articles Ratings /ratings/en/research/articles/191218-u-s-auto-loan-abs-tracker-october-2019-11290301 content
Log in to other products

Login to Market Intelligence Platform

 /


Looking for more?

Request a Demo

You're one step closer to unlocking our suite of comprehensive and robust tools.

Fill out the form so we can connect you to the right person.

If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ.

  • First Name*
  • Last Name*
  • Business Email *
  • Phone *
  • Company Name *
  • City *
  • We generated a verification code for you

  • Enter verification Code here*

* Required

Thank you for your interest in S&P Global Market Intelligence! We noticed you've identified yourself as a student. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. Please contact your professors, library, or administrative staff to receive your student login.

At this time we are unable to offer free trials or product demonstrations directly to students. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. We apologize for any inconvenience this may cause.

In This List
COMMENTS

U.S. Auto Loan ABS Tracker: October 2019

COMMENTS

German Covered Bonds: Harmonization In Sight

COMMENTS

Quote Book: Gleaning Sector Trends From Rating Actions For BSL CLO Market Participants (As Of Oct. 29, 2020)

COMMENTS

European CMBS: The Lowdown On Liquidity Support

COMMENTS

European CMBS Monitor Q3 2020


U.S. Auto Loan ABS Tracker: October 2019

U.S. auto loan collateral performance followed the seasonal pattern of weakening as the holiday season approached: losses increased month over month in the prime and subprime segments, subprime delinquencies increased, and subprime recoveries declined.

Prime And Subprime Losses Increased

U.S. prime auto loan losses increased to 0.68% in October 2019 from 0.57% in September 2019 and 0.62% in October 2018 (see table 1 and chart 1). Performance weakened across most of the index.

Subprime losses increased 92 basis points (bps) to 9.32% in October 2019 from September 2019, and 13 bps from October 2018. After netting out three deep subprime issuers (including Drive Auto Receivables Trust), modified subprime losses increased by 54 bps month over month to 6.42% in October 2019. On an annual basis, however, the modified index improved from 7.25% in October 2018.

Table 1

Net Loss Rate Composite(i)(ii)
October 2011 October 2012 October 2013 October 2014 October 2015 October 2016 October 2017 October 2018 September 2019 October 2019
Prime (%) 0.60 0.43 0.49 0.55 0.58 0.70 0.74 0.62 0.57 0.68
Subprime (%) 6.62 6.13 7.57 8.31 8.89 9.84 8.94 9.19 8.40 9.32
Subprime modified (%) - 5.59 7.03 7.50 7.78 7.80 7.32 7.25 5.88 6.42
(i)Represents monthly annualized losses. (ii)The September prime loss percentage is corrected; five of the transactions should not have been included in the September Auto Tracker's statistics because they had not yet seasoned three months.

Chart 1

image

Prime Monthly Recoveries Improved, But Subprime Recoveries Declined

Prime recoveries improved by 31 bps to 54.20% in October 2019 from 53.90% in September 2019, though they declined from 56.78% in October 2018 (see table 2 and chart 2). Subprime recoveries decreased to 39.59% in October 2019 from 40.70% in September 2019 and 40.09% in October 2018. Subprime modified recoveries decreased to 36.17% in October 2019 from 38.91% in September 2019 and 40.19% in October 2018.

The decline in recoveries is expected with the onset of the holiday season and the continued depreciation of the used car market from its summer high levels.

Table 2

Recovery Rate Composite(i)(ii)
October 2011 October 2012 October 2013 October 2014 October 2015 October 2016 October 2017 October 2018 September 2019 October 2019
Prime (%) 68.13 66.34 64.14 59.89 55.08 54.49 51.13 56.78 53.90 54.20
Subprime (%) 42.69 46.63 44.23 43.13 40.22 37.64 35.68 40.09 40.70 39.59
Subprime modified (%) - 46.85 44.54 43.67 41.80 38.67 37.02 40.19 38.91 36.17
(i)Represents monthly recovery rates. (ii)The September prime loss percentage is corrected; five of the transactions should not have been included in the September Auto Tracker's statistics because they had not yet seasoned three months.

