unicredit auto abs in europe
DESCRIPTION
Securitization of European auto loans in 2012, a good read for fixed-income investors, though not as comprehensive as the Lehman piece written prior to the crisisTRANSCRIPT
24 May 2013 Credit Research
Credit View - European Auto ABS
UniCredit Research page 1 See last pages for disclaimer.
Still on cruise control
■ So far, European Auto ABS issuance has been seemingly immune to slowing car sales and other funding opportunities for some automakers. What's more, as the European ABS market faces a supply squeeze on much lower primary market volumes in other core sectors, auto transactions have seen steady issuance. When it comes to placing volumes of riskier mezzanine or junior classes which offer higher spreads, the sector has staged a small comeback, albeit far off previous volumes.
■ The sector’s spread tightening was accompanied by robust collateral performance. Despite the overall improvements in performance metrics and the resilience to deterioration in macroeconomic conditions in some jurisdictions, collateral performance remains subject to substantial regional variation. Solid collateral performance is also reflected in ratings’ stability for Germany and the UK, whereas other jurisdictions have seen numerous downgrades following sovereign downgrades and due to collateral underperformance.
■ Investors are likely to add the most value in this sector by analyzing deals backed by non-traditional collateral (e.g. ABS backed by residual value leases or UK Hire Purchase contracts) as well as by transactions securitizing collateral outside core jurisdictions. Given the spread pick-up in those transactions and the resilient collateral performance, particularly in France and Italy, we still see room for further upside in peripheral transactions and those from less frequent issuers.
■ Most subordinate spreads come with a substantial pick-up over seniors and are adequately protected. In addition, while the lower end of the capital structure also remains attractive, issuance of mezzanine and junior tranches is still negligible. For investors on the buying side, however, paper remains hard to come buy. In addition, we are facing unchanged – already tight – spreads across in the core sectors and are observing a flattening of the curves, as we seem to have reached floor levels in Auto ABS at the short end.
Contents The European Auto ABS sector in 2013 __________ 2New issuance and outstanding volumes __________ 3Structural features and collateral characteristics ____ 6Spread development _________________________ 8Originators _________________________________ 9Investors__________________________________ 11Collateral and rating performance ______________ 12Outlook___________________________________ 13 Related Research Securitization Market Watch, 21 May 2013
NEW ISSUANCE OF AUTO ABS BY QUARTER
0
1
2
3
4
1Q03
3Q03
1Q04
3Q04
1Q05
3Q05
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3Q08
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1Q11
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3Q12
1Q13
Issu
ance
vo
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2
4
6
8
5
6
7
8
9
lum
e (E
UR
bn)
10
12
14
16
18Public Private Retained Deal count (RS)
Source: UniCredit Research, ConceptABS
OUSTANDING VOLUMES BY ASSET TYPE
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5
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45
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Out
stan
ding
vol
ume
(EU
R b
n)
Loans Leases Leases incl. RV Leases and Loans Floorplan
Source: Bloomberg, UniCredit Research
Author Manuel Trojovsky (UniCredit Bank) Credit Strategy & Structured Credit +49 89 378-14145 [email protected] Bloomberg UCCR Internet www.research.unicreditgroup.eu
Credit Research
Credit View - European Auto ABS24 May 2013
The European Auto ABS sector in 2013 Auto transactions continue to see steady issuance
The appeal of Auto ABS transactions to investors is unabated, particularly against the backdrop of a lack of issuance in other European ABS sectors. The spread pick-up against German benchmark transactions offered by French and Italian transactionsand other non-traditional originators has generated renewed interest in Auto ABSpaper. In this piece, we address five key subjects relevant to the sector. First, we give a broad overview of recent issuance and discuss factors which could drive futureissuance activity and other factors which could constrain the number of new deals. In the second section, we outline deals issued in 2013 and their structural and collateralcharacteristics. In the third part, we look at the tightening in issuance spreads andsecondary market spread performance. Originators' reliance on the sector and investor participation are highlighted in the fourth part. The fifth section highlights the divergent trends between the jurisdictions in collateral performance as well as the variation in ratings’ stability across countries.
So far, European Auto ABS issuance has been seemingly immune to slowing car sales and unprecedentedly low funding costs for some automakers through other financing opportunities such as deposits and bonds. What's more, as the European ABS market faces a supply squeeze on much lower primary market volumes in other core sectors, auto transactions have seen steady issuance. As illustrated in the left chart, European Auto ABS is on the rise, albeit in a shrinking market. In contrast to other European ABS sectors such as UK RMBS, whichhave been recording a fall in outstanding volumes for months, the outstanding balance in AutoABS has grown again over the past few years, courtesy of record issuance in 2011 and 2012. This has caused outstanding volumes to approach peak levels again. Furthermore, the vastmajority of transactions maintained their AAA status throughout the eurozone crisis as shownin the right chart, underlining their safe-haven status. Furthermore, the increased demand for some of the riskier transactions over the last few months has been accompanied by stable performance trends in collateral pools. Credit metrics remained broadly stable, thereby defying fundamental factors such as rising unemployment in some countries. While all of this has been good news for investors over the past years, this does not mean that the market is entirely predictable. In the following, we shed some light on how the sector evolved over the past several years, discuss future challenges and draw parallels as to where the sector has come from and where we are today.
EUROPEAN AUTO ABS: A LARGER SHARE IN THE OVERALL ABS MARKET ON RISING NET SUPPLY
Gaining ground: New issuance of Auto ABS vs. other European ABS Outstanding volumes continue to be largely rated AAA
24.6%20.7%17.1%8.2%12.1%10.4%2.9%2.3%1.8%3.9%
0%
20%
40%
60%
80%
100%
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013YTD
Other Sectors Auto ABS
0
5
10
15
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35
40
45
Mar
-00
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AAA AA A BBB BB B CCC CC C D
Source: UniCredit Research, Bloomberg
UniCredit Research page 2 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
New issuance and outstanding volumes 2012 saw record issuance in European Auto ABS
When it comes to primary market activity in the European ABS universe, Auto ABS remains atower of strength. Since 2009, when investor-placed issuance was back down to the volume in 1999, the sector has gained traction on rapid issuance growth from public and privatedeals. Post-crisis, the European Auto ABS market grew to about EUR 23.7bn in 2012 fromabout EUR 14.5bn in 2009. On closer inspection, however, the left chart highlights that if it had not been for retained transactions, new issuance volumes today would not look too different from where they stood in 2007. The right chart shows a quarterly issuance breakdown, highlighting the fact that much of the issuance in 4Q08 up until 4Q09 was retained by the originators, while investor-placed issuance had dried up virtually completely. Following the growing illiquidity in the interbank market as well as the fact that some investorshad lost confidence in ABS, the European Central Bank (ECB) and the Bank of England (BoE) relaxed the criteria under which they accepted collateral from banks to whom they wereproviding liquidity. In order to assist banks and automakers’ financing arms with banking licenses in raising funds, ABS became eligible as collateral for the ECB's credit operations,subject to certain requirements. Subsequently, originators began very quickly to structure newtransactions to raise more financing from their central bank. The issued notes are typicallypurchased by the banks themselves, making them complete in-house transactions. The right chart illustrates that this activity continued well beyond the period immediately after the crisis in 2008/2009 and is still common.
