Table 1
Key Performance Indicators | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index | Q3 2021 | Q2 2021 | Q1 2021 | Q4 2020 | Q3 2020 | Q2 2020 | ||||||||
Total delinquencies (%) | 0.61 | 0.65 | 0.73 | 0.84 | 0.85 | 1.09 | ||||||||
90+ day delinquencies (%) | 0.18 | 0.22 | 0.27 | 0.34 | 0.34 | 0.28 | ||||||||
Net losses (%) | 0.01 | 0.01 | 0.03 | 0.02 | 0.04 | 0.03 | ||||||||
Constant prepayment rate (% annualized) | 18.1 | 16.7 | 18.4 | 12.6 | 18.1 | 13.2 | ||||||||
Effective yield (% per year) | 6.5 | 6.6 | 6.6 | 6.2 | 6.3 | 5.9 | ||||||||
Economic data - EU-19 | ||||||||||||||
Unemployment rate (%) | 7.4 | 7.8 | 8.1 | 8.1 | 8.6 | 8.0 | ||||||||
Y-O-Y GDP growth (%) | 3.7 | 14.2 | (1.2) | (4.4) | (4.0) | (14.5) | ||||||||
Y-O-Y--Year on year. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat. |
Table 2
Scenarios For Auto ABS Collateral | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2020 | 2021F | 2022F | 2023F | 2024F | Baseline effect on collateral credit quality | |||||||||
Real GDP (Y-O-Y growth; %) | ||||||||||||||
France | (8) | 6.2 | 3.6 | 2.3 | 1.9 | Favorable | ||||||||
Germany | (4.9) | 3.1 | 5.0 | 2.1 | 1.7 | Favorable | ||||||||
Italy | (8.9) | 6.0 | 4.4 | 1.8 | 0.9 | Favorable | ||||||||
Spain | (10.8) | 6.3 | 6.4 | 3.2 | 2.3 | Favorable | ||||||||
U.K. | (9.8) | 6.9 | 5.2 | 1.8 | 1.6 | Favorable | ||||||||
Unemployment rate (annual average; %) | ||||||||||||||
France | 8.0 | 8.1 | 8.3 | 8.2 | 7.9 | Neutral | ||||||||
Germany | 3.9 | 3.7 | 3.5 | 3.4 | 3.3 | Neutral | ||||||||
Italy | 9.3 | 10.0 | 9.3 | 8.9 | 8.7 | Unfavorable | ||||||||
Spain | 15.5 | 15.0 | 14.4 | 14.0 | 13.8 | Somewhat unfavorable | ||||||||
U.K. | 4.5 | 4.9 | 4.9 | 4.4 | 4.2 | Somewhat unfavorable | ||||||||
CPI (%) | ||||||||||||||
France | 0.5 | 1.9 | 1.7 | 1.6 | 1.7 | Somewhat unfavorable | ||||||||
Germany | 0.4 | 2.9 | 1.7 | 1.6 | 1.8 | Unfavorable | ||||||||
Italy | (0.1) | 1.6 | 1.4 | 1.3 | 1.5 | Somewhat unfavorable | ||||||||
Spain | (0.3) | 2.2 | 1.2 | 1.4 | 1.5 | Somewhat unfavorable | ||||||||
U.K. | 0.9 | 2.2 | 2.6 | 1.8 | 1.8 | Somewhat unfavorable | ||||||||
Central bank policy rates (end of period; %) | ||||||||||||||
Eurozone | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | Somewhat favorable | ||||||||
U.K. | 0.10 | 0.10 | 0.10 | 0.31 | 0.60 | Somewhat favorable | ||||||||
CPI--Consumer price index. F--Forecast. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings. |
Summary
- The improved collateral performance of our index in Q3 2021 reflects Europe's strongly improving macroeconomic conditions.
- 30-60 days delinquencies and 60-90 days delinquencies have remained stable at 0.30% and 0.13%, respectively.
- 90+ days delinquencies decreased to 0.18% from 0.22%. Similar to the past quarter, the improvement is mainly due to the significant fall in U.K. late-stage delinquencies to 0.23% from 0.33%. Delinquencies also decreased in Germany, France, and Spain--but late-stage delinquencies in Italy increased to 0.13% from 0.08%.
- Overall net losses continue to be considerably low, at 0.01%. While Germany continues to display a more constant and overall low net losses trend, we keep observing a bumpier pattern in the U.K. During Q3, the U.K. experienced particularly low gross losses together with strong recoveries.
