articles Ratings /ratings/en/research/articles/201217-sf-credit-brief-u-s-auto-loan-abs-extension-patterns-continued-to-deviate-in-october-prime-deferrals-declin-11782378 content esgSubNav
Log in to other products

Login to Market Intelligence Platform


Looking for more?

In This List

SF Credit Brief: U.S. Auto Loan ABS Extension Patterns Continued To Deviate In October: Prime Deferrals Declined, But Subprime Deferrals Rose For The Second Straight Month


As European Hotels Grapple With Prolonged Restrictions, Are Operators And Landlords Sharing The Pain?


Servicer Evaluation: PGIM Real Estate Loan Services Inc.


Damage Limitation: Using Enhanced Physical Climate Risk Analytics In The U.S. CMBS Sector


U.S. Auto Loan ABS Tracker: Full-Year And December 2020 Performance

SF Credit Brief: U.S. Auto Loan ABS Extension Patterns Continued To Deviate In October: Prime Deferrals Declined, But Subprime Deferrals Rose For The Second Straight Month


For the second month in a row, the monthly extension rates between U.S. prime and subprime auto loan asset-backed securities (ABS) deviated. In October, public prime shelves reported their sixth consecutive month of declines, with their weighted average monthly rate inching down three basis points (bps) to 0.52% from 0.55% (see chart 1). Meanwhile, the public subprime securitizers (SDART, DRIVE, AmeriCredit, and World Omni Select 2019-A) extension rate increased 13 bps to 3.78% from 3.65%, marking the second month in a row that they've climbed.

Chart 1


On an issuer basis, only four of the 12 public prime issuers reported increases in their monthly extension rate: Ally (to 0.77% from 0.69%), Fifth Third (to 0.09% from 0.04%), World Omni (to 0.56% from 0.54%), and Hyundai (to 0.35% from 0.33%) (see chart 2). Three of the four public subprime shelves deferred more loans: DRIVE (to 4.83% from 4.55%), SDART (to 3.53% from 3.36%), and World Omni Select (to 2.01% from 1.69%). AmeriCredit reported lower extensions in October than the prior month (decreased to 2.77% from 2.90%) (see chart 3).

Of the 11 144a securitizers, all reported higher extensions except Avid, whose level remained at 3.72%, First Investor's, whose monthly rate declined to 1.51% from 2.14%, and DriveTime's, whose monthly rate decreased to 1.32% from 1.64%. The largest increases were posted by ACA (to 3.72% from 2.26%), Flagship (to 4.39% from 3.33%), and UAC (to 4.00% from 3.05%). The remaining 144a shelves with a month-over-month uptick had increases of between 13 bps and 63 bps. For more on the month's addition of DriveTime to our extension analysis, see the Subprime Extensions On The Rise Again section of "U.S. Auto Loan ABS Tracker: October 2020 Performance," published Dec. 9, 2020.

Chart 2


Chart 3


Percentage Of Loans In Active Extension Status Increased In October For Subprime

Not only did the subprime segment report higher monthly extensions, but public subprime issuers also reported a higher percentage of loans in active extension status, at 6.23% in October compared with 5.87% in September (see chart 5). This marks the first time since May that this metric worsened, albeit the level remains well below May's peak level of 23.4% and even August's 7.88%. DRIVE's 62 bps increase to 7.46% from 6.84% was the largest climb, followed by World Omni Select's 49 bps increase to 2.99% from 2.50%, and then SDART's 35 bps increase to 5.45% from 5.10%. AmeriCredit's percentage remained stable, at approximately 5.66%.

The prime segment continued to make progress on this front with 0.78% of loans in active extension status, down from 0.86% the prior month (see chart 4). Only three issuers reported a higher percentage of loans in deferral in October than in September, and the growth was minimal: World Omni (to 0.92% from 0.88%), Toyota (to 0.82% from 0.78%), and GMF (to 0.83% from 0.80%). All prime issuers had 1.15% or less of their loans in deferral status as of the end of October (except Ford, which had 1.68%).

Chart 4


Chart 5


Half Of The Borrowers Receiving An Extension In October Made Some Form Of Payment

Of the prime obligors receiving an extension in October, approximately 54% made some form of payment (either partial, full, or advance payment), which was up from 50% in September. Those with the most success at receiving a full payment at the time of an extension were USAA (38%) and Harley (38%), as reflected by the dark blue section in chart 6 below. Ally continued to rank first among its peers in receiving the highest percentage of partial payments (64%) when granting a new extension (shown in medium blue). Fifth Third and CapOne had the lowest rates of collecting a payment at the time of extension (reflected in brown), but they also had very low extensions in October (0.09% and 0.31%, respectively).

Of the subprime obligors in the public transactions receiving an extension in October, approximately 48% made some form of payment, up from 43% in September. World Omni Select 2019-A continues to have the highest rate of borrowers making some form of payment within the same month they've received an extension (99%), with more than half coming in the form of advance payments. AmeriCredit came in second, as it collected payments on approximately 70% of the loans on which it granted an extension in October. DRIVE and SDART collected payments on approximately 40% of the loans they deferred.