In 2013, the Auto ABS sector accounts for about 25% of investor-placed European ABS volumes to date (vs. 20.7% in the entire 2012) with EUR 5.3bn in new issuance, slightly ahead of the EUR 4.9bn seen up to the same time in 2012. Overall issuance in 2013 YTD(including self-subscribed deals for central bank funding purposes and retained tranches) so far totals roughly EUR 7.2bn (vs. EUR 8.3bn to the same point in 2012). This year, we haveseen twelve new transactions, but at least three additional deals are currently in the pipeline.While Auto ABS issuance remains a key funding source for captives (that is, automakers’financing arms) and non-captives (i.e. consumer banks) and is competitive with unsecured auto issuance in terms of secondary market spreads (compared to the iBoxx EUR automobileindex' asset swap spread of around 55bp, for example), it is hardly predictable.
ISSUANCE HAS PEAKED IN 2012
Public issuance volumes are not back to 2007 levels Retained activity has continued well beyond the credit crunch
12
38
29
182220
17151316
1115
8870
5
10
15
20
25
1999
2000
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2002
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2005
2006
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2009
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2011
2012
2013
YTD
Issu
ance
vol
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(EU
R b
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05101520253035404550
Num
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f Dea
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Public Private Retained Deal count (RS)
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2
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4
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6
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18Public Private Retained Deal count (RS)
Source: UniCredit Research, ConceptABS
UniCredit Research page 3 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
Originators continue to expand their securitization activities to new jurisdictions
The upper left chart depicts issuance by jurisdiction, that is, the underlying assets' country oforigin as opposed to that of the originator. Needless to say, German collateral remains thedriving force behind issuance activity, with consistent supply over the years as shown by the stacks. German transactions account for about 48.2% of issuance, followed by Italian (10.9%) and French (10.7%) auto deals. The graph also shows a striking increase in Auto ABS issuance in France, as local originators are stepping up their securitization activities since Auto ABS remains a comparatively cheaper source of funding, particularly for Frenchcaptives. Additionally, some issuers continue to expand their securitization activities to newjurisdictions. Santander, for example, issued Auto ABS transactions backed by collateral from Denmark, Finland, Norway and Sweden over the past two years, while BMW and GE Money Bank originated Swiss transactions. Finally, the upper right chart plots outstanding volumes of Auto ABS, illustrating the extent to which volumes shrank in the wake of the crisis. Althoughnot immediately obvious, German transactions make up a slightly lower percentage here since they tend to be static by nature, thus having shorter weighted-average lives (WALs). More importantly, there has been a shift among jurisdictions, most notably affecting Spain and Italy, whose volumes have decreased since peaking in 2008/2009, towards greater French and UK volumes. All in all, the European landscape now comprises more jurisdictions,reflecting the above mentioned expansion efforts.
ISSUANCE BY COUNTRY AND OUTSTANDING VOLUMES IN AUTO ABS
German collateral accounts for about 48% of European issuance Outstanding volumes of Spanish and Italian notes shrank markedly
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R b
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1996 1997 1998 1999 2000 2001 2002 2003 20042005 2006 2007 2008 2009 2010 2011 2012 2013
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Mar-00 Jun-03 Sep-06 Dec-09 Mar-13
Vol
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Germany France UK ItalySpain Netherlands Portugal NorwayBelgium Austria Russia Cross-BorderFinland Sweden Denmark PolandSwitzerland
PLACED MEZZANINE/JUNIOR NOTES AND SECURITIZED COLLATERAL
Just a drop in the bucket when measured against previous issuance Out of the niche: Residual values securitization saw record issuance
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2006 2007 2008 2009 2010 2011 2012 2013
Issu
ance
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R m
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25
30Private Public Number of tranches (RS)
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5
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2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013YTD
Issu
ance
vol
ume
(EU
R b
n)
Auto FleetDealer FloorplanAuto Leases (incl. RV)Auto LeasesAuto Loans
Source: UniCredit Research, Bloomberg, ConceptABS
UniCredit Research page 4 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
Mezzanine and junior notes are rare
When it comes to placing volumes of riskier mezzanine or junior classes which offer higher spreads, the sector has staged a small comeback, albeit far off previous volumes. The leftchart shows that in 2012, for example, issuance volumes of such notes have still been negligible, totaling just EUR 225mn vs. EUR 1.12bn in 2006. Meanwhile, the market has seen a growing number of transactions backed by riskier residual values (RV), which come withhigher risk premiums, as indicated in the right chart. Most of these deals have come from less well-known issuers or from those captives deemed to have higher credit risk.
DECLINING CAR SALES MAY REDUCE THE NEED FOR SECURITIZATION
Anemic car sales in Europe a drag on issuance volumes? Car sales across the largest markets: the UK is bucking the trend
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% c
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oy)
Introduction of car scrapping scheme in France/GermanyEU 27 New Car Registrations (yoy)
-30%
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Germany France UK Italy Spain
New
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e yo
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2009 2010 2011 2012 2013 YTD
Source: UniCredit Research, Bloomberg
Issuance drivers What drives issuance volumes in European Auto ABS? Broadly speaking, it depends onavailable collateral, originators' funding needs, and the sector's appeal to investors, among other things. For one thing, the origination of Auto ABS requires sufficient quantities of loan orleasing contracts which can then be securitized. Car sales are typically correlated withfundamental factors such as unemployment and consumer confidence, as well as lending to consumers, which in turn is reflected in new car registrations. The decline in car sales across Europe (with the UK being a notable exception among the largest European markets), forexample, is likely to prove a drag on higher issuance, at least to some extent. Over the pastfew months, the European car market has suffered a further shrinkage in new car registrations (see left chart above), owing to flagging sales in France, Germany, Italy and Spain. The UK in turn, which had seen record issuance in 2012, with primary market volumes totaling the equivalent of EUR 3.7bn, has seen rising new car registrations which could spur Auto ABS issuance growth in our opinion. Secondly, although some captives haveincreasingly relied on secured funding considerably extending their securitization activities,other originators (notably VW Bank) used its growing shorter-dated client deposits as a source of funding. We believe that the recourse to securitization will increase for somecaptives over the next few years, particularly in France where automakers have experiencedrising unsecured financing costs. According to Moody’s, for example, securitization operations could reach 30% of funding profiles for some car financing companies over the coming years.On the other hand, German captives have used the difficult market conditions and regulatoryuncertainty as an opportunity to substantially expand their deposit-gathering activities. Unlike captives such as Banque PSA Finance, FGA Capital or RCI Banque, VW Bank largely fundsitself through client deposits (roughly 70%, as of June 2012) rather than through wholesale funding, thus obviating the need for more Auto ABS issuance.
