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U.S. Auto Loan ABS Tracker: September 2020 Performance

U.S. auto loan asset-backed securities (ABS) performance remained strong in September 2020. Prime losses declined to their lowest level since May 2012, and 60-plus-day delinquencies slid to a record low level for the month of September. September's subprime loss rate, excluding July and August's record low loss levels, was the lowest since May 2012. At the same time, subprime 60-plus-day delinquencies declined to their lowest September level since 2012.

While the lower unemployment level of 7.9% in September 2020 (compared with 8.4% in August) and continued strong recovery rates supported favorable performance, elevated extensions since the COVID-19 pandemic-induced recession started have, in our opinion, dampened delinquencies and potentially losses. Extensions, which allow obligors to skip a payment and add it to the end of their loan, generally bring the account current and stave off possible repossession. Assuming the borrower can resume payments at a later date, losses should not be materially impacted; however, to the extent obligors cannot resume their payments, losses will eventually rise.

In September, monthly extension rates for prime issuers continued to decline, while subprime issuers saw their first increase in five months. In our view, the reversal in extension rates in subprime loans was due to one or more of the following: enhanced unemployment benefits declining to $300 from $600; the devastating hurricane season, including Hurricane Laura; and continued high levels of unemployment. Even with the extension rate increase on subprime loans, extensions remain much improved from their peak levels in the spring. (For performance on extensions, see our latest article, "SF Credit Brief: U.S. Auto Loan ABS Extension Patterns Diverged In September: Deferrals On Prime Loans Declined, But Rose On Subprime, published Nov. 12, 2020.)

S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic. Reports that at least one experimental vaccine is highly effective and might gain initial approval by the end of the year are promising, but this is merely the first step toward a return to social and economic normality; equally critical is the widespread availability of effective immunization, which could come by the middle of next year. We use this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

Losses Reach Lowest Level Since 2012

Prime net losses decreased to 0.22% in September 2020 compared with 0.25% in August 2020 and 0.57% in September 2019 (see table 1 and chart 1). September's loss level was the lowest since May 2012. Several issuers reported lower losses in September relative to August, including CarMax Auto Owner Trust (CarMax), Nissan Auto Receivables Owner Trust (Nissan), Hyundai Auto Receivables Trust (Hyundai), GM Financial Consumer Automobile Receivables Trust (GMCAR), and Mercedes-Benz (MBART), which together comprise approximately 40% of the total prime composite. Lower losses stem from higher recovery rates and elevated extension rates, albeit deferrals have been declining.

After declining for four straight months, subprime net losses increased by 60 basis points (bps) to 3.53% in September 2020 from 2.93% in August 2020, and decreased by 502 bps from 8.55% in September 2019. Excluding July and August's record low loss levels, September's loss rate of 3.53% was the lowest loss rate since the spring of 2012.

Subprime shelves reporting higher losses were Drive Auto Receivables Trust (DRIVE), Santander Drive Auto Receivables Trust (SDART), Westlake Automobile Receivables Trust (Westlake), and Flagship Credit Auto Trust (Flagship), which combined, comprise approximately 55% of the total subprime composite. After netting out three deep subprime issuers (American Credit Acceptance, Exeter, and DRIVE), modified subprime losses increased by 35 bps to 3.06% in September 2020 from 2.71% in August 2020, and decreased 327 bps from 6.32% in September 2019.

Table 1

Net Loss Rate Composite(i)
Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Aug-20 Sep-20
Prime (%) 0.39 0.45 0.51 0.50 0.63 0.69 0.61 0.57 0.25 0.22
Subprime (%) 5.42 6.63 7.72 8.07 8.86 8.49 8.56 8.55 2.93 3.53
Subprime modified (%) 5.09 6.12 7.04 7.08 6.88 6.81 6.55 6.32 2.71 3.06
(i)Represents monthly annualized losses.

Chart 1

image

Recoveries Declined, But Remained Near Record High Levels

Prime recoveries decreased 62 bps to 79.91% in September 2020 from August's eight-year high of 80.54% and increased from September 2019's level of 53.90% (see table 2 and chart 2). September recoveries were mostly influenced by lower month-to-month recoveries from Toyota Auto Receivables Owner Trust (Toyota), Honda Auto Receivables Owner Trust (Honda), World Omni Auto Receivables Trust (WOART), and GM Financial Consumer Automobile Receivables Trust (GMCAR), which comprise approximately 42% of the total prime index.

