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.
The report also compares cumulative losses for near-prime issuers such as Mitsubishi Motors, Capital One Financial, ONYX Acceptance Corp., Union Acceptance Corp. and WFS Financial. For near-prime issuance as a whole, losses approach 8% by month 40. Mitsubishi displayed the highest cumulative losses, approaching 10% by the 40-month point, as well as the highest total delinquencies of the group, with Franklin Auto coming in with the lowest total delinquency numbers.
Morgan Stanley found, on average, subprime issuers tends to experience delinquencies totaling approximately 20%. The firm places AmeriCredit Corp., Drive Auto, Household Finance Corp., Prestige Auto, Capital One Financial's non-prime COAFT series, First Investors Auto Owner Trust, Long Beach Acceptance and Triad Financial in that category. "Somewhat surprising," writes Morgan Stanley, "is that Long Beach exhibits the lowest total delinquencies, yet has the second highest cumulative losses" among the subprime issuers measured.
The report is capped off by statistics on over 150 individual auto ABS deals from major issuers. Morgan Stanley analyzes the deals in terms of collateral, cumulative losses, total delinquencies and ABS speeds.
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