The U.S. auto loan asset-backed securities (ABS) market remained healthy last year. New issuance increased to $82.9 billion in 2019 from $81.8 billion in 2018, despite a nearly 2% decline in U.S. light vehicles sales in 2019. Prime and subprime auto loan ABS collateral performance remained sound, as reflected by lower static pool cumulative net losses (CNLs) on the prime 2017 and 2018 vintages relative to 2016 and stable to slightly lower CNLs on the more recent subprime cohorts. Also, there were a record 432 classes upgraded and only five downgrades.

Annual Prime Performance Remained Stable, And Subprime Performance Improved

U.S. prime auto loan performance was stable to slightly improved in 2019. The average monthly prime loss rate was stable at 0.56%, recoveries increased to 58.27% from 57.88%, and 60-plus-day delinquencies remained flat at 0.41%.

Table 1

U.S. Prime Auto Loan ABS Performance--Yearly Averages
	2019	2018	2017	2016	2015	2014
Net loss rate (%)	0.56	0.56	0.73	0.63	0.47	0.44
Monthly recovery rate (%)	58.27	57.88	55.34	58.81	62.63	63.90
60-plus-day delinquencies (%)	0.41	0.41	0.47	0.48	0.42	0.39

Subprime auto performance also reported generally positive results for the year. Losses declined slightly to 8.17% from 8.31%, recoveries increased to 42.82% from 41.33%, and 60-plus-day delinquencies rose only marginally to 5.08% from 5.04%.

Table 2

U.S. Subprime Auto Loan ABS Performance--Yearly Averages
	2019	2018	2017	2016	2015	2014
Net loss rate (%)	8.17	8.31	8.32	8.13	6.87	6.54
Monthly recovery rate (%)	42.82	41.33	39.98	42.76	45.92	46.66
60-plus-day delinquencies (%)	5.08	5.04	4.83	4.74	4.27	3.93

December Performance Shows Seasonal Patterns

The U.S. auto loan ABS market exhibited seasonal patterns in December, with an increase in delinquencies and a decrease in recoveries month over month for both the prime and subprime outstanding auto loan ABS. Losses diverged, however, as the prime segment's losses improved month over month, while the subprime segment's increased as expected. Prime losses and delinquencies remained essentially flat year over year, while recoveries improved. Subprime losses improved year over year.

Prime losses decreased month over month, while subprime losses increased

Prime net losses improved to 0.63% in December 2019 compared with 0.67% in November 2019, and remained flat relative to December 2018 (see table 3 and chart 1). The losses decreased month over month because of lower monthly losses from World Omni, Toyota, Hyundai, Honda, and Ford, which make up 45% of the prime index.

Subprime net losses increased 55 basis points (bps) to 9.30% in December 2019 from 8.75% in November 2019, and decreased 85 bps from 10.15% in December 2018. After netting out three deep subprime issuers (including Drive Auto Receivables Trust), modified subprime losses increased by 64 bps to 7.23% in December 2019 from 6.59% in November 2019, and decreased 80 bps from 8.03% in December 2018. The year-over-year improvement in subprime losses is primarily due to Santander Consumer USA tightening its credit standards in 2016 and 2017, which is now flowing through to their performance results. Their transactions represent approximately 45% of the subprime composite as of Dec. 31, 2019.

Table 3

Net Loss Rate Composite(i)
	Dec. 2019	Nov. 2019	Dec. 2018	Dec. 2017	Dec. 2016	Dec. 2015	Dec. 2014
Prime (%)	0.63	0.67	0.62	0.78	0.69	0.58	0.49
Subprime (%)	9.30	8.75	10.15	9.58	9.62	8.59	7.51
Subprime modified (%)	7.23	6.59	8.03	7.62	7.59	7.58	6.85
(i)Represents monthly annualized losses.

Recoveries influenced by holiday period, but ended higher than 2018

Prime recoveries declined 42 bps to 53.10% in December 2019 from 53.52% in November 2019, and reached their lowest level of the year. At 53.10%, the rate was 116 bps above December 2018's recovery rate of 51.94% (see table 4 and chart 2).

Subprime recoveries declined 105 bps to 37.79% in December 2019 from 38.84% in November 2019, their lowest level of 2019. Year over year, however, rates improved 151 bps from 36.28%. Subprime modified recoveries improved 43 bps to 38.69% in December 2019 from 38.27% in November 2019, and improved 215 bps from 36.54% in December 2018.

Table 4

Recovery Rate Composite(i)
	Dec. 2019	Nov. 2019	Dec. 2018	Dec. 2017	Dec. 2016	Dec. 2015	Dec. 2014
Prime (%)	53.10	53.52	51.94	45.70	53.85	53.74	60.45
Subprime (%)	37.79	38.84	36.28	36.28	40.10	40.74	42.89
Subprime modified (%)	38.69	38.27	36.54	36.35	40.21	41.62	43.08
(i)Represents monthly recovery rates.

Seasonal factors hurt December delinquency rate

The prime 60-plus-day delinquency rate increased slightly to 0.48% in December 2019 from 0.45% in November 2019, and 0.47% in December 2018 (see table 5 and chart 3).

The subprime 60-plus-day delinquency rate increased to 5.76% in December 2019 from 5.37% in November 2019, but improved from 5.89% in December 2018. On a modified basis, after netting out three deep subprime lenders, the subprime modified 60-plus-day delinquency rate increased to 4.20% in December 2019 from 3.91% in November 2019, and remained almost on par with 4.18% in December 2018.

Table 5

60-Plus-Day Delinquency Rate Composite(i)
	Dec. 2019	Nov. 2019	Dec. 2018	Dec. 2017	Dec. 2016	Dec. 2015	Dec. 2014
Prime (%)	0.48	0.45	0.47	0.48	0.49	0.49	0.46
Subprime (%)	5.76	5.37	5.89	5.53	5.56	5.22	4.63
Subprime modified (%)	4.20	3.91	4.18	4.03	4.21	4.35	4.00
(i)Delinquencies as of year-end.

Collateral Characteristics: Subprime Pool Composition Weakened Slightly In 2019

Prime

The collateral characteristics for prime transactions issued in 2019 remained strong (see table 6A).

• The weighted average FICO score remained nearly unchanged at 754.
• The weighted average loan-to-value ratio (LTV) declined slightly to 95.64% from 95.81%.

However, the percentage of used vehicles financed increased to 29.66% from 27.66%, and loan terms continued to lengthen. Loans with an original maturity greater than 60 months increased to their highest level of 60.51%. Beginning in 2019, we started to track loan terms greater than 72 months. The percentage of loans securitized with an original term of 73-75 months was 7.01%, and those with 76-84 months was 0.95%. Longer loan terms can lead to higher losses (see "Speed Bump Ahead: As Auto Loans Accelerate Toward 84 Months, Caution Is Warranted," published Sept. 18, 2019).

Table 6A
Prime Collateral Trends(i)
Prime	WA APR (%)	Used (%)	% of loans with original terms >60 months	% of loans with original terms of 73-75 months(ii)	% of loans with original terms of 76-84 months(ii)	WA original maturity (months)	WA FICO	WA LTV (%)
2007	6.25	21.63	39.49	--	--	62.09	706	101.69
2008	5.92	25.70	41.81	--	--	62.77	724	99.03
2009	5.62	28.08	41.58	--	--	62.32	741	95.74
2010	5.09	25.56	43.37	--	--	62.51	742	95.12
2011	4.45	17.78	43.40	--	--	62.66	735	97.48
2012	4.00	24.55	44.90	--	--	62.63	745	94.48
2013	3.94	28.68	46.95	--	--	63.38	740	96.72
2014	3.70	32.28	51.41	--	--	64.90	743	95.51
2015	3.44	32.30	51.00	--	--	64.90	746	97.48
2016	3.51	29.75	50.15	--	--	64.32	746	96.94
2017	3.59	28.38	55.92	--	--	65.52	749	95.94
2018	3.73	27.66	60.03	--	--	65.80	755	95.81
2019	4.50	29.66	60.51	7.01	0.95	66.16	754	95.64
(i)The 2016 through 2019 vintages include most non-S&P Global Ratings-rated transactions. (ii)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value.

