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报告摘要

ABS Spotlight Summary - September 2017

Core Content Overview

The September 2017 issue of ABS Spotlight provides an in-depth analysis of the impact of the Dodd-Frank Act's risk-retention rules on various asset-backed securities (ABS) sectors in the U.S. and Canada, along with sector updates and performance insights.

Key Topics and Insights

1. Risk-Retention Rules Compliance

Core Insight: The Dodd-Frank Act's risk-retention rules have formalized existing practices for most consumer ABS subsectors, with only marginal credit benefits.
Compliance Methods:
- Most consumer ABS sponsors retain horizontal strips (residual interests).
- Credit card and auto floorplan ABS sponsors retain vertical strips (seller's interest).
- Prime and near-prime auto ABS sponsors use horizontal, vertical, or L-shaped retention methods.
Impact on Sectors:
- The rules have had a more significant impact on prime and near-prime auto ABS due to historically smaller retained interests.
- Unlike other structured finance asset classes (e.g., CLOs), ABS sponsors have not had to significantly change their structuring practices.

2. Auto ABS Impact from Hurricane Harvey

Cash Flow Decline: Auto ABS cash flows will decline for the next few months due to:
- Compensation arrangements with affected dealers and customers.
- Delayed insurance claim processing.
- Reduced vehicle sales and remarketing in affected areas.
Credit Impact:
- Decline in payment rates is credit negative.
- Relief efforts will mask immediate delinquency spikes, which are expected by year-end.
- Insurance compensation will partially offset losses, with the effects expected to last several months.
Geographic Exposure:
- On average, 10% of US auto ABS collateral is exposed to Texas, with some transactions having up to 14% exposure.
- Subprime auto loan ABS has 21% exposure to Texas, and prime ABS has 19%.
Residual Value Losses:
- Auto lease ABS will face higher residual value losses due to halted or slowed remarketing.
- Some losses will not be covered by insurance, creating credit negative effects.
- Higher vehicle turn-in rates will offset some losses by accelerating paydowns.

3. Auto ABS US Sector Update - Q2 2017

Loan ABS Performance:
- Monthly loan ABS losses improved compared to the previous quarter.
- Delinquencies increased, particularly for loans with longer terms.
Lease ABS Performance:
- Monthly residual value performance rebounded to gains in Q2.
- The Volkswagen Auto Lease Trust 2015-A contributed to previous losses but has now paid out.
Floorplan ABS:
- Monthly payment rates declined year-over-year.
- Some floorplan trusts showed increases compared to Q1, but on average, payments were lower.
Used Vehicle Price Indices:
- The Manheim Used Vehicle Index rebounded in Q2.
- Higher prices for trucks and SUVs drove the rebound.
- Underlying weakness persisted in Q1, suggesting a gradual recovery.

4. Equipment Lease and Loan ABS Overview

Geographic Scope: Equipment ABS are issued in the U.S., Canada, Europe, and Japan.
Performance:
- Equipment ABS have historically performed relatively well, even during the 2008-2010 financial crisis.
- They serve as an important financing tool alongside senior unsecured and secured debt.
Asset Types:
- Include small- and mid-ticket equipment, sometimes large-ticket.
- Equipment may be new or used.
Obligors:
- Typically small and medium-sized businesses.
- Some transactions include large corporates or consumers.
Structure:
- Most use sequential-pay, senior-subordinated structures.
- Some use single-class notes.
- Static pools are common for term ABS, while revolving pools are used in certain Canadian and European transactions.
Credit Risks:
- Obligor default and severity are key risks.
- Residual value risk is present in some U.S. and Canadian lease transactions.
- Counterparty and commingling risks are also relevant.
Jurisdictional Comparison (Exhibit 1):
- U.S.: Typically small- and mid-ticket equipment, with static or revolving pools.
- Canada: Similar to the U.S., with static or revolving pools.
- Europe: Floating-rate contracts, mostly finance leases, with static pools.
- Japan: Fixed-rate contracts, only finance leases, with static pools.

5. Retail Sector Disruption and Structured Finance

Trend: The rise of e-commerce and changing consumer behavior has led to increased bankruptcies and store closures.
Impact on Structured Finance:
- Real but narrow risks to certain ABS sectors.
- CMBS, REITs, CRE CDOs, CLOs, and credit card ABS are most affected.
Retail Distress:
- "B" and "C" quality regional malls and retailers are most at risk.
- Department stores and apparel companies are significantly impacted by online shopping.
Adaptation:
- Many companies and retail property owners have adapted to the new retail landscape, reducing overall impact.
E-Commerce Growth:
- E-commerce sales made up over 10% of U.S. retail sales (excluding automobiles) in 2016.
- Projected to double in the next 10 years, reaching over 25% of total retail sales.
Distressed Retail:
- The default rate for the global retail industry through July 2017 was 4.9%, up from 3.7% in the previous year.
- U.S. corporate retail has the second-highest expected one-year default rate at 4.6%.

