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Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
Auto ABS Performance Report
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Auto ABS Performance Report

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  • 1. Issue 1 - March 2004 Auto ABS Performance Report European Structured Finance Report Q4 2003 Contacts: Chris Such London (44) 20-7176-3529 New Auto Performance Report Tracks christopher_such@standardandpoors.com Vladimir Stupak London (44) 20-7176-3786 Expanding Asset Class vladimir_stupak@standardandpoors.com StructuredFinanceEurope@standardandpoors.com ABS backed by auto loans and leases have over the class among consumer ABS behind credit cards and past five years grown in to a distinct asset class in personal unsecured loans — with a 17% share of the Europe. In 2003, auto ABS was the third biggest asset €24.4 billion rated issuance in 2003 (see chart 1). € Chart 1 Consumer ABS Issuance in 2003 Issuance Rated by Standard & Poor’s Trade receivables Personal (2%) unsecured (7%) Credit cards (32%) Equipment (14%) Auto loans and Personal secured leases (28%) (17%) This quarterly report will provide a comparative Not all transactions report an identical set of data, analysis of the key performance indicators across this and performance indicators have been compiled asset area. The report and the indicators in it cover using the available information. In addition, the the underlying portfolios of auto loans and leases but individual transactions vary greatly in performance. exclude those with mixed pools of assets (e.g., auto However, the performance charts of included loans/leases, and personal secured and unsecured transactions will highlight any significant variances. loans) because of the different risk profiles of those assets. The European Auto ABS Market The weighted-average indicators are included for In Europe, various assets are securitized into auto comparison only, and should not be understood as ABS. These include not only consumer and corporate benchmarks, because of the differences among auto loans, but also auto leases and loans for new originators' lending practises and jurisdictions. and used vehicles. Most of the transactions comprise Auto ABS Performance Report European Structured Finance Report Q4 2003 1
  • 2. Auto ABS Performance Report Issue 1 - March 2004 just the amortizing part of the contract. However, Since 1998, Standard & Poor's has rated 37 auto there are a few transactions outstanding where the ABS transactions for a total amount of €19.6 billion. € whole loan is securitized, including the residual Out of that amount, nearly €14 billion of rated notes € element, e.g., the residual value of underlying are outstanding. Originators and transactions are collateral that is used to make a final payment on the shown in table 2. loan. In 2003 issuance of notes backed by auto loans and Although the market has grown steadily, it is still leases remained healthy. Although the total issuance much smaller than the equivalent market in the U.S., rated by Standard & Poor's in 2003 decreased by and therefore it is not appropriate at this stage to more than 50% from that in 2002, which was a divide the market into subclasses according to the record year, it was still comparable with levels risk profile of the assets (prime, nonprime, reached in 2001 (see chart 2). subprime). Chart 2 Volume of Auto ABS Transactions Rated by Standard & Poor’s (Mil. €) 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 0 1998 1999 2000 2001 2002 2003 In 2003, Standard & Poor's publicly rated seven There are two distinct types of originator in transactions. Of these, three were repeat issues, one Europe: financing arms (captives) of automakers was a tap issue, and three were originated by and retail banks. Auto captives command the newcomers to the securitization market — Iveco larger share of the auto ABS market at 84%. For Finanziaria and RNS SpA, a wholly owned the purposes of clarity, table 1 lists transactions subsidiary of RCI Banque. originated by captives along with their ultimate parents. Auto ABS Performance Report European Structured Finance Report Q4 2003 2