Subprime

With the renewed growth and increased competition that the subprime lending sector experienced last year, collateral credit quality weakened slightly compared with 2018.

• The weighted average FICO score decreased to 584 from 587.
• The weighted average LTV increased to 112.45% from 110.28%.
• As noted above, in 2019 we started to track loans with terms of 73 months and longer. Loans with original maturities of 73-78 months represented 8.14% of the loans securitized.

Table 6B

Subprime Collateral Trends
Subprime	WA APR (%)	Used (%)	% of loans with original terms >60 months	% of loans with original terms of 73-78 months(i)	WA original maturity (months)	WA FICO	WA LTV (%)
2007	16.33	72.52	68.99	--	66.90	594	120.17
2008	16.66	76.73	80.65	--	69.19	594	121.33
2009	16.55	73.39	85.53	--	69.74	594	114.00
2010	17.76	76.24	73.57	--	67.97	574	111.94
2011	16.31	68.74	77.51	--	67.43	575	111.81
2012	17.01	72.11	76.90	--	67.10	573	113.15
2013	16.63	70.09	81.30	--	68.05	577	114.28
2014	16.67	72.63	79.17	--	67.30	577	114.78
2015	17.31	71.18	83.16	--	68.58	572	113.11
2016(ii)	16.85	68.25	83.27	--	68.52	575	112.55
2017	17.79	69.05	84.61	--	68.94	578	110.57
2018(iii)	17.97	66.53	83.03	--	68.65	587	110.28
2019(iv)	17.84	70.55	82.63	8.14	68.69	584	112.45
(i)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. (ii)Includes SDART 2016-1, 2016-2, and 2016-3 (not rated by S&P Global Ratings). (iii)Includes SDART 2018-1 and 2018-2 (not rated by S&P Global Ratings). (iv)Includes SDART 2019-2 and Americredit Automobile Receivables Trust 2019-2 (not rated by S&P Global Ratings). WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value.

Auto Loan Static Index: Vintage Analysis

Prime

Auto loan ABS issuers' tighter underwriting standards and more selective criteria for their 2017 and subsequent securitizations are generating improved vintage static pool performance. The 2018 vintage, with 13 months of performance, has incurred 0.36% of CNLs compared with 0.39% at the same seasoning point for 2017 vintages. In addition, the first-quarter 2019 is performing in line with 2018. At this point, there is not enough second- and third-quarter 2019 performance to assess.

Subprime

Subprime CNLs, which rose considerably with the 2015 vintage due to the inclusion of Santander's DRIVE deals, have shown consistency in performance for the 2016 and 2017 cohorts, and 2018 is trending below these three prior vintages (see chart 5). The first-quarter 2019 cohort is experiencing lower CNLs than the 2018 and 2017 vintages. However, it is early to give any verdict on the 2019 cohorts' performance because subprime pools often have elongated loss curves due to extensions and longer loan terms.

To normalize the subprime index to account for the greater concentration of deep subprime loans, we used our modified subprime index, which excludes three large high-loss issuers (DRIVE, ACA, and Exeter). On this measure, CNLs for the modified 2017 and modified 2018 vintages are demonstrating year-over-year improvement in losses. (See the modified lines in chart 5 and tables 14 and 15).

Issuer-Specific Cumulative Net Loss Index Data

We track CNLs by vintage for a number of issuers and compare those losses to the prime and subprime Auto Loan Static Index (ALSI) (see tables 7A and 7B).

Table 7A

Issuer CNL Performance Compared To The ALSI
Issuer	2014	2015	2016(i)	2017(i)	2018(i)
	Month 36	Month 36	Month 36	Month 25	Month 12
Prime index	0.71	0.77	0.93	0.68	0.33
Ally Auto Receivables Trust	0.48	0.53	0.71	0.65	0.27
Bank of the West	0.36	0.52	N/A	1.27	0.63
California Republic(ii)	2.47	3.07	3.24	2.61	N/A
Carmax	1.72	1.91	2.06	1.37	0.64
Fifth Third	0.26	N/A	N/A	0.45	N/A
Ford Credit	0.59	0.78	0.79	0.55	0.27
GM Financial	N/A	N/A	N/A	0.52	0.19
Nissan	N/A	N/A	0.69	0.71	0.47
Honda	0.24	0.30	0.26	0.20	0.09
Huntington	N/A	0.62	0.54	N/A	N/A
Hyundai	1.19	1.23	1.61	0.99	0.44
Mercedes-Benz	N/A	0.29	0.47	N/A	0.20
SunTrust	N/A	0.81	N/A	N/A	N/A
TCF(ii)	2.59	3.97	3.80	N/A	N/A
Toyota	0.26	0.36	0.42	0.36	0.19
USAA	0.31	0.31	0.28	0.22	N/A
Volkswagen	0.67	N/A	N/A	N/A	0.35
World Omni Auto Receivables Trust	1.46	1.70	2.33	1.59	0.52
(i)For the 2016 through 2018 vintages, we included transactions not rated by S&P Global Ratings to arrive at the issuer-level CNLs. (ii)Effective May 2019, we re-classified the following transactions as non-prime due to their cumulative lifetime losses exceeding our prime threshold of 3.00%: California Republic 2014-2 and onward, as well as TCF 2015-1 and onward. N/A--Not applicable. CNL--Cumulative net loss. ALSI--Auto Loan Static Index.

A number of prime issuers reported higher losses for their 2016 vintage than their 2015 and 2014 vintages. CarMax's 2016 vintage experienced 2.06% losses, whereas its 2015 pools averaged 1.91%. Similarly, World Omni Auto Receivables Trust's (World Omni's) losses rose to 2.33% for its 2016 vintage compared with 1.70% in 2015. However, World Omni's prime pool performance has recently improved due to the following: beginning in 2017, it added a minimum FICO score of 650 to its prime pools; beginning in 2018, it excluded non-Toyota vehicles; and in 2019, it created a separate issuing shelf, World Omni Select Auto Trust, to securitize its nonprime/subprime auto loans.

Most prime issuers are reporting satisfactory results for their 2017 pools. Nissan's 2017 transactions at month 25 are experiencing higher CNLs (0.71%) than 2016 with 36 months of performance (0.69%).

Table 7B

Issuer CNL Performance Compared To The ALSI
	2014	2015	2016	2017	2018
	Month 36	Month 36	Month 36	Month 25	Month 12
Subprime index	11.13	12.91	12.50	10.06	4.39
American Credit Acceptance	25.83	24.79	25.42	18.63	9.31
AmeriCredit	6.56	7.37	7.37	5.08	2.06
CarFinance	10.83	12.10	N/A	N/A	N/A
CarNow (Byrider)(i)	28.23	34.25	33.09	26.62	N/A
CPS	12.79	13.64	13.86	8.00	2.51
DRIVE	N/A	18.66	18.72	12.58	5.62
DriveTime(i)	25.31	24.73	25.28	20.67	7.78
Exeter	14.26	16.77	16.98	11.48	5.54
First Investors	9.30	8.86	9.92	7.11	2.23
Flagship	9.08	9.67	10.00	6.17	2.31
Foursight	N/A	N/A	7.37	N/A	N/A
GLS	N/A	N/A	N/A	9.64	3.86
Honor	N/A	N/A	31.53	N/A	N/A
Prestige	10.94	11.43	12.78	7.63	3.11
SDART	10.03	9.73	10.38	7.73	3.46
Sierra	N/A	N/A	20.53	N/A	N/A
SNAAC	13.45	N/A	N/A	N/A	N/A
Tidewater	10.44	N/A	10.66	N/A	2.53
UACC	20.64	22.65	19.30	17.58	9.09
Westlake	10.41	12.58	13.05	10.19	4.35
(i)These issuers have an integrated sales/finance business model and are excluded from our subprime indexes.

