Summary
- Credit performance in Q3 2024 has marginally deteriorated year-on-year. Delinquencies and defaults remained low and within our expectations.
- Year-on-year, 30-60 days delinquencies remained unchanged at 0.31%, 60-90 days increased slightly to 0.15% from 0.14%, and 90+ days increased to 0.27% from 0.22%.
- Net losses increased to 0.05% from 0.02% and remained negligible.
- Germany (52.2%), the U.K. (26.4%), Italy (9.6%), and France (4.2%) account for 92.4% of our index. Among the originators' group distribution by volume, Volkswagen Group remained the largest, with 69.7% of the securitized assets' current volume.
- We rated three new transactions, including Koromo UK 1 PLC, a transaction where more than 75% of the collateral pool consisted of hybrid car loan receivables at closing. Additionally, we rated the issuance of new notes for two existing master programs. We upgraded 17 tranches and affirmed 47.
Table 1
Key performance indicators | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index | Q3 2024 | Q2 2024 | Q1 2024 | Q4 2023 | Q3 2023 | Q2 2023 | ||||||||
Total delinquencies (%) | 0.74 | 0.70 | 0.69 | 0.64 | 0.67 | 0.69 | ||||||||
90+ day delinquencies (%) | 0.27 | 0.26 | 0.23 | 0.21 | 0.22 | 0.22 | ||||||||
Net losses (%) | 0.05 | 0.03 | 0.03 | 0.01 | 0.02 | 0.03 | ||||||||
Constant prepayment rate (% annualized) | 11.4 | 11.7 | 14.0 | 12.2 | 15.5 | 16.7 | ||||||||
Effective yield (% per year) | 7.3 | 7.5 | 7.2 | 7.5 | 7.1 | 7.4 | ||||||||
Economic data - EU-19 | ||||||||||||||
Unemployment rate (%) | 6.3 | 6.3 | 6.4 | 6.4 | 6.5 | 6.4 | ||||||||
Y-O-Y GDP growth (%) | N/A | 0.6 | 0.5 | 0.1 | 0.0 | 0.5 | ||||||||
Y-O-Y--Year-on-year. Q--Quarter. N/A--Not applicable. Sources: European Automobile Manufacturers' Association, Eurostat, S&P Global Ratings. |
Table 2
Scenarios for auto ABS collateral | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
2024f | 2025f | 2026f | 2027f | |||||||||
Real GDP (Y-O-Y growth; %) | ||||||||||||
France | 1.1 | 1.2 | 1.4 | 1.3 | ||||||||
Germany | 0.2 | 1.1 | 1.3 | 1.1 | ||||||||
Italy | 0.9 | 1.1 | 1.1 | 1.0 | ||||||||
Portugal | 1.4 | 1.8 | 1.8 | 1.8 | ||||||||
Spain | 2.7 | 2.1 | 2.0 | 2.0 | ||||||||
U.K. | 1.0 | 1.3 | 1.6 | 1.7 | ||||||||
Switzerland | 1.3 | 1.5 | 1.4 | 1.5 | ||||||||
Unemployment rate (annual average; %) | ||||||||||||
France | 7.5 | 7.6 | 7.5 | 7.4 | ||||||||
Germany | 3.4 | 3.3 | 3.1 | 3.1 | ||||||||
Italy | 7.0 | 7.4 | 7.3 | 7.3 | ||||||||
Portugal | 6.7 | 6.5 | 6.5 | 6.5 | ||||||||
Spain | 11.6 | 11.4 | 11.3 | 11.2 | ||||||||
U.K. | 4.3 | 4.4 | 4.4 | 4.4 | ||||||||
Switzerland | 4.2 | 4.3 | 4.1 | 4.0 | ||||||||
CPI (%) | ||||||||||||
France | 2.5 | 1.9 | 1.8 | 1.7 | ||||||||
Germany | 2.7 | 2.2 | 1.9 | 1.9 | ||||||||
Italy | 1.4 | 1.9 | 1.7 | 1.7 | ||||||||
Portugal | 3.5 | 2.1 | 2.0 | 2.0 | ||||||||
Spain | 3.0 | 2.1 | 2.0 | 1.8 | ||||||||
U.K. | 2.6 | 2.3 | 2.0 | 2.0 | ||||||||
Switzerland | 1.3 | 1.1 | 1.1 | 1.0 | ||||||||
Central bank policy rates (end of period; %) | ||||||||||||
Eurozone | 3.25 | 2.50 | 2.50 | 2.50 | ||||||||
U.K. | 4.71 | 3.33 | 3.00 | 3.00 | ||||||||
Switzerland | 0.75 | 0.75 | 0.75 | 0.75 | ||||||||
Y-O-Y--Year-on-year. 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 | ||||
Q3 2024 | 17 | - | ||||
H1--First-half. Q--Quarter. |
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 | ||||
Q3 2024 | 4.0 | 5 | ||||
H1--First-half. Q--Quarter. |
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
- New Issue: Koromo UK 1 PLC, Sept. 26, 2024
- Driver UK Master S.A., Compartment 7 Series 2024-1 Class A And B Auto ABS Notes Assigned Ratings; Other Ratings Affirmed, Sept. 25, 2024
- Driver UK Master S.A., Compartment 7 Series 2024-1 Class A And B Auto ABS Notes Assigned Ratings; Other Ratings Affirmed, Sept. 25, 2024
- VCL Master S.A., Compartment 1 Class A And B German Auto ABS Ratings Affirmed, Sept. 25, 2024
- VCL Master Residual Value S.A., Compartment 2 Class A Auto ABS Notes Assigned Ratings; Class B Notes Upgraded, Sept. 25, 2024
- VCL Master Residual Value S.A., Compartment 2 Class A Auto ABS Notes Assigned Ratings; Class B Notes Upgraded, Sept. 25, 2024
- SCF Rahoituspalvelut XI DAC Class B And C-Dfrd Finnish Auto ABS Ratings Raised; Class A Rating Affirmed,. Sept. 6, 2024
- Satus 2021-1 PLC Class C To E-Dfrd U.K. Auto ABS Ratings Raised; Class F-Dfrd Notes Affirmed, Aug. 30, 2024
- New Issue: Cardiff Auto Receivables Securitisation 2024-1 PLC, Aug. 15, 2024
- Red & Black Auto Germany 8 UG (haftungsbeschränkt) Class C Rating Raised; Class A, B, And D Notes Affirmed, Aug. 14, 2024
- Globaldrive Auto Receivables 2023-A B.V. Class A German Auto ABS Rating Raised, July 29, 2024
- RevoCar 2019-2 UG Class B-Dfrd To D-Dfrd German Auto ABS Ratings Raised; Class A Notes Affirmed, July 26, 2024
- Red & Black Auto Germany 7 UG (haftungsbeschränkt) Class C And D Ratings Raised; Class A And B Notes Affirmed, July 22, 2024
- New Issue: Globaldrive Auto Receivables 2024-A B.V., July 22, 2024
This report does not constitute a rating action.
Primary Credit Analyst: | Sebastian Mauersberger, Frankfurt + 49 1729 913944; sebastian.mauersberger@spglobal.com |
Secondary Contacts: | Doug Paterson, London + 44 20 7176 5521; doug.paterson@spglobal.com |
Agustina Lopreiato, Madrid +34 914 23 32 24; agustina.lopreiato@spglobal.com | |
Research Contributor: | Rohit Nair, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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