Auto Loan Credit

ABS-EE Loan-Level Panel — SEC EDGAR

Live delinquency trends from SEC EDGAR ABS-EE filings. Loan-level auto credit data, parsed from servicer reports so you don’t have to.

Data source: SEC EDGAR ABS-EE autoloan panel — loan-level data from asset-backed securities filings. Parsed from raw XML filings via the bens-data-lake pipeline. Coverage limited to SEC-registered auto ABS trusts. See Data Sources for full methodology.

This is structured finance data — the kind of thing you’d normally pay a Bloomberg terminal to look at, except it’s sitting in SEC EDGAR and nobody told you. ABS-EE filings contain loan-level performance data for auto loan ABS trusts: origination date, balance, days past due, payment status. The good stuff.

Coverage varies by reporting month as trusts enter and exit the panel. A delinquency rate computed from 2M loans means something very different from one computed from 200K. Check the volume chart.

Code

import { Plot } from "npm:@observablehq/plot"

data = abs_data.map(d => ({...d, filing_date: new Date(d.filing_date)}))

DPD_META = [
  {key: "d30_rate", label: "30+ days", color: "#2563eb"},
  {key: "d60_rate", label: "60+ days", color: "#7c3aed"},
  {key: "d90_rate", label: "90+ days", color: "#dc2626"}
]

RECESSIONS = [
  {start: new Date("2020-02-01"), end: new Date("2020-04-30"), label: "COVID-19"}
]

fmtDate = d => d.toLocaleString("en-US", {month: "short", year: "numeric"})
fmtPct  = d => `${(d * 100).toFixed(2)}%`
fmtN    = d => d >= 1e6 ? `${(d/1e6).toFixed(1)}M` : d >= 1e3 ? `${(d/1e3).toFixed(0)}K` : String(d)

Latest Month

Code

{
  if (!data_ok) return html`<div class="chart-error">⚠ Run <code>python analysis/aggregate_abs_ee.py</code> to generate dashboard data.</div>`

  const latest = data.reduce((max, d) => d.filing_date > max ? d.filing_date : max, new Date(0))
  const row = data.find(d => d.filing_date.getTime() === latest.getTime())
  if (!row) return null

  const prev = data.slice().sort((a, b) => b.filing_date - a.filing_date)[1]

  const strip = html`<div class="kpi-strip"></div>`

  for (const {key, label} of DPD_META) {
    const val = row[key]
    const chg = prev ? val - prev[key] : null
    const chgStr = chg !== null ? ` ${chg > 0 ? "▲" : "▼"} ${Math.abs(chg * 100).toFixed(2)}pp` : ""
    const chgColor = chg > 0 ? "#dc2626" : "#16a34a"
    const card = html`<div class="kpi-card">
      <div class="kpi-value">${fmtPct(val)}</div>
      <div class="kpi-label">${label} DPD<span style="color:${chgColor};margin-left:6px;font-size:0.7rem">${chgStr}</span></div>
    </div>`
    strip.appendChild(card)
  }

  const volCard = html`<div class="kpi-card">
    <div class="kpi-value">${fmtN(row.total_loans)}</div>
    <div class="kpi-label">Loans in panel</div>
  </div>`
  strip.appendChild(volCard)

  const surveyed = html`<div style="font-family:'DM Mono',monospace;font-size:0.7rem;color:#9A9A9A;margin-bottom:1.5rem;">
    Reporting period: ${fmtDate(latest)}
  </div>`

  return html`<div>${surveyed}${strip}</div>`
}

Delinquency Trends

Code

{
  if (!data_ok || data.length === 0) return html`<div class="chart-loading">No data</div>`

  const meta  = DPD_META.find(d => d.key === dpdBucket)
  const now   = new Date()
  const years = {"1Y": 1, "2Y": 2, "3Y": 3}
  const cutoff = timeWindow in years
    ? new Date(now.getFullYear() - years[timeWindow], now.getMonth())
    : new Date(0)

  const filtered = data.filter(d => d.filing_date >= cutoff)
  const w = Math.min(800, window.innerWidth - 48)

