If you’ve followed the subprime auto story over the past couple of years, you’re probably well aware that the Santander Consumers and Skopos Financials of the world have been using the securitization market to offload credit risk associated with making auto loans to borrowers that, in some cases, have no credit score at all.

I’m not being hyperbolic.

Have a look at the following summary of a $150 million deal from Skopos that went off in 2015:

So something like 65% of the loans in the collateral pool were made to borrowers with credit scores between “N/A” and 550. Great.

Given that, the following graph and color from Barclays probably won’t come as much of a surprise.

Via Barclays

Collateral fundamentals continue to weaken in the auto loan ABS sector. Prime and subprime net loss rates are close to multi-year highs, while auto loan severities have increased y/y because of softening used car values.

60+ day delinquencies rose 8bp m/m, to 4.93% in the Barclays subprime index, while annualized net losses fell 34bp, to 8.68%. Year-over-year comparisons were less favorable, as delinquencies and net losses are up 50bp and 111bp, respectively, in the subprime index (Figure 2).