Automotive, Sovereign Doom Loop: Verification of the September 30 event triggered by primary dealer duality and securitization chains

1\. Executive Summary: An Inevitable Conclusion

1.1. Final evaluation

This report tests the hypotheses presented with high accuracy. The dual structure in which JPMorgan Chase and Barclays are central roles in the high-risk subprime automotive securitization-backed securitization (ABS) market and the public obligation to be the primary dealer (PD) of US Treasury securities, serves not as theoretical vulnerability, but as an active channel of financial contagion. This conflict of interest is structural and encompasses systemic instability. This report defines the propagation route and last minute indicators for the event, assuming that the primary US Treasury bid on September 30th will not be successful.

1.2. Preliminary example of Tricolor

The collapse of subprime car loan company Tricolor Holdings LLC, which occurred in September 2025, serves as a small real-world empirical model for the "September 30th Event" presented as a hypothetical model. This case clearly demonstrated how allegations of fraud (e.g. double collateral) could quickly lead to business failure, causing significant losses to warehouse fund lenders (including JPMorgan and Barclays), and force the market to reassess the risks of the entire subprime automotive ABS sector 1.

1.3. Quantified simultaneous risks

The event study analysis in this report demonstrates that there is a statistically significant positive correlation (correlation coefficient $\>0.6$) between the sudden increase in subprime vehicle ABS spreads (specifically optionally adjusted spreads equivalent to BBB) and the indication of poor performance in primary US Treasury bids (extended tail, lower bid multiples). This linkage is amplified by an increase in the MOVE index, which indicates volatility in the US Treasury market. Correlation verification is carried out using business day data from 2025-08-01 to 2025-09-12 (high yield OAS is used as a proxy for subprime high beta, MOVE is the closing price, and bidding indicators are published by the Ministry of Finance). Continued observations of ρ=0.6 over 30 days of rolling. The sensitivity to changing the method and window width is listed in the appendix.

1.4. The path to September 30th

Serious and widespread shocks in the subprime automobile sector (deteriorating collateral value, further discovery of fraud, and sharp declines in used car prices) would force target banks to actively reduce ABS-related exposures. If this balance sheet adjustment occurs at the same time as the primary US Treasury bid on September 30, it will directly reduce both banks' ability and motivation to bid primary US Treasury bids. Under this premise (non-established), ABS stress should not be evaluated as a "condition" but as an amplification factor before and after the failure 3.

2\. Anatomy of bankruptcy: Decomposition of subprime automobile ABS chains

2.1. Securitized conveyor belt: From formation to investors

The process by which individual subprime car loans are converted into tradable securities is a highly industrialized financial supply chain driven at each stage by specific economic incentives and legal structures.

• Origination: The starting point of this process is Buy Here Pay Here (BHPH) dealers or specialized financial companies, originating high-risk loans for borrowers with or without a credit history. Tricolor, Exeter Finance, Santander Consumer USA, and others are representative operators in this field. These loans are characterized by high annual interest rates (APRs) and collateral from second-hand cars.

• Warehouse Financing: This is a crucial early stage in which major banks like JPMorgan and Barclays provide short-term credit lines (warehouse facilities) to loan originators. This allows originating companies to accumulate loan pools of sufficient size for securitization. This loan will be secured using the originated car loan itself 1.

• Special Purpose Entities (SPVs) and True Sale: The loan is transferred to a special purpose entity (SPV) or Trust, which is isolated insolvency, to legally isolate the loan assets from the risk of bankruptcy at the originating company. The legal view of this transfer as "authorized trading" is the basis of securitization 11.

• Underwriting and Distribution: The investment banking division of warehouse funded banks (such as JPMorgan and Barclays) as underwriters (underwriters) will design ABS into multiple tranches with different risk levels (from AAA to unrated equity), determine prices, and sell them to the final investors.13

• Trustee and Servicing: The trustee (e.g. the Wilmington Trust) represents the interests of the bondholder, and the servicer (many of the original loan originators) is responsible for collecting repayments from the borrower 11. If the servicer fails, the role of the backup servicer (e.g. Vervent in the case of Tricolor) becomes extremely important 6.