Revised Loss Expectations

In January 2020, we revised our loss expectations for the following transactions:

• Two Exeter Automobile Receivables Trusts backed by pools of subprime auto loans;
• One World Omni Select Auto Trust backed by nonprime and subprime retail auto loans;
• Eight Flagship Credit Auto Trusts backed by subprime auto loan receivables; and
• Three CarMax Auto Owner Trusts backed by pools of prime auto loans.

Of the 14 transactions we reviewed, we lowered our expected CNLs for seven and maintained them for the remaining seven (see tables 8-11).

Table 8

Exeter Automobile Receivables Trust
Series	Initial expected net loss range (%)	Revised/maintained expected lifetime CNL (%) (As of Jan. 10, 2019)
2018-3	20.50-21.50	20.50-21.50
2018-4	20.50-21.50	20.50-21.50
CNL--Cumulative net loss.

Table 9

World Omni Select Auto Trust
Series	Initial expected net loss range (%)	Revised/maintained expected lifetime CNL (%) (As of Dec. 13, 2019)
2018-1	8.75-9.25	7.75-8.25
CNL--Cumulative net loss.

Table 10

Flagship Credit Auto Trust
Series	Initial expected net loss range (%)	Former expected lifetime CNL (%) (As of March 2019)	Revised/maintained expected lifetime CNL (%) (As of Jan. 31, 2020)
2015-2	11.25-11.75	12.25-12.75	Up to 12.50
2015-3	11.25-11.75	12.75-13.25	12.75-13.25
2016-1	11.75-12.25	12.75-13.25	12.75-13.25
2017-2	12.80-13.30	12.25-12.75	12.00-12.50
2017-3	12.75-13.25	12.50-13.00	12.25-12.75
2017-4	12.75-13.25	12.75-13.25	12.50-13.00
2018-1	12.75-13.25	12.75-13.25	12.75-13.25
2018-4	12.25-12.75	N/A	12.25-12.75
CNL--Cumulative net loss. N/A--Not applicable.

Table 11

CarMax Auto Owner Trust
Series	Initial expected net loss range (%)	Former expected lifetime CNL (%) (As of February 2019)	Revised/maintained expected lifetime CNL (%) (As of Jan. 9, 2020)
2016-1	2.15-2.25	2.35-2.45	Up to 2.40
2016-2	2.10-2.15	2.35-2.45	Up to 2.40
2016-3	2.15-2.25	2.60-2.70	2.55-2.65
CNL--Cumulative net loss.

Historical Ratings Activity

As of January 2020, our reviews resulted in 34 upgrades and no downgrades.

Table 12 shows S&P Global Ratings' historical ratings activities for U.S. ABS auto loans.

Table 12

Historical Ratings Activity--U.S. ABS Auto Loans
Period	Upgrades	Downgrades
2006	91	0
2007	116	2
2008	23	0
2009	95	7
2010	62	5
2011	144	2
2012	138	0
2013	185	0
2014	94	0
2015	177	0
2016	357	0
2017	322	0
2018	335	2
2019	432	5
2020(i)	34	0
Total	2,605	23
(i)As of Jan. 31, 2020.

Appendix I: ALSI Performance Data

Table 13

Prime Cumulative Net Losses (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019-Q1(ii)	2019-Q2(ii)	2019-Q3
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	8	12	9
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	11.57	15.26	11.26
Month
1	0.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.00	0.00	0.01
2	0.04	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.02	0.01	0.00	0.01
3	0.07	0.05	0.05	0.03	0.02	0.02	0.03	0.03	0.03	0.04	0.04	0.04	0.03	0.00	0.02
4	0.13	0.11	0.09	0.06	0.05	0.04	0.05	0.05	0.07	0.08	0.07	0.08	0.06	0.07
5	0.22	0.19	0.14	0.09	0.07	0.06	0.08	0.08	0.10	0.12	0.11	0.11	0.10	0.11
6	0.31	0.27	0.18	0.12	0.09	0.08	0.11	0.11	0.13	0.16	0.15	0.14	0.13	0.15
7	0.39	0.35	0.23	0.15	0.12	0.10	0.14	0.14	0.16	0.20	0.18	0.18	0.16	0.19
8	0.48	0.44	0.28	0.18	0.15	0.12	0.17	0.17	0.20	0.24	0.22	0.21	0.20
9	0.57	0.53	0.33	0.21	0.17	0.15	0.20	0.20	0.23	0.28	0.25	0.24	0.24
10	0.66	0.63	0.37	0.24	0.19	0.17	0.22	0.22	0.26	0.32	0.29	0.27	0.27
11	0.77	0.72	0.41	0.26	0.22	0.19	0.25	0.24	0.29	0.35	0.32	0.30
12	0.87	0.81	0.45	0.29	0.24	0.21	0.28	0.27	0.32	0.40	0.35	0.33
13	0.96	0.90	0.48	0.31	0.27	0.23	0.30	0.29	0.35	0.43	0.39	0.36
14	1.06	0.98	0.51	0.34	0.29	0.26	0.33	0.32	0.38	0.47	0.42
15	1.16	1.07	0.54	0.36	0.31	0.28	0.36	0.34	0.41	0.50	0.45
16	1.27	1.14	0.58	0.38	0.33	0.30	0.38	0.37	0.43	0.54	0.48
17	1.38	1.22	0.61	0.40	0.35	0.32	0.40	0.39	0.46	0.57	0.50
18	1.48	1.29	0.64	0.42	0.37	0.33	0.43	0.42	0.48	0.60	0.53
19	1.58	1.36	0.67	0.44	0.39	0.35	0.45	0.44	0.51	0.63	0.55
20	1.68	1.43	0.69	0.46	0.41	0.37	0.47	0.46	0.53	0.65	0.58
21	1.79	1.49	0.72	0.47	0.43	0.38	0.49	0.48	0.55	0.68	0.60
22	1.88	1.55	0.74	0.49	0.44	0.40	0.50	0.50	0.57	0.70	0.62
23	1.96	1.60	0.76	0.50	0.46	0.41	0.52	0.52	0.60	0.73	0.64
24	2.03	1.65	0.77	0.51	0.47	0.43	0.54	0.54	0.62	0.75	0.66
25	2.11	1.69	0.79	0.53	0.49	0.44	0.55	0.55	0.64	0.77	0.68
26	2.17	1.73	0.80	0.54	0.50	0.45	0.57	0.57	0.65	0.79
27	2.23	1.76	0.82	0.55	0.52	0.46	0.58	0.58	0.67	0.81
28	2.30	1.79	0.83	0.56	0.53	0.47	0.59	0.60	0.69	0.83
29	2.36	1.82	0.84	0.57	0.54	0.48	0.61	0.62	0.70	0.85
30	2.41	1.85	0.85	0.57	0.55	0.49	0.62	0.63	0.72	0.86
31	2.45	1.88	0.86	0.58	0.56	0.50	0.63	0.65	0.73	0.88
32	2.48	1.91	0.87	0.59	0.57	0.50	0.64	0.66	0.74	0.89
33	2.52	1.95	0.89	0.52	0.58	0.51	0.65	0.67	0.75	0.90
34	2.55	1.97	0.90	0.53	0.59	0.52	0.66	0.68	0.76	0.91
35	2.58	1.98	0.91	0.53	0.60	0.52	0.66	0.70	0.77	0.92
36	2.60	2.01	0.92	0.54	0.61	0.53	0.67	0.71	0.77	0.93
37							0.68	0.71	0.78	0.94
38							0.68	0.72	0.79	0.95
39							0.69	0.73	0.79
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lenghtening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 14

