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U.S. Auto Loan ABS Tracker: Full-Year And December 2019 Performance

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U.S. Auto Loan ABS Tracker: Full-Year And December 2019 Performance

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.

Chart 1

image

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.

Chart 2

image

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.

Chart 3

image

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.

Chart 4

image

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).

Chart 5

image

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

Many participants in the U.S. auto lending industry have received inquiries from regulatory bodies relating to the origination, underwriting, servicing, and securitization of auto loans. At this time, we do not anticipate that these inquiries will affect our ratings of auto loan ABS transactions. However, we will continue to evaluate developments in these areas as they relate to our ratings of auto loan ABS transactions and will update our views as we deem appropriate.

This report does not constitute a rating action.

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

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