auto abs performance report

1Auto ABS Performance Report European Structured Finance Report Q4 2003

Auto ABS PerformanceReportEuropean Structured Finance Report Q4 2003

Issue 1 - March 2004

Contacts:

Chris SuchLondon (44) [email protected]

Vladimir StupakLondon (44) [email protected]

[email protected] ABS backed by auto loans and leases have over thepast five years grown in to a distinct asset class inEurope. In 2003, auto ABS was the third biggest asset

class among consumer ABS behind credit cards andpersonal unsecured loans — with a 17% share of the€€24.4 billion rated issuance in 2003 (see chart 1).

Credit cards(32%)

Personal secured(28%)

Trade receivables(2%)Personal

unsecured(7%)

Equipment(14%)

Auto loans and leases(17%)

New Auto Performance Report TracksExpanding Asset Class

This quarterly report will provide a comparativeanalysis of the key performance indicators across thisasset area. The report and the indicators in it coverthe underlying portfolios of auto loans and leases butexclude those with mixed pools of assets (e.g., autoloans/leases, and personal secured and unsecuredloans) because of the different risk profiles of thoseassets. The weighted-average indicators are included forcomparison only, and should not be understood asbenchmarks, because of the differences amongoriginators' lending practises and jurisdictions.

Not all transactions report an identical set of data,and performance indicators have been compiledusing the available information. In addition, theindividual transactions vary greatly in performance.However, the performance charts of includedtransactions will highlight any significant variances.

The European Auto ABS MarketIn Europe, various assets are securitized into autoABS. These include not only consumer and corporateauto loans, but also auto leases and loans for newand used vehicles. Most of the transactions comprise

Consumer ABS Issuance in 2003Issuance Rated by Standard & Poor’s

Chart 1


Auto ABS Performance Report Issue 1 - March 2004

just the amortizing part of the contract. However,there are a few transactions outstanding where thewhole loan is securitized, including the residualelement, e.g., the residual value of underlyingcollateral that is used to make a final payment on theloan.Although the market has grown steadily, it is stillmuch smaller than the equivalent market in the U.S.,and therefore it is not appropriate at this stage todivide the market into subclasses according to therisk profile of the assets (prime, nonprime,subprime).

Since 1998, Standard & Poor's has rated 37 autoABS transactions for a total amount of €€19.6 billion.Out of that amount, nearly €€14 billion of rated notesare outstanding. Originators and transactions areshown in table 2.In 2003 issuance of notes backed by auto loans andleases remained healthy. Although the total issuancerated by Standard & Poor's in 2003 decreased bymore than 50% from that in 2002, which was arecord year, it was still comparable with levelsreached in 2001 (see chart 2).

In 2003, Standard & Poor's publicly rated seventransactions. Of these, three were repeat issues, onewas a tap issue, and three were originated bynewcomers to the securitization market — IvecoFinanziaria and RNS SpA, a wholly ownedsubsidiary of RCI Banque.

There are two distinct types of originator inEurope: financing arms (captives) of automakersand retail banks. Auto captives command thelarger share of the auto ABS market at 84%. Forthe purposes of clarity, table 1 lists transactionsoriginated by captives along with their ultimateparents.

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Volume of Auto ABS TransactionsRated by Standard & Poor’s

Chart 2



Table 1

Transactions Originated by Captives,Their Originators, and Parents

Issue date Originator Transaction name

FordApril 1999 FCE Bank PLC Globaldrive B.V, Series B

November 2000 FCE Bank PLC Globaldrive (UK) PLC, Series C

April 2002 FCE Bank PLC Globaldrive B.V., Series D

December 2002 FCE Bank PLC Globaldrive B.V., Series E

June 2003 FCE Bank PLC Globaldrive B.V., Series F

FiatJuly 2000 Fiat SAVA SpA* First Italian Auto Transaction SpA

July 2001 Fiat SAVA SpA* Second Italian Auto Transaction SpA

October 2001 Fiat Bank GmbH Absolute Funding S.r.l.

July 2002 Fiat Credit Finance S.A., European Auto SecuritisationTarcredit, 2002 PLC

Establecimiento Financiero de Credito S.A.

July 2003 IVECO Finanziaria First Italian Truck Securitisation(F.I.T.S) S.r.l.

VolkswagenJanuary 2001 Volkswagen Leasing GmbH VCL No. 4 Ltd.

February 2002 Volkswagen Leasing GmbH VCL No. 5 Ltd.

December 2003 Volkswagen Leasing GmbH VCL No. 6 Ltd.

