Asset-backed Securities: Summer chill and LTV-nomics

Research evidence excerpt

Asset-backed Securities: Summer chill and LTV-nomics

Amy Sze, CFA AC (1-212) 270-0030 Global Securitized Products J P M O R G A Namy.sze@jpmorgan.com Research

J.P. Morgan Securities LLC

26 June 2026

Asset-backed Securities

Summer chill and LTV-nomics

• The ABS market remains on firm footing under the summer heat with solid demand and

macro credit trends; we remain cautious down the capital stack given various idiosyn-

cratic sponsor headlines/volatility

• Recent subprime auto ABS pools exhibit greater concentration in the higher LTV bands,

with higher LTV loans typically having lower original loan balance and appraised asset

value

• On aggregate, default rates are higher and recoveries are lower for higher LTV loans,

but issuer specific pool compositions differentiate performance even for the same LTV

bands

ABS chilling with spreads firm

As the summer season heats up, the ABS market continues to enjoy robust technicals and

decent fundamentals. Spreads held firm on the week as the primary market churned out new

issues and secondary flows picked up. The new issue calendar also filled up ahead of the

shortened July 4th work week. June to date has seen $28bn in ABS supply, compared to

$30bn for the full month June 2025. Summer months tend to run on a less hectic pace for

overall market activity. Last July was an exception with $38bn in ABS issuance, compared

to $27bn in July 2024 and $19bn in July 2023. This July should see a more modest issuance

pace, though still plenty to keep the year-to-date issuance pace just ahead of last year. Macro

credit fundamentals remain fine with our economists’ baseline growth forecast largely

unchanged and downside risks decreasing with the US-Iran MOU. There have been a couple