After rising for four straight months and reaching a record of 65.02% in August, subprime recoveries decreased 711 bps to 57.90% in September 2020, which is still higher than historical levels for the month and greatly above the rate of 41.23% in September 2019. Subprime modified recoveries decreased to 57.25% in September 2020 from 60.33% in August 2020, and increased from 41.48% in September 2019.

The astonishingly high recovery rates stem from supply shortages and increased demand. Supply has been hampered by lower new vehicle sales this year, which have reduced the supply of trade-in vehicles, normally a huge source of used vehicle inventory. New vehicle inventory has also been low due to auto manufacturing plants shutting down earlier this year. At the same time, demand is up for used vehicles due to urbanites moving to the suburbs where vehicle ownership is essential, and public transportation riders shifting to driving themselves to and from work in order to ensure social distancing. All of this helped increase used vehicle prices by 6.7% in September relative to August 2020, leaving used vehicle prices up 10.3% for the 12 months ended Sept. 30, 2020, according to the Consumer Price Index.

Table 2

Recovery Rate Composite(i)
Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Aug-20 Sep-20
Prime (%) 64.13 59.93 56.31 59.38 57.70 52.85 52.01 53.90 80.54 79.91
Subprime (%) 44.26 41.66 40.37 39.95 39.69 39.25 39.42 41.23 65.02 57.90
Subprime modified (%) 45.63 42.08 40.83 41.11 40.86 40.88 40.42 41.48 60.33 57.25
(i)Represents monthly recovery rates.

Chart 2

image

Extensions Keep Delinquencies At Record Low Levels

The prime 60-plus-day delinquency rate declined three bps to 0.33% as of month-end September 2020 from 0.36% in August 2020 and nine bps from 0.42% in September 2019 (see table 3 and chart 3). At only 0.33%, September's 60-plus-day delinquency rate was a record low level for the month. We believe the low levels of delinquencies are a reflection of the high rates of extensions that lenders have provided to borrowers who lost their jobs or had their pay cut. For September, the unemployment rate remained elevated at 7.9%.

The subprime 60-plus-day delinquency rate decreased to 3.66% in September 2020 from 3.72% in August 2020 and from 5.23% in September 2019. September's 3.66% level was the lowest subprime delinquency rate for the month since 2012. Delinquencies were lower than they otherwise would be due to elevated extension rates, which rose in September relative to August (see Subprime Extensions On The Rise Again section below).

On a modified basis, after netting out three deep subprime lenders, the subprime modified 60-plus-day delinquency rate decreased to 2.69% in September 2020 from 2.76% in August 2020, and from 3.78% in September 2019.

Table 3

60-Plus-Day Delinquency Rate Composite(i)
Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18 Sep-19 Aug-20 Sep-20
Prime (%) 0.38 0.40 0.39 0.45 0.46 0.45 0.42 0.42 0.36 0.33
Subprime (%) 3.31 3.79 4.31 4.75 5.04 4.95 5.36 5.23 3.72 3.66
Subprime modified (%) 3.27 3.57 3.80 4.03 3.83 3.62 3.78 3.78 2.76 2.69
(i) Represents 60+ day delinquencies.

Chart 3

image

Subprime Extensions On The Rise Again

There was a divergence in extension rates between the prime and subprime sectors in September. While extensions on prime auto loans declined for the fifth month to 0.55% in September from 0.63% in August, they rose for subprime public shelves (DRIVE, SDART, AmeriCredit Automobile Receivables Trust, and World Omni Select) to 3.65% from 3.12% in August 2020 based on their Regulation AB II loan-level data (see table 4). The smaller, 144a subprime issuers also posted higher extensions of 3.87% for the month, which was not only higher than the 3.39% in August, but in line with the 3.90% in June. When we account for these transactions, the subprime all-in monthly extension rate increased to 3.76% from 3.26% in August.

We believe that the expiration of the enhanced unemployment benefit of up to $600 (some of the payments continued into early August) caused financial distress in September for many obligors in subprime pools that in turn contributed to September's extension increase. In our view, until another stimulus package is approved and the money reaches the unemployed, we're likely to see elevated auto loan extension rates. For transaction-specific extension data for subprime transactions, please see Appendix II.

