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U.S. Auto Loan ABS Tracker: May 2024 Performance
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U.S. Auto Loan ABS Tracker: May 2024 Performance

Key Takeaways

  • U.S. auto loan ABS performance was mixed in May. Annualized losses continued to improve month-over-month for subprime and remained stable for prime, though losses were higher year over year and relative to May 2019 pre-pandemic levels. Recoveries changed only marginally month over month, but they remained lower year over year and compared to the May 2019 pre-pandemic level.
  • Although 60-plus-day delinquencies remained stable month over month, prime delinquencies reached their highest May levels since 2010, while subprime reached their highest-ever May level.
  • In June, we revised our expected cumulative net loss levels for 49 transactions, upgraded 75 classes, affirmed 105 classes, and downgraded none.

U.S. auto loan asset-backed securities (ABS) annualized losses improved slightly month over month for subprime transactions and remained stable for prime transactions. Nevertheless, as in April, losses continued to exceed year-over-year and 2019 pre-pandemic levels. In addition, 60-plus-day delinquencies remained stable month over month, but prime delinquencies reached their highest May levels since 2010, while subprime reached their highest-ever May level. Monthly recoveries improved only slightly for subprime and declined marginally for prime.

Losses Increased Year Over Year

Although prime annualized net losses remained stable month over month at 0.55%, they were higher than the May 2023 and May 2019 pre-pandemic levels of 0.32% and 0.32%, respectively.

Subprime losses decreased for the fourth consecutive month to 7.23% in May from 7.30% in April 2024. But, like prime, they were higher than the May 2023 and May 2019 pre-pandemic levels of 5.88% and 6.34%, respectively.

After netting out the three large deep subprime issuers (Santander's DRIVE platform, Exeter, and American Credit Acceptance), modified subprime annualized losses decreased marginally to 6.45% in May 2024 from 6.51% in April 2024, and increased year over year from the May 2023 and May 2019 pre-pandemic levels of 5.33% and 5.37%, respectively.

Table 1

Net loss rate composite(i)
May-10 May-15 May-16 May-17 May-18 May-19 May-20 May-21 May-22 May-23 Apr-24 May-24
Prime (%) 0.65 0.30 0.41 0.49 0.40 0.40 0.55 0.02 0.20 0.32 0.55 0.55
Subprime (%) 4.61 5.19 5.62 6.98 6.00 6.34 6.22 1.50 4.01 5.88 7.30 7.23
Subprime modified (%)(ii) 0.00 4.86 4.96 5.66 5.33 5.37 5.42 1.40 3.00 5.33 6.51 6.45
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Chart 1

image

Recoveries Changed Marginally In May But Declined Year Over Year

Unlike the previous month, prime recoveries decreased marginally month over month to 63.37% in May from 63.64% in April. However, May's recovery rate of 63.37% was still lower than the May 2023 and May 2019 pre-pandemic levels of 68.32% and 66.70%, respectively.

Unlike prime, subprime recoveries marginally increased to 44.61% in May from 44.24% in April. However, they were still substantially lower than the May 2023 and May 2019 pre-pandemic levels of 54.53% and 49.01%, respectively.

After netting out the three large deep subprime issuers (Santander's DRIVE platform, Exeter, and American Credit Acceptance), modified subprime recoveries increased to 46.24% in May from 44.58% in April. However, they remained lower than the May 2023 and May 2019 pre-pandemic levels of 53.00% and 46.90%, respectively.

Table 2

Recovery rate composite(i)
May-10 May-15 May-16 May-17 May-18 May-19 May-20 May-21 May-22 May-23 Apr-24 May-24
Prime (%) 65.98 73.52 63.71 70.92 70.57 66.70 54.01 113.74 82.06 68.32 63.64 63.37
Subprime (%) 56.64 51.17 49.89 42.84 48.42 49.01 42.19 75.03 59.18 54.53 44.24 44.61
Subprime modified (%) (ii) 0.00 51.05 48.87 43.98 46.80 46.90 40.66 70.53 59.36 53.00 44.58 46.24
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Chart 2

image

Delinquencies Flattened But At Record Highs

The prime 60-plus-day delinquency rate remained stable from April to May at 0.53%. Nonetheless, it was the highest May level since 2010 and remained above the May 2023 and pre-pandemic May 2019 levels of 0.48% and 0.35%, respectively.

