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AutoWheel Securitisation Class A Notes Ratings Raised


  • 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: 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.

Related Criteria

Related Research

Primary Credit Analyst:Giuseppina Martelli, Milan + 390272111274;

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