Peugeot

June 2001 Credipar Auto ABS Compartiment 2001-1

July 2002 Credipar, Banque PSA Finance Auto ABS Compartiment 2002-1

RenaultOctober 2002 DIAC S.A. Cars Alliance Funding

October 2003 RNC SpA Cars Alliance Funding PLC

November 2003 RNC SpA FCC Rome Alliance Funding

PorscheNovember 2001 Porsche Bank AG Fact-2001 Ltd.

*In 2003 Fiat sold 51% of the parent company of Fiat SAVA to a consortium of Italian banks.

Ford has been one of the market's most activeplayers (see chart 3). It has issued five series ofpublicly rated notes through its Globaldrive

program, all currently outstanding. Another majorplayer is Volkswagen, which closed its sixthtransaction, VCL 6, in December 2003.



Peugeot(16%)

Renault(21%)

Fiat(21%)

Ford(16%)

Porsche(1%)

Volkswagen(8%)

Noncaptive(17%)

Issuance by OriginatorChart 3

Italy, Germany, and France command amongthem nearly a 75% share of the European marketaccording to domicile of assets (see chart 4). In

2003, new transactions were originated in Italy,Germany, and Portugal.

France(24%)

Germany(23%)Italy

(26%)

Austria(1%)

Spain(17%)

Portugal(8%)

U.K.(2%)

Domicile of Assets Backing European Auto ABSChart 4

Asset/Rating PerformancePerformance of ratings was stable in 2003, with nodowngrades and two upgrades of seasonedtransactions (VCL 4 and VCL 5), where, due toamortization of the senior classes of notes,additional credit enhancement had built up.Three transactions breached performance-relatedtriggers: Globaldrive Series B, Globaldrive Series D,and European Auto Securitisation. However, fromthe rating perspective, these breaches were offset by

the transactions' starting to trap excess spread,which provides additional credit enhancementagainst weaker performance of the underlyingportfolio of assets. In Standard & Poor's analysis, key indicators forauto ABS transactions include:

! Net loss rate;! Effective yield;! Prepayment rate; and! Delinquency rate.



Each of these indicators except delinquency rates iscalculated as an annualized weighted average.Prepayment rate and effective yield are weighted bythe outstanding amount of the collateral at thebeginning the collection period and net loss rate bythe outstanding amount of the collateral at the endof the collection period. For transactions thatreport quarterly the interim data points werelinearly interpolated. Although all the indicators are key inputs to theongoing surveillance analysis, caution should beexercised in comparison of the performance ofindividual transactions as well as in drawingconclusions. An additional careful review of furthertransaction-specific features is needed for thispurpose, as the indicators do not reflect them. Forexample, transactions with high levels of net lossesmay have other compensating factors such ashigher yield assets, lower prepayment rates, etc.

Net Loss RateEuropean auto ABS transactions show a widevariance in the timing of the loss recognition aswell as in reporting losses gross or net. Sometransactions recognize gross losses after receivablesbecome defaulted. Others recognize net losses onreceipt of the full value of recoveries a significanttime after default. For the purposes of this report,for transactions that report losses gross, proxies fornet losses were calculated as gross losses/defaultsminus recoveries to the extent that recoveriesformed part of available principal collections. The net loss rate for European auto ABS is shownin chart 5. Since this is calculated as a weightedaverage, the peaks in net losses can be largelyattributed to several big transactions' having spikesin net losses, sometimes due to one-off reportingcorrections/adjustments, as can be seen from theindividual performance charts 6a, 6b, 6c, and 6d.

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Chart 5



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LTR 1 Bmore 1 Silk Finance 1LTR 2 Bmore 2 Net Loss Rate

Net Loss Rate by TransactionChart 6a

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LTR 3 Globaldrive B Titri TS1

Globaldrive D Titri TS2 Net Loss Rate

Net Loss Rate by TransactionChart 6b



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Globaldrive (UK) Second Italian Auto Transaction

Absolute Funding Globaldrive E Spanish Portfolio

Globaldrive E Italian Portfolio Net Loss Rate

Net Loss Rate by TransactionChart 6d

In the LTR 1 and LTR 2 transactions, the servicer hasdiscretion over the timing of loss recognition and largelosses were recognized in some reporting periods andthis explains the spikes in their net losses. All of theselosses were covered through excess spread in thesetransactions. None of the transaction performancetriggers were breached, since these losses wererecognized after the end of revolving period. FCE Bank, servicer of the Globaldrive Series B and Dtransactions, adopted a more conservative definition oflosses at the end of 2002, which resulted in thereclassification of some delinquencies as defaults. Thisreclassification explains the spike in losses for these inJanuary 2003.Despite net losses being one of the key indicators ofperformance of any ABS, the transactions are rated on