Like the previous month, 17 of the 20 prime issuers in S&P Global Ratings' May 2024 and 2023 composite reported year-over-year increases in average late payments. The three highest reported year-over-year increases were Carvana Prime (70 basis points [bps] to 1.33%), GTE (44 bps to 0.53%), and CarMax (30 bps to 2.20%).

The subprime 60-plus-day delinquency rate also reached its highest ever May level despite delinquencies remaining stable month over month at 5.32% in May compared with 5.31% in April. Delinquencies were also higher than the 5.22% in May 2023 and 4.54% in May 2019.

Of the 16 subprime issuers in our subprime composite in May 2024 and May 2023, 10 reported year-over-year increases in average late payments. The three highest reported year-over-year increases were Tidewater (150 bps to 17.34%), Foursight (141 bps to 2.90%), and Flagship (133 bps to 8.89%). However, two deep subprime issuers reported declines in year-over-year average delinquencies: American Credit Acceptance (82 bps to 7.35%) and Exeter (decline of 77 bps to an average of 8.28%.

Table 3

60-plus-day delinquency rate composite(i)
May-10 May-15 May-16 May-17 May-18 May-19 May-20 May-21 May-22 May-23 Apr-24 May-24
Prime (%) 0.52 0.37 0.39 0.42 0.37 0.35 0.34 0.23 0.38 0.48 0.53 0.53
Subprime (%) 3.41 3.89 4.10 4.50 4.29 4.54 3.72 2.74 4.61 5.22 5.31 5.32
Subprime modified (%)(ii) 0.00 3.35 3.22 3.24 3.07 3.21 2.91 1.75 3.08 4.15 4.67 4.68
(i)Represents 60+ day delinquencies. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE--are excluded. N/A--Not applicable.

Chart 3

image

Auto Loan ABS Rating Activity/Revised Loss Expectations

In June, we reviewed and revised or maintained our loss expectations on 49 transactions: 33 upward, nine downward, and seven maintained. Of the 33 transactions with upward revised ECNLs, 15 remained below or on par with our original ECNLs, while 18 were revised above our original ECNLs and these were confined to the 2022 and 2023 cohorts.

Table 4

Surveillance actions
Rating action (by class) ECNL (no. of transactions)
Date Issuer Transactions reviewed Upgrades Downgrades Affirmations CreditWatch Removed from CreditWatch CreditWatch extended Increased Decreased Maintained
Prime
6/4/2024 GART 1 6 1
6/5/2024 UART 1 2 2 1
6/7/2024 Carvana P 10 19 31 10
Subprime
6/7/2024 Carvana SP 6 1 25 6
6/7/2024 DTAOT 12 21 20 8 2 2
6/13/2024 GCAR 2 4 6 2
6/20/2024 EART 13 26 12 4 7 2
6/25/2024 ACMAT 2 2 3 2
6/26/2024 GMREV 2 2
Total 49 75 105 33 9 7
GART--GTE Auto Receivables Trust. UART--UNIFY Auto Receivables Trust. Carvana SP--Carvana Auto Receivables Trust Subprime. Carvana P--Carvana Auto Receivables Trust Prime. DTAOT--DT Auto Owner Trust. GCAR--GLS Auto Receivables Issuer Trust. EART--Exeter Automobile Receivables Trust. ACMAT--ACM Auto Trust. GMREV--GM Financial Revolving Receivables Trust. ECNLs--Expected cumulative net losses.

Overall, our reviews in June resulted in 75 upgrades and 105 affirmations. Year-to-date through June 30, U.S. auto loan ABS-related upgrades and downgrades totaled 129 and five, respectively.

On July 1,2024, we lowered our ratings on Flagship Credit Auto Trust 2022-2's class C, D and E notes to 'A- '(sf)', 'B (sf)' and 'CCC (sf)', respectively from 'A (sf)', 'BB (sf)', and 'B- (sf)'. The downgrades reflect the level of credit enhancement (including estimated future excess spread) remaining to support our upwardly revised ECNL. Additionally, the transaction has exhausted its overcollateralization and has started using its reserve fund to make principal distributions (see "Three Flagship Credit Auto Trust 2022-2 Ratings Lowered And Two Affirmed").

Table 5

Historical ratings activity--U.S. auto loan ABS
Period Upgrades Downgrades
2015 177 0
2016 357 0
2017 322 0
2018 335 2
2019 432 5
2020 332 8
2021 579 0
2022 416 6
2023 396 6
2024(i) 129 5
Total 3,475 32
(i)As of June 30, 2024. ABS--Asset-backed securities.

