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S&P: Auto ABS performance improving in prime, subprime sectors

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S&P Global Ratings reported Wednesday that prime and subprime auto ABS performance improved in September, with losses and 60-plus-day delinquencies decreasing both month-over-month and year-over-year.

In its monthly auto loan ABS tracker, S&P stated prime credit losses shrunk to 0.53% in September from .58% in August, while subprime losses decreased month-over-month by 35 basis points to 8.4% in September.

Subprime losses are also down on an annual basis by 18 basis points from September 2018.

The decline in annual losses was attributable to improved numbers from deals sponsored by key lenders such as Santander Consumer USA.

Prime 60-plus-day delinquencies decreased to 0.4% in September compared to 0.42% in both August 2019 and September 2018; meanwhile, the comparable delinquency rate for subprime ABS declined to 5.22% in September from 5.25% the month prior and 5.36% last year.

S&P also published a modified subprime index that excluded three deep subprime lenders. That index showed a month-over-month decrease to 3.59% from 3.82%, and 3.78% in September 2018.

Recovery figures suffered slightly by decreasing by 588 basis points to 53.11% in September, although S&P reports that “[l]ower recoveries are typical as we approach year-end and next year's model vehicles start crowding the showrooms.”

S&P also noted that pools are showing improved FICO and loan-to-value ratios in prime ABS deals, but continue to show more extended loans.

Cumulative net losses for 2017, 2018 and first-quarter 2018 prime and subprime indices “continue to show consistent to improved performance relative to 2016,” S&P’s report stated.

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