20170620-穆迪服务-ABS_Spotlight_29页_778kb

ABS Spotlight Summary - June 2017

Core Content

The June 2017 edition of ABS Spotlight from Moody's Investors Service provides an overview of current trends and risks in the US and Canadian asset-backed securities (ABS) markets, focusing on Auto ABS, Credit card ABS, Student loan ABS, and Mobile phone financing ABS. It also discusses the impact of government policies, particularly under the Trump administration, and the implications of new regulations like Regulation AB II.

Key Themes and Insights

US ABS Market Trends

• GDP Growth Outlook: Moody's forecasts GDP growth of 2.4% for 2017 and 2.5% for 2018, driven by tax reform and increased government spending.
• Policy Uncertainty: Despite uncertainty around Trump's policies, the overall outlook for the ABS market over the next five years is positive.
• Regulatory Impact: There is divergence in views on the value of regulatory easing, particularly regarding risk retention standards.

Auto ABS

• Subprime Loan Performance: Loan-by-loan data from Regulation AB II highlights differences in performance between Santander Drive Auto Receivables Trust (SDART) and AmeriCredit Automobile Receivables Trust (AMCAR).
  • SDART has historically higher losses due to higher LTVs, longer maturities, and weak-credit borrowers.
  • The risk layering in SDART loans appears to be a key contributor to its worse performance.
• Lease Return Rates: Ford Motor Credit Company LLC has seen a rise in lease return rates (from 62% in 2012 to 83% in Q1 2017), signaling a supply-demand imbalance.
  • This has led to increased lease depreciation and lower profitability.
• Used Vehicle Prices: The Manheim Used Vehicle Index declined in Q1 2017, indicating softer demand and higher supply.
• Sector Update (Q1 2017): Weaker credit performance continues in the auto ABS sector, with used vehicle prices softening.

Mobile Phone Financing ABS

• Device Failures Risk: Risks from faulty devices depend on event severity and companies' responses.
  • The Galaxy Note 7 recall is cited as an example of how such events can impact performance.
  • Consumers’ willingness to pay is influenced by the utility of the device.
• Consumer Behavior: Despite a broader credit score range, Verizon has shown better performance than LendingClub, suggesting that device utility plays a significant role in payment behavior.

Credit Card ABS

• Charge-off Rates Spike: A sharp increase in charge-off rates in Q1 2017 and Q4 2016 (largest since 2009) indicates weakening underwriting standards.
  • Capital One, First National of Nebraska, and Synchrony Financial saw the largest increases.
• Performance Resilience: ABS trust pools have limited exposure to recent originations, contributing to resilient performance.
• Underwriting Standards: While underwriting has been strong since the financial crisis, recent trends suggest a decline, which could lead to performance deterioration.

Key Articles and Data

Auto ABS – US: Loan-by-loan data

• Reveals historical performance differences between SDART and AMCAR.
• Regulation AB II provides more granular data, helping to understand performance drivers.
• SDART has higher losses due to risk layering and weaker credit characteristics.

Ford Motor Credit Company LLC: High Lease Return Rates

• Lease return rates have increased to 83%, indicating supply-demand imbalance.
• Residual value losses have peaked at 6% of MSRP in 2016.
• Used vehicle operations by dealers help contain losses, but tighter underwriting could increase them.

Auto ABS - Global: An Overview of Auto Securitisation

• Auto ABS are generally amortizing, fixed-rate assets with a 3–7 year tenure.
• Most transactions use simple sequential-pay structures, with senior class notes having weighted average lives of around two years.
• RV risk is a key factor in lease-based securitizations.
• Regional differences exist in the auto ABS market, but global harmonization is evident.

Credit Card Industry – US: Spike in Charge-off Rates

• Charge-off rates increased in Q1 2017 and Q4 2016, suggesting looser underwriting.
• Capital One, First National of Nebraska, and Synchrony showed the largest jumps.
• Verizon's performance in mobile phone financing ABS is better than LendingClub's due to device utility and stronger payment behavior.

Conclusion

The June 2017 ABS Spotlight highlights ongoing challenges in the auto and credit card ABS markets, including weaker credit performance, rising charge-off rates, and supply-demand imbalances. It also emphasizes the importance of regulatory changes like Regulation AB II in improving transparency and informing market participants. While policy uncertainty remains, the overall outlook for the ABS market is positive, especially with improved data availability and continued economic growth.