gross defaults and recoveries. This is to allow forstresses to be applied to the level of gross defaults andto recovery percentages and recovery timing.The total figure for losses is in general lower than forcredit cards and consumer unsecured loans. It hasremained low and tends to stabilize around 0.75%.The blended portfolio of underlying contracts,including loans, leases, new and used vehicles,consumer, and corporate customers, feeds into this lowloss rate. When transactions are rated the variousbreakdowns within the portfolio are analyzed becausethey tend to behave differently — e.g., customers withused cars tend to have a higher default rate than thosewho buy new cars. To control the performance of eachtransaction, triggers and eligibility constraints areincluded in the documentation. The portfolio is then

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Auto ABS 2001 Cars Alliance Funding

Auto ABS 2002 French Portfolio Auto ABS 2002 Spanish Portfolio

First Italian Auto Transaction Net Loss Rate

Net Loss Rate by TransactionChart 6c



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Prepayment RateChart 7

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VCL 4 VCL 5 Globaldrive (UK)Titri TS1 Prepayment Rate

Prepayment Rate by TransactionChart 8a

stressed to the portfolio composition that carries thehighest risk.

Prepayment RateThe prepayment rate is the amount of principal fullyprepaid during the collection period divided by thereceivables outstanding at the beginning of the periodand annualized. For transactions without revolvingperiods, a high prepayment rate is a positive attributefor the performance and credit rating of a transactionbecause it reduces the amortisation period andtherefore the transaction's exposure to defaults.However, during the revolving period a high

prepayment rate can have a negative effect, since thelarger part of underlying collateral is substituted andthe new assets in portfolio may have higher defaultrates. To avoid deterioration of the quality of thecollateral during the revolving period, most auto ABStransactions incorporate early amortisation triggersbased on actual default and delinquencies rates. Inboth cases, a high prepayment rate reduces the level ofexcess spread, which has a negative effect on thetransactions.The prepayment rates for auto ABS transactions isshown in chart 7. Individual breakdowns are in charts8a, 8b, and 8c.



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Fiat Second Italian Absolute Funding

Auto ABS 2001 Prepayment Rate

Prepayment Rate by TransactionChart 8c

The overall prepayment rate mostly stays withinthe 15%-20% range. The lowest averageprepayment rate is in the Spanish portfolio forAuto ABS Compartiment 2002 at 7.3%.Globaldrive (U.K.) has the highest averageprepayment rate at 24.6%. The prepayment ratefor VCL 4 dropped significantly because nearly allthe collateral has amortized.

Effective YieldEffective yield is worked out by dividing interestpayments received during the collection period bythe receivables outstanding at the beginning of thecollection period and annualizing the figureobtained. For transactions where receivables arebought at discount, effective yield will be higherthan the reported weighted-average coupon,

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Titri TS2 Auto ABS 2002 Spanish Portfolio

Auto ABS 2002 French Portfolio Cars Alliance Funding

Santander Consumer Prepayment Rate

Prepayment Rate by TransactionChart 8b



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LTR 1 Bmore 1 Silk Finance 1

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Effective Yield by TransactionChart 10a

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Effective YieldChart 9

because the discount is included in the effectiveyield calculation. In addition, effective yield is morevolatile than weighted-average coupon since it isgreatly affected by delinquent interest payments or

prepayments. The weighted-average yield for autoABS transactions is shown in chart 9. It is brokendown for individual transactions in charts 10a,10b, and 10c.



Effective yield for auto ABS is lower than for otherconsumer ABS such as unsecured loans and creditcards. This is a reflection of the lower riskassociated with these loans and the competition inthe market.As the performance charts show, the effective yieldis gradually decreasing, which is consistent with thelow interest rate environment: substituted assetscarry a lower interest rate. In addition, theincreased level of competition in Europe results inless volatile effective yield for recently originatedtransactions, which have a tighter 7%-11% range.

Delinquency RateDelinquency rate is the total principal amount ofthe assets for which one or more payments werenot received during the collection period divided byreceivables outstanding at the end of the collectionperiod. Delinquencies are a negative attribute tothe transaction as they decrease the amount ofavailable cash flow. To avoid significantdeterioration of cash flows, most auto ABStransactions incorporate performance-relatedtriggers based on actual delinquency levels. Breach

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Second Italian Auto ABS 2002 Spanish Portfolio

Auto ABS 2002 French Portfolio Cars Alliance Funding

Globaldrive E Italian Portfolio Effective Yield

Effective Yield by TransactionChart 10c

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Globaldrive B Auto ABS 2001 Bmore 3

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Effective Yield by TransactionChart 10b



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LTR 1 Bmore 1 Silk 1LTR 2 Bmore 2 LTR 3Delinquency Rate

Delinquencies (90-120 Days) by TransactionChart 12a

The delinquency rate for 90-120 days is lower thanthe net loss rate. This is because net losses are notrecognized immediately after default, but aftersignificantly more time (up to one year), during

which the new losses are accumulated. Individual 90-120-day delinquency rates for autoABS transactions are given in charts 12a, 12b, 12c,and 12d below.