UniCredit Research page 5 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
Structural features and collateral characteristics Structural features Structures in European deals differ among transactions, and generally depend on the
expected losses derived from the historical performance of collateral as well as on thetargeted credit rating sought by the originator, among other things. The table below providesan overview of structural characteristics in recent transactions that stem from well-established Auto ABS programs. As observed in previous years, Auto ABS transactions issued in 2013 predominantly feature static structures with the exception of COMP 2013-1 and BSKYS, which come with revolving structures (please refer to the table below). It becomes apparent that transactions with revolving periods and those that also securitize the cars' residual values(e.g. COMP 2013-1, BSKYS) as well as those backed by loans with voluntary termination agreements as common in the UK (e.g. ABEST 8) require significantly higher levels of subordination. In addition, while most deals pay floating-rate (e.g. DRVON 10, VCL 17, SCGA 2013-1, ABEST 8), we note an increasing trend towards fixed-rate transactions, as in ECAR 2013-1 and BSKYS. The latter coupon types dispense with the need for a swap provider, whose range of potential counterparties has shrunk significantly following widespread bankdowngrades. The relatively short expected WAL of auto ABS notes, typically between one and three years, reduces investors’ exposure to interest-rate fluctuations in that case. This fact could potentially increase investors’ acceptance of fixed-rate issuance, according to S&P.WAL, however, is typically not used to calculate interest rate risk, as it is focuses on principalrepayments, ignoring interest payments. Indeed, it is the time-weighted period during which principal is outstanding.
STRUCTURAL CHARACTERISTICS IN RECENT EUROPEAN TRANSACTIONS
ABEST 8 SCGA 2013-1 ECAR 2013-1 DRVON 10 GLDR 2012-A BSKYS (fixed) COMP 2013-1 VCL 17
Launch date 3/27/13 3/26/13 2/22/13 1/24/13 11/21/12 4/29/13 5/2/13 2/28/13
Structure Senior GBP 218.8mn EUR 549mn EUR 500mn EUR 920mn EUR 500.1mn CHF 220.5mn EUR 361.2mn EUR 697.5mn
Mezzanine GBP 41.3mn EUR 51mn EUR 30.6mn EUR 32.5mn EUR 30.9mn CHF 57.9mn EUR 116.4mn EUR 21mn
Junior/Sub Loan (Sub) GBP
39.7mn -(Sub) EUR
27.9mn (Sub) 41.5mn EUR 31.0mn CHF 21.6mn - (Sub) 22.5mn
Replenishment period Static Static Static Static Static 36m revolving 12m revolving Static
AAA Size 73% 92% 94.20% 92% 89% 73.50% 75.63% 93%
AAA Credit Enhancement 28.30% 9.50% 12.40% 9.20% 11.94% 27.50% 26.12% 8.20%
Subordination 13.78% 8.50% 10.51% 7.40% 11.00% 26.50% 24.73% 7.00%
Reserve Fund (RF) 1.50% 1.00% 1.89% 1.20% 1.00% 1.00% 1.75% 1.20%
Overcollateralization 13.24% N/A N/A 0.60% N/A - - -
Excess Spread N/A 4.0% 4.6% 0.0% 3.8% 4.6% 3.7% 0.0%
Maturity WAL (Seniors) 0.86Y 1.66Y 1.64Y 1.82Y 1.97Y 3Y (call date) 2.7Y 1.29Y
Interest Interest Type floating floating fixed floating floating fixed floating floating
Spread (senior class) 1mL+47bp 1mE+38bp0.852%
(MS+61bp) 1mE+25bp 1mE+37bp0.313%
(MS+17bp) 1mE + 1mE+25bp
Swap provider yes yes no yes yes no yes yes
Swap counterparty Credit Agricole HSBC N/A Raiffeisen HSBC N/A HSBC/
JP Morgan BNS
Source: Offering Circulars, Rating Agency Presales, UniCredit Research
New transactions provide higher CE levels for seniors
The lower left chart indicates that, while we have seen more issuance of residual value transactions owing to greater investor risk appetite, among others, the amount of credit enhancement in those transactions remains far greater than in most other Auto ABS. As faras overall CE levels are concerned, we note that post-crisis transactions are structured such that they provide higher protection on average for senior noteholders. While AAA notes inVCL transactions still come with CE levels on the order of 8%, most auto loan deals now display CE in the range of 9-15%, even for long-standing programs that have shown solid performance. The lower right chart in turn points out that pre-crisis transactions exhibit a much higher concentration in terms of CE levels and issuance spreads, with rating agencies
UniCredit Research page 6 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
evidently placing less emphasis on differentiating among factors such as collateralcharacteristics, country of origin and issuer. Moreover, investors had accepted lowercompensation for comparable transactions originated between 2005 and 2007 that offeredless protection. Conversely, transactions originated between 2011 and 2013 exhibit much wider dispersion in CE levels and issuance spreads, suggesting that investors have become more cautious, whereas rating agencies fine-tuned their rating methodologies and stress assumptions.
CREDIT SUPPORT NOW DIFFERS STRONGLY AMONG VARIOUS TYPES OF TRANSACTIONS
Safety first: CE levels are now higher in RV transactions Spreads and CE levels in newer deals display greater dispersion
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May-99 May-01 May-03 May-05 May-07 May-09 May-11 May-13
Cre
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Auto Loans Auto Leases and LoansAuto Leases (incl. RV) Auto LeasesAuto Dealer Floorplan
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0% 5% 10% 15% 20% 25% 30% 35% 40%CE
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ance
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(bp)
2013 2012 2011 2007 2006 2005
Source: UniCredit Research, ConceptABS
Collateral characteristics The underlying assets in 2013 transactions have predominantly been standard, fixed-rate, fully amortizing auto loans, but also hire purchase (HP) loans (as in ABEST 8), allowing for voluntary termination by the borrower provided that over 50% of the loan has been repaid.This exposes the deal to residual value risk, as voluntary termination is most likely in a scenario in which the amount outstanding exceeds the value of the vehicle, that is, when theobligor has a negative equity position in the vehicle. The number of transactions that carryresidual value risk – the risk that a vehicle’s value at maturity is less than originally expected –had increased in 2012 to their highest level since 2006 (see chart below). This risk is usually accounted for through higher CE levels by rating agencies, while the notes tend to price at higher spreads. The table below outlines the most important collateral features in the pools backing more recent transactions from major European Auto ABS programs. It depicts some of the key variables in which collateral differs as previously addressed and provides specific quantities. In terms of the weighted-average interest rate (WA interest), borrowers with lower creditworthiness tend to pay higher interest rates. Moreover, captives tend to offer lower rates(e.g. DRVON 10, GLDR 2012-A), especially in cases where loans are subsidized by the automakers themselves. The table also suggests a striking link between the portion of newvehicles, weighted-average remaining term and the average loan balance, which is most evident in SCGA 2013-1, the only non-captive transaction, when compared to the other pools.