  • 3. Auto ABS Performance Report Issue 1 - March 2004 Table 1 Transactions Originated by Captives, Their Originators, and Parents Issue date Originator Transaction name Ford April 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 Fiat July 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 Securitisation Tarcredit, 2002 PLC Establecimiento Financiero de Credito S.A. July 2003 IVECO Finanziaria First Italian Truck Securitisation (F.I.T.S) S.r.l. Volkswagen January 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 Renault October 2002 DIAC S.A. Cars Alliance Funding October 2003 RNC SpA Cars Alliance Funding PLC November 2003 RNC SpA FCC Rome Alliance Funding Porsche November 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 active program, all currently outstanding. Another major players (see chart 3). It has issued five series of player is Volkswagen, which closed its sixth publicly rated notes through its Globaldrive transaction, VCL 6, in December 2003. Auto ABS Performance Report European Structured Finance Report Q4 2003 3
  • 4. Auto ABS Performance Report Issue 1 - March 2004 Chart 3 Issuance by Originator Noncaptive Peugeot (17%) (16%) Volkswagen (8%) Porsche (1%) Renault (21%) Ford (16%) Fiat (21%) Italy, Germany, and France command among 2003, new transactions were originated in Italy, them nearly a 75% share of the European market Germany, and Portugal. according to domicile of assets (see chart 4). In Chart 4 Domicile of Assets Backing European Auto ABS Portugal U.K. (8%) (2%) France (24%) Spain (17%) Austria (1%) Germany Italy (23%) (26%) Asset/Rating Performance the transactions' starting to trap excess spread, which provides additional credit enhancement Performance of ratings was stable in 2003, with no against weaker performance of the underlying downgrades and two upgrades of seasoned portfolio of assets. transactions (VCL 4 and VCL 5), where, due to In Standard & Poor's analysis, key indicators for amortization of the senior classes of notes, auto ABS transactions include: additional credit enhancement had built up. ! Net loss rate; Three transactions breached performance-related ! Effective yield; triggers: Globaldrive Series B, Globaldrive Series D, ! Prepayment rate; and and European Auto Securitisation. However, from ! Delinquency rate. the rating perspective, these breaches were offset by Auto ABS Performance Report European Structured Finance Report Q4 2003 4
  • 5. Auto ABS Performance Report Issue 1 - March 2004 Each of these indicators except delinquency rates is Net Loss Rate calculated as an annualized weighted average. European auto ABS transactions show a wide Prepayment rate and effective yield are weighted by variance in the timing of the loss recognition as the outstanding amount of the collateral at the well as in reporting losses gross or net. Some beginning the collection period and net loss rate by transactions recognize gross losses after receivables the outstanding amount of the collateral at the end become defaulted. Others recognize net losses on of the collection period. For transactions that receipt of the full value of recoveries a significant report quarterly the interim data points were time after default. For the purposes of this report, linearly interpolated. for transactions that report losses gross, proxies for Although all the indicators are key inputs to the net losses were calculated as gross losses/defaults ongoing surveillance analysis, caution should be minus recoveries to the extent that recoveries exercised in comparison of the performance of formed part of available principal collections. individual transactions as well as in drawing The net loss rate for European auto ABS is shown conclusions. An additional careful review of further in chart 5. Since this is calculated as a weighted transaction-specific features is needed for this average, the peaks in net losses can be largely purpose, as the indicators do not reflect them. For attributed to several big transactions' having spikes example, transactions with high levels of net losses in net losses, sometimes due to one-off reporting may have other compensating factors such as corrections/adjustments, as can be seen from the higher yield assets, lower prepayment rates, etc. individual performance charts 6a, 6b, 6c, and 6d. Chart 5 Net Loss Rate (%) 1.8 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 5
  • 6. Auto ABS Performance Report Issue 1 - March 2004 Chart 6a Net Loss Rate by Transaction LTR 1 Bmore 1 Silk Finance 1 LTR 2 Bmore 2 Net Loss Rate (%) 16 14 12 10 8 6 4 2 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 6b Net Loss Rate by Transaction LTR 3 Globaldrive B Titri TS1 Globaldrive D Titri TS2 Net Loss Rate (%) 8 7 6 5 4 3 2 1 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 6
