Auto Loan ABS Performance Improves

By Staff Writer November 21, 2022

Prime auto loan performance strengthened in September 2022, recording higher recoveries, stable losses, and lower delinquencies and extensions month-over-month, according to S&P Global Ratings’ report on the ABS sector for the third-quarter 2022.

Meanwhile, subprime metrics also improved with lower losses, delinquencies, and extensions month-over-month. S&P Global Ratings credits some of the improvement to September having five Fridays in the month and ending on a Friday, which is typically a payday. 

The 2018 through 2020 vintages continue to perform sequentially better than their immediately preceding vintage. However, beginning with the second-quarter 2021 vintage, losses have started to rise relative to the full-year 2020 and first-quarter 2021 cohorts. In addition, the recent quarterly vintages are reporting higher 60+ day delinquencies than the 2014-2019 pools. 

Through the first nine months of 2022, weighted average FICO scores have increased slightly relative to 2021, but terms continue to lengthen.

S&P Global Ratings reviewed 25 transactions in October 2022. Twenty-three of these were full surveillance reviews in which S&P lowered its expected loss levels on all of them, upgraded 37 classes, affirmed 20, and downgraded none. Separately, S&P placed the class E and F notes from American Credit Acceptance Receivables Trust 2022-1 and 2022-2 on CreditWatch Negative.

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Last modified on Monday, 21 November 2022 02:11