Subprime Cumulative Net Losses (%)
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018(iii)(iv)	2019-Q1	2019-Q2(iii)(iv)	2019-Q3
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	10	11	9
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	7.70	7.29	6.1
Month
1	0.00	0.00	0.01	0.02	0.01	0.01	0.01	0.00	0.01	0.01	0.01	0.01	0.00	0.00	0.00
2	0.03	0.04	0.07	0.05	0.03	0.03	0.03	0.03	0.03	0.06	0.06	0.03	0.02	0.03	0.02
3	0.11	0.14	0.31	0.15	0.12	0.12	0.11	0.13	0.13	0.20	0.19	0.13	0.10	0.12	0.12
4	0.38	0.40	0.73	0.50	0.37	0.41	0.41	0.41	0.44	0.55	0.52	0.39	0.31	0.41	0.46
5	0.83	0.86	1.16	0.77	0.63	0.77	0.74	0.79	0.86	0.96	0.95	0.76	0.59	0.84
6	1.39	1.41	1.59	1.03	0.85	1.05	0.98	1.21	1.39	1.47	1.51	1.26	1.05	1.38
7	1.91	1.99	2.07	1.34	1.09	1.38	1.34	1.67	1.96	2.02	2.16	1.89	1.66	2.01
8	2.43	2.54	2.42	1.65	1.32	1.72	1.70	2.13	2.52	2.57	2.72	2.48	2.27
9	2.96	3.20	2.82	2.01	1.57	2.07	2.07	2.60	3.06	3.11	3.24	2.99	2.83
10	3.47	3.82	3.10	2.32	1.82	2.45	2.45	3.04	3.61	3.66	3.75	3.46	3.37
11	3.97	4.49	3.40	2.62	2.08	2.84	2.85	3.49	4.17	4.19	4.26	3.94
12	4.47	5.16	3.69	2.91	2.36	3.25	3.28	3.92	4.68	4.70	4.77	4.39
13	4.95	5.73	4.05	3.19	2.63	3.64	3.68	4.35	5.16	5.20	5.28	4.84
14	5.39	6.28	4.39	3.52	2.91	4.02	4.04	4.75	5.61	5.70	5.76	5.19
15	5.87	6.89	4.75	3.85	3.21	4.38	4.40	5.16	6.07	6.19	6.22
16	6.38	7.44	5.11	4.17	3.47	4.72	4.77	5.54	6.57	6.65	6.67
17	6.89	8.00	5.43	4.50	3.71	5.10	5.14	5.96	7.08	7.08	7.10
18	7.39	8.52	5.77	4.79	3.93	5.45	5.53	6.34	7.54	7.49	7.53
19	7.91	8.90	6.06	5.06	4.14	5.79	5.88	6.70	8.00	7.88	7.96
20	8.39	9.34	6.24	5.33	4.35	6.11	6.20	7.06	8.42	8.27	8.35
21	8.86	9.80	6.53	5.57	4.59	6.42	6.52	7.41	8.82	8.65	8.73
22	9.32	10.23	6.71	5.77	4.80	6.70	6.81	7.72	9.19	9.03	9.07
23	9.76	10.69	6.92	5.97	5.01	6.98	7.08	8.04	9.55	9.37	9.41
24	10.19	11.08	7.10	6.17	5.22	7.27	7.34	8.33	9.88	9.72	9.74
25	10.54	11.41	7.28	6.38	5.43	7.49	7.56	8.63	10.19	10.05	10.06
26	10.90	11.75	7.49	6.61	5.65	7.76	7.80	8.93	10.48	10.37	10.31
27	11.21	12.07	7.69	6.80	5.86	7.99	8.06	9.20	10.77	10.68	11.04
28	11.54	12.43	7.91	7.01	6.06	8.14	8.29	9.44	11.06	10.97	11.19
29	11.88	12.73	8.07	7.21	6.08	8.36	8.53	9.56	11.35	11.26
30	12.19	13.04	8.24	7.37	6.22	8.35	8.79	9.81	11.51	11.35
31	12.50	13.28	8.41	7.58	6.36	8.57	8.93	10.04	11.77	11.31
32	12.77	13.52	8.55	7.72	6.49	8.77	9.16	10.24	12.03	11.57
33	12.96	13.75	8.71	7.78	6.61	8.95	9.38	10.46	12.26	11.82
34	13.19	13.98	8.82	7.95	6.58	8.61	9.60	10.67	12.48	12.06
35	13.38	14.22	8.88	8.10	6.71	8.77	9.80	10.92	12.70	12.28
36	13.59	14.42	8.97	8.25	6.84	8.92	9.98	11.13	12.91	12.50
37	13.76	14.61	9.05	8.38	6.99	9.07	10.16	11.31	13.10	12.70
38	13.92	14.78	9.13	8.54	7.11	9.21	10.32	11.50	13.31	12.90
39	14.08	14.96	9.22	8.67	7.24	9.36	10.50	11.67	13.49
40	14.23	15.12	9.33	8.78	7.37	9.50	10.66	11.60	13.70
41	14.39	15.27	9.44	8.92	7.44	9.64	10.82	11.10	13.90
42	14.53	15.39	9.50	9.05	7.53	9.77	10.98	11.21	14.10
43	14.67	15.48	9.85	9.16	7.59	9.91	11.16	11.09	13.70
(i)CNL declined in month 34 because two transactions with relatively high losses paid off in month 33. (ii)CNL declined in months 40 and 41 because some ACA transactions paid off in months 39 and 40. (iii)Includes SDART deals not rated by S&P Global Ratings. (iv)Includes Americredit deals not rated by S&P Global Ratings. CNL--Cumulative net loss.

Table 15

Modified Subprime Cumulative Net Losses (%)
	2013	2014	2015	2016(i)	2017	2018(ii)	2019-Q1	2019-Q2	2019-Q3
Initial collateral balance (bil. $)	12.30	11.83	12.00	16.08	11.12	16.09	4.25	3.84	3.41
Month
1	0.01	0.01	0.01	0.01	0.01	0.01	0.00	0.00	0.00
2	0.03	0.03	0.03	0.06	0.08	0.04	0.03	0.02	0.02
3	0.09	0.11	0.13	0.20	0.23	0.16	0.12	0.09	0.11
4	0.36	0.31	0.33	0.48	0.51	0.39	0.32	0.39	0.34
5	0.65	0.59	0.60	0.79	0.82	0.67	0.56	0.75
6	0.83	0.91	0.93	1.16	1.21	1.02	0.87	1.16
7	1.12	1.27	1.31	1.56	1.66	1.45	1.24	1.67
8	1.45	1.62	1.70	1.98	2.05	1.88	1.63
9	1.79	2.01	2.09	2.39	2.42	2.25	2.00
10	2.14	2.39	2.50	2.79	2.79	2.61	2.38
11	2.51	2.77	2.91	3.19	3.15	2.97
12	2.92	3.15	3.30	3.59	3.52	3.33
13	3.30	3.52	3.67	3.99	3.89	3.68
14	3.63	3.88	4.01	4.40	4.23	4.04
15	3.95	4.23	4.36	4.80	4.56
16	4.29	4.56	4.72	5.16	4.91
17	4.62	4.94	5.10	5.52	5.23
18	4.97	5.27	5.43	5.87	5.58
19	5.32	5.58	5.78	6.19	5.91
20	5.62	5.91	6.10	6.52	6.21
21	5.93	6.21	6.39	6.82	6.50
22	6.20	6.48	6.69	7.13	6.76
23	6.45	6.75	6.98	7.42	7.03
24	6.70	7.02	7.24	7.72	7.29
25	6.90	7.29	7.49	7.99	7.54
26	7.12	7.55	7.73	8.24
27	7.36	7.79	7.95	8.52
28	7.57	8.02	8.17	8.76
29	7.80	8.05	8.40	9.01
30	8.04	8.26	8.37	9.00
31	8.15	8.46	8.57	8.79
32	8.38	8.58	8.77	9.00
33	8.60	8.78	8.96	9.20
34	8.82	8.96	9.15	9.40
35	9.01	9.12	9.33	9.58
36	9.18	9.31	9.39	9.76
37	9.35	9.49	9.56	9.93
38	9.51	9.66	9.71	10.09
39	9.68	9.82	9.86
40	9.84	9.97	9.90
41	9.98	10.12	9.91
42	10.14	10.18	10.05
43	10.31	10.32	10.19
(i)Includes SDART 2016-1, 2016-2, and 2016-3 (not rated by S&P Global Ratings). (ii)Includes SDART 2018-1 and 2018-2 (not rated by S&P Global Ratings).