Table 4

Extensions
Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
Prime Extensions--Reg AB II data (%)(i) 0.32 3.75 5.76 2.16 1.39 0.82 0.63 0.55
Subprime Extensions--Reg AB II data (%)(i) 1.53 6.82 15.75 8.90 7.66 4.89 3.12 3.65
Subprime Extensions--144a (monthly servicing reports) (%) 3.29 6.89 10.08 6.30 3.90 3.36 3.39 3.87
Subprime Extensions--Reg AB II data + monthly servicing reports (%)(ii) 2.40 6.93 13.26 7.82 5.69 4.27 3.26 3.76
(i)Based on Reg AB II filings with the SEC. (ii)Reg AB II data used for AmeriCredit, SDART, DRIVE, World Omni Select 2019-A, and servicing reports for the other S&P Global Ratings-rated transactions, most of which were 144a transactions.

Collateral Trends

Prime

In our view, prime collateral characteristics remained strong through the first nine months of 2020. The weighted average FICO score increased to 759 from 755 in 2019, and the percentage of loans with greater than 60-month loans declined to 58.99% compared with 60.31% in 2019. A slight negative was that the weighted average loan-to value (LTV) ratio increased to 96.21% from 95.48% in 2019, but it remains below 2015 and 2016 levels. Those years were marked by intense competition and many lenders subsequently tightened their credit standards in 2017.

Of note, the transactions included in our aggregation do not include the revolving transactions, such as Ford's REV and Toyota's TALNT shelves, due to the dynamic nature of their pool compositions. These deals have allowed for 8% and 15% of the collateral, respectively, to include original terms of up to 84 months. In addition, this year, GMF included 84-month loans in their securitizations for the first time, although the percentage has so far been under 5%. Also, Ford has included them for the first time in its November 2020-C amortizing issuance. Loans in this pool with an original term of 73-84 months equal approximately 9.8%.

Table 5A

Prime Collateral Trends(i)
Prime WA APR (%) Used (%) % of loans with orig. term > 60 months (%) % of loans with orig. term 73-75 months (%)(ii) % of loans with orig. term 76-84 months and above (%)(ii) WA orig maturity 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
First-quarter 2020 5.05 42.30 60.49 10.86 - 67.11 755 95.08
Second-quarter 2020 3.74 22.17 59.01 4.71 - 65.70 760 98.08
Third-quarter 2020 4.22 25.81 57.98 7.64 0.77 65.60 761 94.96
2019 YTD 4.51 31.50 60.31 6.50 1.26 66.13 755 95.48
2020 YTD 4.20 27.92 58.99 7.08 0.26 65.99 759 96.21
(i)Collateral characteristics of revolving transactions are not included because of the dynamic nature of the collateral pools. The 2016 - 2020 vintages include most non-S&P Global Ratings-rated term 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. YTD--Year to date. H1--First six months of the year. N/A--Not applicable.
Subprime

In our view, subprime collateral credit quality weakened in the first quarter of 2020 relative to 2019 as lenders continued to grow origination volume; however, lenders quickly tightened credit standards once the pandemic was upon us. Collateral characteristics generally improved from first-quarter 2020 to the third quarter. The weighted average FICO score increased to 591 from 575, the weighted average annual percentage rate (APR) decreased to 16.13% from 19.53% and, importantly, the weighted average LTV declined to 109.76% from 116.22% as the following issuers reduced their LTVs relative to the first quarter: American Credit Acceptance, Flagship, Exeter, CPS Auto Receivables Trusts (CPS), and DRIVE. Only GLS Auto Receivables Trust reported an increase in their weighted average LTV quarter to quarter (to 121.31% in second-quarter 2020 from 119.68% in first-quarter 2020, although it dropped to 119.54% in third-quarter 2020). Additionally, many companies increased their emphasis on income and job verification processes.

