STRUCTURED FINANCE RESEARCH

European Auto ABS Index Report Q3 2013: Robust Collateral Performance Is Likely To Continue
Primary Credit Analyst: Michael Langholz, Frankfurt (49) 69-33-999-312; michael.langholz@standardandpoors.com Secondary Contact: Volker Laeger, Frankfurt (49) 69-33-999-302; volker.laeger@standardandpoors.com Data Analyst: Wayne Wei, London (44) 20-7176-3763; wayne.wei@standardandpoors.com

Table Of Contents
Appendix 1: Analysis Methodology Appendix 2: Performance Indicators Related Criteria And Research

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(Editor's Note: In the original version of this report, the house price data in table 2 were misstated. A corrected version follows.)
Table 1

Key Performance Indicators

(%) Net losses (average for the quarter) 90+ day delinquencies (average for the quarter) Effective yield (average for the quarter) Prepayments (average for the quarter) New car registrations (percentage change since Q3 2011; %)* Economic data Unemployment rate Quarter-on-quarter GDP growth 12.20 (0.40) 12.20 (1.10) 12.10 (1.00) 11.90 (0.90) 11.60 (0.10) Q3 2013 Q2 2013 Q1 2013 Q4 2012 Q3 2012 0.03 0.29 7.44 14.96 0.02 0.03 0.32 7.55 14.31 (0.03) 0.02 0.32 7.52 9.29 (0.10) 0.02 0.37 8.08 9.99 (0.10) 0.03 0.36 8.08 9.87 (9.30)

*Source: European Automobile Manufacturers' Association. Source: Eurostat.

Table 2

Scenarios For European Auto ABS Collateral: 2013 And 2014

Actual 2012 Baseline 2013 2014 Downside 2013 2014 Baseline effect on collateral credit quality

Real GDP (year-on-year growth, %) France Germany Italy The Netherlands Portugal Spain U.K. Unemployment rate (annual average; %) France Germany Italy The Netherlands Portugal Spain U.K. Wages (year-on-year growth, %) France Germany Italy 1.9 2.7 0.3 1.6 2.9 0.6 1.8 2.9 0.8 N.A. N.A. N.A. N.A. N.A. N.A. Somewhat favorable Somewhat favorable Neutral 11.0 5.4 12.2 7.0 17.0 26.7 7.7 11.2 5.2 12.4 8.0 17.0 26.4 7.5 11.0 5.1 12.0 7.5 16.0 25.5 7.2 12.5 6.5 13.8 9.1 N.A. 28.5 7.0 12.5 6.0 14.0 8.8 N.A. 28.0 8.2 Neutral Neutral Neutral Somewhat unfavorable Neutral Neutral Neutral 0.2 0.5 (1.8) (1.2) (2.1) (1.2) 1.5 0.6 1.8 0.4 0.2 0.5 0.8 2.3 1.4 1.7 0.9 1.1 1.6 1.2 2.0 0.5 1.4 0.0 (0.5) N.A. 0.6 2.8 0.2 0.6 (0.3) 0.1 N.A. (0.3) 0.3 Neutral Somewhat favorable Somewhat unfavorable Neutral Somewhat unfavorable Somewhat unfavorable Somewhat favorable

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Table 2

Scenarios For European Auto ABS Collateral: 2013 And 2014 (cont.)
The Netherlands Portugal Spain U.K. Consumer Price Index (%) France Germany Italy The Netherlands Portugal Spain U.K. House prices (year-on-year growth, %) France Germany Italy The Netherlands Portugal Spain U.K. Central bank policy rates (%) European Economic And Monetary Union U.K. 0.3 0.5 0.3 0.5 0.5 1.0 N.A. N.A. N.A. N.A. Neutral Neutral (3.0) 4.0 (5.0) (4.5) (3.5) (8.0) 5.0 (4.0) 3.0 (2.0) (1.0) 0.0 (5.0) 3.0 2.0 2.5 0.0 1.0 0.5 (1.0) 3.0 N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. Unfavorable Somewhat favorable Somewhat unfavorable Somewhat unfavorable Neutral Unfavorable Somewhat favorable 1.0 1.6 1.4 2.6 0.4 1.4 2.7 1.4 1.5 1.3 1.5 1.8 0.8 2.3 1.3 1.7 1.2 1.5 2.0 0.6 2.1 0.3 0.5 0.2 0.3 N.A. (0.5) 2.8 0.5 0.5 0.0 0.4 N.A. 0.1 1.5 Neutral Neutral Neutral Somewhat favorable Somewhat favorable Somewhat favorable Somewhat favorable 1.9 1.7 0.3 0.8 1.5 (0.6) 0.4 2.6 2.1 1.9 0.8 3.2 N.A. N.A. N.A. N.A. N.A. N.A. N.A. N.A. Somewhat favorable Somewhat favorable Neutral Somewhat favorable

Sources: National statistics offices, OECD, Eurostat, Bank of England, European Central Bank, and Standard & Poor's. N.A.--Not available.