  return Plot.plot({
    marks: [
      ...RECESSIONS.map(r => Plot.rect([r], {
        x1: "start", x2: "end",
        y1: 0, y2: 1,
        fill: "#888", fillOpacity: 0.07
      })),
      Plot.areaY(filtered, {
        x: "filing_date",
        y: dpdBucket,
        fill: meta.color,
        fillOpacity: 0.12,
        curve: "monotone-x"
      }),
      Plot.line(filtered, {
        x: "filing_date",
        y: dpdBucket,
        stroke: meta.color,
        strokeWidth: 2.5,
        curve: "monotone-x"
      }),
      Plot.crosshair(filtered, {x: "filing_date", y: dpdBucket, color: meta.color}),
      Plot.tip(filtered, Plot.pointer({
        x: "filing_date",
        y: dpdBucket,
        title: d => `${meta.label} DPD\n${fmtDate(d.filing_date)}: ${fmtPct(d[dpdBucket])}`
      }))
    ],
    x: {label: null, type: "time", tickFormat: "%b '%y"},
    y: {
      label: `${meta.label} DPD rate`,
      tickFormat: fmtPct,
      grid: true,
      zero: true
    },
    width: w,
    height: 320,
    marginLeft: 65,
    marginRight: 20,
    style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"}
  })
}

All Three Buckets

Code

{
  if (!data_ok || data.length === 0) return null

  const now = new Date()
  const cutoff = timeWindow in {"1Y":1,"2Y":2,"3Y":3}
    ? new Date(now.getFullYear() - {"1Y":1,"2Y":2,"3Y":3}[timeWindow], now.getMonth())
    : new Date(0)

  const long = data
    .filter(d => d.filing_date >= cutoff)
    .flatMap(d => DPD_META.map(m => ({
      filing_date: d.filing_date,
      label: m.label,
      color: m.color,
      rate: d[m.key]
    })))

  const w = Math.min(800, window.innerWidth - 48)

  return Plot.plot({
    marks: [
      ...RECESSIONS.map(r => Plot.rect([r], {
        x1: "start", x2: "end",
        y1: 0, y2: 1,
        fill: "#888", fillOpacity: 0.07
      })),
      Plot.line(long, {
        x: "filing_date",
        y: "rate",
        stroke: "color",
        strokeWidth: 2,
        curve: "monotone-x"
      }),
      Plot.crosshair(long, {x: "filing_date", y: "rate", color: "color"}),
      Plot.tip(long, Plot.pointer({
        x: "filing_date",
        y: "rate",
        title: d => `${d.label}\n${fmtDate(d.filing_date)}: ${fmtPct(d.rate)}`
      }))
    ],
    x: {label: null, type: "time", tickFormat: "%b '%y"},
    y: {
      label: "DPD rate",
      tickFormat: fmtPct,
      grid: true,
      zero: true
    },
    color: {
      domain: DPD_META.map(d => d.color),
      range: DPD_META.map(d => d.color),
      legend: false
    },
    width: w,
    height: 280,
    marginLeft: 65,
    marginRight: 20,
    style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"}
  })
}

Loan Volume

Code

{
  if (!data_ok || data.length === 0) return null

  const now = new Date()
  const cutoff = timeWindow in {"1Y":1,"2Y":2,"3Y":3}
    ? new Date(now.getFullYear() - {"1Y":1,"2Y":2,"3Y":3}[timeWindow], now.getMonth())
    : new Date(0)

  const filtered = data.filter(d => d.filing_date >= cutoff)
  const w = Math.min(800, window.innerWidth - 48)

  return Plot.plot({
    marks: [
      Plot.areaY(filtered, {
        x: "filing_date",
        y: "total_loans",
        fill: "#6b7280",
        fillOpacity: 0.15,
        curve: "monotone-x"
      }),
      Plot.line(filtered, {
        x: "filing_date",
        y: "total_loans",
        stroke: "#6b7280",
        strokeWidth: 1.5,
        curve: "monotone-x"
      }),
      Plot.tip(filtered, Plot.pointer({
        x: "filing_date",
        y: "total_loans",
        title: d => `${fmtDate(d.filing_date)}: ${fmtN(d.total_loans)} loans`
      }))
    ],
    x: {label: null, type: "time", tickFormat: "%b '%y"},
    y: {
      label: "Loans in panel",
      tickFormat: fmtN,
      grid: true,
      zero: true
    },
    width: w,
    height: 200,
    marginLeft: 65,
    marginRight: 20,
    style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"}
  })
}