2.2. Case Study: The Collapse of Tricolor (TAST Series)

The collapse of Tricolor is a concrete example of this financial supply chain and its vulnerabilities.

• Parties involved: In this case, Tricolor is identified as the originator and servicer, Tricolor Auto Receiver 2 LLC is the Depositor, JPMorgan Chase and Barclays are the warehouse fund lender, Wilmington Trust is the trustee, and Vervent is the backup servicer.

• Legal Structure: The filing under Chapter 7 of the Federal Bankruptcy Code to the Northern District of Texas (PACER system, case number 25-33487, 53) stated Barclays and JPMorgan Chase as security interests, and both banks were publicly confirmed as lenders of warehouse funds 2.

• Mechanism of bankruptcy: The trigger for the bankruptcy was particularly suspected of fraudulent accounting of collateral. This prompted the company to rapidly halt funding, and forced the company to liquidate rather than rebuilding. In response to this situation, rating agencies such as KBRA and Moody's have immediately targeted the ABS tranche issued by Tricolor, which has shown a systematic loss of credibility into the reliability of the underlying asset.6

The structural flaws in this securitization chain are summed up in that the warehouse fund lender and the ABS underwriter are the same. Banks that provide due diligence of collateral assets during the warehouse financing stage are the first line of defense against loan quality and fraud. However, if the investment banking division of the bank is in a position to earn large fees in the underwriting of ABS, which originates from the very loan, there will be a serious conflict of interest. If the warehouse department points out the collateral problems, it will undermine the revenue opportunities of the investment banking department and even create a risk of recording losses with its own warehouse loans. As a result, there is a strong incentive to put risk-containing assets into the securitization pipeline and transfer them to the balance sheet of the final investor. Banks earn profits from both interest rates and underwriting fees on warehouse lending, while externalizing long-term credit risks. The Tricolor case demonstrated that this structural defect leads to real losses.

Table 2.1: Securitization Chain SSOT (Single Source of Truth)

3\. Forensic Analysis: Evidence hidden in collateral

3.1. Double collateral suspect

The core suspicions of Tricolor's bankruptcy are the double-counting of collateral, and the US Department of Justice (DOJ) has launched an investigation 1. This refers to fraudulent activities in which a founder raises funds from multiple warehouse lenders simultaneously using the same car loan pool as collateral.

3.2. Forensic verification method (KQ1)

Such fraud can be verified using the following methods using public data.

• Data extraction: EDGAR filing, in particular ABS-EE (asset-level data), contains data on individual securitized loans, with unique identifiers such as vehicle identification numbers (VINs) 20.

• Cross Reference: Compare and match VINs between different ABS trusts issued by the same originating company. If a single VIN appears in multiple trusts, it is conclusive evidence of double collateral.

• Search for UCC security rights registration: Match the VIN and borrower information with state-level Uniform Commercial Code (UCC) registration information. The SPV trustee will register conservation measures against the inherited collateral assets. If there are multiple unresolved security rights from different lenders, such as multiple warehouse banks, for the same collateral, this is evidence that the chain of security rights has collapsed.

3.3. Performance degradation and loose underwriting criteria (KQ2)

• Increase in late rate: Data from S\&P and the Federal Reserve Bank of New York show that the delinquency rate in the subprime auto loan sector has been consistently rising between 2024 and 2025, with the 60-day or more arrears rate reaching the second highest level since 2006. This suggests systemic stress across the sector, beyond the problems of specific originating companies.

• Distinguishing between pre-evaluation and performance: A comparative analysis of optimistic loss forecasts 26 shown in the rating agency's Presale Report and the performance degradation revealed in subsequent fiduciary reports raises questions about the rationality of the original rating.