Chart 2

image

Subprime And Modified Subprime Delinquencies Decreased Year Over Year

The prime 60-plus-day delinquency rate remained stable at 0.43% in October 2019 compared with 0.42% in September 2019, but it increased slightly from 0.40% in October 2018 (see table 3 and chart 3).

The subprime 60-plus-day delinquency rate increased to 5.32% in October 2019 from 5.22% in September 2019, but it improved slightly from 5.50% in October 2018. On a modified basis, after netting out three deep subprime lenders, the subprime modified 60-plus-day delinquency rate decreased to 3.41% in October 2019 from 3.59% in September 2019 and 3.88% in October 2018.

Table 3

60-Plus-Day Delinquency Rate Composite(i)(ii)
October 2011 October 2012 October 2013 October 2014 October 2015 October 2016 October 2017 October 2018 September 2019 October 2019
Prime (%) 0.50 0.38 0.38 0.39 0.43 0.48 0.44 0.40 0.42 0.43
Subprime (%) 3.06 3.38 3.79 4.23 4.73 5.24 5.04 5.50 5.22 5.32
Subprime modified (%) - 3.29 3.57 3.69 3.98 3.98 3.66 3.88 3.59 3.41
(i)Represents 60-plus-day delinquencies. (ii)The September prime loss percentage is corrected; five of the transactions should not have been included in the September Auto Tracker's statistics because they had not yet seasoned three months.

Chart 3

image

Revised Loss Expectations

In November 2019, we revised our loss expectations for the following transactions:

  • Five American Credit Acceptance Receivables Trust transactions backed by subprime auto loan receivables;
  • Five Drive Auto Receivables Trust transactions backed by subprime auto loan receivables;
  • Five Santander Drive Auto Receivables Trust transactions backed by subprime auto loan receivables;
  • Three Ally Auto Receivables Trust transactions backed by prime auto loan receivables;
  • Four GM Financial Consumer Auto Receivables Trust transactions backed by prime auto loans receivables; and
  • One Huntington Auto Trust transaction backed by prime auto loan receivables.

Of the 23 transactions we reviewed, we lowered our expected cumulative net losses (CNLs) for 19, maintained them for four.

Table 4

Drive Auto Receivables Trust
Series Initial expected net loss range (%) Revised/maintained expected lifetime CNL (revised November 2018) (%) Revised/maintained expected lifetime CNL (revised Nov. 21, 2019) (%)
2017-A 27.00-28.00 25.50-26.50 22.50-23.50
2017-B 27.00-28.00 24.50-25.50 20.50-21.50
2017-1 27.00-28.00 22.50-23.50 21.00-22.00
2017-2 27.00-28.00 22.50-23.50 21.00-22.00
2017-3 27.00-28.00 22.50-23.50 21.00-22.00
CNL--Cumulative net loss.

Table 5

Santander Drive Auto Receivables Trust
Series Initial expected net loss range (%) Revised/maintained expected lifetime CNL (Nov. 20, 2019) (%)
2015-5 15.50-16.25 up to 12.25
2017-1 15.50-16.25 12.50- 13.50
2017-2 15.75-16.50 12.50- 13.50
2017-3 15.75-16.50 12.25- 13.25
2018-5 15.75-16.50 14.75- 15.75
CNL--Cumulative net loss. N/A--Not applicable.

Table 6

GM Financial Consumer Auto Receivables Trust
Series Initial expected net loss range (%) Initial expected net loss range as of October 2018 (%) Revised/maintained expected lifetime CNL (revised Nov. 16, 2019) (%)
2017-1 1.15-1.35 1.05-1.25 0.90-1.10
2017-2 1.15-1.35 1.05-1.25 0.80-1.00
2018-3 1.05-1.25 N/A 1.00-1.20
2018-4 1.05-1.25 N/A 1.00-1.20
CNL--Cumulative net loss. N/A--Not applicable.