UniCredit Research page 7 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
COLLATERAL CHARACTERISTICS IN RECENT TRANSACTIONS
Type Deal Name Issuer Country WA IR Balloon Loans (%)
Vehicle type
WA term (remaining)
WA seasoning
Average Loan
Balance
Obligors
Loans ABEST 8 FGA (Fiat) UK 6.89% 77.50% 82% new 1.96Y 1.61Y GBP 10,241 29,271 SCGA 2013-1 Santander
Consumer Germany 5.70% 39.50% 40% new 3.96Y 0.97Y EUR 9,861 60,845
ECAR 2013-1 GMAC Bank Germany 6.55% 83.10% 88.1% new 2.83Y 0.63Y EUR 11,226 49,763 DRVON 10 VW Bank Germany 3.83% 82.12% 65.7% new 3.08Y 0.83Y EUR 14,084 70,294 GLDR 2012-A FCE Bank (Ford) Germany 3.30% 76.50% 69.0% new 3.52Y 0.62Y EUR 14,680 36,828 Leases (incl. RV) BSKYS (fixed) BMW Switzerland N/A N/A 80% new 2.47Y 1.49Y CHF 28,735 N/A COMP 2013-1 Banque PSA Germany N/A N/A 82% new 2.33Y 1.08Y N/A N/A Leases VCL 17 VW Leasing Germany N/A N/A 94.7% new 2.70Y 0.64Y N/A 48,099
Source: UniCredit Research
Spread development Primary market spreads Primary market pricing levels hit new lows in 2013, with spreads for DRVON 10 and VCL 17
both set at 1ME+25bp. However, strong investor demand also became apparent in othertransactions: ECAR 2013-1, for example, priced at just 61bp over MidSwap (0.852% fixedrate), while the previous transaction, ECAR 2012-1, had a spread of 1ME+125bp. The same pattern holds in jurisdictions outside Germany, with ABEST 8 pricing at 1ML+47bp – the tightest spread for a UK deal post crisis. Below we charted issuance spreads over EURIBOR of senior tranches placed with investors. While issuance spread levels are clearly wider than in the run-up to the crisis, when they were issued close to EURIBOR flat regardless of issuer,collateral type or jurisdiction, the tightening trend is in full swing again. For transactions that securitize residual values (RV), which have been issued at the highest spread post crisis, thepremium has also come down markedly, as in the case of COMP 2013-1 launched at 1ME+80bp (2.7Y WAL, 24.3% CE) compared with COMP 2010-1 at 1ME+135bp (1.9Y WAL, 26.5% CE) in 2010. That said, the extra premium vs. benchmark transactions (e.g. VW's VCL)arising solely from the riskier collateral, however, is difficult to measure, given the fact that most RV deals were issued by new or infrequent originators often securitizing assets from jurisdictions that investors are less familiar with (e.g. HIGHW 2012-1, BUMP 2012-5, BSKYS).
PRIMARY MARKET SPREADS: 1999 TO DATE
Primary market spread compression in full swing German benchmark transactions headed for pre-crisis levels
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50
100
150
200
250
May-99 May-01 May-03 May-05 May-07 May-09 May-11 May-13
Issu
ance
spr
ead
(bp)
Auto Leases Auto Leases (incl. RV)Auto Leases and Loans Auto LoansDealer Floorplan
0
50
100
150
200
250
May-99 May-01 May-03 May-05 May-07 May-09 May-11 May-13
Issu
ance
spr
ead
(bp)
Austria Belgium FranceGermany Italy MultiNetherlands Norway PortugalRussia Spain UK
Source: UniCredit Research
UniCredit Research page 8 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
SECONDARY MARKET SPREADS AND TOTAL RETURNS
Trending sideways as all-in yields lose appeal to investors Senior Auto ABS remain strong cash surrogates
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Feb-07 May-08 Aug-09 Nov-10 Feb-12 May-13
Spre
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EUR
IBO
R
German Auto ABS AAAEuropean Auto ABS AAA (excl. Germany)1-month EURIBOR (RS)
98
100
102
104
106
108
110
112
Jan-
11
Apr
-11
Jul-1
1
Oct
-11
Jan-
12
Apr
-12
Jul-1
2
Oct
-12
Jan-
13
Apr
-13
Tota
l Ret
urn
(%)
iBoxx € Automobiles & Parts German Auto ABS AAA
European Auto ABS AAA French Auto ABS AAA
Source: UniCredit Research, Markit, Bloomberg
Secondary market spreads Secondary market spreads have been trending sideways recently, following significant spreadcompression in 2011 and 2012. With interest rates at record lows resulting in ever lower all-in yields, spread-tightening has taken a breather, as investors have been reluctant to accept even lower compensation by driving spreads towards pre-crisis levels. This has even entailed marginally softer spreads in some core transactions, at least temporarily. The upper left chart plots European Auto ABS spreads (excluding German transactions) and those from German deals. It also maps the 1-month EURIBOR rate to which most European Auto ABS deals are referenced, highlighting its downward trajectory since mid-2011. As in other European ABS sectors, the market continues to be characterized by a lack of supply from higher yieldingjurisdictions or collateral. That said, spreads for Italian transactions such as ABEST 7, for example, have tightened substantially (to levels around 1ME+135bp compared with 1ME+230bp at the time of launch). Given the tightening trend in Italian auto ABS, the re-issue of Banque PSA’s COMP 2012-2 in the secondary market and the recent launch of Italian consumer ABS MONVI 2013-1, which was part-placed with investors and contains a large share of auto loans, we expect to see additional Italian Auto ABS transactions in 2H13.