  • 7. Auto ABS Performance Report Issue 1 - March 2004 Chart 6c Net Loss Rate by Transaction Auto ABS 2001 Cars Alliance Funding Auto ABS 2002 French Portfolio Auto ABS 2002 Spanish Portfolio First Italian Auto Transaction Net Loss Rate (%) 6 5 4 3 2 1 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 6d Net Loss Rate by Transaction Globaldrive (UK) Second Italian Auto Transaction Absolute Funding Globaldrive E Spanish Portfolio Globaldrive E Italian Portfolio Net Loss Rate (%) 2.5 2.0 1.5 1.0 0.5 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M In the LTR 1 and LTR 2 transactions, the servicer has gross defaults and recoveries. This is to allow for discretion over the timing of loss recognition and large stresses to be applied to the level of gross defaults and losses were recognized in some reporting periods and to recovery percentages and recovery timing. this explains the spikes in their net losses. All of these The total figure for losses is in general lower than for losses were covered through excess spread in these credit cards and consumer unsecured loans. It has transactions. None of the transaction performance remained low and tends to stabilize around 0.75%. triggers were breached, since these losses were The blended portfolio of underlying contracts, recognized after the end of revolving period. including loans, leases, new and used vehicles, FCE Bank, servicer of the Globaldrive Series B and D consumer, and corporate customers, feeds into this low transactions, adopted a more conservative definition of loss rate. When transactions are rated the various losses at the end of 2002, which resulted in the breakdowns within the portfolio are analyzed because reclassification of some delinquencies as defaults. This they tend to behave differently — e.g., customers with reclassification explains the spike in losses for these in used cars tend to have a higher default rate than those January 2003. who buy new cars. To control the performance of each Despite net losses being one of the key indicators of transaction, triggers and eligibility constraints are performance of any ABS, the transactions are rated on included in the documentation. The portfolio is then Auto ABS Performance Report European Structured Finance Report Q4 2003 7
  • 8. Auto ABS Performance Report Issue 1 - March 2004 stressed to the portfolio composition that carries the prepayment rate can have a negative effect, since the highest risk. larger part of underlying collateral is substituted and the new assets in portfolio may have higher default Prepayment Rate rates. To avoid deterioration of the quality of the The prepayment rate is the amount of principal fully collateral during the revolving period, most auto ABS prepaid during the collection period divided by the transactions incorporate early amortisation triggers receivables outstanding at the beginning of the period based on actual default and delinquencies rates. In and annualized. For transactions without revolving both cases, a high prepayment rate reduces the level of periods, a high prepayment rate is a positive attribute excess spread, which has a negative effect on the for the performance and credit rating of a transaction transactions. because it reduces the amortisation period and The prepayment rates for auto ABS transactions is therefore the transaction's exposure to defaults. shown in chart 7. Individual breakdowns are in charts However, during the revolving period a high 8a, 8b, and 8c. Chart 7 Prepayment Rate (%) 30 25 20 15 10 5 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 8a Prepayment Rate by Transaction VCL 4 VCL 5 Globaldrive (UK) Titri TS1 Prepayment Rate (%) 35 30 25 20 15 10 5 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 8
  • 9. Auto ABS Performance Report Issue 1 - March 2004 Chart 8b Prepayment Rate by Transaction Titri TS2 Auto ABS 2002 Spanish Portfolio Auto ABS 2002 French Portfolio Cars Alliance Funding Santander Consumer Prepayment Rate (%) 35 30 25 20 15 10 5 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 8c Prepayment Rate by Transaction Fiat Second Italian Absolute Funding Auto ABS 2001 Prepayment Rate (%) 35 30 25 20 15 10 5 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M The overall prepayment rate mostly stays within Effective Yield the 15%-20% range. The lowest average Effective yield is worked out by dividing interest prepayment rate is in the Spanish portfolio for payments received during the collection period by Auto ABS Compartiment 2002 at 7.3%. the receivables outstanding at the beginning of the Globaldrive (U.K.) has the highest average collection period and annualizing the figure prepayment rate at 24.6%. The prepayment rate obtained. For transactions where receivables are for VCL 4 dropped significantly because nearly all bought at discount, effective yield will be higher the collateral has amortized. than the reported weighted-average coupon, Auto ABS Performance Report European Structured Finance Report Q4 2003 9