6. Mobile Phone Financing ABS Overview

Geographic Scope: Mobile phone financing ABS are analyzed in Japan, the U.S., and Europe.
Asset Characteristics:
- Typically amortizing, zero-interest, with a tenor of 18 months to three years.
- Some U.S. carriers offer phone leases.
Country-Specific Features:
- In Japan, borrowers can continue installment payments even after terminating wireless service.
- In the U.S., full payment is often required upon service termination.
Credit Quality:
- Depends on borrower creditworthiness, operational risks, and deal structures.
- Unique factors include the importance of mobile phones to users and wireless carrier operations.
Structure:
- In Japan, most use simple senior-subordinated pro-rata payments with a floor amount for subordinated notes.
- In the U.S., deals have an initial revolving period (usually two years) followed by sequential pay.
Key Risks:
- Similar to other ABS classes: true sale, bankruptcy remoteness, and commingling risks.

7. Banks - Canada: Household Debt and Credit Card Losses

Household Debt Levels:
- At the end of 2016, household debt to disposable income was 169%.
- Residential mortgages account for 65% of GDP, up from 60% in 2012.
Credit Card Losses:
- Expected to increase in the next downturn due to high debt levels.
- However, repayment incentives and profitability of credit card businesses should limit losses.
- Stress losses are expected to be 50–100 basis points above past peaks of 5.8% charge-offs.

8. Canadian Credit Card Index

Performance:
- Year-over-year performance remained strong in June 2017.
Credit Card ABS:
- Private-label and co-branded credit cards are most exposed to retail sector disruption.

9. IMN ABS East Conference

Moody's Sponsorship:
- Moody's is a sponsor of the 23rd Annual IMN ABS East conference in Miami, September 17–19, 2017.
Speaking Engagements:
- Kruti Muni on Residual Value and Performance Concerns in the Auto Sector.
- Benjamin Shih on Solar Loans & Leases.
- Deryk Meherik on CRE CLOS.
- Daniela Jayesuria on Mobile Phone ABS and Key Advances in the SFR Market.

10. Performance Indices

Prime Auto ABS: Tracks performance of prime auto loan securitizations.
Credit Card ABS: Measures performance of credit card securitizations.
Private Student Loan ABS: Focuses on private student loan ABS.

11. Quick Check Portals

ABS Quick Check: A tool for tracking ABS performance.
Structured Finance: A broader portal for structured finance insights.

12. ABS Surveillance and Issuance Updates

ABS Surveillance Update (August 2017):
- Highlights key credit issues affecting the U.S. and Canadian ABS markets.
ABS Issuance Update (July 2017):
- Issuance levels slowed but remained higher year-to-date.

13. Endnotes and Contacts

References:
- Risk-Retention Regs Are Credit Positive for Most of SF; Credit Neutral for CLOs (27 October 2014).
- Monthly Default Report: July Default Report (August 8, 2017).
Contacts:
- Yan Yan, VP-Senior Analyst: yan.yan@moodys.com
- Anna Burns, Associate Analyst: anna.burns@moodys.com
- Tracy Rice, VP-Senior Credit Officer: tracy.rice@moodys.com
- Soichiro Saeki, Analyst: soichiro.saeki@moodys.com
- Todd Swanson, VP-Senior Analyst: todd.swanson@moodys.com
- Kevin Fagan, VP-Senior Analyst: kevin.fagan@moodys.com
- Keith Banhazl, Managing Director: keith.banhazl@moodys.com
- Ramon O. Torres, Senior Vice President/Manager: ramono.torres@moodys.com

Summary of Key Points

The Dodd-Frank risk-retention rules have formalized existing practices for most consumer ABS subsectors.
Auto ABS will face short-term cash flow declines due to Hurricane Harvey, with credit negative effects expected to last several months.
E-commerce growth and changing consumer behavior pose narrow risks to structured finance sectors, particularly retail, CMBS, REITs, CRE CDOs, and CLOs.
Equipment ABS have performed well historically and continue to be a key financing tool.
Mobile phone financing ABS are influenced by borrower creditworthiness, operational risks, and wireless carrier stability.
Canadian credit card ABS face higher losses in the next downturn due to record household debt, but recovery mechanisms may limit the impact.

Conclusion

The September 2017 issue of ABS Spotlight provides a comprehensive overview of the credit risks and performance trends across various ABS sectors. It highlights the impact of Hurricane Harvey on auto ABS, the narrow risks from retail sector disruption, and the ongoing challenges in compliance with the Dodd-Frank Act's risk-retention rules. The report also offers insights into equipment and mobile phone financing ABS, emphasizing their structure, credit risks, and performance indicators.

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