Total returns The right chart above plots total returns for French, German and overall Europeantransactions AAA Auto ABS against the iBoxx € Automobiles and Parts corporate bond index since the beginning of 2011. While we acknowledge that the comparison is somewhat flawed given the difference in terms of maturity/WAL and a partially different investor base, we wouldlike to point out the sector's resilience in times of market volatility vs. their originators'unsecured bonds. With the rally for Auto ABS taking place after the normalization in the European ABS market in 2009/2010, the sector only recorded moderate returns in the period since 2011. While they had outperformed corporate bonds up until mid-2011, underlining their safe-haven status, total returns have been modest, in particular for German AAAs.
Originators Auto ABS provide a relatively inexpensive funding opportunity for originators
The Auto ABS market is an equally important key funding tool for both captives and non-captives as for independent auto finance companies. Additional benefits from an issuer's perspective include, among other things, increased liquidity through a diversification of funding, risk transfer by taking assets off the balance sheet, regulatory capital relief available to banks and the reduction of funding costs compared to unsecured borrowing (i.e. by issuingbonds). The latter factor has become crucial for some issuers, given a deterioration in some of the issuers’ ratings. Currently, auto ABS provide a relatively inexpensive way of funding, in particular for those automakers that have been impacted by the adverse economic
UniCredit Research page 9 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
environment and the sovereign debt crisis when compared to funding through the corporate bond market. For some French and Italian automakers, factors such as high unemployment and consumer reluctance have been a drag on car sales, thereby reducing revenues, as discussed in the section on primary market activity. This resulted in downgrades due to deteriorating credit metrics, while lower sovereign ratings additionally weighed on Italian carmakers. Funding through ABS allows these captives to raise financing more cheaply than by issuing unsecured debt. Given the diverging credit default swap (CDS) spreads reflectingthe automakers' credit risk, as shown in the upper left chart, funding conditions have clearlygotten more expensive for French originators and their captives. Unsurprisingly, these issuershave experienced negative rating drift, which is depicted in the upper right chart.
CDS SPREADS AND RATING DEVELOPMENTS
CDS premiums reflect diverging funding conditions for captives. Ratings have taken opposite directions since the crisis
0
200
400
600
800
1,000
1,200
May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13
CD
S sp
read
(bp)
VW Santander UKBanco Santander SA RenaultPeugeot FCE BankFiat BMW
B-B
B+BB-BB
BB+BBB-BBBBBB+
A-A
A+AA-AA
AA+AAA
2006 2007 2008 2009 2010 2011 2012 2013
VW Santander (Spain) RCI Banque FGA CapitalBanque PSA FCE Bank PLC LeasePlan BMW
Sub-Investment Grade
CCC+
Source: Bloomberg, UniCredit Research
INVESTOR-PLACED ISSUANCE SINCE 2003
Issuance volumes are skewed to captives Originators' issuance frequency
10.5
1.41.41.41.62.22.62.82.93.54.24.7
7.98.4
15.0
24.6
0
5
10
15
20
25
VW
San
tand
er
Ren
ault
Peu
geot
Leas
ePla
n
Fiat
Ford
GM
AC
BB
VA
BM
W
Dai
mle
r
Soc
ram
Soc
Gen
BN
P P
arib
as
FFS
Ban
k
Oth
ers
Issu
ance
vol
ume
(EU
R b
n)
Loans Leases Dealer Floorplan Fleet
Apr
-03
Oct
-03
Apr
-04
Oct
-04
Apr
-05
Oct
-05
Apr
-06
Oct
-06
Apr
-07
Oct
-07
Apr
-08
Oct
-08
Apr
-09
Oct
-09
Apr
-10
Oct
-10
Apr
-11
Oct
-11
Apr
-12
Oct
-12
May
-13
VW Leasing
VW Bank/DFM
Santander
Renault/RCI
Peugeot/PSA
Ford/FCE
GMAC
Fiat
LeasePlan
Source: UniCredit Research
Captives accounted for 59% of new issuance in 2012
The leading issuers in the European auto ABS market are the captive companies which act asthe financing arm of automakers and support car sales by providing financing for new vehicle purchases on behalf of their parent company – the manufacturer – usually made through a dealership, which is operated under the name of the car company. While captives represent asubstantial portion of the auto loan or lease securitizations undertaken in Europe (roughly
UniCredit Research page 10 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
59% of all issuance in 2012 including retained transactions), non-captive transactions also account for a large share (around 41% in 2012). Non-captive issuers, who typically provide used car financing and leasing, continue to have a key role in the European auto ABSuniverse. These lenders span universal banks (some of which act through their consumerfinancing units), consumer banks, and leasing companies, among others. Non-captive lenders undertake a more traditional consumer loan activity in that they originate receivablesirrespective of a specific make of car. When it comes to public transactions in 2012, non-captive issuance amounted to similar volumes (around 46%) as those originated by theautomakers' financing arms (around 54%). Cumulative issuance from 2003 to date is shownin the left chart above, which highlights the total volumes in European Auto ABS that originators have issued broken down by underlying collateral type. VW remains the largest European originator in auto ABS, with total non-retained issuance in excess of EUR 24.6bn and activities throughout Europe, including the DRVON program (Germany, UK, Spain and a project in France), DFM in the Netherlands, VCL in Germany. Santander, a non-captive, is the next largest issuer acting through its consumer finance branches, placing transactions backedby auto loans from eight different European jurisdictions with volumes totaling the equivalent of EUR 15bn. To complement the left chart, we also plotted the frequency and the extent towhich originators rely on funding from securitizing their receivables in the right chart above.Looking at the top, one can see that VW (via VW Leasing and VW Bank/DFM) and Santanderare tapping the ABS market on a regular basis, typically issuing several transactions per year.
Investors UK and German banks remain the dominant buyers of most senior tranches
The left chart below gives a rough overview of investor participation in transactions' seniortranches of the past two years. With the exception of UK transactions, which have beenpredominantly picked up by asset managers, banks remain the dominant buyers of Auto ABS.Geographically, the UK, Germany, France and the Benelux continue to account for much ofthe investors. Interestingly, we note a growing interest from US and other foreign investors,particularly for those transactions with higher premiums. In terms of investor participation,while the investor base broadened beyond key accounts in 2010 after some investors had re-entered the market, some transactions in 2013 attracted fewer investors to its senior tranches,possibly because spreads were have become too tight or were deemed not attractive enough from a risk-return perspective. Unlike senior classes, the rare junior or mezzanine tranches are in large part bought by asset managers, insurers and hedge funds.