  • 10. Auto ABS Performance Report Issue 1 - March 2004 because the discount is included in the effective prepayments. The weighted-average yield for auto yield calculation. In addition, effective yield is more ABS transactions is shown in chart 9. It is broken volatile than weighted-average coupon since it is down for individual transactions in charts 10a, greatly affected by delinquent interest payments or 10b, and 10c. Chart 9 Effective Yield (%) 12 10 8 6 4 2 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 10a Effective Yield by Transaction LTR 1 Bmore 1 Silk Finance 1 LTR 2 Bmore 2 Effective Yield (%) 20 18 16 14 12 10 8 6 4 2 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 10
  • 11. Auto ABS Performance Report Issue 1 - March 2004 Chart 10b Effective Yield by Transaction Globaldrive B Auto ABS 2001 Bmore 3 LTR 3 Globaldrive D Effective Yield (%) 20 18 16 14 12 10 8 6 4 2 0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 10c Effective Yield by Transaction Second Italian Auto ABS 2002 Spanish Portfolio Auto ABS 2002 French Portfolio Cars Alliance Funding Globaldrive E Italian Portfolio Effective Yield (%) 12 10 8 6 4 2 0 Au 2 Au 3 Ap 2 Ap 3 M 2 M 3 Fe 2 Ju 2 2 Fe 3 Ju 3 3 Se 2 De 2 Se 3 De 3 No 2 No 3 Ja 2 3 02 Oc 3 M 2 M 3 l-0 l-0 0 0 r-0 r-0 -0 -0 n-0 n-0 n-0 n-0 0 0 t-0 v-0 t-0 v-0 0 c-0 c-0 0 0 ar- ar- g- g- p- p- b- b- ay ay Ju Ju Oc Ja Effective yield for auto ABS is lower than for other Delinquency Rate consumer ABS such as unsecured loans and credit Delinquency rate is the total principal amount of cards. This is a reflection of the lower risk the assets for which one or more payments were associated with these loans and the competition in not received during the collection period divided by the market. receivables outstanding at the end of the collection As the performance charts show, the effective yield period. Delinquencies are a negative attribute to is gradually decreasing, which is consistent with the the transaction as they decrease the amount of low interest rate environment: substituted assets available cash flow. To avoid significant carry a lower interest rate. In addition, the deterioration of cash flows, most auto ABS increased level of competition in Europe results in transactions incorporate performance-related less volatile effective yield for recently originated triggers based on actual delinquency levels. Breach transactions, which have a tighter 7%-11% range. Auto ABS Performance Report European Structured Finance Report Q4 2003 11
  • 12. Auto ABS Performance Report Issue 1 - March 2004 of these triggers can result in an early amortization Delinquency rates for 30-60, 60-90, and 90 and event or the capturing of additional excess spread more days are shown in chart 11. to provide for additional credit enhancement. Chart 11 Delinquency Rates (%) 30-60 days 60-90 days 90-120 days 1.6 1.4 1.2 1.0 0.8 0.6 0.4 0.2 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M The delinquency rate for 90-120 days is lower than M which the new losses are accumulated. the net loss rate. This is because net losses are not Individual 90-120-day delinquency rates for auto recognized immediately after default, but after ABS transactions are given in charts 12a, 12b, 12c, significantly more time (up to one year), during and 12d below. Chart 12a Delinquencies (90-120 Days) by Transaction LTR 1 Bmore 1 Silk 1 LTR 2 Bmore 2 LTR 3 (%) Delinquency Rate 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 12
  • 13. Auto ABS Performance Report Issue 1 - March 2004 Chart 12b Delinquencies (90-120 Days) by Transaction Globaldrive D Bmore 3 Globaldrvie B Globaldrive (UK) Titri TS1 Delinquency Rate (%) 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Chart 12c Delinquencies (90-120 Days) by Transaction Auto ABS 2001 Titri TS2 Auto ABS 2002 Spanish Portfolio Auto ABS 2002 French Portfolio (%) LTR 4 Delinquency Rate 2.5 2.0 1.5 1.0 0.5 0.0 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M M Auto ABS Performance Report European Structured Finance Report Q4 2003 13