--- title: "Auto Loan Credit" subtitle: "ABS-EE Loan-Level Panel — SEC EDGAR" description: "Live delinquency trends from SEC EDGAR ABS-EE filings. Loan-level auto credit data, parsed from servicer reports so you don't have to." toc: true freeze: false --- ```{=html} <div class="data-note"> <strong>Data source:</strong> SEC EDGAR ABS-EE autoloan panel — loan-level data from asset-backed securities filings. Parsed from raw XML filings via the bens-data-lake pipeline. Coverage limited to SEC-registered auto ABS trusts. See <a href="../data-sources.qmd">Data Sources</a> for full methodology. </div> ``` This is structured finance data — the kind of thing you'd normally pay a Bloomberg terminal to look at, except it's sitting in SEC EDGAR and nobody told you. ABS-EE filings contain loan-level performance data for auto loan ABS trusts: origination date, balance, days past due, payment status. The good stuff. Coverage varies by reporting month as trusts enter and exit the panel. A delinquency rate computed from 2M loans means something very different from one computed from 200K. Check the volume chart. --- ```{python} #| echo: false #| output: false from pathlib import Path import pandas as pd _path = Path("../analysis/outputs/abs_ee_dashboard.parquet") if _path.exists(): _df = pd.read_parquet(_path) _df["filing_date"] = pd.to_datetime(_df["filing_date"]).dt.strftime("%Y-%m-%d") ojs_define(abs_data=_df.to_dict(orient="records"), data_ok=True) else: ojs_define(abs_data=[], data_ok=False) ``` ```{ojs} //| echo: false //| output: false import { Plot } from "npm:@observablehq/plot" data = abs_data.map(d => ({...d, filing_date: new Date(d.filing_date)})) DPD_META = [ {key: "d30_rate", label: "30+ days", color: "#2563eb"}, {key: "d60_rate", label: "60+ days", color: "#7c3aed"}, {key: "d90_rate", label: "90+ days", color: "#dc2626"} ] RECESSIONS = [ {start: new Date("2020-02-01"), end: new Date("2020-04-30"), label: "COVID-19"} ] fmtDate = d => d.toLocaleString("en-US", {month: "short", year: "numeric"}) fmtPct = d => `${(d * 100).toFixed(2)}%` fmtN = d => d >= 1e6 ? `${(d/1e6).toFixed(1)}M` : d >= 1e3 ? `${(d/1e3).toFixed(0)}K` : String(d) ``` ## Latest Month ```{ojs} //| echo: false { if (!data_ok) return html`<div class="chart-error">⚠ Run <code>python analysis/aggregate_abs_ee.py</code> to generate dashboard data.</div>` const latest = data.reduce((max, d) => d.filing_date > max ? d.filing_date : max, new Date(0)) const row = data.find(d => d.filing_date.getTime() === latest.getTime()) if (!row) return null const prev = data.slice().sort((a, b) => b.filing_date - a.filing_date)[1] const strip = html`<div class="kpi-strip"></div>` for (const {key, label} of DPD_META) { const val = row[key] const chg = prev ? val - prev[key] : null const chgStr = chg !== null ? ` ${chg > 0 ? "▲" : "▼"} ${Math.abs(chg * 100).toFixed(2)}pp` : "" const chgColor = chg > 0 ? "#dc2626" : "#16a34a" const card = html`<div class="kpi-card"> <div class="kpi-value">${fmtPct(val)}</div> <div class="kpi-label">${label} DPD<span style="color:${chgColor};margin-left:6px;font-size:0.7rem">${chgStr}</span></div> </div>` strip.appendChild(card) } const volCard = html`<div class="kpi-card"> <div class="kpi-value">${fmtN(row.total_loans)}</div> <div class="kpi-label">Loans in panel</div> </div>` strip.appendChild(volCard) const surveyed = html`<div style="font-family:'DM Mono',monospace;font-size:0.7rem;color:#9A9A9A;margin-bottom:1.5rem;"> Reporting period: ${fmtDate(latest)} </div>` return html`<div>${surveyed}${strip}</div>` } ``` ## Delinquency Trends ```{ojs} //| echo: false viewof dpdBucket = Inputs.radio( DPD_META.map(d => d.key), { value: "d30_rate", label: "DPD bucket", format: k => DPD_META.find(d => d.key === k).label } ) ``` ```{ojs} //| echo: false viewof timeWindow = Inputs.radio( ["1Y", "2Y", "3Y", "All"], {value: "All", label: "Period"} ) ``` ```{ojs} //| echo: false { if (!data_ok || data.length === 0) return html`<div class="chart-loading">No data</div>` const meta = DPD_META.find(d => d.key === dpdBucket) const now = new Date() const years = {"1Y": 1, "2Y": 2, "3Y": 3} const cutoff = timeWindow in years ? new Date(now.getFullYear() - years[timeWindow], now.getMonth()) : new Date(0) const filtered = data.filter(d => d.filing_date >= cutoff) const w = Math.min(800, window.innerWidth - 48) return Plot.plot({ marks: [ ...RECESSIONS.map(r => Plot.rect([r], { x1: "start", x2: "end", y1: 0, y2: 1, fill: "#888", fillOpacity: 0.07 })), Plot.areaY(filtered, { x: "filing_date", y: dpdBucket, fill: meta.color, fillOpacity: 0.12, curve: "monotone-x" }), Plot.line(filtered, { x: "filing_date", y: dpdBucket, stroke: meta.color, strokeWidth: 2.5, curve: "monotone-x" }), Plot.crosshair(filtered, {x: "filing_date", y: dpdBucket, color: meta.color}), Plot.tip(filtered, Plot.pointer({ x: "filing_date", y: dpdBucket, title: d => `${meta.label} DPD\n${fmtDate(d.filing_date)}: ${fmtPct(d[dpdBucket])}` })) ], x: {label: null, type: "time", tickFormat: "%b '%y"}, y: { label: `${meta.label} DPD rate`, tickFormat: fmtPct, grid: true, zero: true }, width: w, height: 320, marginLeft: 65, marginRight: 20, style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"} }) } ``` ## All Three Buckets ```{ojs} //| echo: false { if (!data_ok || data.length === 0) return null const now = new Date() const cutoff = timeWindow in {"1Y":1,"2Y":2,"3Y":3} ? new Date(now.getFullYear() - {"1Y":1,"2Y":2,"3Y":3}[timeWindow], now.getMonth()) : new Date(0) const long = data .filter(d => d.filing_date >= cutoff) .flatMap(d => DPD_META.map(m => ({ filing_date: d.filing_date, label: m.label, color: m.color, rate: d[m.key] }))) const w = Math.min(800, window.innerWidth - 48) return Plot.plot({ marks: [ ...RECESSIONS.map(r => Plot.rect([r], { x1: "start", x2: "end", y1: 0, y2: 1, fill: "#888", fillOpacity: 0.07 })), Plot.line(long, { x: "filing_date", y: "rate", stroke: "color", strokeWidth: 2, curve: "monotone-x" }), Plot.crosshair(long, {x: "filing_date", y: "rate", color: "color"}), Plot.tip(long, Plot.pointer({ x: "filing_date", y: "rate", title: d => `${d.label}\n${fmtDate(d.filing_date)}: ${fmtPct(d.rate)}` })) ], x: {label: null, type: "time", tickFormat: "%b '%y"}, y: { label: "DPD rate", tickFormat: fmtPct, grid: true, zero: true }, color: { domain: DPD_META.map(d => d.color), range: DPD_META.map(d => d.color), legend: false }, width: w, height: 280, marginLeft: 65, marginRight: 20, style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"} }) } ``` ## Loan Volume ```{ojs} //| echo: false { if (!data_ok || data.length === 0) return null const now = new Date() const cutoff = timeWindow in {"1Y":1,"2Y":2,"3Y":3} ? new Date(now.getFullYear() - {"1Y":1,"2Y":2,"3Y":3}[timeWindow], now.getMonth()) : new Date(0) const filtered = data.filter(d => d.filing_date >= cutoff) const w = Math.min(800, window.innerWidth - 48) return Plot.plot({ marks: [ Plot.areaY(filtered, { x: "filing_date", y: "total_loans", fill: "#6b7280", fillOpacity: 0.15, curve: "monotone-x" }), Plot.line(filtered, { x: "filing_date", y: "total_loans", stroke: "#6b7280", strokeWidth: 1.5, curve: "monotone-x" }), Plot.tip(filtered, Plot.pointer({ x: "filing_date", y: "total_loans", title: d => `${fmtDate(d.filing_date)}: ${fmtN(d.total_loans)} loans` })) ], x: {label: null, type: "time", tickFormat: "%b '%y"}, y: { label: "Loans in panel", tickFormat: fmtN, grid: true, zero: true }, width: w, height: 200, marginLeft: 65, marginRight: 20, style: {background: "transparent", fontSize: "12px", fontFamily: "DM Mono, monospace"} }) } ```