20141215-穆迪服务-Weaker_Credit_Quality_of_New_Loan_Pools_Will_Reflect_Continued_Easing_of_Underwriting_Criteria_11页_1mb

2015 US Auto ABS Outlook Summary

Core Content

Moody's Investors Service released a 2015 outlook for the U.S. Auto Loan Asset-Backed Securities (ABS) market, highlighting key trends in credit quality, regulatory scrutiny, and issuance dynamics. The report outlines both short-term challenges and long-term opportunities for the sector.

Main Points

Credit Quality of New Auto Loan ABS

• Decline in Credit Quality: The credit quality of new auto loan ABS pools is expected to decline slightly in 2015 due to continued easing of underwriting standards.
• Prime Pools: Cumulative net losses in new prime pools are expected to be slightly higher than in 2014, but still relatively low compared to pre-crisis levels.
• Subprime Pools: Subprime pools will also show lower credit quality, though performance is expected to remain strong historically. Lenders are becoming more cautious in relaxing underwriting standards.
• Used Car Loans: A growing share of used car loans in prime pools will negatively impact credit quality. Used car loans have about 1.4 times higher cumulative net losses than new car loans.

Impact of Loan Terms and FICO Scores

• Longer Loan Terms: Lenders are offering longer repayment terms, increasing default risk. Prime loans with longer terms are expected to perform about twice as poorly as those with 60-month terms.
• FICO Scores: The average FICO scores of borrowers are declining, indicating a broader credit risk trend.

Leasing Market Expansion

• Lease ABS: Leasing will continue to expand, including into mass-market vehicles. New lease deals are expected to have lower FICO scores than previous ones.
• Residual Value Risk: Continued strength in used car prices will help mitigate residual value losses in lease ABS, though risks could rise with increased lease competition.

Floorplan ABS Performance

• Robust Auto Sales: Floorplan ABS performance is expected to remain strong due to continued high auto sales, which support dealer profitability and credit strength.
• Dealer Consolidation: Larger dealers are consolidating, which strengthens the credit quality of securitizations. Even with higher inventory levels, payment rates are expected to stay strong.

Regulatory Scrutiny

• Regulatory Pressure: Increased regulatory scrutiny in 2015 could temporarily affect performance if lenders must change effective servicing practices.
• Reg AB II: The adoption of Regulation AB II by the SEC is expected to improve transparency and reporting, which is credit positive for the sector.

Operational and Competitive Risks

• Operational Risks: Small, independent finance companies pose significant operational risks due to limited financial resources and higher default probabilities.
• Competitive Pressures: Subprime lenders face competitive pressures that limit their ability to increase APRs, which could affect profit margins if interest rates rise.

Issuance Trends

• Flat or Slight Increase: Auto ABS issuance in 2015 is expected to remain flat or increase slightly, driven by continued auto sales.
• 144A Market: Some issuers may use the 144A market to prepare for public market disclosures, but the public market remains more attractive for frequent issuers.
• Risk Retention Rule: Most issuers are unlikely to qualify for exemptions under the risk retention rule, as stringent underwriting criteria make it difficult to meet the exemption standards.

Key Information

• Cumulative Net Losses: Expected to be around 0.50% for 2010–13 transactions, compared to 1.0%–1.5% for earlier vintages.
• Used Car Prices: Projected to remain steady or increase, supporting recoveries in auto loan ABS and mitigating residual value risk in lease ABS.
• Regulation AB II: Expected to improve transparency and reporting, which is credit positive for the sector.
• Floorplan ABS: Expected to benefit from robust auto sales and dealer consolidation.
• Subprime Lenders: May continue to face operational risks and competitive pressures that limit their ability to raise APRs.

Summary Table

Category	Key Insight
New Auto Loan ABS	Credit quality will decline slightly due to relaxed underwriting standards.
Prime Pools	Cumulative net losses are expected to be slightly higher than 2014.
Subprime Pools	Performance will remain strong historically, but credit quality will weaken.
Used Car Loans	Higher risk, with cumulative net losses about 1.4 times higher than new car loans.
Lease ABS	Residual value risk is mitigated by steady used car prices.
Floorplan ABS	Performance will remain strong due to robust auto sales and dealer stability.
Regulatory Scrutiny	May temporarily affect performance but could lead to long-term improvements.
Operational Risks	Small lenders pose higher operational risks due to financial fragility.
Issuance Trends	Expected to stay flat or increase slightly.

Conclusion

While the U.S. auto ABS market is expected to see a modest decline in credit quality for new transactions, the overall performance of outstanding pools is anticipated to remain strong. Regulatory scrutiny and operational risks will be key challenges, but they could lead to long-term improvements in the sector. Continued robust auto sales and stable used car prices will support the credit strength of the market, especially for floorplan ABS.