- On April 23, 2021, we raised our long-term sovereign credit rating on Greece to 'BB' from 'BB-' on improved governance effectiveness.
- Our ratings on AutoWheel's class A notes are constrained by our sovereign rating criteria at five notches above our rating on Greece.
- Following our upgrade of Greece, we have raised our ratings on the class A notes to 'A- (sf)' from 'BBB+ (sf)'.
- AutoWheel is a Greek ABS backed by a portfolio of Greek auto leases granted to individual and commercial borrowers, which Autohellas originated.
MILAN (S&P Global Ratings) May 13, 2021--S&P Global Ratings today raised to 'A- (sf)' from 'BBB+ (sf)' its credit ratings on AutoWheel Securitisation DAC's class A1, A2, and A3 notes.
Today's rating actions follow our April 23, 2021 raising to 'BB' from 'BB-' of our long-term sovereign rating on Greece and the application of our structured finance ratings above the sovereign criteria (see "Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions," published on Jan. 30, 2019). They also follow our review of the transaction's performance based on the investor report received for the April 2021 interest payment date.
We last performed a full credit and cash flow analysis of the transaction in November 2020. Given the transaction's sequential payment structure and the excess spread used to accelerate repayment under the notes, the available credit enhancement for the class A notes has increased significantly, to 64.4% from 46.2% at our previous review. The transaction features an amortizing liquidity reserve that covers interest payments due over the succeeding two payment dates. The liquidity reserve is at its target level. The transaction also features a setoff reserve and a maintenance reserve, and both are at their target level.
The total arrears have improved to 5.85% from 6.52% at our previous review. Most of the delinquent loans (5.2% of the pool) are less than 60 days in arrears. Loans in arrears for more than 90 days are considered defaulted loans under the transaction documents. Cumulative defaults since closing have increased only marginally to 4.35% from 4.00% at the October payment date. Based on the performance over the past six months, we believe that the credit assumptions we applied in our previous full review remain appropriate.
Our cash flow analysis at our previous review indicated that the class A notes could attain higher ratings than those assigned. However, the application of our structured finance sovereign risk criteria constrained our ratings in this transaction at 'BBB+', being five notches above the then 'BB-' long-term sovereign rating on Greece. Following our upgrade of Greece to 'BB', the maximum achievable rating for the class A notes is now 'A-'. Considering the large increase in credit enhancement and the stable performance, we have therefore raised to 'A- (sf)' from 'BBB+ (sf)' our ratings on the class A notes.
Our operational, counterparty, and legal risk analysis is unchanged since closing.
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.
AutoWheel is a Greek ABS backed by a portfolio of Greek leases granted to individual and commercial borrowers, which Autohellas originated. This is its first public securitization and the first public lease transaction originated by a nonfinancial company in Greece.
Environmental, social, and governance (ESG) credit factors for this credit rating change:
- Governance factors.
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | ABS: Global Equipment ABS Methodology And Assumptions, May 31, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
- Greece Upgraded To 'BB' On Improved Governance Effectiveness; Outlook Positive, April 23, 2021
- European ABS: Initial Liquidity Risk Evolves To Medium-Term Credit Risk In The Wake Of COVID-19, Dec. 8, 2020
- AutoWheel Securitisation Class A Notes Ratings Raised, Nov. 24, 2020
- New Issue: AutoWheel Securitisation DAC, July 26, 2018
- 2017 EMEA ABS Scenario And Sensitivity Analysis, July 6, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
|Primary Credit Analyst:||Giuseppina Martelli, Milan + 390272111274;|
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: firstname.lastname@example.org.