articles Ratings /ratings/en/research/articles/210225-e-carat-9-plc-class-b-u-k-auto-abs-notes-rating-raised-class-a-rating-affirmed-11843263 content esgSubNav
Discover more about S&P Global’s offerings
Register Reset Password
    In This List
    NEWS

    E-CARAT 9 PLC Class B U.K. Auto ABS Notes Rating Raised; Class A Rating Affirmed
    COMMENTS

    Assessing The Evolving Third-Party Loan Origination Legal Risks For U.S. Consumer Loan ABS

    COMMENTS

    Navigating Tariffs' Credit Implications Across Asset Classes

    COMMENTS

    Global Tariff Tracker: Rating Actions As Of June 13, 2025

    COMMENTS

    Private Credit Penetrates Asia-Pacific Securitization Markets


    E-CARAT 9 PLC Class B U.K. Auto ABS Notes Rating Raised; Class A Rating Affirmed

    Overview

    • We have reviewed E-CARAT 9 PLC's performance by conducting our analysis of the transaction's underlying assets and structural features.
    • Following our review, we have raised to 'AAA (sf)' from 'AA (sf)' our rating on the class B notes, and affirmed our 'AAA (sf)' rating on the class A notes.
    • E-CARAT 9 is an ABS backed by a portfolio of U.K. auto loan receivables originated by Vauxhall Finance PLC to private retail and commercial customers to finance new and used vehicles. The finance contracts are either conditional sale agreements or personal contract purchase agreements.

    LONDON (S&P Global Ratings) Feb. 25, 2021--S&P Global Ratings today raised to 'AAA (sf)' from 'AA (sf)' its credit rating on E-CARAT 9 PLC's class B notes. At the same time, we have affirmed our 'AAA (sf)' rating on the class A notes.

    Today's rating actions follow our review of the transaction's performance and the application of our current criteria, and reflect our assessment of the payment structure according to the transaction documents (see "Related Criteria").

    The transaction has been amortizing strictly sequentially since closing in February 2018, resulting in a significant increase in enhancement for the class A and B notes (see "New Issue: E-Carat 9 PLC," published on Feb. 19, 2018). As of the January 2021 servicer report, the pool factor had declined to 18.0%, and the available credit enhancement for the class A and B notes had increased to over 100.0% and 48.7%, respectively, from 18.8% and 9.6% at closing.

    The transaction has now seasoned for approximately three years since closing. Given the current pool factor, the observed gross losses from hostile terminations (HT), currently at 0.8% of the initial pool balance, have been better than our expectations at closing. In addition, in the initial months following COVID-19, we did not observe any material change in borrower defaults. The historical percentage of customers reported as affected by COVID-19 has been moderate in our view, at 9.2% of receivables in the latest servicer report. Additionally, the outstanding principal balance of COVID-19-affected receivables is steadily declining, currently about 30% below its peak observed in June 2020. This balance also includes borrowers who resumed payments on their contracts in full but remain flagged as affected by COVID for reporting purposes. About 87.4% of all COVID-19 affected receivables are current.

    Following our review, we lowered our base-case HT assumption to 1.75% from 2.73% at closing, and increased our base-case voluntary termination assumption (VT) to 3.0% from 1.0%. Gross losses from VT are currently at 1.9% of the initial pool balance.

    Our HT and VT multiples remain unchanged, at 4.9x and 2.5x, respectively, in our 'AAA' rating scenario. We have also maintained the same recovery assumptions as at closing.

    Lastly, as the collateral backing the notes comprises U.K. personal contract purchase (PCP) agreements, representing 65.24%, of the outstanding portfolio, the transaction is exposed to residual value (RV) risk. We have maintained the same RV loss assumption as at closing. Borrowers under PCP contracts may return their vehicle in lieu of the final balloon payment. Therefore, the transaction is exposed to RV risk if the returned vehicle's sale value is lower than the RV implied by the balloon amount.

    We have performed our cash flow analysis to test the effect of the amended credit assumptions and deleveraging in the structure.

    Our cash flow analysis indicates that the available credit enhancement for the class A and B notes is sufficient to withstand the credit and cash flow stresses that we apply at the 'AAA' rating level.

    There are no rating constraints under our operational risk criteria. In addition, there are no rating constraints under our counterparty or structured finance sovereign risk criteria, and legal risks continue to be adequately mitigated, in our view.

    S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

    Given the dynamic/fluid circumstances associated with the coronavirus pandemic, we will continually evaluate and update this disclaimer as warranted.

    E-Carat 9 securitizes a portfolio of auto loan receivables, which Vauxhall Finance granted to its U.K. clients.

    Related Criteria

    Related Research

    Primary Credit Analyst:Marta O'Gorman, London + 44 20 7176 2523;
    marta.ogorman@spglobal.com
    Secondary Contact:Amit Einhorn, London;
    amit.einhorn@spglobal.com

    No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

    Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

    To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

    S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

    S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

    Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.

     

    Create a free account to unlock the article.

    Gain access to exclusive research, events and more.

    Already have an account?    Sign in