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Delinquency RatesChart 11

of these triggers can result in an early amortizationevent or the capturing of additional excess spreadto provide for additional credit enhancement.

Delinquency rates for 30-60, 60-90, and 90 andmore days are shown in chart 11.



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Auto ABS 2001 Titri TS2

Auto ABS 2002 Spanish Portfolio Auto ABS 2002 French Portfolio

LTR 4 Delinquency Rate

Delinquencies (90-120 Days) by TransactionChart 12c

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Globaldrive D Bmore 3 Globaldrvie B

Globaldrive (UK) Titri TS1 Delinquency Rate

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Delinquencies (90-120 Days) by TransactionChart 12b



Portuguese transactions tend to have the highest90-120-day delinquency rates, in the 1%-3%range. Globaldrive U.K. and Globaldrive Series Fhave the lowest at around 0.1%.

OutlookThe transaction volume in 2004 is expected to besimilar to 2003. Further issuances are expectedfrom the originators that have been frequent issuersin the market: Ford and Volkswagen. The totalvolume generated in 2004 depends upon whetherrepeat originators such as Peugeot, Renault, andFiat come back to the market. So far, Peugeot hascompleted a €€1 billion transaction (Auto ABSCompartiment 2004-1) in February 2004. It was

owing to these originators that 2002 was the mostactive year to date, so their activity in 2004 will bevery important for the market's sustained growth. Standard & Poor's expects to see a continued mixof both loans and leases being securitized. Itexpects that there will be greater use of balloonloans and residuals as originators look to maximizethe funding potential. Floorplan transactions, e.g., those wherereceivables from dealers' inventory financing aresecuritized, are also expected to hit the market in2004. This is now an established market in theU.S., but has taken some time to happen in Europe,but Standard & Poor's is expecting to rate termissuances in 2004.

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Globaldrive E Spanish Globaldrive E Italian Santander Consumer

Globaldrive F Slik 2 Delinquency Rate

Delinquencies (90-120 Days) by TransactionChart 12d



European Auto ABS Issuance

Issue Date Originator Issuer Total issuance Ratings on all Assets Domicile of (Mil.) classes at issuance assets

December 1998 Chartered Trust Cardiff Automobile £400 AAA, A+, BBB Auto loans U.K.PLC Receivables

Securitisation UK (No. 4)

April 1999 FCE Bank PLC Globaldrive B.V, Series B €€511.3 AAA, A Auto loans Germany

June 1999 General Guarantee Automobile Receivables €€400.0 AAA, A Auto loans U.K.Finance Ltd. Transaction (No. 1) PLC

April 1999 Sofinloc S.A. LTR Finance No. 1 Ltd. €€213.1 AA, A Auto loans, leases, Portugallong-term rental

contracts

May 1999 Banco Mais S.A. BMORE No. 1 Ltd. €€150.0 AAA, AA, A Auto loans, leases, Portugallong-term rental

contracts

May 1999 Volkswagen Leasing VCL No. 3 Ltd. €€500.0 Auto leases GermanyGmbH

July 1999 Interbanco S.A, Silk Finance No. 1 Ltd. €€100.0 AAA, A Auto loans, PortugalMultirent S.A long-term rental

contracts

December 1999 Benton Finance Ltd. Car Loan Asset £41.0 Auto loans U.K.Securitisation No.1 PLC

March 2000 Sofinloc S.A., LTR Finance No. 2 PLC €€100.0 AAA, A Auto loans, leases,Sofivenda S.A. long-term rental

contracts Portugal

June 2000 Banco Mais S.A. BMORE No. 2 Ltd. €€150.0 AAA, A Auto loans, Portugallong-term rental

contracts

July 2000 Fiat SAVA SpA First Italian Auto €€1,084.0 AAA, N.R. Auto loans ItalyTransaction SpA

November 2000 FCE Bank PLC Globaldrive (U.K.) PLC, £250.0 AAA, A Auto loans U.K.series C

January 2001 Volkswagen Leasing VCL No. 4 Ltd. €€750.0 AAA, A Auto leases GermanyGmbH

