As auto ABS spreads widen and corporate concerns about industry giants like General Motors Corp. and Ford Motor Co. pervade the market, researchers at Morgan Stanley have jumped into the fray to compare the performance of ABS deals from all major issuers. In a nearly 200-page report issued last week, Morgan Stanley not only sizes up the issuers themselves, but also provides individual deal performance metrics for nearly every auto deal currently in the market.
For prime issuers, the report compares three-month average cumulative losses and finds that, in general, losses have been "well behaved," approaching 3% after 42 months, with subordination to triple-Bs at around 6.5%. Ford was the cumulative-loss leader in that category, approaching 3.5% as seasoning approaches the 48-month point, while DaimlerChrysler's cumulative losses hovered just below 2% for the same period. Capital One's COPAR trust had the lowest cumulative losses, with around 0.25%, but data only exists for those deals going back roughly two years.