The subprime auto ABS catalog: From pricing to performance, and everything in between

研报英文原文证据摘录

The subprime auto ABS catalog: From pricing to performance, and everything in between

J P M O R G A N Global Securitized Products

Research

20 July 2026

The subprime auto ABS catalog

From pricing to performance, and everything in between

Securitized Products & Public

Finance Consumer Asset-Backed

Securities Strategy

Amy Sze, CFA AC

(1-212) 270-0030

amy.sze@jpmorgan.com

• We present an update of our catalog of outstanding subprime auto ABS issuers, Siddharth Tripathy

offering quick insight into recent new issue pricing levels, structural

(1-212) 464-0414

enhancements, collateral characteristics, key performance metrics and rating siddharth.x.tripathy@jpmchase.com

actions on an issuer level J.P. Morgan Securities LLC

• This report covers 18 subprime auto ABS issuers in a printable format, while

the excel supplement covers a comprehensive list of 44 outstanding issuers

• As of June 2026, the estimated sector outstandings tracked $79.3bn, of which

only 0.5% is floating rate and 58.9% is 144A. Further, 41%, 17%, 19%, 14%,

6% and 2% of the sector outstandings are currently rated AAA, AA, A, BBB

and BB and below, respectively

• SDART, EART and WLAKE are the largest issuers presently with program

outstandings of $12.5bn, $10.4bn and $7.9bn, respectively

• Collateral for the 1H26 subprime cohort overall tracked broadly in line to 2025

with a weighted average credit score of 594, used car concentration of 86%,

average loan balance of $23,149, original term of 69 months, seasoning of 4

months and LTV ratio of 119%

• The 30+ delinquencies and defaults on our subprime auto ABS index tracked

14.8% and 11.7% for recent June reporting, versus 13.7% and 10.9% a year ago

respectively

• On pricing, our indicative benchmark spreads currently track +48bp, +52bp, Contents