Chart 6


Previously Extended Subprime Loans Are Faring Worse Than Previously Extended Prime Loans

In October, previously extended (since March) subprime loans reported more performance deterioration than their prime counterparts. Cumulative charge-offs on previously extended subprime loans increased 61% to 2.75% (from 1.71% in September), while prime charge-offs rose 47% to 0.99% (from 0.67%) (see table 1A). Also, the percentage of previously deferred loans that remained in such status was nearly stable at 14.08% (14.20% in September) for subprime, while the percentage declined for prime loans to 5.42% from 6.16%. Also, within subprime, only 5.27% of previously extended loans have paid off (either due to normal maturity or prepayment), whereas, in prime, 9.42% have paid off. As a result, a lower percentage of previously extended subprime loans are in repayment status (77.82%) than prime loans (84.08%).

Table 1A

Status of Loans Extended Since March 2020
% still in extension (as of Oct. 31) % still in extension (as of Sept. 30) % matured or prepaid (as of Oct. 31) % matured or prepaid (as of Sept. 30) % repurchased (as of Oct. 31) % repurchased (as of Sept. 30) % charged off (as of Oct. 31) % charged off (as of Sept. 30) % in repayment (as of Oct. 31) % in repayment (as of Sept. 30)
Prime 5.42 6.16 9.42 7.74 0.10 0.09 0.99 0.67 84.08 85.34
Subprime 14.08 14.20 5.27 4.15 0.08 0.04 2.75 1.71 77.82 79.90

Of the previously extended subprime loans that are in repayment status, only 55.00% were current as of October month end (down from 55.97% as of September month end) compared with 78.60% for prime (see table 1B). Prime reported nearly stable 60+ day delinquencies of 1.69% (1.65% as of September 30), while subprime reported a 32 bps increase to 5.32% from 5.00% in September. One-to-60+ day delinquencies for previously extended prime and subprime pools stood at 19.70% and 39.68%, respectively, as of the end of October (up from 19.26% and 39.03% in September).

Table 1B

Status of Extended Loans In Repayment
% current (as of Oct. 31) % current (as of Sept. 30) % 1-60 days DQ (as of Oct. 31) % 1-60 days DQ (as of Sept. 30) % 60+ days DQ (as of Oct. 31) % 60+ days DQ (as of Sept. 30)
Prime 78.60 79.09 19.70 19.26 1.69 1.65
Subprime 55.00 55.97 39.68 39.03 5.32 5.00

Subprime is also demonstrating comparative weakness on the payment front. Of the previously extended contracts since March that have exited their forbearance periods, 84.62% of the prime and 74.20% of the subprime loans have made at least one full payment (see table 1C). These measures were up from September's levels of 83.61% and 71.46%, respectively. Given the weaker credit histories and typically lower incomes of obligors in the subprime pools, this performance dichotomy is expected.

Table 1C

% Of Loans Extended Since March 30 That Have Made A Full Payment Or More(i)
As of Oct. 31 As of Sept. 30
Prime 84.62 83.61
Subprime 74.20 71.46
(i)Included in the percentage of contracts (in dollar terms) that have made at least one full payment though Oct. 31, 2020, are advance payments (payments in excess of the scheduled amount).

Issuer-Specific Performance On Loans Extended Since March

Of the prime issuers, USAA continues to have the highest proportion of previously extended loans (extended since March) still in forbearance, at 15.19% as of the end of October (as reflected in the dark blue section of the chart 7 below), although this is down from 19.70% as of the end of the prior month. At the same time, it has the second-highest level of previously extended loans that have paid off at 13.88% (reflected in green in chart 7), after BMW, which had 15.90%. GMF had the second-highest percentage of previously extended loans still in forbearance, at 12.14%, although this was down from 12.83% in September. We believe GMF's relatively high level is attributable to the vast majority of their extensions being for two months (based on September's data which showed 92.50% of that month's extensions were for two months).

Prime issuers with the lowest percentage of previously extended loans since March still in active extension status (as reflected in the green portion of the chart below) were BMW and Mercedes, both of which had only 3.61%.

Cumulative charge-offs on previously extended prime loans are starting to mount, but remain low so far. CarMax, which specializes in used-vehicle sales and financing, reported the highest level in October of 1.72%, and Nissan had the second-highest level of 1.66%. USAA had the lowest level at 0.08%, and BMW and Honda were tied for second at 0.31%.

Chart 7


Of the subprime issuers, AmeriCredit once again had the greatest percentage of previously deferred loans still in forbearance (19.04%), although it declined from 21.15% in September. As with GMF, we believe the relatively high level of loans still in deferment was due to 95.5% of its September extensions being for two months, while its public peers' extensions for September were roughly equally split between one and two months.

World Omni Select continues to have the highest percentage in repayment status (82.30%) and the greatest percentage of payoffs (9.72%), but this is expected given its stronger initial collateral composition.