Table 16

Prime 60-Plus-Day Delinquencies (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019-Q1(ii)	2019-Q2(ii)	2019-Q3
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	8	12	9
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	11.57	15.26	11.26
Month
1	0.08	0.06	0.04	0.02	0.02	0.02	0.03	0.03	0.04	0.03	0.03	0.04	0.03	0.06	0.03
2	0.21	0.15	0.12	0.07	0.07	0.06	0.08	0.09	0.10	0.12	0.10	0.10	0.10	0.12	0.08
3	0.31	0.20	0.18	0.10	0.09	0.09	0.13	0.13	0.15	0.17	0.15	0.15	0.12	0.17	0.13
4	0.36	0.25	0.21	0.13	0.12	0.12	0.18	0.15	0.19	0.21	0.19	0.17	0.15	0.21
5	0.38	0.30	0.24	0.15	0.13	0.14	0.20	0.18	0.21	0.24	0.22	0.20	0.18	0.24
6	0.39	0.33	0.25	0.16	0.16	0.15	0.22	0.20	0.22	0.25	0.23	0.22	0.21	0.26
7	0.38	0.35	0.26	0.18	0.17	0.17	0.24	0.22	0.24	0.27	0.26	0.23	0.26	0.29
8	0.41	0.41	0.29	0.18	0.19	0.19	0.25	0.24	0.27	0.30	0.26	0.26	0.26
9	0.43	0.43	0.31	0.20	0.19	0.21	0.27	0.25	0.30	0.32	0.28	0.27	0.28
10	0.44	0.43	0.32	0.21	0.23	0.23	0.29	0.26	0.31	0.34	0.32	0.28	0.33
11	0.48	0.45	0.33	0.22	0.26	0.26	0.32	0.26	0.33	0.36	0.33	0.30
12	0.53	0.50	0.33	0.25	0.26	0.27	0.34	0.28	0.34	0.36	0.33	0.32
13	0.54	0.52	0.37	0.26	0.26	0.28	0.35	0.31	0.37	0.37	0.34	0.35
14	0.59	0.54	0.39	0.26	0.26	0.29	0.38	0.32	0.37	0.39	0.37
15	0.65	0.57	0.40	0.28	0.28	0.32	0.40	0.35	0.38	0.41	0.38
16	0.69	0.60	0.43	0.31	0.30	0.34	0.42	0.38	0.42	0.43	0.39
17	0.72	0.62	0.44	0.31	0.33	0.35	0.46	0.37	0.44	0.46	0.41
18	0.74	0.64	0.46	0.32	0.33	0.35	0.45	0.39	0.44	0.46	0.42
19	0.78	0.66	0.48	0.33	0.35	0.37	0.46	0.40	0.45	0.46	0.42
20	0.82	0.70	0.50	0.35	0.37	0.37	0.50	0.44	0.49	0.47	0.42
21	0.86	0.66	0.52	0.35	0.38	0.41	0.49	0.45	0.51	0.47	0.43
22	0.87	0.65	0.55	0.38	0.42	0.45	0.51	0.43	0.52	0.51	0.45
23	0.86	0.66	0.55	0.40	0.44	0.47	0.56	0.45	0.55	0.53	0.46
24	0.91	0.69	0.55	0.42	0.46	0.47	0.58	0.45	0.55	0.52	0.46
25	0.91	0.71	0.58	0.43	0.46	0.46	0.60	0.48	0.55	0.52	0.47
26	0.95	0.71	0.60	0.44	0.46	0.48	0.62	0.49	0.59	0.53
27	0.99	0.75	0.64	0.48	0.47	0.51	0.65	0.52	0.60	0.54
28	1.02	0.76	0.66	0.49	0.51	0.54	0.73	0.55	0.67	0.58
29	1.03	0.80	0.66	0.51	0.52	0.54	0.74	0.56	0.68	0.60
30	0.98	0.83	0.69	0.52	0.48	0.55	0.72	0.57	0.66	0.58
31	1.00	0.86	0.73	0.55	0.55	0.56	0.77	0.58	0.68	0.59
32	1.03	0.89	0.63	0.53	0.58	0.57	0.78	0.59	0.70	0.60
33	1.05	0.91	0.69	0.57	0.62	0.62	0.79	0.62	0.72	0.62
34	1.06	0.89	0.70	0.59	0.66	0.64	0.80	0.63	0.75	0.66
35	1.05	0.92	0.72	0.63	0.68	0.67	0.86	0.63	0.77	0.66
36	1.12	0.87	0.72	0.67	0.65	0.66	0.87	0.65	0.78	0.66
37							0.90	0.69	0.78	0.67
38							0.93	0.68	0.81	0.70
39							0.96	0.72	0.74
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lenghtening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 17

Subprime 60-Plus-Day Delinquencies (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018(i)(ii)	2019-Q1	2019-Q2(i)(ii)	2019-Q3
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	10	11	9
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	7.70	7.29	6.1
Month
1	0.04	0.06	0.05	0.10	0.05	0.04	0.04	0.11	0.06	0.10	0.17	0.11	0.07	0.10	0.09
2	0.64	0.69	1.22	1.07	0.54	0.67	0.61	0.89	1.07	1.09	1.30	1.03	0.66	0.75	1.06
3	1.42	1.51	1.42	1.74	1.04	1.47	1.47	1.78	2.29	2.06	2.72	2.51	1.84	1.89	2.52
4	2.09	1.82	1.51	1.86	1.25	1.97	2.08	2.29	2.97	2.64	3.44	3.29	2.57	2.64	3.53
5	2.44	1.85	1.64	1.97	1.36	2.33	2.49	2.59	3.20	2.91	3.70	3.51	3.05	3.12
6	2.61	1.87	1.68	2.10	1.24	2.37	2.58	2.87	3.24	3.04	3.68	3.66	3.44	3.48
7	2.82	2.24	2.07	2.38	1.32	2.24	2.47	3.03	3.36	3.29	3.61	3.76	3.71	3.75
8	2.97	2.60	1.35	2.58	1.50	2.38	2.59	3.27	3.61	3.48	3.69	3.85	3.77
9	3.03	2.79	1.04	2.61	1.72	2.62	2.92	3.46	3.99	3.78	3.91	3.94	3.97
10	3.13	2.75	1.24	2.54	1.93	2.98	3.26	3.60	4.24	4.00	4.19	4.13	4.28
11	3.25	2.57	1.52	2.50	2.04	3.34	3.45	3.83	4.37	4.00	4.58	4.32
12	3.32	2.45	1.76	2.75	2.14	3.47	3.58	4.01	4.30	4.16	4.90	4.55
13	3.34	2.55	1.75	3.05	2.40	3.43	3.66	4.19	4.45	4.42	4.97	4.86
14	3.65	2.57	2.40	3.30	2.41	3.52	3.79	4.27	4.78	4.43	4.99	5.00
15	4.00	2.84	1.75	3.52	2.56	3.71	3.94	4.58	5.14	4.49	5.18
16	4.15	2.82	1.74	3.58	2.58	3.88	4.30	4.75	5.44	4.79	5.34
17	4.37	2.30	1.86	3.64	2.49	4.14	4.53	4.79	5.54	4.70	5.49
18	4.45	2.25	1.88	3.73	2.35	4.13	4.52	4.85	5.57	4.79	5.62
19	4.55	2.42	2.47	3.94	2.40	4.16	4.47	4.80	5.49	4.88	5.72
20	4.47	2.64	1.56	4.04	2.57	4.19	4.47	4.89	5.54	4.93	5.82
21	4.66	2.82	1.23	4.03	2.80	4.28	4.57	5.00	5.69	5.09	5.83
22	4.74	2.53	1.26	3.92	3.00	4.46	4.62	5.03	5.74	5.28	5.89
23	4.57	2.30	1.43	4.08	2.97	4.58	4.57	5.15	5.71	5.22	5.97
24	4.56	2.11	1.66	4.42	3.17	4.63	4.62	5.34	5.56	5.23	6.06
25	4.42	2.22	1.77	4.71	3.30	4.67	4.88	5.34	5.60	5.44	6.13
26	4.54	2.33	2.16	4.94	3.32	4.62	4.98	5.38	5.74	5.41
27	4.62	2.60	1.72	5.00	3.43	4.64	5.00	5.50	6.13	5.40
28	4.77	2.70	1.70	5.10	3.29	4.84	5.26	5.55	6.31	5.40
29	4.93	2.04	2.00	5.29	3.21	4.90	5.53	5.80	6.26	5.38
30	4.80	1.99	1.96	5.40	2.90	5.05	5.58	5.84	6.44	5.35
31	4.82	2.20	2.69	5.56	2.84	5.18	5.63	5.87	6.31	5.55
32	4.73	2.41	1.60	5.66	3.14	5.24	5.70	6.18	6.24	5.71
33	4.69	2.83	1.25	5.65	3.48	4.98	5.96	6.24	6.32	5.90
34	4.73	2.48	1.30	5.57	3.66	5.23	5.92	6.27	6.52	5.86
35	4.49	2.26	1.68	5.67	3.64	5.31	5.96	6.51	6.51	5.93
36	4.41	2.12	1.81	5.99	3.73	5.47	5.86	6.56	6.50	5.93
37	4.34	2.29	2.02	6.46	3.77	5.55	6.17	6.57	6.51	6.10
38	4.30	2.31	2.90	6.67	3.79	5.74	6.36	6.62	6.60	6.18
39	4.40	2.69	2.48	6.70	3.97	5.99	6.57	6.69	6.81
40	4.52	2.80	2.17	6.76	4.03	5.90	6.89	6.61	7.23
41	4.71	1.97	2.24	7.10	4.04	6.12	7.16	7.14	7.57
42	4.62	2.03	2.09	6.96	3.62	6.23	7.30	7.01	7.22
43	4.76	2.28	3.12	7.32	3.53	6.31	7.21	7.07	7.47
(i)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes Americredit deals not rated by S&P Global Ratings.