  • 14. Auto ABS Performance Report Issue 1 - March 2004 Chart 12d Delinquencies (90-120 Days) by Transaction Globaldrive E Spanish Globaldrive E Italian Santander Consumer Globaldrive F Slik 2 Delinquency Rate (%) 0.50 0.45 0.40 0.35 0.30 0.25 0.20 0.15 0.10 0.05 0.00 2 3 2 3 2 3 02 03 2 3 02 03 l-0 l-0 -0 -0 -0 -0 v-0 v-0 n- n- p- p- ar ar ay ay Ju Ju No No Ja Ja Se Se M M M Portuguese transactions tend to have the highest M owing to these originators that 2002 was the most 90-120-day delinquency rates, in the 1%-3% active year to date, so their activity in 2004 will be range. Globaldrive U.K. and Globaldrive Series F very important for the market's sustained growth. have the lowest at around 0.1%. Standard & Poor's expects to see a continued mix of both loans and leases being securitized. It Outlook expects that there will be greater use of balloon The transaction volume in 2004 is expected to be loans and residuals as originators look to maximize similar to 2003. Further issuances are expected the funding potential. from the originators that have been frequent issuers Floorplan transactions, e.g., those where in the market: Ford and Volkswagen. The total receivables from dealers' inventory financing are volume generated in 2004 depends upon whether securitized, are also expected to hit the market in repeat originators such as Peugeot, Renault, and 2004. This is now an established market in the Fiat come back to the market. So far, Peugeot has U.S., but has taken some time to happen in Europe, completed a €€1 billion transaction (Auto ABS but Standard & Poor's is expecting to rate term Compartiment 2004-1) in February 2004. It was issuances in 2004. Auto ABS Performance Report European Structured Finance Report Q4 2003 14
  • 15. Auto ABS Performance Report Issue 1 - March 2004 Table 2 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, Portugal long-term rental contracts May 1999 Banco Mais S.A. BMORE No. 1 Ltd. €€150.0 AAA, AA, A Auto loans, leases, Portugal long-term rental contracts May 1999 Volkswagen Leasing VCL No. 3 Ltd. €€500.0 Auto leases Germany GmbH July 1999 Interbanco S.A, Silk Finance No. 1 Ltd. €€100.0 AAA, A Auto loans, Portugal Multirent 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, Portugal long-term rental contracts July 2000 Fiat SAVA SpA First Italian Auto €€1,084.0 AAA, N.R. Auto loans Italy Transaction 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 Germany GmbH June 2001 Credipar Auto ABS €€1,000.0 AAA, A, N.R. Auto loans France Compartiment 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 Italy Auto 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 Austria leases November 2001 Sofinloc S.A., LTR Finance No. 3 PLC €€202.0 AAA, A Auto loans, leases, Portugal, Spain Sofivenda S.A., long-term rental Banco Esfinge contracts February 2002 Volkswagen Leasing VCL No. 5 Ltd. €€1,000.0 AAA, A Auto leases Germany GmbH 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, Portugal long-term rental contracts Auto ABS Performance Report European Structured Finance Report Q4 2003 15
  • 16. Auto ABS Performance Report Issue 1 - March 2004 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 France compartiment TS2 September 2002 Banco Mais S.A. BMORE Finance €€50.0 AAA, A, BBB Auto loans, leases, Portugal No. 3 PLC (Tap issue) long-term rental contracts July 2002 Credipar, Banque Auto ABS Compartiment €€1,500.0 AAA, A Auto loans France/Spain PSA Finance 2002-1 July 2002 Fiat Credit Finance S.A., European Auto €€833.3 AAA, A, N.R. Auto loans France/Spain Tarcredit, 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, Spain long-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 Spain Financieros, Finance Spain 02-1 Establecimiento Fondo de Titulizacion Financiero de Credito, S.A.,de Activos June 2003 Banco Mais S.A. BMORE Finance €€70.0 AAA, A, BBB Auto loans, leases, Portugal No. 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 Italy Securitisation (F.I.T.S) S.r.l. October 2003 RNC SpA Cars Alliance Funding PLC, €€1,100.0 AAA, A Auto loans Italy series 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 Germany GmbH Analyst E-Mail Addresses chris_such@standardandpoors.com vladimir_stupak@standardandpoors.com StructuredFinanceEurope@standardandpoors.com 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. Subscriber services: (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 or recommendations to buy, hold, or sell any securities. Auto ABS Performance Report European Structured Finance Report Q4 2003 16

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