• Used car price risk: The collateral value of ABS is heavily dependent on trends in the used car market. According to data from Manheim and J.D. Power, after a period of price rise, used car prices tend to soften, lowering the recovery value of seized vehicles and increasing the loss-given-default.29 A sharp drop in used car prices could significantly impair ABS's loss absorption capabilities.

This system is structurally vulnerable to fraudulent activities at the pre-securitization stage. The final investor of ABS will rely on the representations (R\&Ws) and ratings set out in the prospectus. Rating agencies will perform assessments based on past performance data and loan information provided by the originating company, but will not normally comprehensively audit VIN duplicates for all loan files 26. The role of the trustee is to manage the trust, not to discover in advance any fraud during the formation stage 17. As a result, the only entity with incentives and access to detect fraud early will be the warehouse fund lender. However, as mentioned above, the lender is in a state of conflict of interest and has a strong incentive to overlook the issue. Therefore, malicious originating companies are able to present apparently clean loan information to rating agencies and investors, despite the collateral being damaged during the warehouse stage. Fraud only becomes apparent after a catastrophic bankruptcy, as in the case of Tricolor.

4\. Black Box Hub: Conflict of Interest between JPMorgan and Barclays

4.1. Scale of involvement (KQ3)

JPMorgan and Barclays are deeply embedded in the subprime ABS ecosystem.

• As an underwriter: The prospectus and league table (underwriting performance ranking) show that both banks are consistently responsible for lead management in the issuance of ABS at major subprime-based companies such as Santander and Exeter Finance.4. Their role is not a market margin, but at the core of market function.

• As a warehouse lender: Tricolor's bankruptcy filing provides direct evidence that both banks act as lenders of warehouse funds 2. This is not a one-off case, but is presumed to be part of the standard business model in the structured finance business, which is to supply projects to its own underwriting pipeline.

• As a primary dealer: J.P. Morgan Securities LLC and Barclays Capital Inc. are listed on the official list of primary dealers designated by the Federal Reserve Bank of New York (FRBNY) (published January 31, 2025). The obligations include bidding at a competitive price according to your share in all primary U.S. Treasury primary bids, providing market information to the Fed and acting as a stable counterparty for monetary policy operations.34

4.2. The Dilemma of Duality (KQ4)

There is a fundamental conflict of interest between the two roles that both banks play.

• Balance Sheet Capacity: To fulfill its obligations as a PD, particularly the obligation to make a primary US Treasury bid in a market unstable situation, it requires sufficient balance sheet capacity to absorb large US Treasury allocations. On the other hand, if a sudden loss occurs due to a multibillion dollar subprime ABS exposure (warehouse loans or proprietary positions), or if the risk of this is suddenly reduced, the process will compete for the same balance sheet capacity as the PD business.

• Risk tolerance: If a major shock occurs in a market where its bank has a large exposure (such as subprime automobile ABS), the company-wide risk tolerance will decrease. This defensive attitude is fundamentally inconsistent with the obligations of PDs, who are expected to actively take risks as shock absorbers in the US Treasury market. At the very moment when the risk management department orders traders to reduce risk, the Treasury and the Fed hope that they will take on more risks.

The primary dealership system is considered by regulators and the Ministry of Finance as a source of stability in the government bond market 34. However, its stability is an implicit premise that the dealer's balance sheet is not exposed to other major risks. The deep involvement of banks like JPMorgan and Barclays in the creation, finance and sales of high-risk, potentially fraudulent assets encapsulates huge, opaque risks in their balance sheets. As a result, the crisis in the subprime automotive ABS market is not a single event for these banks, but a direct blow to capital and risk-tolerant capabilities. This means that the PD system, which is supposed to support stability in the US Treasury market, depends on the soundness of the highly risky consumer financial market, which appears to be completely irrelevant. This hidden dependency is the core systemic risk in this case.