Table 6

Historical ratings activity--Canadian ABS auto loan ABS
Period Upgrades Downgrades
2021 8 0
2022 3 0
2023 2 0
2024(i) 0 0
Total 13 0
(i)As of June 30, 2024. ABS--Asset-backed securities.

Table 7

GTE Auto Receivables Trust
Series Original lifetime CNL exp. Prior Revised lifetime CNL exp. Revised lifetime CNL exp. (i)
2023-1 2.10 N/A 2.60
(i)As of June 2024. CNL exp.--Cumulative net loss expectations. N/A--Not Applicable

Table 8

UNIFY Auto Receivables Trust
Series Original lifetime CNL exp. Previous revised lifetime CNL exp. Current revised lifetime CNL exp.(i)
2021-1 2.75-3.00 0.9 Up to 0.90
(i)As of June 2024. CNL exp.--Cumulative net loss expectations. N/A--Not Applicable

Table 9

Carvana Auto Receivables Trust - subprime
Series Original lifetime CNL exp. Previous revised lifetime CNL exp.(ii) Current revised lifetime CNL exp.(i)
2021-N1 20.50 (20.00-21.00)(iii) 11.50 12.00
2021-N2 20.50 (20.00-21.00)(iii) 14.00 14.25
2021-N3 18.50 (18.00-19.00) 16.50 18.25
2021-N4 18.25 (17.75-18.75) 17.25 18.25
2022-N1 17.50 (17.00-18.00) 17.50 18.50
2023-N1 18.25 N/A 19.00
(i)As of May 2024. (ii)Revised in May 2023. (iii)At issuance, initial lifetime CNL included an upward adjustment for the potential impact from the COVID-19 pandemic. CNL exp.--Cumulative net loss expectations. N/A--Not applicable.

Table 10

DT Auto Owner Trust
Series Original lifetime CNL exp. Previous revised lifetime CNL exp.(i) Current revised lifetime CNL exp.(ii)
2020-1 28.50-29.50 18.00 Up to 17.25
2020-2 32.75-33.75 17.50 Up to 16.75
2020-3 32.75-33.75 18.75 18.75
2021-1 31.50-32.50 20.50 21.25
2021-2 27.75-28.75 20.50 22.00
2021-3 26.00-27.00 23.00 23.00
2021-4 25.25-26.25 24.00 24.50
2022-1 24.25-25.25 25.25 28.00
2022-2 24.75-25.75 25.75 29.00
2022-3 24.75 N/A 28.00
2023-1 25.25 N/A 28.00
2023-2 25.50 N/A 28.00
(i)Revised in April 2023 for series 2021-3, 2021-4, and 2022-1, and in July 2023 for all other series. (ii)As of the May 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable.

Table 11

Carvana Auto Receivables Trust Prime
Series Original lifetime CNL exp. Previous revised lifetime CNL exp. (i) Current revised lifetime CNL exp.(ii)
2020-P1 3.75 (3.50-4.00) 1.25 1.40
2021-P1 3.60 (3.35-3.85) 1.25 1.40
2021-P2 3.60 (3.35-3.85) 1.50 1.55
2021-P3 2.75 (2.50-3.00) 1.75 2.10
2021-P4 2.75 (2.50-3.00) 1.75 2.20
2022-P1 2.75 (2.50-3.00) 2.15 2.50
2022-P2 2.75 (2.50-3.00) 2.15 2.70
2022-P3 2.75 (2.50-3.00) 2.75 3.00
2023-P1 2.75 N/A 3.00
2023-P2 2.75 N/A 3.10
(i)Revised in October 2023 for series 2022-P3, and in May 2023 for all other series. (ii)As of June 2024. CNL exp.--Cumulative net loss expectations. N/A--Not applicable.