Table 7

Huntington Auto Trust Transaction
Series Initial expected net loss range (%) Prior revised initial expected net loss range (%) Revised/maintained expected lifetime CNL (Nov. 14, 2019) (%)
2016-1 0.70-0.80 0.65-0.75 0.55-0.65
CNL--Cumulative net loss.

Table 8

Ally Auto Receivables Trust
Series Initial expected net loss range (%) Former lifetime expected CNL (%) Revised/maintained expected lifetime CNL (Nov. 9, 2019) (%)
2017-3 0.95-1.05 0.95-1.05(i) 0.95-1.05
2017-4 0.95-1.05 0.95-1.05(ii) 0.85-0.95
2018-3 0.95-1.05 N/A 0.95-1.05
(i)As of October 2018. (ii)As of December 2018. CNL--Cumulative net loss. N/A--Not applicable.

Table 9

American Credit Acceptance Receivables Trust
Series Initial expected net loss range (%) Former lifetime expected CNL (revised August 2018) (%) Revised/maintained expected lifetime CNL (Nov. 2, 2019) (%)
2017-1 27.50-28.50 27.50-28.50 27.00-28.00
2017-2 28.50-29.50 27.50-28.50 27.00-28.00
2018-1 28.25-29.25 N/A 28.00-29.00
2018-2 28.00-29.00 N/A 28.00-29.00
2018-3 27.00-28.00 N/A 27.00-28.00
CNL--Cumulative net loss. N/A--Not applicable.

Historical Ratings Activity

Through November 2019, our reviews resulted in 384 upgrades and five downgrades.

Table 10

Historical Ratings Activity--U.S. ABS Auto Loans
Period Upgrades Downgrades
2001 56 0
2002 25 1
2003 32 22
2004 48 0
2005 87 0
2006 91 0
2007 116 2
2008 23 0
2009 95 7
2010 62 5
2011 144 2
2012 138 0
2013 185 0
2014 94 0
2015 177 0
2016 357 0
2017 322 0
2018 335 2
2019(i) 384 5
Total 2,771 46
(i)As of Nov. 30.

Appendix II: Auto Tracker Methodology And Definitions--Frequently Asked Questions

Effective with our U.S. auto loan ABS tracker report, "U.S. Auto Loan ABS Tracker: Full-Year 2017 And December 2017 Performance," published on Feb. 22, 2018, we modified our methodology for calculating the loss, delinquency, and recovery rates reported. Under the new methodology, we do not incorporate a transaction's performance into the composite results until it has been outstanding for four months. We have applied the new methodology to transactions that closed in December 2005 and thereafter.

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial expected CNLs of 3.00% or less, average FICO scores of 700 or higher, and annual percentage rates (APRs) of 0.00%-5.00%.

How do you define subprime auto loan ABS?

We generally categorize subprime auto loan ABS transactions as those backed by loan pools with initial expected CNLs of at least 7.50%, average FICO scores of less than 620, and APRs that exceed 14.00%.

How do you calculate the monthly net loss rate?

The monthly net loss rate is annualized. It equals each transaction's net loss rate weighted by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the composite starting in its fourth month outstanding. Transactions usually have zero or low losses during their first three months, which dilutes the composite figures.

How do you calculate the monthly recovery rate?

We calculate recoveries by taking the recovery amount reported (which typically includes all recoveries, including disposition proceeds, post-disposition proceeds, and any other reported recoveries) over the gross loss amount for the current month. We then weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the index starting in its fourth month outstanding. During a transaction's first three months, unusually high or low recoveries are reported, leading to a spike in the composite figures. Previously, we often excluded recovery rates in the first two months of a deal's life because of negative recovery rates (resulting from recoveries exceeding gross losses).

How do you calculate the monthly 60-plus-day delinquency rate?