INVESTORS IN SENIOR TRANCHES
Banks remain the dominant buyers of Auto ABS Non-European investors have selectively bought European deals
0%10%20%30%40%50%60%70%80%90%
100%
VCL
14
CO
MP
201
1-2
SCG
A 2
011-
2
CA
R 2
011-
G1
TTS
OC
201
2-1
RN
BA
G 2
012-
1
VCL
15
TUR
BF
2012
-1
BUM
P 2
012-
5
HIG
HW
201
2-1
AN
OR
I 201
2-1
CA
R 2
012-
F1F
BSK
Y 3
RN
BAF
2012
-1
MO
TOR
12X
VCL
16
CA
R 2
012-
F1V
AN
OR
I 201
2-2
TUR
BF
3
BIL
K 3
GLD
R 2
012-
A
DR
VO
N 1
0
RN
BTG
1
VCL
17
ECA
R 2
013-
1
SCG
A 2
013-
1
ABE
ST
8
CO
MP
201
3-1
0
5
10
15
20
25
30
35
40
45
Banks Fund/Asset ManagersPension Funds/Insurers Central Banks/SuprasOthers Participating Accounts (RS)
0%10%20%30%40%50%60%70%80%90%
100%
VC
L 14
CO
MP
201
1-2
SC
GA
201
1-2
CA
R 2
011-
G1
TTS
OC
201
2-1
RN
BA
G 2
012-
1
VC
L 15
TUR
BF
2012
-1
BU
MP
201
2-5
HIG
HW
201
2-1
AN
OR
I 201
2-1
CA
R 2
012-
F1F
BS
KY
3
RN
BA
F 20
12-1
MO
TOR
12X
VC
L 16
CA
R 2
012-
F1V
AN
OR
I 201
2-2
TUR
BF
3
BIL
K 3
GLD
R 2
012-
A
DR
VO
N 1
0
RN
BTG
1
VC
L 17
EC
AR
201
3-1
SC
GA
201
3-1
AB
ES
T 8
CO
MP
201
3-1
UK Germany France Benelux Switzerland CEE USA Other
Source: UniCredit Research, IFR, ConceptABS
UniCredit Research page 11 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
Collateral and rating performance Collateral performance remainssubject to substantial regional variation
The sector’s spread tightening was accompanied by robust collateral performance. InJanuary, Moody’s European Auto ABS indices recorded an improvement in cumulativedefaults to 1.52%, down from 1.86% in the previous year, while 60-plus day delinquencies were broadly unchanged at 0.8% as indicated by the two charts at the bottom. Despite the overall improvements in performance metrics and the resilience to deterioration in macroeconomic conditions in some jurisdictions, collateral performance remains subject tosubstantial regional variation. 60-plus day delinquencies in Spain (around 3.2% in January 2013) and Portugal (around 8.4% in January 2013) are well above the European average ofaround 0.7%. The two Iberian countries had always seen higher delinquencies, which concerned investors, but cumulative defaults and losses were much lower at first. Starting in 2007, however, delinquencies had started to translate into losses of similar magnitude inresponse to the adverse economic situation in those countries (see right chart at the bottom). Consequently, those countries exhibit higher cumulative defaults at 3.7% and 7.48%, respectively, according to Moody's. Nevertheless, 60-90 day arrears are currently less than 2.5% in those countries. Meanwhile, Italian collateral has exhibited some performancedeterioration, albeit only moderately. 60-plus day delinquencies rose to 1.4% in January (vs. 0.5% in January 2012), while cumulative defaults have gone up to 2.04% in January from1.39% one year ago. If one considers CE levels of 8-12%, this has not been a concerning factor for either investors in senior transactions nor those in most mezzanine classes. On the bright side, cumulative losses in Germany and France (1.49%) remained stable (0.64%).
Sovereign downgrades weigh on rating stability
Solid collateral performance is also reflected in ratings’ stability for Germany and the UK, whereas other jurisdictions have seen numerous downgrades due to collateralunderperformance, as shown in the right chart on the next page, which illustrates rating changes in Auto ABS since mid-2008. However, a large number of downgrades in countries such as Italy, Portugal and Spain can be attributed to the fact that the country ceilings havebeen lowered by rating agencies for structured finance transactions. While Spanishtransactions saw a set of downgrades for performance reasons and even some defaults for junior notes (SANCF 2007-1 D, SANCF 2007-2 E) in older deals, the ratings in other transactions such as DRVES 2011-1 A were lowered solely due to the country ceiling rather than due to performance deterioration. Germany and the UK, in turn, have typically seen upgrades for their mezzanine or junior notes, owing to strong collateral performance along with rapid structural amortization, which builds up higher CE levels for these notes.
POOL PERFORMANCE: DELINQUENCIES AND CUMULATIVE DEFAULTS
Performance remains subject to substantial regional variation In Portugal, delinquencies translated in losses of similar magnitude
0
2
4
6
8
10
Jan-
04
Jul-0
4
Jan-
05
Jul-0
5
Jan-
06
Jul-0
6
Jan-
07
Jul-0
7
Jan-
08
Jul-0
8
Jan-
09
Jul-0
9
Jan-
10
Jul-1
0
Jan-
11
Jul-1
1
Jan-
12
Jul-1
2
Jan-
13
delin
quen
cies
(% o
f cur
. bal
ance
)
France Germany Italy Portugal Spain
0
1
2
3
4
5
6
7
8
Jan-
05
Jul-0
5
Jan-
06
Jul-0
6
Jan-
07
Jul-0
7
Jan-
08
Jul-0
8
Jan-
09
Jul-0
9
Jan-
10
Jul-1
0
Jan-
11
Jul-1
1
Jan-
12
Jul-1
2
Jan-
13
defa
ults
(% o
f orig
. bal
ance
)
France Germany Italy Portugal Spain
Source: Moody's
UniCredit Research page 12 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
RATING DISTRIBUTION AND RATING STABILITY
The bulk of Auto ABS remains AAA The solid performance in some deals no longer reflected in ratings
AAA76.9%
CC0.6%
CCC0.5%
B0.04%
A7.8%
BB0.1%
BBB1.0%
AA13.1%
AAA AA A BBB BB B CCC CC C D
18% 18% 18% 14%
86%82%82%82%62%60%50%
2%
100% 100% 98%
50%40% 38%
Aus
tria
(4)
UK
(13)
Ger
man
y(1
06)
Fran
ce (4
)
Rus
sia
(15)
Italy
(37)
Spa
in(1
48)
Ukr
aine
(11)
Por
tuga
l(1
7)
Mul
ti (2
1)
Downgrades Upgrades
Source: UniCredit Research, Rating Agencies, Bloomberg
Outlook In summary, we remain constructive regarding primary market activity, although the drop in
new car registrations may reduce the need for securitization in the case of some originators. Conversely, we expect the pace of new issuance backed by French and German collateral to remain vibrant, although the number of new transactions is slightly lagging behind our 2013 forecast. That said, while the significant volumes in retained transactions or tranches seen over the past years are likely to decline, they will not disappear anytime soon. Yet, additional transactions that had been initially structured as ECB repo deals could be sold on to investors. Given stronger demand for Italian assets, lower issuance could partly be offset bypreviously retained deals leaving the ECB. The macroeconomic situation in many eurozonecountries will continue to be the strongest driver of rating movements and fundamental weakness in auto ABS in the coming quarters. Certainly, the divergence of fundamentals andratings between core European exposure (UK, France, Germany) and the periphery willpersist. Periphery transactions remain under some fundamental pressure, even though significant performance deterioration is unlikely to materialize given the current improved performance. Despite a growing number of deals featuring revolving structures andsecuritizing residual values, we expect the deals outside core jurisdictions to withstand potential stress, as those potential risk factors are mitigated through sufficient CE levels and conservative trigger mechanisms.