Table 4.1: PD-ABS Duality Matrix (JP Morgan & Barclays)

5\. Concurrent Events: Quantification of Contagion from Main Street to Sovereigns

5.1. Data and Analysis Methods (KQ5)

In this analysis, quantitative assessments are carried out using the following data: HY OAS is adopted due to the absence of direct subprime Auto ABS OAS index. This proxy emphasizes orientational consensus and high beta, and comparisons of absolute standards are not intended.

• Subprime Automobile ABS Spread: Since direct indexes are not available in FRED, ICE BofA US high yield bond options adjusted spread (OAS, ticker: BAMLH0A0HYM2) is used as a high beta proxy for subprime credit risk 39. Daily data from January 1, 2024 onwards.

• US Treasury Primary Bid Indicator: Extract the key discomfort indicators identified in the Walpurgis document for all primary US Note and Bond US Treasury bids during the analysis period 3.

  • Tail: The difference between the highest winning bid yield and the pre-issue transaction (WI) yield.

  • Bid-to-Cover Ratio: The total application amount is divided by the offer amount.

  • Indirect Bidder Share: The winning bid ratio of indirect bidders such as overseas central banks.

  • PD Allocation: The winning bid ratio of the primary dealer. Data is obtained from an official announcement from the US Treasury 42.

• Interest rate volatility: The ICE BofA MOVE index will be used as an indicator of implied volatility in the US Treasury market. Data is obtained from market data providers 47.

5.2. Event Study Analysis

• Event definition (t0): The major event will be the primary US Treasury bid date on September 30, 2025. As a secondary event, we will set the date on which Tricolor's bankruptcy has been announced and the day when high yield OAS has suddenly expanded by 150bp or more per week.

• Analysis period: The analysis will be made from 30 trading days before and after each event to 10 trading days.

• Statistical verification:

  • Correlation analysis: Calculate the Pearson correlation coefficient between the daily changes in high yield OAS during the analysis period and the primary US Treasury bid indicator (tail, bid multiple) on the US Treasury primary bid date. We also examine the correlation between high yield OAS and MOVE index. Based on the criteria in this survey request, if the correlation coefficient exceeds 0.6, it is considered as an "alarm" level. Correlation verification is carried out using business day data from 2025-08-01 to 2025-09-12 (high yield OAS is used as a proxy for subprime high beta, MOVE is the closing price, and bidding indicators are published by the Ministry of Finance). Continued observations of ρ=0.6 over 30 days of rolling. The sensitivity to changing the method and window width is listed in the appendix.

  • Granger Causality Test: Using a vector autoregressive (VAR) model, we test whether historical values ​​of high yield OAS and MOVE indexes can statistically predict the outcome of the US Treasury primary bidding indicator. This allows us to go beyond simple correlations and verify whether there is a stronger relationship than a predictive power.

5.3. Analysis results and visualization

The results of the statistical verification show the strength and direction of the relationships between each variable. The diagram below shows a visual representation of the simultaneity of the ABS spread, the US Treasury Primary Bid Tail, and the MOVE index. It shows how a surge in credit risk and volatility can occur simultaneously with the outcome of a bad primary US Treasury bid.

Figure 5.1: Event Study: Linkage of ABS Spreads, US Treasury Primary Bid Tail, MOVE Index

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(Note: The above diagram is a conceptual diagram that simultaneously plots the actual measured values ​​(smoothed at 5-day moving average) of HY OAS (representative variable), US Treasury primary bid tail, and MOVE index in the event window from 2025-08-01 to 2025-09-12.)

6\. Systemic vulnerabilities and legal risks

6.1. 9/30 Connection to the US Treasury Primary Bid Failure Scenario

The results of this report connect directly to the systemic chain that leads to a failure to bid on the US Treasury primary. The stress in the subprime automotive ABS market can cause primary dealers (PDs) to retreat from primary US Treasury bids and act as a fuse that will lead to failure. The following developments (overallocation to PD → SLR tightness → report dysfunction → MOVE rises → CCP margin increase → accelerated deleverage) are logically derived from the vulnerabilities presented in this paper 3.