Table 5B

Subprime Collateral Trends(i)
Subprime WA APR (%) Used (%) % of loans with orig. term > 60 months (%) % of loans with orig. term 73-75 months (%)(iii) % of loans with orig. term 76-84 months (%)(iii) WA orig. maturity 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 16.85 68.25 83.27 - - 68.52 575 112.55
2017 17.79 69.05 84.61 - - 68.94 578 110.57
2018 17.97 66.53 83.03 - - 68.65 587 110.28
2019(ii) 17.84 70.55 82.63 8.14 - 68.69 584 112.45
First-quarter 2020 19.53 80.88 81.43 3.08 - 68.41 575 116.22
Second-quarter 2020 18.16 75.68 76.99 6.55 0.12 67.20 592 112.53
Third-quarter 2020 16.13 67.92 90.71 10.46 0.60 70.80 591 109.76
2019 YTD(ii) 18.04 70.33 83.56 7.38 - 68.90 583 111.98
2020 YTD 17.72 73.99 83.39 7.19 0.28 68.89 587 112.39
(i)From 2016 onwards, table includes the transactions we rated as well as most of the transactions we did not rate. (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. YTD--Year to date. N/A--Not applicable.

Auto Loan Static Index: Too Early To Determine COVID-19's Impact On Vintages

Prime

Prime auto loan ABS issuers' tighter underwriting standards and more selective criteria for their 2017 and 2018 securitizations are still generating positive results. The 2017 vintage with 35 months of performance is experiencing lower losses than 2016 (0.83% for 2017 compared with 0.88% for 2016). Also, the 2018 vintage, with 22 months of performance, has incurred 0.60% of cumulative net losses (CNLs) compared with 0.62% at the same seasoning point for the 2017 vintage and 0.67% for 2016 (see chart 4 and table 19 in Appendix I).

The 2019 vintage with 10 months of seasoning has incurred 0.28% of CNLs, which is in line with the 2018 and 2017 vintages at the same seasoning point. However, it's too early to draw conclusions from the limited data, especially since higher-than-normal levels of extensions have kept delinquencies and losses lower than they otherwise would have been.

Chart 4

image

Subprime

Subprime CNLs, in aggregate, are showing improved results for the more recent vintages. The 2017 vintage with 35 months of performance is experiencing lower losses than 2016 (12.40% for 2017 compared with 12.54% for 2016). The 2018 and 2019 vintages are demonstrating marked improvement relative to the 2016 and 2017 vintages. The 2018 cohort has CNLs of 8.41% at month 22 compared with 9.03% and 9.07% for 2016 and 2017, respectively. The 2019 cohort is trending below the 2016 and 2018 vintages with 3.88% in losses at month 11 compared with 3.96% and 4.26%, respectively, for the earlier vintages.

As noted above, it's too early to draw conclusions from 2019's limited track record, especially given the elevated levels of subprime loan extensions, which have kept delinquency rates low. In addition, we have noticed that the 2019 cohort of deals is paying down more slowly than earlier vintages, likely due to high deferments, and these deals may experience more back-loaded loss curves than earlier transactions.

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 6A and 6B).

A number of prime issuers reported higher losses on their 2016 securitizations at month 36 than their 2015 transactions. Some issuers have addressed this by either adding a minimum FICO score for their pool or otherwise improving their pool mixes. In fact, World Omni created a separate issuing shelf in 2019, World Omni Select Auto Trust, to securitize its nonprime/subprime auto loans separately from its prime pools.

Most prime issuers are reporting satisfactory results for their 2017 through third-quarter 2019 pools. However, Nissan is reporting higher losses on its first- and second-quarter 2019 securitizations compared with older vintages that have a longer performance history. The obligor and collateral characteristics of these 2019 pools are slightly weaker than the earlier vintages. We considered this weakness by raising our expected cumulative net losses (ECNL) on Nissan's 2019-C transaction issued in the fourth quarter of 2019.

Most of the subprime issuers' 2016 vintages performed worse than those from 2015, while the 2017 vintages are generally performing better than their respective 2016 vintages. The 2018 deals are generally performing within satisfactory bounds. It's difficult to gauge at this point how the 2019 deals will perform given their young status and because high levels of extensions have limited the amount of losses that they would otherwise have incurred at this point. Expected high unemployment levels through the rest of the year could also negatively impact these transactions, as could the reduction in unemployment benefits.

