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SF Credit Brief: U.S. Auto Loan Extension Congestion Partially Clears Up In May


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SF Credit Brief: U.S. Auto Loan Extension Congestion Partially Clears Up In May


U.S. auto loan extensions have generally decreased in May. Seven of the 21 Reg AB II shelves in our analysis have now uploaded their loan-level data files, and they are showing significantly lower extensions in May than in April (see chart 1). These seven account for approximately 40% of the total number of deals reported under Reg AB II.

Both Santander's DRIVE and SDART platforms--two of the four Reg AB II subprime shelves--reported reductions in extensions of 42% and 45% by balance (43% and 46% by loan count), respectively, for May versus April.

Chart 1


In addition, five of the 17 prime shelves have to date filed May data, including the two captives, Ford and Nissan, each of which reported reductions in extensions of 69% and 38% by balance (70% and 42% by loan count), respectively, for May versus April. Of the remaining three shelves, both California Republic Bank and CarMax reported reductions in extensions of 69% by balance and by loan count, while CapOne reported reductions of 55% by balance and 56% by loan count, for May versus April (see chart 2).

The DRIVE and SDART shelves' May extensions stand at 12.0% and 9.9%, respectively, down from 20.6% and 17.8% for April. The prime shelves' May extensions, meanwhile, range from 3.7% (California Republic Bank) to 0.9% (CapOne), versus 11.8% to 1.9% for April.

Chart 2


The general decrease in extensions in May should be welcome news for investors. The lifting of stay-at-home orders has brought some furloughed employees back to work, and it appears that the government's economic stimulus/relief efforts are helping consumers maintain the wherewithal with which to service their loans. It remains to be seen what happens when the additional $600 in weekly unemployment checks and extension options begin to dry up in the coming months.

Appendix: Data Notes

The extension rate is calculated as the beginning dollar amount of loan extended divided by the total beginning balance of the loan for that month.

The data provided for the statistics in this article were generated from the Reg AB II loan level filings whether or not the underlying deals were rated by S&P Global. This data included $38.3 billion in auto loans outstanding ($23.6 billion in prime and $14.7 billion in subprime) across 2.5 million active accounts. In the prime segment, we included the securitizations of five different originators: California Republic Bank, CarMax, Capital One, Ford Credit, and Nissan Motor Acceptance. In the subprime segment, we included Santander's two securitization shelves, DRIVE and SDART.

Related Research

  • Will Spring U.S. Auto Loan Extensions Bring Summer Payments? June 4, 2020
  • U.S. Auto Loan ABS Tracker: April 2020 Performance, June 3, 2020
  • Thirty-Three U.S. Subprime Auto ABS Ratings From 26 Transactions Placed On CreditWatch Negative, May 12, 2020
  • While Stay-At-Home Orders Clear Traffic, U.S. Auto Loan Extensions Rise, April 30, 2020
  • The Potential Effects Of Covid-19 On U.S. Auto Loan ABS, March 26, 2020

The authors would like to thank Bushra Dawawala for her contribution.

This report does not constitute a rating action.

Primary Credit Analyst:Timothy J Moran, CFA, FRM, New York (1) 212-438-2440;
Secondary Contacts:Amy S Martin, New York (1) 212-438-2538;
Deegant R Pandya, New York (1) 212-438-1289;

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