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

U.S. auto loan asset-backed securities (ABS) monthly prime and subprime performance statistics weakened in June 2024 relative to May 2024. Annualized losses and delinquencies also increased relative to the June 2023 and the June 2019 (pre-COVID-19) levels. The prime 2023 quarterly vintages are showing deterioration relative to 2022. However, the subprime 2023 vintage static pool losses are trending lower than the 2022 levels on an aggregate basis. After hovering around at 0.55% for the previous two months, prime losses spiked to 0.63% in June--well above the June 2023 and the pre-pandemic June 2019 (both 0.48%) levels. Annualized subprime losses rose to 7.95% in June from 7.23% in May and remained above the June 2023 (6.87%) and the June 2019 (6.92%)

...- U.S. auto loan ABS saw weak month-over-month prime and subprime performance in June 2024. Both segments reported an uptick in losses and delinquencies, with recoveries declining, year over year and relative to June 2019. - The prime 2023 vintage continued to report higher cumulative gross and net losses compared with the 2022 and the 2016 (the last largely unaffected by COVID-19 stimulus) vintages. In contrast, in the subprime segment, cumulative net losses appear to be peaking in the 2022 vintage, while the 2023 quarterly vintages are showing improvement. - S&P Global Ratings reviewed 11 transactions in July. Of these, we revised our loss expectations on 10 (raised two and lowered eight) and maintained one. This resulted in three upgrades, three downgrades, and 25 affirmations. U.S. auto loan asset-backed securities (ABS) monthly prime and subprime performance statistics weakened in June 2024 relative to May 2024. Annualized losses and delinquencies also increased relative to the June...

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