Table 18

Modified Subprime 60-Plus-Day Delinquencies (%)
	2013	2014	2015	2016(i)	2017	2018(i)(ii)	2019-Q1	2019-Q2(i)(ii)	2019-Q3
Initial collateral balance (bil. $)	12.30	11.83	12.00	16.08	11.12	16.09	4.25	3.84	3.41
Month
1	0.02	0.05	0.04	0.10	0.24	0.18	0.10	0.01	0.13
2	0.49	0.66	0.62	0.77	0.88	0.75	0.48	0.53	0.81
3	1.27	1.36	1.34	1.36	1.69	1.58	1.05	1.34	1.69
4	1.81	1.69	1.76	1.79	2.08	2.06	1.46	1.83	2.30
5	2.16	1.85	1.95	2.03	2.22	2.21	1.79	2.06
6	2.23	2.00	2.07	2.15	2.31	2.32	2.01	2.25
7	2.11	2.14	2.09	2.30	2.32	2.45	2.16	2.47
8	2.19	2.39	2.30	2.41	2.28	2.57	2.31
9	2.49	2.61	2.54	2.55	2.46	2.69	2.45
10	2.85	2.73	2.89	2.75	2.64	2.86	2.68
11	3.06	2.93	2.91	2.85	2.90	2.97
12	3.12	3.08	2.91	2.95	3.18	3.15
13	3.14	3.25	2.99	3.12	3.23	3.31
14	3.19	3.31	3.13	3.05	3.19	3.58
15	3.30	3.64	3.38	3.13	3.34
16	3.63	3.80	3.55	3.51	3.43
17	3.89	3.85	3.59	3.47	3.56
18	4.01	3.88	3.65	3.59	3.75
19	3.99	3.80	3.60	3.59	3.84
20	3.95	3.84	3.60	3.56	3.89
21	3.99	3.96	3.75	3.72	3.87
22	4.09	3.96	3.92	3.96	3.98
23	4.09	4.07	3.86	3.88	4.07
24	4.09	4.21	3.71	3.89	4.09
25	4.30	4.24	3.75	4.14	4.23
26	4.33	4.31	3.77	4.07
27	4.33	4.37	4.10	4.02
28	4.57	4.36	4.21	4.09
29	4.81	4.57	4.11	4.07
30	4.96	4.61	4.40	4.02
31	5.07	4.55	4.26	4.06
32	5.12	4.77	4.15	4.11
33	5.34	4.90	4.28	4.26
34	5.31	4.92	4.70	4.29
35	5.34	5.15	4.68	4.48
36	5.19	5.18	4.58	4.49
37	5.49	5.21	4.53	4.67
38	5.61	5.27	4.59	4.71
39	5.76	5.48	4.54
40	6.00	5.63	4.83
41	6.32	5.94	5.05
42	6.52	5.92	5.24
43	6.47	5.70	5.21
(i)Includes SDART (not rated by S&P Global Ratings). (ii)Includes Americredit (not rated by S&P Global Ratings).