We calculate delinquencies by taking each transaction's 60-plus-day delinquency amount over the ending pool balance for the current month. We then weight each transaction's 60-plus-day delinquency percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the composite.

We only allow a transaction to enter the composite starting in its fourth month outstanding. During the transaction's first three months, zero or lower delinquencies are reported, which dilutes the composite figures.

What is the ALSI?

Our ALSI monitors the credit performance of securitizations that were originated in the same year on a weighted average basis. The number of months displayed for each vintage is generally determined by the last point that all securitizations for that time period have a data point. We calculate the prime and subprime ALSI CNLs by taking the weighted average of the CNLs of the transactions that were completed in the same time period (generally a year). Each transaction's CNL is weighted by its initial pool balance over the aggregate initial pool balance of all the transactions included in the index for that period. In the subprime ALSI, transactions from Byrider Finance LLC (doing business as CarNow Acceptance Corp.), Credit Acceptance Corp., and DriveTime Automotive Group Inc. are excluded because they do not have the typical indirect auto loan business model.

Which transactions are included in the prime, subprime, and modified subprime composites and indices?

For a list of the transactions included in our prime, subprime, and modified subprime composites and indices, see "U.S. Auto Loan ABS Tracker: March 2019," published on May 23, 2019. However, note that we subsequently added S&P Global Ratings-rated transactions that have since closed, most prime transactions that closed and were not rated by S&P Global Ratings from 2016 through the present, and the Santander transactions S&P Global Ratings did not rate.

Related Research

  • Twelve Ratings Raised, Five Affirmed On Six Drive Auto Receivables Trust Transactions, Nov. 20, 2019
  • 13 Ratings Raised, Three Ratings Affirmed On Five Santander Drive Auto Receivables Trust Transactions, Nov. 19, 2019
  • Five GM Financial Consumer Auto Receivables Trust Ratings Raised, 17 Affirmed, On Four Transactions, Nov, 15, 2019
  • One Rating Raised And Three Ratings Affirmed On One Huntington Auto Trust Transaction, Nov. 13, 2019
  • Seven Ratings Raised And Nine Affirmed From Three Ally Auto Receivables Trust Transactions, Nov. 8, 2019
  • Ratings Raised On Twenty-One Classes From Five American Credit Acceptance Receivables Trust Deals; One Rating Affirmed, Nov. 1, 2019
  • Speed Bump Ahead: As Auto Loans Accelerate Toward 84 Months, Caution Is Warranted, Sept. 18, 2019
  • U.S. Prime Auto Loan ABS Are Seeing More Back-Loaded Losses As Loan Terms Lengthen, July 30, 2019
  • Subprime Auto Loan ABS Tracker: Losses Have Stabilized, But Renewed Growth Bears Watching, April 29, 2019
  • The Severity Of Subprime Auto Loan Delinquencies Is In The Eye Of The Beholder, March 18, 2019
  • 10-Year Retrospective: Changes In U.S. Auto ABS In The Decade Since The Great Recession, Feb. 15, 2019
  • Is There Extension Tension In U.S. Subprime Auto Loan ABS? Nov. 29, 2018

Many participants in the U.S. auto lending industry have received inquiries from regulatory bodies relating to the origination, underwriting, servicing, and securitization of auto loans. At this time, we do not anticipate that these inquiries will affect our ratings of auto loan ABS transactions. However, we will continue to evaluate developments in these areas as they relate to our ratings of auto loan ABS transactions and will update our views as we deem appropriate.

This report does not constitute a rating action.

Primary Credit Analyst:Timothy J Moran, CFA, FRM, New York (1) 212-438-2440;
timothy.moran@spglobal.com
Secondary Contacts:Amy S Martin, New York (1) 212-438-2538;
amy.martin@spglobal.com
Jennie P Lam, New York (1) 212-438-2524;
jennie.lam@spglobal.com
Kenneth D Martens, New York (1) 212-438-7327;
kenneth.martens@spglobal.com
Research Contributor:Reema Kakkar, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.


Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back