Investors are likely to add the most value in this sector by analyzing deals backed by non-traditional collateral (e.g. ABS backed by RV leases or UK HP contracts) as well as by transactions securitizing collateral outside core jurisdictions. Given the spread pick-up in those transactions and the resilient collateral performance, particularly in France and Italy, we still see room for further upside in peripheral transactions and those from less frequentissuers. In addition, while the lower end of the capital structure also remains attractive, issuance of lower mezzanine tranches is still negligible. Most subordinate spreads come with a substantial pick-up over seniors and are adequately protected. Admittedly, for investors on the buying side, paper remains hard to come buy. In addition, we are facing unchanged –already tight – spreads across the sector and are observing a flattening of the curves, as we seem to have reached floor levels in Auto ABS at the short end.
UniCredit Research page 13 See last pages for disclaimer.
24 May 2013 Credit Research
Credit View - European Auto ABS
Disclaimer Our recommendations are based on information obtained from, or are based upon public information sources that we consider to be reliable but for the completeness and accuracy of which we assume no liability. All estimates and opinions included in the report represent the independent judgment of the analysts as of the date of the issue. We reserve the right to modify the views expressed herein at any time without notice. Moreover, we reserve the right not to update this information or to discontinue it altogether without notice. This analysis is for information purposes only and (i) does not constitute or form part of any offer for sale or subscription of or solicitation of any offer to buy or subscribe for any financial, money market or investment instrument or any security, (ii) is neither intended as such an offer for sale or subscription of or solicitation of an offer to buy or subscribe for any financial, money market or investment instrument or any security nor (iii) as an advertisement thereof. The investment possibilities discussed in this report may not be suitable for certain investors depending on their specific investment objectives and time horizon or in the context of their overall financial situation. The investments discussed may fluctuate in price or value. Investors may get back less than they invested. Changes in rates of exchange may have an adverse effect on the value of investments. Furthermore, past performance is not necessarily indicative of future results. In particular, the risks associated with an investment in the financial, money market or investment instrument or security under discussion are not explained in their entirety. This information is given without any warranty on an "as is" basis and should not be regarded as a substitute for obtaining individual advice. Investors must make their own determination of the appropriateness of an investment in any instruments referred to herein based on the merits and risks involved, their own investment strategy and their legal, fiscal and financial position. As this document does not qualify as an investment recommendation or as a direct investment recommendation, neither this document nor any part of it shall form the basis of, or be relied on in connection with or act as an inducement to enter into, any contract or commitment whatsoever. Investors are urged to contact their bank's investment advisor for individual explanations and advice. Neither UniCredit Bank nor any of their respective directors, officers or employees nor any other person accepts any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection therewith. This analysis is being distributed by electronic and ordinary mail to professional investors, who are expected to make their own investment decisions without undue reliance on this publication, and may not be redistributed, reproduced or published in whole or in part for any purpose. Responsibility for the content of this publication lies with: UniCredit Bank AG (UniCredit Bank), Am Tucherpark 16, 80538 Munich, Germany, (also responsible for the distribution pursuant to §34b WpHG). The company belongs to UniCredit Group. Regulatory authority: “BaFin“ – Bundesanstalt für Finanzdienstleistungsaufsicht, Lurgiallee 12, 60439 Frankfurt, Germany.
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Overview of our ratings You will find the history of rating regarding recommendation changes as well as an overview of the breakdown in absolute and relative terms of our investment ratings on our website http://www.disclaimer.unicreditmib.eu/credit-research-rd/Recommendations_CR_e.pdf.
Note on the evaluation basis for interest-bearing securities: Recommendations relative to an index: For high grade names the recommendations are relative to the "iBoxx EUR Benchmark" index family, for sub investment grade names the recommendations are relative to the "iBoxx EUR High Yield" index family. Marketweight: We recommend having the same portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is equal to the total return of the index. Overweight: We recommend having a higher portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is greater than the total return of the index. Underweight: We recommend having a lower portfolio exposure in the name as the respective iBoxx index. We expect that the average total return of the instruments of the issuer is less than the total return of the index. Outright recommendations: Hold: We recommend holding the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is equal to the yield. Buy: We recommend buying the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is greater than the yield. Sell: We recommend selling the respective instrument for investors who already have exposure. We expect that the total return of the instruments of the issuer is less than the yield. We employ three further categorizations for interest-bearing securities in our coverage: Restricted: A recommendation and/or financial forecast is not disclosed owing to compliance or other regulatory considerations such as a blackout period or a conflict of interest. Coverage in transition: Due to changes in the research team, the disclosure of a recommendation and/or financial information are temporarily suspended. The interest-bearing security remains in the research universe and disclosures of relevant information will be resumed in due course. Not rated: Suspension of coverage. Trading recommendations for fixed-interest securities mostly focus on the credit spread (yield difference between the fixed-interest security and the relevant government bond or swap rate) and on the rating views and methodologies of recognized agencies (S&P, Moody’s, Fitch). Depending on the type of investor, investment ratings may refer to a short period or to a 6 to 9-month horizon. Please note that the provision of securities services may be subject to restrictions in certain jurisdictions. You are required to acquaint yourself with local laws and restrictions on the usage and the availability of any services described herein. The information is not intended for distribution to or use by any person or entity in any jurisdiction where such distribution would be contrary to the applicable law or provisions. Coverage Policy A list of the companies covered by UniCredit Bank is available upon request.