June 2001 Credipar Auto ABS €€1,000.0 AAA, A, N.R. Auto loans FranceCompartiment 2001-1

July 2001 Socram Titri Socram, €€192.0 AAA, N.R. Auto loans France compartiment TS1

July 2001 Fiat SAVA SpA Second Italian €€950.0 AAA, N.R. Auto loans ItalyAuto Transaction SpA

October 2001 Fiat Bank GmbH Absolute Funding S.r.l. €€850.0 AAA, N.R. Auto loans Germany

November 2001 Porsche Bank AG Fact-2001 Ltd. €€400.0 AAA, A Auto loans and Austrialeases

November 2001 Sofinloc S.A., LTR Finance No. 3 PLC €€202.0 AAA, A Auto loans, leases, Portugal, SpainSofivenda S.A., long-term rental

Banco Esfinge contracts

February 2002 Volkswagen Leasing VCL No. 5 Ltd. €€1,000.0 AAA, A Auto leases GermanyGmbH

April 2002 FCE Bank PLC Globaldrive B.V., Series D €€800.0 AAA, A Auto loans Germany

June 2002 Banco Mais S.A. BMORE Finance No. 3 PLC €€100.0 AAA, A, BBB Auto loans, leases, Portugallong-term rental

contracts

Table 2



Analyst E-Mail Addresses

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Published by Standard & Poor's, a Division of The McGraw-Hill Companies, Inc. Executive offices: 1221 Avenue of the Americas, New York, NY 10020. Editorial offices: 55 Water Street, New York, NY 10041. Subscriberservices: (1) 212-438-7280. Copyright 2004 by The McGraw-Hill Companies, Inc. Reproduction in whole or in part prohibited except by permission. All rights reserved. Information has been obtained by Standard &Poor's from sources believed to be reliable. However, because of the possibility of human or mechanical error by our sources, Standard & Poor's or others, Standard & Poor's does not guarantee the accuracy, adequacy,or completeness of any information and is not responsible for any errors or omissions or the result obtained from the use of such information. Ratings are statements of opinion, not statements of fact orrecommendations to buy, hold, or sell any securities.

Issue Date Originator Issuer Total issuance Ratings on all Assets Domicile of (Mil.) classes at issuance assets

June 2002 Socram Titri Socram, €€300.0 AAA, N.R. Auto loans Francecompartiment TS2

September 2002 Banco Mais S.A. BMORE Finance €€50.0 AAA, A, BBB Auto loans, leases, PortugalNo. 3 PLC (Tap issue) long-term rental

contracts

July 2002 Credipar, Banque Auto ABS Compartiment €€1,500.0 AAA, A Auto loans France/SpainPSA Finance 2002-1

July 2002 Fiat Credit Finance S.A., European Auto €€833.3 AAA, A, N.R. Auto loans France/SpainTarcredit, Establecimiento Securitisation 2002 Financiero de Credito S.A. PLC

October 2002 DIAC S.A. Cars Alliance Funding PLC €€1,400.0 AAA, A Auto loans France

December 2002 Sofinloc Group LTR Finance No. 4 Ltd. €€191.0 AAA, AA, A, BBB Auto loans, leases, Portugal, Spainlong-term rental

contracts

December 2002 FCE Bank PLC. Globaldrive B.V., Series E €€733.0 AAA, A Auto loans Italy/Spain

December 2002 Hispamer Servicios Santander Consumer €€850.0 AAA, A Auto loans SpainFinancieros, Finance Spain 02-1

Establecimiento Fondo de TitulizacionFinanciero de Credito, S.A.,de Activos

June 2003 Banco Mais S.A. BMORE Finance €€70.0 AAA, A, BBB Auto loans, leases, PortugalNo. 3 PLC (Tap issue) long-term rental

contracts

June 2003 Interbanco S.A. Silk Finance No. 2 PLC €€263.7 AAA, AA-, BBB Auto loans and leases Portugal

June 2003 FCE Bank PLC. Globaldrive B.V., Series F €€350.0 AAA, A Auto loans Germany

July 2003 IVECO Finanziaria First Italian Truck €€315.7 AAA Auto loans and leases ItalySecuritisation (F.I.T.S) S.r.l.

October 2003 RNC SpA Cars Alliance Funding PLC, €€1,100.0 AAA, A Auto loans Italyseries 2003-1

November 2003 RNC SpA FCC Rome Alliance Funding €€240.7 AAA Auto loans Italy

December 2003 Volkswagen Leasing VCL No. 6 Ltd €€1,000.0 AAA, A+ Auto leases GermanyGmbH

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