Subprime lending

Higher LTVs and fewer low-risk, new-car loans trumped the recent decline in managed-portfolio delinquencies and improved ABS performance since 2015.

The subprime auto lender failed to disclose that it received fees for referring borrowers to CarMax, the used-car dealer, according to California's financial regulator.

But GMF's deeper dive into long-term loans for a pool increasingly dominated by pricier trucks and SUVs caused a slight bump in expected ABS credit losses.

The performance of outstanding transactions issued via the Capital Auto Receivables Trust platform is weakening, so rating agencies are demanding additional investor protections.

Credit enhancement on the senior notes has risen to 36.25% from 28.7% to account for higher expected losses on the collateral; Kroll's base-case range is for 6.75% to 8.75% over the life of the deal.

DriveTime's improving loss performance in recent securitizations allowed it to relax the enhancement levels on its first securitization of the year.

Despite riskier terms, rising delinquencies and falling used car values, investors keep buying bonds backed by prime and subprime auto loans and leases.

The three offerings push the first-quarter volume of subprime auto loan asset-backeds past $5 billion, an indication of unwavering demand for the risky asset class.

The Detroit company recorded an 11% increase in car loans and leases originated during the fourth quarter, as well as a jump in yields. Ally appears to be benefiting from Wells Fargo's substantial retrenchment in auto lending.

The credit quality of the collateral appears to have improved, but investor protections have also decreased; as a result, Kroll is only assigning an 'A' to the senior tranche of notes.