Cumulative charge-offs on previously extended loans rose significantly in October. DRIVE's increased 60% to 3.23%, SDART's rose 62% to 2.37%, AmeriCredit's rose 61% to 2.26%, and World Omni's jumped 67% to 1.84%. We expect these numbers to rise rapidly as we approach the seasonally high-loss months of December and January. Additionally, many out-of-work individuals are no longer eligible to receive state unemployment pay due to the length of their unemployment. We believe the continuance of federal government unemployment checks of $300 a week would greatly benefit the unemployed.

Chart 8


Issuer-Specific 60-plus-Day Delinquency Trend

Of the prime loans that have been extended since March and are still outstanding, only six of the 17 issuers reported lower 60-plus-day delinquencies in October compared with September.

CarMax continued to have the highest percentage of 61-plus-day delinquencies of 3.53% (in line with October's level of 3.55%), followed by BMW at 3.40% (up from 3.27%). For CarMax, 81% of these delinquencies were in the 61-90 day bucket (2.86%), with the remainder (0.67 bps) in the 90-plus-day group. For BMW, only 28% of its 61-plus-day delinquencies (0.95%) were in the 61-90 day bucket, with the remainder (2.45%) in the 90-plus-day bucket. While BMW continued to have a relatively high percentage of 90-plus-day delinquencies as of the end of October, this was consistent with September (2.12%) and did not translate into incremental losses in October. (For 90-plus-day delinquencies, see chart 10).

Chart 9


Of the subprime loans that have been extended since March and are still outstanding, three of the four shelves reported an increasing trend in 60-plus-day delinquencies on these accounts. Only AmeriCredit has reported two back-to-back months of lower 60-plus-day delinquencies.

Subprime Issuers With Higher 90-Plus-Day Delinquencies Have Higher Cumulative Charge-offs

Chart 10 below shows that, in subprime, there is a relationship between 90-plus-days delinquencies on previously-extended loans and cumulative charge-offs on these loans. Subprime shelves with higher 90-plus-day delinquencies have higher cumulative charge-offs. In prime, the relationship isn't quite as strong.

Also, subprime issuer-level 90-plus-day delinquencies of previously-extended loans are in line with our loss expectations for their pools. DRIVE's 90-plus-day delinquencies were the highest at 1.93% as of the end of October, followed by SDART with 1.29%, then AmeriCredit at 0.84%, and then World Omni Select 2019-A at 0.32%, the lowest. Our most recent expected loss levels for the shelves''2017-2019 pools are approximately 20.50%-25.25% for DRIVE, 12.50%-17.50% for SDART, 8.25%-12.50% for AmeriCredit, and 6.75%-7.25% for World Omni Select 2019-A.

Chart 10


85% And 74% Of Previously Extended Prime And Subprime Loans Have Made At Least One Full Payment

As reflected in chart 11, approximately 85% of previously extended prime loans and 74% of subprime loans have made at least one full payment since exiting their forbearance period. This includes both the full payment percentage and advance payments.

Chart 11


Extensions By State: Louisiana, Nevada, And Wyoming Rank In The Top 5 For Prime And Subprime

In prime, the states with the highest extension rates in October were Louisiana (0.88%), Wyoming (0.84%), New Mexico (0.81%), Nevada (0.77%), and Oklahoma (0.73%) (see chart 13). Louisiana was plagued with back-to-back devasting hurricanes (Laura and Delta), although extensions declined from September's level of 1.35%. Wyoming's extensions increased from 0.67% in September, as the energy sector has been slow to recover. The weak energy sector is also likely to blame for North Dakota's extensions increasing to 0.71% from 0.63% in September, and the state ranking ninth. In addition to Louisiana, extensions declined from September's levels for New Mexico (0.84%), Nevada (0.88%), and Oklahoma (0.76%).

In subprime, the states with the highest extension rates were North Dakota (5.78%, up from 4.60%), Louisiana (5.78%, down from 6.65%), Nevada (4.56%, down from 4.68%), Wyoming (4.53%, down from 4.98%), and Texas (4.44%, up from 4.27%).

During the first month of the pandemic in March, Florida had the highest extension levels of approximately 7% and 10% in prime and subprime, respectively. The state now ranks 11th in prime and 28th in subprime with October extension rates of 0.65% and 3.66%, respectively.

Chart 12


Chart 13


Appendix: Data Notes

The data provided for most of 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 Ratings. We've reported the information as presented in the issuers' loan-level filings, which may differ from the issuers' monthly servicing report data. Further, there could be differences among the issuers in how they grant extensions and how those extensions affect delinquencies. For example, some issuers may grant extensions that move an account to a less delinquent status, whereas most issuers grant extensions that will cause the account to be reflected as current. In addition, the loan-level data track all extensions, not just COVID-19-related extensions, which is what some issuers are reporting on their monthly servicing reports.

S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. While the early approval of a number of vaccines is a positive development, countries' approval of vaccines is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by mid-2021. We use this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: As the situation evolves, we will update our assumptions and estimates accordingly.

Related Research

The authors would like to thank Bushra Dawawala for her research contributions to this report.

This report does not constitute a rating action.

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

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, (free of charge), and and (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

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:

Register with S&P Global Ratings

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

Go Back