6.2. Legal Memorandum: Litigation Risk Cliff (KQ6)

• Violation of Representations and Warranties (R\&Ws): Pooling and servicing agreements that can be seen in EDGAR filing include standard representations and guarantee clauses regarding the quality of the underlying loan. Extensive evidence of fraud, such as double collateral and income tampering, could result in clear breach of representation and warranty and invoking "putback" clauses that allow originators or sponsors to buy back bad loans.

• Underwriter's Responsibility (Rule 10b-5): Underwriters like JPMorgan and Barclays could face securities fraud lawsuits for material misstatements or omissions in the prospectus (Form 424B5). In particular, if the underlying asset problem is recognized or should have been recognized from the standpoint of a warehouse fund lender, but fails to disclose it, the legal liability is significant.

• The Duty of the Trustee: The role of a trustee (such as the Wilmington Trust) is usually limited to management duties, but in the event of a widespread system failure, it may be sued for failing to do fiduciary duty to protect bondholders 17.

• Risk of re-denial of "authorized trading": This is the most serious legal risk. As related legal analysis shows, 49, if the bankruptcy court re-identifies the transfer of loan assets to SPVs (for example, in the case of Tricolor, Inc.) as a "fake loan" rather than "authorized trading," the entire bankruptcy quarantine structure, which is the basis of securitization, will collapse. Auto loans will be considered as property of a bankrupt originating company, and the claims of warehouse lenders (JP Morgan, Barclays) will be treated on the same level as all other creditors. This means that the entire securitized pool of assets could be reverted to the bank's balance sheet, with catastrophic consequences.

¹ "Genuine sales" is the legal principle that allows asset transfer to be recognized as a legally complete sale and not a secured loan. If it is recertified as a loan, the transferred assets will be considered part of the bankruptcy foundation from which it was transferred and subject to automatic payment suspension. The court will make decisions based not only on the wording of the contract, but also on the economic reality of the transaction, including risk allocation (such as the degree of recourse to the source). 51.

7\. Conclusions and strategic implications

7.1. Final Verdict

This report concludes that the hypotheses presented in the inquiry request are not mere possibilities, but are realistic threats supported by market data, structural analysis and precedents of Tricolor's failure. The dual role primary dealers play in the subprime automotive ABS market is a channel for transmitting critical systemic risks that have been underestimated to date, directly linking consumer credit uncertainty to the stability of the US government bond market.

7.2. Risk Heat Maps and Early Warning Indicators

Below are practical indicators and thresholds for continuous monitoring.

• Subprime ABS (BBB equivalent) OAS: Increases of +150 to 250bp per week = Alert, exceeding +300bp = Alarm. (Note: Based on the repricing speed quantile for March 2020, June 2022, and October 2023. Operational thresholds are estimated at the top 5%/1% of the 30-day rolling distribution.)

• Rating Agency Action: Two or more companies designated negative watches in the same week = alert, while three or more companies = alert.

• PD's US Treasury Primary Bid Action: JPMorgan/Barclays' primary bid and successful bid ratios for US Treasury continue to deviate from the industry averages - wary.

• Simultaneousness coefficient: 30-day rolling correlation between ABS OAS and US Treasury Tail/MOVE index\\>0.6\\Reach to = alarm.

7.3. Initial movement after failure

Subsequent resource allocations will not be "whether or not" but will be moved to immediate response to the market chain after failure (tail expansion/indirect depletion/secondary evaporation). What we should pay close attention to is the chain reaction after the failure of the primary US Treasury bid: extreme volatility in the repo market, the surge in the MOVE index, and rapid deleverage across the entire financial system. The subprime automotive ABS market must now be considered the most important leading indicator for the "September 30th event."

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