers versus the index - September 2024
Outstanding amounts (mil. £) Trust as percentage of U.K. index (%) Yield rate (%) Payment rate (%) Charge-off rate (%) Total delinquency rate (%)
UK Index 22,924 17.6 34.4 2.7 1.3
Delamare 3,523 15.4 12.2 44.0 1.4 2.2
Gracechurch 10,901 47.6 15.1 30.0 2.6 0.7
Penarth 7,680 33.5 21.7 35.1 2.3 1.3
Oban Cards 500 2.2 38.5 15.8 15.7 5.0
London Cards No.2 321 1.4 33.0 88.1 10.0 1.7

Table 5

Performance against base-case assumptions
Charge-off rate (%) Yield rate (%) Payment rate (%)
Trust 12-month average Three-month average Base case* 12-month average Three-month average Base case* 12-month average Three-month average Base case*
Delamare 1.73 1.41 6.00 11.93 12.26 8.00 46.46 47.15 30.00
Gracechurch 2.84 2.73 7.50 15.54 15.39 13.50 29.89 30.38 15.00
Oban Cards 16.20 15.91 20.00 35.61 38.12 32.00 15.55 16.14 12.00
Penarth 2.47 2.35 6.50 16.71 17.66 13.50 33.78 35.14 17.00
London Cards No.2 0.00 5.75 17.00 26.80 36.21 24.00 5.50 85.73 25.00
*In our analysis, we subject base-case rates to stresses, haircuts, and lagging. For the yield rate, these values cannot be directly compared with our base-case assumptions because they include interchange, which we do not give credit for in our analysis.

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Continental Europe ABS Credit Card Focus

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Table 6

Issuers versus the index - September 2024
Trust Outstanding amount (mil. €) Trust as percentage of index (%) Yield rate (%) Payment rate (%) Charge-off rate (%) Total delinquency rate (%)
EMEA Index 2,669 19.96 28.23 2.96 1.91
Gingko 738 27.63 9.90 3.84 6.35 2.97
MCCP 459 17.20 17.21 5.21 1.05 0.22
Columbus 644 24.12 20.84 6.43 4.11 2.78
Swiss Cards 829 31.05 29.76 79.61 0.12 1.22

Table 7

Performance against base-case assumptions
Charge-off rate (%) Yield rate (%) Payment rate (%)
Trust 12-month average Three-month average Base case* 12-month average Three-month average Base case* 12-month average Three-month average Base case*
Columbus 6.4 5.7 9.0 19.6 20.1 18.0 6.5 6.4 3.4
Gingko 5.9 6.8 7.8 9.5 9.9 7.8 4.5 4.1 2.0
MCCP 1.1 1.0 7.5 18.6 25.3 13.5 5.8 5.9 2.0
Swiss Cards 0.1 0.1 3.4 28.4 29.3 10.0 81.6 84.5 35.0
*In our analysis, we subject base-case rates to stresses, haircuts, and lagging.

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Summary Of Methodology For Our European And U.K. Credit Card ABS Index

What is included in the U.K. and European ABS credit card index?

A transaction is included as of its closing date as we do not expect its performance to change materially due to the receivables' short-term nature. The transactions do not change as of the closing date because the index is current balance-weighted, and the transactions are revolving master trusts. We have differentiated between the European and U.K. transactions, given their different regulatory regimes, currency denominations, and other characteristics.

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 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 2021, we include collateral data only until Dec. 31, 2021.

Why do previous quarter's numbers sometimes change?

There are two main reasons:

  • The servicer/party providing the investor report can amend data.
  • Newer data for the most recent quarter is available.

Glossary

Delinquency rate

Delinquency data are a leading indicator for the underlying proportion of accounts that roll through the delinquency categories before the debt is charged off. A high proportion of 90+ day delinquencies will typically roll through to charge-offs within three months. Therefore, delinquencies--especially 90+ days--are a good indicator of how the charge-off index might perform.

Charge-off rate

Charge-offs are losses on principal receivables divided by the pool balance at the beginning of the month, which is annualized and expressed as a percentage. They are effectively gross losses.

Payment rate

The payment rate is the total collections received in a particular month divided by the pool balance at the beginning of the month, expressed as a percentage. In our view, a high payment rate benefits a transaction, as during the amortization period the note principal is paid down faster, meaning noteholders are exposed to losses for a shorter period.

Yield rate

Yield is the finance charge and fee income in a particular month divided by the pool balance at the beginning of the month, annualized and expressed as a percentage. We believe high yield benefits the transaction, as it means a higher income to offset any losses and pay interest on the notes.

Net spread

Net spread is the three-month average yield rate minus the three-month average charge-off rate.

Related Criteria And Research

This report does not constitute a rating action.

Primary Credit Analyst: Philip Bane, Dublin + 353 1 568 0623;
philip.bane@spglobal.com
Secondary Contact: Doug Paterson, London + 44 20 7176 5521;
doug.paterson@spglobal.com

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