UniCredit Research page 14
24 May 2013 Credit Research
Credit View - European Auto ABS
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Each U.S. recipient of this report represents and agrees, by virtue of its acceptance thereof, that it is such a "major U.S. institutional investor" (as such term is defined in Rule 15a-6) and that it understands the risks involved in executing transactions in such securities. Any U.S. recipient of this report that wishes to discuss or receive additional information regarding any security or issuer mentioned herein, or engage in any transaction to purchase or sell or solicit or offer the purchase or sale of such securities, should contact a registered representative of UniCredit Capital Markets, LLC. Any transaction by U.S. persons (other than a registered U.S. broker-dealer or bank acting in a broker-dealer capacity) must be effected with or through UniCredit Capital Markets. The securities referred to in this report may not be registered under the U.S. Securities Act of 1933, as amended, and the issuer of such securities may not be subject to U.S. reporting and/or other requirements. Available information regarding the issuers of such securities may be limited, and such issuers may not be subject to the same auditing and reporting standards as U.S. issuers. The information contained in this report is intended solely for certain "major U.S. institutional investors" and may not be used or relied upon by any other person for any purpose. Such information is provided for informational purposes only and does not constitute a solicitation to buy or an offer to sell any securities under the Securities Act of 1933, as amended, or under any other U.S. federal or state securities laws, rules or regulations. The investment opportunities discussed in this report may be unsuitable for certain investors depending on their specific investment objectives, risk tolerance and financial position. In jurisdictions where UniCredit Capital Markets is not registered or licensed to trade in securities, commodities or other financial products, transactions may be executed only in accordance with applicable law and legislation, which may vary from jurisdiction to jurisdiction and which may require that a transaction be made in accordance with applicable exemptions from registration or licensing requirements. The information in this publication is based on carefully selected sources believed to be reliable, but UniCredit Capital Markets does not make any representation with respect to its completeness or accuracy. All opinions expressed herein reflect the author’s judgment at the original time of publication, without regard to the date on which you may receive such information, and are subject to change without notice. UniCredit Capital Markets may have issued other reports that are inconsistent with, and reach different conclusions from, the information presented in this report. These publications reflect the different assumptions, views and analytical methods of the analysts who prepared them. Past performance should not be taken as an indication or guarantee of future performance, and no representation or warranty, express or implied, is provided in relation to future performance. UniCredit Capital Markets and any company affiliated with it may, with respect to any securities discussed herein: (a) take a long or short position and buy or sell such securities; (b) act as investment and/or commercial bankers for issuers of such securities; (c) act as market makers for such securities; (d) serve on the board of any issuer of such securities; and (e) act as paid consultant or advisor to any issuer. The information contained herein may include forward-looking statements within the meaning of U.S. federal securities laws that are subject to risks and uncertainties. Factors that could cause a company’s actual results and financial condition to differ from expectations include, without limitation: political uncertainty, changes in general economic conditions that adversely affect the level of demand for the company’s products or services, changes in foreign exchange markets, changes in international and domestic financial markets and in the competitive environment, and other factors relating to the foregoing. All forward-looking statements contained in this report are qualified in their entirety by this cautionary statement This document may not be distributed in Canada.
UniCredit Research page 15
24 May 2013 Credit Research
Credit View - European Auto ABS
UniCredit Research page 16
UniCredit Research* Michael Baptista Global Head of CIB Research +44 207 826-1328 [email protected]
Dr. Ingo Heimig Head of Research Operations +49 89 378-13952 [email protected]
Credit Research
Luis Maglanoc, CFA, Head +49 89 378-12708 [email protected]
Credit Strategy & Structured Credit Research
Dr. Philip Gisdakis, Head Credit Strategy +49 89 378-13228 [email protected]
Dr. Tim Brunne Quantitative Credit Strategy +49 89 378-13521 [email protected]
Markus Ernst Credit Strategy & Structured Credit +49 89 378-14213 [email protected]
Dr. Stefan Kolek EEMEA Corporate Credits & Strategy +49 89 378-12495 [email protected]
Manuel Trojovsky Credit Strategy & Structured Credit +49 89 378-14145 [email protected]
Dr. Christian Weber, CFA Credit Strategy +49 89 378-12250 [email protected]
Financials Credit Research
Franz Rudolf, CEFA, Head Covered Bonds +49 89 378-12449 [email protected]
Valentina Stadler, Deputy Head Sub-Sovereigns & Agencies +49 89 378-16296 [email protected]
Amey Dyckmans, CFA Sub-Sovereigns & Agencies +49 89 378-12004 [email protected]
Florian Hillenbrand, CFA Covered Bonds +49 89 378-12961 [email protected]
Dr. Tilo Höpker Banks +49 89 378-12960 [email protected]
Philipp Koerge Banks +49 89 378-12429 [email protected]
Luis Maglanoc, CFA Regulatory & Accounting Service +49 89 378-12708 [email protected]
Natalie Tehrani Monfared Regulatory & Accounting Service +49 89 378-12242 [email protected]
Emanuel Teuber Banks, Financial Services, Insurance +49 89 378-14245 [email protected]
Corporate Credit Research
Stephan Haber, CFA, Co-Head Telecoms, Technology +49 89 378-15192 [email protected]
Dr. Sven Kreitmair, CFA, Co-Head Automotive & Mobility +49 89 378-13246 [email protected]
Jana Arndt, CFA Basic Resources, Industrial G&S, Construction & Materials +49 89 378-13211 [email protected]
Christian Aust, CFA Industrial Transportation, Media, Pulp & Paper +49 89 378-12806 [email protected]
Olga Fedotova Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-1376 [email protected]
Dr. Manuel Herold Consumers +49 89 378-12650 [email protected]
Max Huefner, CFA Chemicals, Aerospace & Defense, Packaging +49 89 378-13212 [email protected]
Susanne Reichhuber Utilities +49 89 378-13247 [email protected]
Alexander Rozhetskin Russia/CIS (Banks, Oil & Gas, Basic Resources, Telecoms) +44 207 826-7953 [email protected]
Dr. Silke Stegemann, CEFA Healthcare, Oil & Gas +49 89 378-18202 [email protected]
Publication Address
UniCredit Research Corporate & Investment Banking UniCredit Bank AG Arabellastrasse 12 D-81925 Munich Tel. +49 89 378-18927
Bloomberg UCCR Internet www.research.unicreditgroup.eu
*UniCredit Research is the joint research department of UniCredit Bank AG (UniCredit Bank), UniCredit Bank AG London Branch (UniCredit Bank London), UniCredit Bank AG Milan Branch (UniCredit Bank Milan), UniCredit Bank AG Vienna Branch (UniCredit Bank Vienna), UniCredit Bulbank, Zagrebačka banka d.d., UniCredit Bank Czech Republic (UniCredit Bank Czechia), Bank Pekao, ZAO UniCredit Bank Russia (UniCredit Russia), UniCredit Bank Slovakia a.s. (UniCredit Slovakia), UniCredit Tiriac Bank (UniCredit Tiriac) and ATF Bank.