Table 19

Prime Cumulative Recoveries (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019-Q1(ii)	2019-Q2(ii)	2019-Q3
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	8	12	9
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	11.57	15.26	11.26
Month
1	29.50	-2.06	23.32	19.68	21.47	20.28	18.61	31.98	26.35	25.58	16.46	26.17	23.46	38.69	46.61
2	47.93	43.02	40.43	47.24	65.16	59.19	57.05	54.08	40.70	41.52	41.64	49.21	36.58	43.42	49.42
3	47.02	41.67	42.50	48.71	63.52	56.24	53.60	54.69	39.78	40.68	42.47	47.36	50.46	42.99	53.39
4	44.91	40.73	42.09	48.33	60.04	54.66	47.95	50.42	41.08	38.45	41.61	45.24	44.28	44.64
5	45.01	41.42	44.01	48.39	60.63	55.15	46.94	50.07	42.86	39.59	42.14	46.68	46.12	42.50
6	45.39	41.72	46.10	50.04	60.98	56.11	48.71	50.38	43.52	41.39	43.46	47.01	47.97	43.60
7	45.92	42.13	47.29	51.74	61.48	56.68	49.14	52.08	44.53	42.94	44.74	48.13	48.16	44.22
8	46.76	42.85	48.22	52.86	61.96	57.18	51.82	52.89	45.68	44.84	45.71	49.17	49.28
9	46.85	43.53	49.09	54.60	62.30	56.80	53.33	53.37	47.04	46.04	46.86	49.86	49.12
10	46.78	44.19	49.84	55.52	62.95	56.76	53.60	53.88	47.38	46.39	47.48	50.40	50.06
11	46.56	44.99	50.88	56.31	63.01	57.42	54.19	54.71	47.57	47.28	48.63	50.90
12	46.60	45.26	51.66	57.02	63.29	57.98	54.79	55.30	48.51	47.68	49.22	51.60
13	46.60	45.79	52.29	57.84	63.54	58.55	54.89	56.05	49.68	48.36	49.57	52.05
14	46.55	46.48	52.97	58.10	64.16	58.60	54.94	56.21	50.05	49.05	49.98
15	46.34	47.11	53.61	58.77	64.35	58.85	55.21	56.22	50.34	49.67	50.61
16	46.28	47.66	54.07	59.25	64.55	59.19	55.55	56.48	50.95	49.62	50.96
17	46.16	48.18	54.70	59.83	64.73	59.23	55.70	56.73	51.38	50.06	51.49
18	46.26	48.71	55.17	60.24	64.53	59.45	55.73	56.79	51.70	50.01	51.90
19	46.33	49.10	55.65	60.93	64.42	59.81	55.97	56.84	51.84	50.50	52.24
20	46.59	49.47	56.09	61.35	64.75	59.98	56.51	56.96	52.19	50.99	52.66
21	46.68	49.90	56.45	61.72	65.07	60.09	56.81	57.03	52.26	51.35	52.87
22	46.94	50.36	56.99	61.92	65.23	60.42	57.17	57.22	52.61	51.59	53.09
23	47.09	50.69	57.43	62.29	65.24	60.56	57.23	57.44	52.70	51.79	53.24
24	47.42	51.11	58.01	62.61	65.43	60.57	57.45	57.63	52.86	51.91	53.41
25	47.70	51.48	58.47	62.81	65.61	60.77	57.42	58.02	53.21	52.16	53.57
26	47.99	51.86	58.82	63.14	65.61	60.97	57.66	58.23	53.48	52.36	53.80
27	48.27	52.25	59.11	63.35	65.67	61.26	58.02	58.47	53.52	52.68
28	48.50	52.56	59.44	63.71	65.84	61.47	58.17	58.64	53.80	52.85
29	48.76	52.83	59.74	63.90	66.03	61.69	58.18	58.74	53.95	53.09
30	49.00	53.12	60.09	64.11	66.12	61.88	58.38	58.84	54.20	53.32
31	49.39	53.39	60.47	64.33	66.38	62.19	58.55	58.95	54.34	53.51
32	49.74	53.67	60.84	64.40	66.49	62.39	58.87	59.14	54.63	53.86
33	50.00	53.80	61.06	65.35	66.55	62.71	59.05	59.18	54.91	54.15
34	50.28	54.07	61.23	65.65	66.71	62.79	59.50	59.20	55.25	54.38
35	50.51	54.34	61.51	65.95	66.75	62.96	59.61	59.29	55.66	54.52
36	50.73	54.56	61.61	66.11	66.85	63.12	59.85	59.52	56.00	54.71
37							59.98	59.72	56.35	54.91
38							60.22	59.85	56.61	54.34
39							60.74	60.10	56.87
(i)Starting this month, for the recent vintages (2013 onwards), we have extended the performace data to 39 months to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 20

Subprime Cumulative Recoveries (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018(i)(ii)	2019-Q1	2019-Q2(i)(ii)	2019-Q3
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	10	11	9
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	7.70	7.29	6.1
Month
1	50.45	4.68	26.37	13.24	38.17	34.26	48.95	26.51	19.69	15.31	11.39	21.56	10.61	17.70	13.41
2	52.67	16.20	33.03	40.00	48.39	49.13	50.63	44.56	42.02	31.03	27.83	42.01	38.74	41.33	30.21
3	46.95	29.34	37.37	41.47	47.18	52.07	55.86	45.53	43.70	36.43	33.14	40.08	40.29	44.46	34.91
4	38.89	27.91	35.33	35.15	42.05	42.02	42.71	38.13	37.37	33.69	29.36	35.85	36.55	35.84	28.96
5	36.34	28.40	35.45	37.94	42.98	41.06	42.01	37.93	36.74	33.14	30.12	36.11	35.88	35.11
6	35.89	31.83	34.81	38.97	44.45	43.35	45.07	38.11	36.19	33.10	31.12	35.94	35.95	34.29
7	36.19	32.88	35.59	39.61	45.43	44.30	45.17	38.54	36.08	33.42	31.38	35.60	36.64	33.68
8	36.63	32.92	36.98	40.39	45.82	44.39	45.00	39.35	36.71	34.28	32.76	36.23	37.09
9	36.59	33.43	38.30	40.34	45.82	44.24	44.87	40.07	37.59	34.93	33.89	37.43	37.61
10	37.35	33.91	39.23	41.16	45.64	44.21	44.88	40.84	38.47	35.49	34.95	38.54	37.95
11	37.65	34.37	39.72	42.06	45.70	43.96	45.01	41.31	39.06	36.15	35.81	39.33
12	37.83	34.69	40.13	42.55	45.90	43.85	44.95	41.62	39.64	36.59	36.41	40.09
13	38.19	35.11	39.93	42.96	46.14	44.19	45.17	42.03	40.32	36.96	37.06	40.57
14	38.40	35.30	40.10	43.14	46.16	44.42	45.56	42.36	40.82	37.36	37.60	40.35
15	38.47	35.64	40.15	43.33	46.12	44.69	45.88	42.70	41.22	37.65	38.14
16	38.35	35.95	40.70	43.63	46.41	45.00	46.05	42.98	41.28	37.84	38.57
17	38.27	36.44	40.81	43.76	46.81	45.04	46.08	43.02	41.35	38.19	39.01
18	38.16	36.70	40.95	44.05	47.14	45.32	46.09	43.18	41.54	38.39	39.30
19	37.99	36.91	40.97	44.45	47.36	45.45	46.14	43.34	41.59	38.66	39.54
20	37.93	37.02	41.29	44.79	47.45	45.62	46.34	43.41	41.72	38.84	39.88
21	37.81	37.20	41.68	45.16	47.46	45.73	46.46	43.46	41.88	38.95	40.18
22	37.72	37.29	42.01	45.63	47.53	45.84	46.65	43.59	41.96	39.04	40.49
23	37.74	37.47	42.00	45.90	47.68	45.98	46.82	43.67	42.06	39.20	40.70
24	37.70	37.64	42.24	46.11	47.83	46.01	47.01	43.72	42.17	39.31	40.86
25	37.87	37.79	42.37	46.21	47.84	46.95	47.64	43.78	42.27	39.39	41.01
26	38.04	37.90	42.49	46.36	47.84	47.04	47.83	43.73	42.40	39.48
27	38.23	38.01	42.68	46.60	47.82	47.13	47.84	43.79	42.45	39.53
28	38.31	38.06	42.66	46.73	47.85	47.36	47.97	43.89	42.46	39.62
29	38.38	38.21	42.78	46.80	47.99	47.41	47.92	44.03	42.48	39.66
30	38.49	38.38	42.85	47.11	48.18	47.67	47.85	44.04	42.68	39.54
31	38.58	38.45	42.90	47.40	48.31	47.63	47.93	44.06	42.67	39.31
32	38.79	38.54	43.03	47.68	48.44	47.66	47.90	44.24	42.66	39.35
33	38.98	38.59	43.16	48.11	48.52	47.76	47.84	44.23	42.67	39.37
34	39.07	38.62	43.26	48.17	49.68	48.08	47.76	44.21	42.67	39.43
35	39.20	38.75	43.50	48.19	49.72	48.18	47.73	44.40	42.67	39.49
36	39.33	38.86	43.59	48.22	49.72	48.23	47.74	44.33	42.87	39.51
37	39.49	38.94	43.69	48.27	49.68	48.24	47.73	44.33	42.91	39.52
38	39.63	39.01	43.77	48.22	49.70	48.34	47.72	44.26	42.92	39.51
39	39.74	39.06	43.81	48.29	49.70	48.28	47.68	44.24	43.09
40	39.95	39.14	43.85	48.39	49.72	48.38	47.04	44.33	43.11
41	40.04	39.24	43.88	48.38	49.85	48.37	47.60	44.58	43.29
42	40.13	39.35	43.95	48.38	49.90	48.37	47.53	44.68	43.25
43	40.21	39.48	44.88	48.38	50.22	48.34	47.42	44.76	43.49
(i)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes Americredit deals not rated by S&P Global Ratings.

