European credit card ABS

EXHIBIT 13.4 European Credit Card ABS Issuers Ranked by Volume (1995 to 2002) ... 

The key performance indicators for analysing credit card portfolios include portfolio yield, monthly payment rate (MPR), delinquencies, charge-offs, and excess spread. For most European credit card ABS, these performance indicators are published on a monthly basis on Bloomberg. The high degree of standardisation in terms of which performance indicators are published and how they are calculated makes the credit card ABS market very transparent. This also allows us to construct meaningful indices which help us track the performance of the whole (or a significant part) of the credit card market. 

Barclays Capital has developed an index for the European CCABS market, called the Barclays European Credit Card Indicators (BECCI). BECCI includes approximately 12 billion equivalent in receivables held in publicly rated ABS credit card transactions. It covers approximately 85% of the whole European credit card ABS market. Transactions are not included if their performance data is not or not yet publicly available. The various performance indicators are calculated on a weighted average based on the publicly rated notes outstanding. 

Credit card ABS (CCABS) constitute one of the most liquid and widely accepted asset classes in Europe and most European ABS investors are likely to hold some credit card securitisations. The purpose of this chapter is to discuss the structural features and investment characteristics of CCABS. The focus is on the UK credit card ABS market because the vast majority of European credit card transactions are backed by sterling-denominated collateral. 

The CCABS market continues to be a safe haven for European ABS investors. Especially in 2002, when corporate bonds of various sectors showed increased price volatility and the CDO market experienced a significant number of downgrades, credit card ABS transactions continued to show strong and stable performance. In fact, since the market s inception in 1995, no European CCABS have experienced any downgrades. We believe that CCABS are likely to continue to exhibit strong and stable performance and remain one of the core asset classes for European ABS investors. 

Tranching of European auto and consumer loan ABS transactions is much less standardised than, say, European credit card transactions. While most credit card transactions come with three tranches, typically... 

Three types of consumer finance receivables have been securitised in the past credit card receivables, auto receivables (essentially auto loan and auto lease receivables), and other consumer finance receivables, which typically include unsecured personal loans. Credit card receivables are discussed in Chapter 13. The purpose of this chapter is to provide an overview of the European auto and consumer loan ABS markets and review the structural, collateral, and performance characteristics of the two asset classes. We decided to review auto and consumer loan ABS combined in one chapter because of the many similarities between the two asset classes. 

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