ABS Alert: Under the hood

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ABS Alert: Under the hood

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ABS Alert

Under the hood

Weakness continues but stabilization is possible 23 June 2026

We expect modestly weaker credit performance across both prime and subprime auto Securitized Products Strategy

loan ABS, with a growing likelihood of stabilization as the year progresses, particularly as United States

U.S.–Iran tensions move closer to resolution. Chris Flanagan

FI/MBS/CLO Strategist

BofASModestly higher delinquencies +1 646 855 6119

Based on our asset level database for retail auto loan ABS, regardless of credit score or christopher.flanagan@bofa.com

income level, 30+ days delinquency (DQ) rates have trended higher from the lows seen in Theresa O'Neill

early to mid-2021. Meanwhile, the YoY rates of deterioration (as measured by YoY ABSBofASStrategist

changes in DQ rates) are below peak levels but have recently trended up. +1 646 855 9285

theresa.oneill@bofa.com

Alvin FungPerformance trends by credit score and income buckets ABS Strategist

Our asset level database for retail auto loan ABS shows lower credit score buckets have BofAS

weaker credit performance than higher credit score buckets. However, the pace of +1 646 855-9091 alvin.fung@bofa.com

deterioration has varied across credit buckets over time. For instance, after compressing

to a trough in August 2023, dispersion across credit score buckets began to widen

before subsequently tightening again. In recent months, the dispersion has been See Exhibit 32 on page 12 for commonly used

increasing with prime seeing the highest rate of deterioration and subprime seeing the acronyms

lowest. Meanwhile, the lower income tercile has the highest delinquency rate but the

Don’t miss these reportshigher income tercile has the highest YoY rate of deterioration.