U.S. Auto Loan ABS Tracker: Full-Year And December 2024 Performance

U.S. auto loan asset-backed securities (ABS) volume grew roughly 6% to $126.0 billion in 2024 and surpassed 2023's record $118.5 billion volume due to increased issuance in the below prime (nonprime and subprime) and bank segments. Below prime issuance increased by 12% as subprime originations rose approximately 8%, according to the New York Fed Consumer Credit Panel. This increase reflects the subprime lenders' renewed focus on growth in 2024 after curtailing origination volumes in 2023 to focus on credit quality. Bank segment (including credit unions) issuance increased approximately 16% due to the growing popularity of synthetic risk transfer (SRT) transactions and higher issuance by certain banks. The $126.0 billion securitized amount represented about 18% of the $704.0 billion in U.S.

...- U.S. auto loan ABS volume rose approximately 6% to a record $126.0 billion in 2024, led by issuance growth in the below prime (nonprime and subprime) and bank segments. - Collateral performance weakened in 2024. Prime 60-plus-day delinquencies and losses reached their highest monthly averages since 2010, and the 2023 and quarterly 2024 vintages are reporting higher losses than 2022 and 2016 (the last vintages unaffected by COVID-19 stimulus). Meanwhile, subprime 60-plus-day delinquencies reached an all-time high and the highest average monthly losses since 2009, though the lenders' tighter credit standards are finally surfacing in the 2023 and 2024 vintage static pool data. - Rating actions remained largely positive with 313 upgrades and 11 downgrades, despite the worsened credit metrics. There would have been more downgrades and greater severity had certain issuers not increased their transactions' credit enhancement. - We expect issuance to increase 3% to approximately $130 billion...

Commentary