13 September 2010
EMEA Auto Loan ABS Indices - July 2010
Frankfurt am Main, September 13, 2010 -- The auto loan asset-backed securities (ABS) market in Europe, the Middle East and Africa (EMEA) shows overall stable performance in July 2010, according to the latest indices published by Moody's Investors Service. In July, Moody's 60+ day delinquency trend remained unchanged at 1.2%, while weighted-average cumulative losses increased marginally to 0.9% from 0.8% in April 2010.
Moody's annualised constant prepayment rate (CPR) increased to 13.7% in July, compared to 13.2% in April 2010 and 12.0% in July 2009.
The major EMEA auto loan ABS markets (such as Germany) continued to exhibit stable performance. On 7 July, Moody's placed on review for possible upgrade 11 classes of notes issued by one Austrian auto leases, one German auto leases and five German auto loan ABS transactions. The rating actions reflect the low delinquency and loss levels observed in the affected transactions, despite the stressful economic environment over the past two years. For more information, please see the press release "Moody's places certain classes of German and Austrian ABS notes on review for possible upgrade" published on www.moodys.com.
However, in Portugal and Spain delinquencies and losses remained higher than the overall indices, driven by the deteriorating macro-economic environment and rising unemployment in these markets. At present, two transactions in Spain have drawn on their reserve funds. In particular, in BBVA Finanzia Autos 1, FTA, the reserve fund has been fully depleted since April 2010.
We expect GDP in the Eurozone to increase by 1.2% in 2010 and by 1.4% in 2011. However, the pace of recovery from the deepest recession in the post-war period will differ considerably within the Eurozone. GDP in Germany -- the largest market in the auto ABS sector -- grew by 2.2.% quarter-on-quarter in Q2 2010 and growth in this economy is expected to surpass other Eurozone countries as export growth continues to support activity in Germany. In Spain, whilst having technically exited the
recession, growth was a very weak 0.2% quarter-on-quarter in Q2 2010. With significant pressure to cut fiscal expenditure and increases in tax revenue in many countries in the Eurozone, household incomes are going to remain under pressure. The unemployment rate in the Eurozone was 10% in
July 2010, up from 9.6% in 2009. Unemployment rates are expected to remain elevated as public-sector workers are likely to lose their jobs and growth in the private sector may be insufficient to absorb this spare capacity.
Moody's outlook for German auto loan ABS changed to stable from negative, while for Portuguese and South African auto ABS the outlook remains negative (see the report "EMEA ABS, CMBS & RMBS Asset Performance Outlooks", July 2010).
As of July 2010, the total outstanding pool balance in the EMEA auto-loan ABS market accounted for EUR20.3 billion, which constitutes a decline of 12% over the past year. Approximately 70% of the outstanding transaction volume in this market is collateralised by auto loans originated by captive originators. Germany is the most important market for auto-loan ABS in EMEA, representing 60% of the total outstanding volume.
There have been two new issuances in Germany, one in Spain and one in the United Arab Emirates (UAE) since July 2010: Cars Alliance Auto Loans Germany Series 2010-1 originated by RCI Banque, SC Germany Auto 2010- 1 UG originated by Santander Consumer Bank AG, FTA SANTANDER CONSUMER SPAIN AUTO 2010-1 originated by Santander Consumer, E.F.C., S.A. and Emirates NBD Auto Finance Limited originated by Emirates NBD PJSC. Emirates NBD Auto Finance Limited is the first true-sale securitisation of auto loans in the UAE.
Moody's quarterly indices are published mid-month and can be found on www.moodys.com in the Structured Finance sub-directory under the Research & Ratings tab, under the Structured Indices sub-category of Industry/Sector Research.
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF218560
In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.
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EMEA Auto Loan ABS Indices - July 2010
Frankfurt am Main, September 13, 2010 -- The auto loan asset-backed securities (ABS) market in Europe, the Middle East and Africa (EMEA) shows overall stable performance in July 2010, according to the latest indices published by Moody's Investors Service. In July, Moody's 60+ day delinquency trend remained unchanged at 1.2%, while weighted-average cumulative losses increased marginally to 0.9% from 0.8% in April 2010.
Moody's annualised constant prepayment rate (CPR) increased to 13.7% in July, compared to 13.2% in April 2010 and 12.0% in July 2009.
The major EMEA auto loan ABS markets (such as Germany) continued to exhibit stable performance. On 7 July, Moody's placed on review for possible upgrade 11 classes of notes issued by one Austrian auto leases, one German auto leases and five German auto loan ABS transactions. The rating actions reflect the low delinquency and loss levels observed in the affected transactions, despite the stressful economic environment over the past two years. For more information, please see the press release "Moody's places certain classes of German and Austrian ABS notes on review for possible upgrade" published on www.moodys.com.
However, in Portugal and Spain delinquencies and losses remained higher than the overall indices, driven by the deteriorating macro-economic environment and rising unemployment in these markets. At present, two transactions in Spain have drawn on their reserve funds. In particular, in BBVA Finanzia Autos 1, FTA, the reserve fund has been fully depleted since April 2010.
We expect GDP in the Eurozone to increase by 1.2% in 2010 and by 1.4% in 2011. However, the pace of recovery from the deepest recession in the post-war period will differ considerably within the Eurozone. GDP in Germany -- the largest market in the auto ABS sector -- grew by 2.2.% quarter-on-quarter in Q2 2010 and growth in this economy is expected to surpass other Eurozone countries as export growth continues to support activity in Germany. In Spain, whilst having technically exited the
recession, growth was a very weak 0.2% quarter-on-quarter in Q2 2010. With significant pressure to cut fiscal expenditure and increases in tax revenue in many countries in the Eurozone, household incomes are going to remain under pressure. The unemployment rate in the Eurozone was 10% in
July 2010, up from 9.6% in 2009. Unemployment rates are expected to remain elevated as public-sector workers are likely to lose their jobs and growth in the private sector may be insufficient to absorb this spare capacity.
Moody's outlook for German auto loan ABS changed to stable from negative, while for Portuguese and South African auto ABS the outlook remains negative (see the report "EMEA ABS, CMBS & RMBS Asset Performance Outlooks", July 2010).
As of July 2010, the total outstanding pool balance in the EMEA auto-loan ABS market accounted for EUR20.3 billion, which constitutes a decline of 12% over the past year. Approximately 70% of the outstanding transaction volume in this market is collateralised by auto loans originated by captive originators. Germany is the most important market for auto-loan ABS in EMEA, representing 60% of the total outstanding volume.
There have been two new issuances in Germany, one in Spain and one in the United Arab Emirates (UAE) since July 2010: Cars Alliance Auto Loans Germany Series 2010-1 originated by RCI Banque, SC Germany Auto 2010- 1 UG originated by Santander Consumer Bank AG, FTA SANTANDER CONSUMER SPAIN AUTO 2010-1 originated by Santander Consumer, E.F.C., S.A. and Emirates NBD Auto Finance Limited originated by Emirates NBD PJSC. Emirates NBD Auto Finance Limited is the first true-sale securitisation of auto loans in the UAE.
Moody's quarterly indices are published mid-month and can be found on www.moodys.com in the Structured Finance sub-directory under the Research & Ratings tab, under the Structured Indices sub-category of Industry/Sector Research.
http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF218560
In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.
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© Press Release 2010