In the third quarter of 2013, European auto asset-backed securities (ABS) transactions that Standard & Poor's Ratings Services rates continued to show improved performance, reflecting Europe's economic recovery. Our September 2013 economic research estimated a 0.7% drop in GDP for the eurozone (European Economic and Monetary Union) in 2013, and rises of 0.8% and 1.3% for 2014 and 2015, respectively. We expect the eurozone's unemployment rate to reach 12.6% in 2014, and drop to 12.2% in 2015 (see "Europe Is Moving From Subzero To Subpar Growth," published on Sept. 18, 2013). Overview In Q3 2013, European auto ABS transactions that we rate continued to show improved collateral performance. We expect this improvement to continue, in line with Europe's economic recovery. Delinquencies fell in Portugal and Spain, to 1.58% from 1.79%, and to 0.91% from 1.87%, respectively. Issuance slightly decreased from Q2, totaling 3.1 billion from six transactions.

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Table 2 shows key economic variables for core countries within the eurozone and our view of their baseline effect on the collateral credit quality of auto ABS transactions that we rate. Taking Germany as an example, we see the effect of unemployment rates as being "neutral" and GDP growth as "somewhat favorable". Our recent data show that the collateral performance of transactions in our index further improved in Q3 2013. We expect this improvement to continue, in line with our view of Europe's economic recovery. On average, 90+ day delinquencies slightly decreased to 0.29% in Q3 2013 from 0.32% in Q2, following a steady decline since mid-2009. Notably, these delinquencies fell in Portugal and Spain, to 1.58% from 1.79% and to 0.91% from 1.87%, respectively. The significant drop in Spain is mainly because we have added a new transaction in our index with lower-than-average delinquencies. The overall decrease in delinquencies is partly due to the addition of strongly performing transactions to our index in Q3 2013. This has led to lower 90+ day delinquencies. Under a recent ruling of a German higher regional court (Oberlandesgericht), consumers who have entered into leasing contracts with mileage settlements (Kilometerabrechnung) may be able to revoke or refuse payment. Where this occurs, a securitization transaction could incur a loss. On Sept. 2, 2013, we reviewed the ruling's potential effects on leasing contracts in 12 German auto ABS transactions (see "S&P Comments On Possible Effect Of A Higher Court's Ruling On Certain German Auto Leasing Contracts"). Based on our current assessment of the legal situation and the transaction-specific mitigating factors, we consider that our rating stresses for these transactions remain adequate. Quarter-on-quarter, used car prices in European core countries Germany, U.K., Spain, Italy, and France have not significantly changed, according to our calculations based on data from the car value guide (EurotaxGlass). On average, a used car is worth 33.8% of its initial price after three years and 100,000 kilometers, according to the data. Car sale proceeds form a major source of recoveries for transactions in our index. A stable used car market is therefore beneficial to the transactions. In Q3 2013, we raised our ratings on the class B notes in four German transactions following our review of the transactions' improved performance and increased credit enhancement (see "Related Criteria And Research"). All of the ratings that we lowered in Q3 followed our July 16, 2013 downgrade of Italy (see "Ratings Lowered On 118 Tranches In 91 Italian Securitizations Following Sovereign Downgrade"). Issuance slightly decreased from Q2, totaling 3.1 billion from six transactions (see tables 4 and 5 and "Related Criteria And Research"). The originators were auto banks with well-established ABS programs, such as Volkswagen or Santander.

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Chart 13

Table 3

Summary Of Rating Actions From 2007 To 2013

2008 Rating action Upgrade Downgrade 2009 2010 2011 2012 2013

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Total 1 4 1 1 2 3 1 2 4 12 1 5 2 2 1 2 9 8 12 2 12 2 6 7 9 8 1 3 1 0 4 3 69 68

Table 4

New Public Issuances Closed From 2007 To 2013

Quarter of origination Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Size (bil. ) Number of new issues 2.74 1.55 2.06 1.83 4.84 1.52 1.05 1.15 4 4 4 4 5 3 2 2

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Table 4

New Public Issuances Closed From 2007 To 2013 (cont.)

Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 4.36 6.81 3.35 2.39 3.91 1.57 6.10 2.51 5.47 3.14 5.11 3.06 6 5 5 4 6 3 8 3 9 5 8 6

Table 5

Public Transactions Closed In Q3 2013

Size (mil. ) VCL Master S.A., Compartment 1 Series 2013-1 Bilkredit 4 Ltd. Driver Eleven GmbH Retail Automotive CP Germany 2013 UG (Haftungsbeschrankt) SC Germany Auto 2013-2 UG (haftungsbeschrankt) FCT Cars Alliance DFP France 85.0 412.0 742.5 400.0 600.0 750.0

Table 6

Index Composition By Manufacturer/Originator (Public Rated Transactions)

Domicile of assets Amortizing/revolving (as Issue date of closing) Renault S.A./RCI Banque FCC Alliance DFP France 2005-2 and 2010-1 CARS ALLIANCE AUTO LOANS GERMANY FCC 2007-1 and 2010-1 Cars Alliance UK Ltd. France Germany Jan-05/ Apr-10 Oct-07/Jun-10 Revolving Revolving 52 3,000 AAA (sf), AAA (sf), AAA (sf) AAA (sf), A (sf) Euro Euro Total Issuance Ratings on all classes at issuance

Issuer

Currency

U.K.

Dec-09

Revolving

542

AAA (sf), AAA (sf), AAA (sf) AAA (sf) AAA (sf)

British pound sterling Euro Euro

Cars Alliance Auto Loans France Master FCT Cars Alliance Auto Loans France F 2012-1

France France

May-12 Jun-12

Revolving Amortizing

702 852

Peugeot S.A./Banque PSA Finance Auto ABS S.r.l. Auto ABS FCT Compartiment ABS 2010-1 Italy Germany Jul-07 Nov-10 Revolving Revolving 869 680 AAA (sf), A (sf) AAA (sf) Euro Euro

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Table 6

Index Composition By Manufacturer/Originator (Public Rated Transactions) (cont.)

AUTO ABS FCT COMPARTIMENT 2012-1 Auto ABS 2012-2 S.r.l. France Italy Jul-12 Nov-12 Revolving Amortizing 1080 631 AAA (sf) AA (sf) Euro Euro

Volkswagen AG/Volkswagen Bank GmbH VCL Master S.A., Compartment 1 Driver Seven GmbH Private Driver 2010-1 Fixed GmbH VCL Multi-Compartment S.A., Compartment VCL 13 DRIVER ESPANA ONE, FONDO DE TITULIZACION DE ACTIVOS Private Driver 2011-1 GmbH Private Driver 2011-2 GmbH Driver Nine GmbH VCL Multi-Compartment S.A., Compartment VCL 14 Private Driver 2011-3 GmbH VCL Multi-Compartment S.A., Compartment VCL 15 Private Driver 2012-1 GmbH Private Driver 2012-2 GmbH Driver UK Master S.A., Compartment 1 Germany Jan-10 Revolving 345 AAA (sf), AAA (sf), AAA (sf), AAA (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) Euro

Germany Germany Germany Spain

Apr-10 Oct-10 Apr-11 Jun-11

Amortizing Amortizing Amortizing Amortizing

519 943 953 629

Euro Euro Euro Euro

Germany Germany Germany Germany Germany Germany Germany Germany U.K.

Jul-11 Aug-11 Jun-11 Oct-11 Nov-11 Mar-12 Apr-12 Apr-12 Nov-12

Amortizing Amortizing Amortizing Amortizing Amortizing Amortizing Amortizing Amortizing Revolving

673 950 714 816 953 958 953 953 1650

AAA (sf), AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf), AAA (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf) AAA (sf), A+ (sf)

Euro Euro Euro Euro Euro Euro Euro Euro British pound sterling Euro Euro Euro

VCL Multi-Compartment S.A., Compartment VCL 17 Private Driver 2013-1 UG (Haftungsbeschrankt) Private Driver 2013-2 UG (haftungsbeschrankt)

Germany Germany Germany

Mar-13 Jun-13 Jun-13

Amortizing Amortizing Amortizing

719 990 990

Fiat SpA/Fiat Bank GmbH Asset-Backed European Securitisation Transaction Four S.r.l. Asset Backed European Securitisation Transaction Five S.A. Asset-Backed European Securitisation Transaction Seven S.r.l. Nixes Five Ltd. Asset-Backed European Securitisation Transaction Eight PLC Italy Dec-09 Revolving 1,550 AAA (sf) Euro

Germany

Oct-10

Amortizing

699

AAA (sf), A+ (sf)

Euro

Italy

Jun-12

Amortizing

370

AA+ (sf), A+ (sf)

Euro

Germany U.K.

