- In light of challenging macroeconomic conditions, credit performance in Q3 2023 deteriorated year-on-year, but nominal delinquencies and defaults remained low and within our expectations.
- Year-on-year, 30-60 days delinquencies slightly decreased to 0.30% from 0.31%, 60-90 days increased to 0.15% from 0.13%, and 90+ days to 0.22% from 0.15%.
- While delinquencies are marginally up year-on-year, net losses remained negligible at 0.02%.
- Germany (50.3%), the U.K. (31.1%), Italy (5.5%), and Spain (4.5%) form 91.4% of our index. Among the originators' group distribution by volume, the Volkswagen group remained the largest, increasing its share to 66.2% of the securitized assets' current volume.
- We rated two new transactions in Q3 2023: Citizen Irish Auto Receivables Trust 2023 DAC and Globaldrive Auto Receivables 2023-A B.V.
- We upgraded eight tranches and affirmed 29.
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||Q3 2023||Q2 2023||Q1 2023||Q4 2022||Q3 2022||Q2 2022||Q1 2022|
|Total delinquencies (%)||0.67||0.68||0.72||0.67||0.60||0.57||0.56|
|90+ day delinquencies (%)||0.22||0.22||0.24||0.20||0.17||0.16||0.16|
|Net losses (%)||0.02||0.02||0.02||0.02||0.01||0.01||0.02|
|Constant prepayment rate (% annualized)*||14.4||17.3||20.1||12.7||17.6||16.6||21.9|
|Effective yield (% per year)||6.9||7.4||7.5||6.8||6.5||6.5||6.6|
|Economic data - EU-19|
|Unemployment rate (%)||6.5||6.5||6.6||6.7||6.7||6.7||6.8|
|Y-O-Y GDP growth (%)||-||-||1.1||1.7||2.4||4.2||5.4|
|*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|
|Q1--First quarter; Q3--Third quarter.|
|S&P Global Ratings-rated public issuances|
|Year of origination||Size (bil. €)||No. of new issues|
|Q1--First quarter; Q3--Third quarter.|
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 index's denominator 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 receivables' current balance in each arrear's status (as reported in investor reports), divided by each transaction's current balance (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 principal prepayments' annualized ratio 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.
- Turbo Finance 9 PLC Ratings Raised On All Classes Of Auto ABS Notes, Sept. 28, 2023
- New Issue: Citizen Irish Auto Receivables Trust 2023 DAC, Sept. 28, 2023
- Credit Conditions Europe Q4 2023: Resilience Under Pressure Amid Tighter Financial Conditions, Sept. 26, 2023
- Presale: Auto ABS French Leases 2023, Sept. 26, 2023
- VCL Master S.A., Compartment 1 Class A And B German Auto ABS Ratings Affirmed, Sept. 26, 2023
- VCL Master Residual Value S.A. , Compartment 2 Series 2023 Auto ABS Notes Assigned Ratings; Other Ratings Affirmed, Sept. 25, 2023
- Driver UK Master S.A., Compartment 6's ABS Notes And Schuldschein Loans Ratings Affirmed, Sept. 25, 2023
- Economic Research: Economic Outlook Eurozone Q4 2023: Slower Growth, Faster Tightening, Sept. 25, 2023
- Economic Outlook U.K. Q4 2023: High Rates Keep Growth Muted, Sept. 25, 2023
- Cars Alliance Auto Leases France V 2023-1 FCT French ABS Transaction Assigned Preliminary Ratings, Sept. 7, 2023
- Presale: VCL Multi-Compartment S.A., Compartment VCL 40, Sept. 4, 2023
- European Auto ABS Index Report Q2 2023, Aug. 10, 2023
- Azure Finance No. 2 Class C, D-Dfrd, And E-Dfrd U.K. Auto ABS Ratings Raised; Class F-Dfrd Rating Affirmed, July 28, 2023
- New Issue: Globaldrive Auto Receivables 2023-A B., July 27, 2023
- Globaldrive Auto Receivables 2020-A B.V.'s Class B German Auto ABS Notes Rating Raised; Class A Rating Affirmed, July 14, 2023
This report does not constitute a rating action.
|Primary Credit Analyst:||Agustina Lopreiato, Madrid +34 914 23 32 24;|
|Secondary Contacts:||Sebastian Mauersberger, Frankfurt + 49 1729 913944;|
|Doug Paterson, London + 44 20 7176 5521;|
|Research Contributor:||Rohit Nair, CRISIL Global Analytical Center, an S&P affiliate, Mumbai|
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