Table 12

GLS Auto Receivables Issuer Trust
Series Original lifetime CNL exp. Prior Revised lifetime CNL exp. Current revised lifetime CNL exp.(i)
2023-1 17.50 N/A 20.00
2023-2 17.50 N/A 19.00
(i)As of May 2024. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Table 13

Exeter Automobile Receivables Trust
Series Original lifetime CNL exp. Previous revised lifetime CNL exp. Current revised lifetime CNL exp.(iv)
2019-4 20.50-21.50 15.60(i) Up to 14.50
2020-1 20.50-21.50 15.50(i) 14.50
2020-2 23.75-24.75 14.25(i) 12.75
2020-3 23.50-24.50 14.50(i) 13.00
2021-1 23.00-24.00 15.25(i) 14.00
2021-2 21.00-22.00 18.00(i) 17.50
2021-3 19.75-20.75 20.25(i) 19.75
2021-4 19.50-20.50 21.25(i) 21.25
2022-1 18.50-19.50 22.00(ii) 22.00
2022-2 18.25-19.25 At least 23.00(ii) 24.00
2022-3 18.50-19.50 At least 23.00(ii) 25.00
2022-4 18.50-19.50 At least 23.00(ii) 24.50
2022-5 18.75 22.50(iii) 24.00
(i)As of May 2023. (ii)As of March 2023. (iii)As of June 2023. (iv)As of June 2024. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Table 14

ACM Auto Trust
Series Original lifetime CNL exp. Prior Revised lifetime CNL exp. Current revised lifetime CNL exp.(i)
2023-1 30.00 N/A 33.00
2023-2 30.25 N/A 37.00
(i)As of the June 2024 distribution date. CNL exp.--Cumulative net loss. N/A--Not Applicable expectations.

Appendix I: Auto Tracker Frequently Asked Questions

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial ECNLs of 3.25% or less and average FICO scores of 700 or higher. We include CarMax and Carvana in this segment.

How do you define subprime auto loan ABS?

We generally categorize subprime auto loan ABS transactions as those backed by loan pools with initial ECNLs of at least 7.5%, average FICO scores of less than 620, and annual percentage rates (APRs) that exceed 14.0%.

How do you calculate the monthly net loss rate?

The monthly net loss rate is annualized. It equals each transaction's net loss rate weighted by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the composite starting in its fourth month outstanding. Transactions usually have zero or low losses during their first three months, which dilutes the composite figures.

How do you calculate the monthly recovery rate?

We calculate recoveries by taking the recovery amount reported (which typically includes all recoveries, including disposition proceeds, post-disposition proceeds, and any other reported recoveries) over the gross loss amount for the current month. Then we weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the index starting in its fourth month outstanding. During a transaction's first three months, unusually high or low recoveries are reported, leading to a spike in the composite figures.

How do you calculate the monthly 60-plus-day delinquency rate?

We calculate delinquencies by taking each transaction's 60-plus-day delinquency amount over the ending pool balance for the current month. Then we weight each transaction's 60-plus-day delinquency percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the composite.

We only allow a transaction to enter the composite starting in its fourth month outstanding. During the transaction's first three months, zero or fewer delinquencies are reported, which dilutes the composite figures.

What is the Auto Loan Static Index (ALSI)?

Our ALSI monitors the credit performance of securitizations that were originated in the same year on a weighted average basis. The number of months displayed for each vintage is generally determined by the last month that all securitizations for that time period have a data point. We calculate the prime and subprime ALSI cumulative net losses (CNLs) by taking the weighted average of the CNLs of the transactions that were completed in the same time period (generally a year). Each transaction's CNL is weighted by its initial pool balance over the aggregate initial pool balance of all the transactions included in the index for that period. In the subprime ALSI, transactions from Byrider Finance LLC (doing business as CarNow Acceptance Corp.), Credit Acceptance Corp., and DriveTime Automotive Group Inc. are excluded because they do not have the typical indirect auto loan business model.

Which transactions are included in the prime, subprime, and modified subprime composites and indices?

For a list detailing the weighting of issuers in our prime and subprime composites and indices, see "U.S. Auto Loan ABS Tracker: June 2023 Performance," published Aug. 15, 2023, and "U.S. Auto Loan ABS Tracker: Full-year and December 2023 Performance," published Feb. 13, 2024.

Related Research

This report does not constitute a rating action.

Primary Credit Analyst:Amy S Martin, New York + 1 (212) 438 2538;
amy.martin@spglobal.com
Secondary Contacts:Jennie P Lam, New York + 1 (212) 438 2524;
jennie.lam@spglobal.com
Steve D Martinez, New York + 1 (212) 438 2881;
steve.martinez@spglobal.com
Sanjay Narine, CFA, Toronto + 1 (416) 507 2548;
sanjay.narine@spglobal.com
Research Contributor:Kapil Sharma, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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