Nov-12 Apr-13

Revolving Amortizing

350 300

AAA (sf), AAA (sf) AAA (sf), A (sf)

Euro British pound sterling

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Table 6

Index Composition By Manufacturer/Originator (Public Rated Transactions) (cont.)

Ford Motor Co./Ford Bank PLC Globaldrive Auto Receivables 2009-D B.V. Globaldrive Auto Receivables 2010-A B.V. Globaldrive Auto Receivables 2011-A B.V. Globaldrive Auto Receivables 2012-A B.V. Germany Germany Germany Germany Nov-09 Jun-10 Jun-11 Nov-12 Amortizing Amortizing Amortizing Amortizing 234 474 AAA (sf), A (sf) AAA (sf), A (sf) Euro Euro Euro Euro

536 AAA (sf), AA (sf) 562 AAA (sf), AA (sf)

BMW Group/BMW Leasing GmbH Bavarian Sky S.A., Compartment 3 Bavarian Sky Europe S.A., Compartment 1 Switzerland Germany Switzerland Jul-12 May-13 Revolving Revolving 800 300 AAA (sf), A+ (sf) AAA (sf) Euro Swiss francs

Motors Liquidation Co. (fka General Motors Corp.) /GMAC Bank GmbH and GMAC Leasing GmbH E-CARAT S.A. Compartment 3 E-CARAT PLC Germany U.K. Dec-11 Dec-12 Amortizing Amortizing 427 575 AAA (sf), AA(sf) AAA (sf) Euro British pound sterling Euro

E-CARAT S.A., Compartment 5

Germany

Mar-13

Amortizing

559 AAA (sf), AA (sf)

Toyota Kreditbank GmbH and Toyota Leasing GmbH KOROMO S.A. Germany Nov-10 Noncaptive originators BMORE Finance No. 4 PLC Portugal May-04 Amortizing 300 AAA (sf), AA (sf), A (sf), BBB (sf) AAA (sf), AA (sf), A (sf) AAA (sf), AA(sf), A (sf) AAA (sf), AA (sf), A (sf), BBB (sf) AAA (sf), A (sf), BBB (sf) AAA (sf), A (sf), BBB (sf), CCC(sf) AA- (sf) AAA (sf) Euro Revolving 800 AAA (sf) Euro

BBVA Autos 1 Fondo de Titulizacion de Activos BBVA Autos 2, Fondo de Titulizacion de Activos LTR Finance No. 6 PLC

Spain Spain Portugal/Spain

Dec-04 Dec-05 Sep-06

Amortizing Revolving Revolving

1,000 1,000 475

Euro Euro Euro

BBVA Finanzia Autos 1, Fondo de Titulizacion de Activos Fondo de Titulizacion de Activos Santander Consumer Spain Auto 07-1 LTR Finance No. 7 Ltd. Red & Black Consumer Italy S.r.l. SC Germany Auto 2010-1 UG Silk Finance No.3 Ltd. FCT Titrisocram Compartment Titrisocram 2011-1

Spain

May-07

Revolving

800

Euro

Spain

May-07

Revolving

2040

Euro

Portugal Italy Germany Portugal France

Feb-09 Oct-09 Sep-10 Oct-10 May-11

Revolving Revolving Amortizing Revolving Amortizing

127 1298

Euro Euro Euro Euro Euro

600 AAA (sf), AA (sf) 842 450 AAA (sf) AAA (sf)

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Table 6

Index Composition By Manufacturer/Originator (Public Rated Transactions) (cont.)

SC Germany Auto 2011-1 UG (haftungsbeschrankt) SC Germany Auto 2011-2 UG (haftungsbeschrnkt) FCT Titrisocram Compartment Titrisocram 2012-1 HIGHWAY 2012-I B.V. FCT Autonoria 2012-1 RED & BLACK AUTO FRANCE 2012 FCT Autonoria Compartment Autonoria 2012-2 Free Mobility 6 UG (haftungsbeschrnkt) SC Germany Auto 2013-1 UG (Haftungsbeschrnkt) Red & Black Auto Lease Germany 1 S.A. Germany Germany France Sep-11 Nov-11 Feb-12 Amortizing Amortizing Revolving 600 600 460 AAA (sf), A (sf) AAA (sf), A (sf) AAA (sf) Euro Euro Euro