- Germany (48.3%), the U.K. (30.0%), and Spain (6.3%) form 84.6% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, representing 58.4% of the current volume of securitized assets.
- We rated four new transactions: Bavarian Sky S.A., Compartment German Auto Leases 6, Ares Lusitani – STC S.A. (Thetis Finance No. 2), VCL Master Residual Value S.A., Compartment 2 Series A-2021-2, and Bavarian Sky UK 4 PLC.
- Additionally, we have raised our ratings on 11 tranches in four transactions: Globaldrive Auto Receivables 2018-A B.V., Dowson 2019-1 PLC, Cardiff Auto Receivables Securitization 2019-1 PLC, and Azure Finance No.2 PLC.
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Table 3
Summary Of Rating Actions | ||
---|---|---|
Rating action (tranches) | Upgrade | Downgrade |
Q4 2016 | 3 | - |
Q1 2017 | 5 | - |
Q2 2017 | 3 | - |
Q3 2017 | 5 | - |
Q4 2017 | 1 | - |
Q1 2018 | 2 | - |
Q2 2018 | 12 | - |
Q3 2018 | 3 | - |
Q4 2018 | 16 | - |
Q1 2019 | - | - |
Q2 2019 | 5 | - |
Q3 2019 | 9 | - |
Q4 2019 | 3 | - |
Q1 2020 | 10 | - |
Q2 2020 | 5 | - |
Q3 2020 | - | - |
Q4 2020 | - | - |
Q1 2021 | 1 | - |
Q2 2021 | 17 | - |
Q3 2021 | 4 | - |
Table 4
S&P Global Ratings-Rated Public Issuances | ||
---|---|---|
Quarter of origination | Size (bil. €) | No. of new issues |
Q4 2016 | 5.0 | 8 |
Q1 2017 | 1.9 | 3 |
Q2 2017 | 3.7 | 5 |
Q3 2017 | 4.2 | 8 |
Q4 2017 | 3.3 | 5 |
Q1 2018 | 3.9 | 5 |
Q2 2018 | 5.3 | 7 |
Q3 2018 | 2.7 | 6 |
Q4 2018 | 4.6 | 6 |
Q1 2019 | 0.9 | 1 |
Q2 2019 | 0.9 | 2 |
Q3 2019 | 4.8 | 6 |
Q4 2019 | 3.6 | 6 |
Q1 2020 | 3.2 | 5 |
Q2 2020 | 2.0 | 3 |
Q3 2020 | 0.4 | 2 |
Q4 2020 | 8.8 | 13 |
Q1 2021 | 1.5 | 2 |
Q2 2021 | 2.9 | 6 |
Q3 2021 | 2.4 | 4 |
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 annualized ratio of principal prepayments 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 Criteria And Research
- European Economic Snapshots: A Faster-Than-Expected Restart, Sept. 29, 2021
- VCL Master Residual Value S.A. , Compartment 2 Series A-2021-2 Rating Assigned; Existing Notes Affirmed, Sept. 27, 2021
- Dowson 2019-1 Class A, B, And C U.K. Auto ABS Notes Ratings Raised Following Review; Class D Rating Affirmed, Sept. 20, 2021
- Cardiff Auto Receivables Securitisation 2019-1 PLC Class B Notes Upgraded Following Review; Class A Rating Affirmed, Aug. 25, 2021
- Bavarian Sky UK 4’s U.K. Auto ABS Notes Assigned Ratings, Aug. 20, 2021
- Ares Lusitani - STC, S.A. (Thetis Finance No. 2) Portuguese Auto ABS Transaction Assigned Ratings, July 29, 2021
- Globaldrive Auto Receivables 2018-A B.V.’s Class B German Auto ABS Notes Rating Raised; Class A Rating Affirmed, July 30, 2021
- Azure Finance No. 2 Class B, C, And D U.K. Auto ABS Notes Ratings Raised Following Review; Other Ratings Affirmed, July 30, 2021
- Bavarian Sky S.A., Compartment German Auto Leases 6's Asset-Backed Floating-Rate Class A Notes Rated, July 20, 2021
This report does not constitute a rating action.
Primary Credit Analyst: | Roberto Amato, Frankfurt + 49 69 3399 9161; roberto.amato@spglobal.com |
Research Contributor: | Rohit Nair, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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