- In light of challenging macroeconomic conditions, credit performance in Q1 2023 deteriorated year-on-year, but delinquencies and defaults remained low in nominal terms and within our expectations of normalizing to pre-COVID levels.
- Year-on-year, 30-60 days delinquencies increased to 0.35% from 0.28%, 60-90 days to 0.16% from 0.12%, and 90+ days to 0.20% from 0.14%.
- While delinquencies are up year-on-year, net losses remained negligible at 0.02%.
- Germany (50.7%), the U.K. (29.3%), Italy (6.2%), and Spain (5.0%) form 91.1% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, increasing its share to 62.1% of the current volume of securitized assets.
- We rated two new transactions in Q1 2023: VCL Multi-Compartment S.A., Compartment VCL 38 and Driver UK Master S.A., Compartment 6.
- We upgraded 10 tranches and affirmed nine.
The interactive version of this report is available at www.spratings.com (free of charge). This includes interactive charts to capture data on 90+ day delinquencies, quarterly net losses for European auto ABS collateral, and the number of new car registrations for European jurisdictions.
|Key performance indicators|
|Index||Q1 2023||Q4 2022||Q3 2022||Q2 2022||Q1 2022||Q4 2021||Q3 2021|
|Total delinquencies (%)||0.71||0.66||0.59||0.54||0.55||0.57||0.58|
|90+ day delinquencies (%)||0.20||0.19||0.15||0.14||0.14||0.16||0.18|
|Net losses (%)||0.02||0.02||0.01||0.01||0.02||0.01||0.01|
|Constant prepayment rate (% annualized)*||15.0||12.7||17.6||16.8||22.2||14.7||17.9|
|Effective yield (% per year)||6.7||6.8||6.5||6.5||6.6||6.2||6.5|
|Economic data - EU-19|
|Unemployment rate (%)||6.5||6.7||6.7||6.7||6.8||7.0||7.4|
|Y-O-Y GDP growth (%)||1.3||1.8||2.5||4.4||5.5||4.8||4.0|
|*For older quarters, prepayment rate is lower due to data inaccuracy which has been now corrected. Y-O-Y--Year on year. Q--Quarter. Sources: S&P Global Ratings, European Automobile Manufacturers' Association, Eurostat.|
|Scenarios for auto ABS collateral|
|2022||2023f||2024f||2025f||2026f||Baseline effect on collateral credit quality|
|Real GDP (Y-O-Y growth; %)|
|Unemployment rate (annual average; %)|
|Central bank policy rates (end of period; %)|
|CPI--Consumer price index. f--Forecast. Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, S&P Global Ratings.|
|Summary of rating actions|
|Rating action (tranches)||Upgrade||Downgrade|
|S&P Global Ratings-rated public issuances|
|Year of origination||Size (bil. €)||No. of new issues|
Summary Of Methodology For Our European And U.K. Auto ABS Index
What is included in the U.K. and European auto ABS index?
We include a transaction once three months have elapsed since the closing date, because we don't expect performance developments to be visible immediately after closing. As the index is current-balance weighted, including transactions with less than nine months of performance will lower the denominator of the index and may give an overly positive impression of performance.
As a comparison, our RMBS index includes transactions after nine months since closing have elapsed, while for the credit cards index, transactions are immediately included in the calculations. The main reason for these differences lies in the underlying receivables' nature. We believe that for receivables that display a long-term nature, including transactions in the calculations too early may give an overly positive impression, as performance developments have not occurred yet. On the other hand, for short-term receivables, performance developments appear in the early stages and therefore the risk of an overly positive impression is much lower.
What is the data source?
We compile data from investor reports based on each transaction's definition of arrears and default.
Is the index loan count or "dollar" weighted?
We calculate the index as the current balance of receivables in each arrear's status (as reported in investor reports), divided by the current balance of each transaction (as reported in investor reports). Non-euro denominated transactions are converted to euro.
When a transaction redeems how does it affect the index? Does it affect the past quarter(s)?
When a transaction redeems, it does not contribute to the index beyond that point. It has no effect on reported values for previous quarters.
When do we cut off the index for a given quarter?
The cut off is based on the period covered in investor reports. For example, if the index is up to Q4 2022, only collateral data until Dec. 31, 2022 is included.
Why do prior quarter's numbers sometimes change?
There are two main reasons:
- The servicer/party providing the investor report might amend data.
- Newer data for the most recent quarter is available.
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.
- Toward Net Zero: Shining A Light On European Solar ABS, April 12, 2023
- EMEA Structured Finance Chart Book: April 2023, April 11, 2023
- Credit Conditions Europe Q2 2023: Costs Rising To Cure Inflation, March 28, 2023
- VCL Multi-Compartment S.A. Compartment VCL 38 German Auto ABS Notes Assigned Ratings, March 27, 2023
- Driver UK Master S.A., Compartment 6 ABS Notes And Schuldschein Loans Assigned Ratings, March 27, 2023
- Economic Outlook Eurozone Q2 2023: Rate Rises Weigh On Return To Growth, March 27, 2023
- SCF Rahoituspalvelut X DAC Class B and C Finnish ABS Ratings Raised; Class A Rating Affirmed, March 14, 2023
- SCF Rahoituspalvelut IX DAC Class B Finnish ABS Rating Raised; Class A Rating Affirmed, March 14, 2023
- VCL Multi-Compartment S.A., Compartment VCL 31 Class B German ABS Rating Raised; Class A Rating Affirmed, March 2, 2023
- VCL Multi-Compartment S.A., Compartment VCL 32 Class B German ABS Rating Raised; Class A Rating Affirmed, March 2, 2023
- Cardiff Auto Receivables Securitisation 2022-1 PLC Class B To E Notes Ratings Raised; Class A Rating Affirmed, Feb. 22, 2023
- Globaldrive Auto Receivables 2021-A B.V. German Auto ABS Class B Notes Rating Raised; Class A Rating Affirmed, Feb. 16, 2023
- First Swiss Mobility 2022-1 AG Auto ABS Ratings Affirmed After Correction, Jan. 20, 2023
- Asset Price Risks: European Auto ABS Appear Resilient To A Potential Fall In Used Car Prices, Nov. 29, 2022
- Credit FAQ: Understanding Pro Rata Amortization Profiles In EMEA ABS Transactions, Nov. 24, 2022
- Cost Of Living Crisis: Despite Pockets Of Weakness, European Consumer ABS Shows Structural Resilience, Oct. 6, 2022
This report does not constitute a rating action.
|Primary Credit Analyst:||Sebastian Mauersberger, Frankfurt + 49 1729 913944;
|Secondary Contacts:||Agustina Lopreiato, Madrid + 39 02 72 111 281;
|Doug Paterson, London + 44 20 7176 5521;
|Research Contributor:||Shweta Sawant, CRISIL Global Analytical Center, an S&P affiliate, Mumbai|
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