The Netherlands France France France Germany Germany Germany

May-12 Jun-12 Jul-12 Nov-12 Dec-12 Mar-13 May-13

Revolving Revolving Amortizing Revolving Amortizing Amortizing Revolving

692 560 631 560 466 600 571

AAA (sf) AAA (sf) AAA (sf) AAA (sf) AAA (sf), AA(sf) AAA (sf) AAA (sf) Euro Euro Euro Euro Euro

Appendix 1: Analysis Methodology

In calculating our indices, we use data from 56 publicly rated transactions, representing all auto loan/lease issuance that we rate in Europe. For us to include a new transaction in the index, we need at least three data points of performance data. For transactions that report quarterly, we interpolate the interim data points in a linear fashion in the charts. Not all the deals in this index report provide monthly performance data, so for those deals where we didn't have the observations for the second and/or third month of the quarter, we kept the latest available observation constant, to build a more meaningful index. Caution is necessary when drawing conclusions by comparing the performance of individual transactions. Although all the indicators in this index report are key inputs in our ongoing surveillance analysis, an additional review of transaction-specific features is necessary to provide the full picture. We calculate the average periodic loss rate as the weighted average of monthly losses for all transactions where this information is available from their investor reports. We do not include Spanish transactions in the list of deals that contribute to the calculation of the loss rate index because these transactions have different loss definitions to those listed in our index.

Appendix 2: Performance Indicators

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Delinquency rate and loss rate

We divide delinquencies in the auto ABS index into three standard buckets: 30- to 60-day arrears; 60- to 90-day arrears; and Arrears of more than 90 days. This category includes arrears as available in the investor report for each transaction. We have consolidated all these categories into one, due to the different reporting templates of auto ABS transactions. European auto ABS transactions show a wide variance in the timing of loss recognition and in reporting losses gross or net. Some transactions recognize gross losses after receivables become defaulted. Others recognize net losses on receipt of the full value of recoveries a significant time after default. For the purposes of this index report, unless specified, all reported losses are net of recoveries. The loss rate is the amount of reported net losses during the collection period, divided by the receivables outstanding at the end of the period. Spanish deals report gross cumulative defaulted loans and separate figures for recoveries. The different reporting methodology does not allow for comparison with other jurisdictions. The delinquency rate is the total principal amount of the assets for which one or more payments have not been received, divided by the receivables outstanding at the end of the collection period.

Prepayment rate
The prepayment rate is the amount of principal prepaid during the collection period, divided by the receivables outstanding at the start of the period and annualized.

Effective yield
We calculate the yield rate as the ratio of monthly interest collections over the outstanding collateral balance.

Related Criteria And Research

Rating Assigned To German Auto ABS VCL Master Compartment 1's Series 2013-2; All Other Series Affirmed, Sept. 26, 2013 Europe Is Moving From Subzero To Subpar Growth, Sept. 18, 2013 Europe Asset Isolation And Special-Purpose Entity Criteria--Structured Finance, Sept. 13, 2013 New Issue: Bilkreditt 4 Ltd., Sept. 11, 2013 Rating Raised On Class B Notes In German Auto ABS Globaldrive 2011-A, 2010-A, And 2009-D; Class A Ratings Affirmed, Sept. 3, 2013 S&P Comments On Possible Effect Of A Higher Court's Ruling On Certain German Auto Leasing Contracts, Sept. 2, 2013 Rating Raised On German Auto ABS Driver Nine's Class B Notes Due To Improved Performance; Class A Notes Affirmed, Aug. 22, 2013 New Issue: Driver Eleven GmbH, July 25, 2013 New Issue: Retail Automotive CP Germany 2013 UG (Haftungsbeschrnkt), July 25, 2013 New Issue: FCT Cars Alliance DFP France Series 2013-1, July 22, 2013 New Issue: SC Germany Auto 2013-2 UG (haftungsbeschrnkt), July 18, 2013

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European Auto ABS Index Report Q3 2013: Robust Collateral Performance Is Likely To Continue Ratings Lowered On 118 Tranches In 91 Italian Securitizations Following Sovereign Downgrade, July 16, 2013 Counterparty Risk Framework Methodology And Assumptions, June 25, 2013 Rating Raised On Driver Espana One's Class B Spanish Auto ABS Notes Following Review; Rating Affirmed On Class A Notes, May 7, 2013 New Issue: Auto ABS DFP Master Compartment France 2013, May 3, 2013 European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011 Principles Of Credit Ratings, Feb. 16, 2011 European Consumer Finance Criteria, March 10, 2000
Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com

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