Table 21

Modified Subprime Cumulative Recoveries (%)
	2013	2014	2015	2016(i)	2017	2018(i)(ii)	2019-Q1	2019-Q2(i)(ii)	2019-Q3
Initial collateral balance (bil. $)	12.30	11.83	12.00	16.08	11.12	16.09	4.25	3.84	3.41
Month
1	52.58	31.78	22.06	20.47	12.09	22.24	13.51	5.08	18.38
2	49.83	42.50	36.30	31.47	25.45	38.50	38.56	32.85	20.26
3	56.60	45.31	42.20	37.07	30.51	32.78	37.75	41.06	31.48
4	42.89	38.14	38.91	36.12	29.05	32.01	36.54	30.57	29.11
5	42.25	38.28	38.71	34.80	30.59	33.95	36.53	31.29
6	45.70	38.39	38.07	34.61	31.56	35.64	36.57	31.37
7	45.70	38.77	37.52	34.81	32.01	35.98	37.32	31.43
8	45.42	39.67	37.83	35.59	33.68	36.76	37.70
9	45.19	40.41	38.53	36.16	34.83	37.82	38.20
10	45.13	41.17	39.30	36.67	35.84	38.67	38.41
11	45.22	41.63	39.80	37.21	36.59	39.14
12	45.14	41.94	40.16	37.55	37.12	39.88
13	45.37	42.33	40.72	37.82	37.67	40.23
14	45.81	42.64	41.14	38.09	38.18	40.27
15	46.20	42.97	41.51	38.36	38.66
16	46.39	43.25	41.54	38.50	39.00
17	46.46	43.27	41.62	38.68	39.45
18	46.47	43.45	41.90	38.82	39.68
19	46.48	43.65	41.93	39.04	39.87
20	46.65	43.72	42.07	39.19	40.12
21	46.78	43.79	42.23	39.30	40.44
22	46.97	43.97	42.25	39.37	40.72
23	47.16	44.07	42.28	39.52	40.88
24	47.34	44.12	42.37	39.58	41.04
25	48.06	44.19	42.45	39.63	41.13
26	48.28	44.15	42.53	39.75
27	48.31	44.24	42.59	39.77
28	48.45	44.34	42.56	39.85
29	48.41	44.55	42.59	39.86
30	48.34	44.62	42.92	39.64
31	48.45	44.66	42.91	39.31
32	48.41	44.94	42.89	39.38
33	48.33	44.91	42.88	39.42
34	48.24	44.94	42.85	39.49
35	48.22	45.22	42.83	39.54
36	48.23	45.16	43.12	39.58
37	48.21	45.12	43.16	39.58
38	48.22	45.06	43.19	39.57
39	48.20	45.05	43.47
40	47.49	45.03	43.53
41	48.12	44.98	43.86
42	48.06	45.11	43.84
43	47.95	45.09	43.85
(i)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes Americredit deals not rated by S&P Global Ratings.

Appendix II: Auto Tracker Methodology And Definitions--Frequently Asked Questions

Effective with our U.S. auto loan ABS tracker report, "U.S. Auto Loan ABS Tracker: Full-Year 2017 And December 2017 Performance," published Feb. 22, 2018, we modified our methodology for calculating the loss, delinquency, and recovery rates reported. Under the new methodology, we do not incorporate a transaction's performance into the composite results until it has been outstanding for four months. We have applied the new methodology to transactions that closed in December 2005 and thereafter.

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial expected CNLs of 3.00% or less, average FICO scores of 700 or higher, and annual percentage rates (APRs) of 0.00%-5.00%.

How do you define subprime auto loan ABS?

We generally categorize subprime auto loan ABS transactions as those backed by loan pools with initial expected CNLs of at least 7.50%, average FICO scores of less than 620, and APRs that exceed 14.00%.

How do you calculate the monthly net loss rate?

The monthly net loss rate is annualized. It equals each transaction's net loss rate weighted by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the composite starting in its fourth month outstanding. Transactions usually have zero or low losses during their first three months, which dilutes the composite figures.

How do you calculate the monthly recovery rate?

We calculate recoveries by taking the recovery amount reported (which typically includes all recoveries, including disposition proceeds, post-disposition proceeds, and any other reported recoveries) over the gross loss amount for the current month. We then weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the index starting in its fourth month outstanding. During a transaction's first three months, unusually high or low recoveries are reported, leading to a spike in the composite figures. Previously, we often excluded recovery rates in the first two months of a deal's life because of negative recovery rates (resulting from recoveries exceeding gross losses).

How do you calculate the monthly 60-plus-day delinquency rate?

We calculate delinquencies by taking each transaction's 60-plus-day delinquency amount over the ending pool balance for the current month. We then weight each transaction's 60-plus-day delinquency percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the composite.

We only allow a transaction to enter the composite starting in its fourth month outstanding. During the transaction's first three months, zero or lower delinquencies are reported, which dilutes the composite figures.

What is the Auto Loan Static Index?

Our Auto Loan Static Index (ALSI) monitors the credit performance of securitizations that were originated in the same year on a weighted average basis. The number of months displayed for each vintage is generally determined by the last point that all securitizations for that time period have a data point. We calculate the prime and subprime ALSI CNLs by taking the weighted average of the CNLs of the transactions that were completed in the same time period (generally a year). Each transaction's CNL is weighted by its initial pool balance over the aggregate initial pool balance of all the transactions included in the index for that period. In the subprime ALSI, transactions from Byrider Finance LLC (doing business as CarNow Acceptance Corp.), Credit Acceptance Corp., and DriveTime Automotive Group Inc. are excluded because they do not have the typical indirect auto loan business model.

Which transactions are included in the prime, subprime, and modified subprime composites and indices?

For a list of the transactions included in our prime, subprime, and modified subprime composites and indices, see "U.S. Auto Loan ABS Tracker: March 2019," published on May 23, 2019. However, note that we subsequently added S&P Global Ratings-rated transactions that have since closed, most prime transactions that closed and were not rated by S&P Global Ratings from 2016 through the present, and the Santander transactions S&P Global Ratings did not rate.

Related Research

• How The Wave Of Negative Rating Actions On Global Automakers Has Affected U.S. Auto ABS Ratings, Feb 13, 2020
• Various Rating Actions Taken On Eight Flagship Credit Auto Trust Deals, Jan. 30, 2020
• Four Ratings Raised, Two Ratings Affirmed On World Omni Select Auto Trust 2018-1, Jan. 22, 2020
• Nine Ratings Raised And Two Ratings Affirmed On Two Exeter Automobile Receivables Trust Transactions, Jan. 10, 2020
• Presale: CarMax Auto Owner Trust 2020-1, Jan. 9, 2020
• Global Structured Finance Outlook 2020: Another $1 Trillion-Plus Year On Tap, Jan. 6, 2020
• Speed Bump Ahead: As Auto Loans Accelerate Toward 84 Months, Caution Is Warranted, Sept. 18, 2019
• U.S. Prime Auto Loan ABS Are Seeing More Back-Loaded Losses As Loan Terms Lengthen, July 30, 2019
• Subprime Auto Loan ABS Tracker: Losses Have Stabilized, But Renewed Growth Bears Watching, April 29, 2019
• The Severity Of Subprime Auto Loan Delinquencies Is In The Eye Of The Beholder, March 18, 2019
• 10-Year Retrospective: Changes In U.S. Auto ABS In The Decade Since The Great Recession, Feb. 15, 2019

Primary Credit Analyst:	Amy S Martin, New York (1) 212-438-2538; amy.martin@spglobal.com
Secondary Contacts:	Timothy J Moran, CFA, FRM, New York (1) 212-438-2440; timothy.moran@spglobal.com
	Jennie P Lam, New York (1) 212-438-2524; jennie.lam@spglobal.com
	Kenneth D Martens, New York (1) 212-438-7327; kenneth.martens@spglobal.com
	Steve D Martinez, New York (1) 212-438-2881; steve.martinez@spglobal.com
Research Contributor:	Reema Kakkar, CRISIL Global Analytical Center, an S&P affiliate, Mumbai