|Key Performance Indicators|
|Index||Q2 2021||Q1 2021||Q4 2020||Q3 2020||Q2 2020||Q1 2020|
|Total delinquencies (%)||0.65||0.73||0.84||0.85||1.09||0.70|
|90+ day delinquencies (%)||0.22||0.27||0.33||0.34||0.28||0.15|
|Net losses (%)||0.02||0.06||0.03||0.05||0.03||0.04|
|Constant prepayment rate (% annualized)||16.7||18.4||12.6||18.1||13.2||16.9|
|Effective yield (% per year)||6.8||6.6||6.2||6.3||5.9||6.2|
|Economic data - EU-19|
|Unemployment rate (%)||7.7||8.1||8.1||8.5||8.0||7.1|
|Y-O-Y GDP growth (%)||13.6||(1.3)||(4.6)||(4.0)||(14.4)||(3.2)|
|N/A--Not applicable. Y-O-Y--Year on year. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat.|
|Scenarios For Auto ABS Collateral|
|2020||2021F||2022F||2023F||2024F||Baseline effect on collateral credit quality|
|Real GDP (Y-O-Y growth; %)|
|Unemployment rate (annual average; %)|
|Central bank policy rates (end of period; %)|
|Y-O-Y--Year on year. CPI--Consumer price index. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings.|
- During the second quarter of 2021, the gradual loosening of the COVID-19 related measures has been the common element across most European countries. In our view, the overall slowdown in delinquencies and losses can be explained by the improved macroeconomic conditions and the lifting of lockdown measures.
- 30-60 days delinquencies have further decreased to 0.30%, from 0.34% in fourth-quarter 2020 and 0.31% in first-quarter 2021. 60-90 days delinquencies also decreased by two basis points (bps) to 0.13% from 0.15% in first-quarter 2021.
- 90+ days delinquencies during this quarter have again displayed the most pronounced reduction, with a 5 bps decrease to 0.22% from 0.27% quarter-on-quarter, led by the U.K. However, we also observe a pronounced reduction in late delinquencies in Italy, Spain, and Germany.
- Net losses have decreased by 4 bps to 0.02% from 0.06% in first-quarter 2021. While Germany, France, and Italy confirm their low level of losses already seen in the previous quarter, the decrease is driven again by the improved conditions in the U.K.
- Germany (48.7%), the U.K. (31.3%), and Spain (6.6%) comprise 86.6% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, representing 57.0% of the current volume of securitized assets.
- During the second quarter of 2021, we rated six new auto ABS transactions: Driver UK Master S.A., Compartment 2; Swiss Car ABS 2021-1 AG; LT Autorahoitus DAC; Dowson 2021-1 PLC; Silver Arrow S.A., Compartment 13; and Auto ABS French Leases 2021. Additionally, we have raised our ratings on 17 tranches in seven different transactions, and affirmed our ratings on 10 classes of notes in seven transactions.
|Summary Of Rating Actions|
|Rating action (tranches)||Upgrade||Downgrade|
|S&P Global Ratings-Rated Public Issuances|
|Quarter of origination||Size (bil. €)||No. of new issues|
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.
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 annualized ratio of principal prepayments during the collection period over the total outstanding collateral balance.
We calculate the yield rate as the annualized ratio of revenue (interest) generated during the collection period over the total outstanding collateral balance.
Related Criteria And Research
- Economic Snapshots Indicate Europe Responding Quickly To The Grand Reopening, July 9, 2021
- New Issue: Auto ABS French Leases 2021, June 28, 2021
- Silver Arrow S.A., Compartment 10 Class B-Dfrd And C-Dfrd Notes Upgraded; Other Classes Affirmed, June 22, 2021
- Citizen Irish Auto 2018 Class B To D Irish ABS Notes Ratings Raised Following Review; Class A Rating Affirmed, June 10, 2021
- Motopark Finance PLC's Class A And B U.K. ABS Notes Upgraded, May 27, 2021
- Driver UK Master, Compartment 2 Series 2020-3’s Class A And Series 2020-1’s Class B Auto ABS Notes Ratings Assigned, May 25, 2021
- Azure Finance No. 1 PLC U.K. Auto ABS Ratings Raised, May 24, 2021
- Motor 2016-1 PLC Class C And D U.K. Auto ABS Notes Ratings Raised; Other Ratings Affirmed, May 7, 2021
- New Issue: Silver Arrow S.A., Compartment 13, Apr 29, 2021
- Asset-Backed European Securitisation Transaction Sixteen German Auto ABS Notes Ratings Raised; One Affirmed, Apr 26, 2021
- New Issue: LT Autorahoitus DAC, April 26, 2021
- New Issue: Dowson 2021-1 PLC, April 22, 2021
- New Issue: Swiss Car ABS 2021-1 AG, April 19, 2021
- Turbo Finance 8 Class C U.K. ABS Notes Raised; Other Ratings Affirmed, April 15, 2021
This report does not constitute a rating action.
|Primary Credit Analyst:||Roberto Amato, Frankfurt + 49 69 3399 9161;|
|Research Contributor:||Shweta Sawant, CRISIL Global Analytical Center, an S&P affiliate, Mumbai|
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.