Table 6A

Prime Issuer CNL Performance Compared To The ALSI
2015 2016 (i) 2017(i) 2018 2019 Q1 2019 Q2 2019 Q3
Issuer Month 36 Month 36 Month 35 Month 21 Month 18 Month 15 Month 12
Prime index 0.77 0.89 0.83 0.58 0.53 0.47 0.25
Ally Auto Receivables Trust 0.53 0.71 0.83 0.52 0.45 0.37 0.26
Bank of the West 0.52 N/A 1.57 1.08 NA 1.06 N/A
California Republic (ii) 3.07 3.24 3.35 1.72 NA N/A N/A
CarMax 1.91 2.09 1.74 1.22 1.13 0.97 0.67
Fifth Third N/A N/A 0.53 N/A NA 0.38 N/A
Ford Credit 0.78 0.79 0.67 0.51 0.46 0.30 N/A
GM Financial N/A N/A 0.65 0.41 0.34 0.32 0.25
Honda 0.30 0.26 0.24 0.17 0.13 0.15 0.12
Huntington 0.62 0.54 N/A N/A NA N/A N/A
Hyundai 1.23 1.61 1.16 0.74 NA 0.77 N/A
Mercedes-Benz 0.29 0.47 N/A 0.38 NA N/A 0.26
Nissan N/A 0.68 0.75 0.73 0.82 0.70 N/A
SunTrust 0.81 N/A N/A N/A NA N/A N/A
TCF (ii) 3.97 3.80 N/A N/A NA N/A N/A
Toyota 0.36 0.42 0.41 0.32 0.29 0.27 0.23
USAA 0.31 0.28 0.22 N/A NA N/A 0.11
Volkswagen N/A N/A N/A 0.65 NA N/A N/A
World Omni Auto Receivables Trust 1.70 2.33 1.90 0.84 0.72 0.64 N/A
(i)For vintages 2016 and after, we have included most transactions that we didn't rate to arrive at the issuer level CNLs. (ii)Effective May 2019, we have re-classified California Republic 2014-2 and onwards transactions, along with TCF 2015-1 and onwards transactions, as non-prime due to their cumulative lifetime losses exceeding our prime threshold of 3.00%. CNL--Cumulative net loss. ALSI--Auto Loan Static Index. N/A--Not applicable.

Table 6B

Subprime Issuer CNL Performance Compared To The ALSI
2015 2016 2017 2018 2019 Q1 2019 Q2 2019 Q3
Month 36 Month 36 Month 35 Month 21 Month 18 Month 15 Month 12
Subprime index 12.91

12.77

12.40

8.13

6.47 5.28 4.02
American Credit Acceptance (ii) 24.79 25.42 22.88 15.91 13.35 11.29 8.69
AmeriCredit (ii)

7.18

7.37 6.39

3.77

3.33 N/A 1.83
CarFinance 12.10 N/A N/A N/A N/A N/A N/A
CarNow (Byrider)(i)

34.25

33.09

30.12

N/A NA N/A N/A
CPS 13.64 13.86 11.47 6.16 4.88 4.02 3.46
DRIVE 18.66 18.72 15.38 10.12 7.92 5.84 4.42
DriveTime(i) 24.73 25.28 25.23 14.48 11.09 9.18 7.79
Exeter 16.77 16.98 15.05 10.37 9.12 7.73 6.02
First Investors 8.86 9.92 8.90 4.61 NA 3.11 N/A
Flagship 9.67 10.00

8.60

5.22

4.45 3.29 2.56
Foursight N/A 7.37 N/A N/A N/A N/A N/A
GLS N/A N/A 13.13 7.78 7.26 5.63 3.96
Honor N/A

31.53

N/A N/A N/A N/A N/A
Prestige 11.43 12.78 10.85 7.14 NA N/A 3.91
SDART(ii) 9.73

10.38

9.59

6.45

5.09 3.90 N/A
Sierra N/A 20.53 N/A N/A N/A N/A N/A
SNAAC N/A N/A N/A N/A N/A N/A N/A
Tidewater N/A 10.66 N/A 6.09 N/A N/A N/A
UACC

22.65

19.30

19.36

16.23 NA 11.93 N/A
Westlake 12.58 13.05 11.89 7.48 5.90 4.69 N/A
(i)These issuers have an integrated sales/finance business model and are excluded from our subprime indexes. (ii)SDART and Americredit, includes deals not rated by S&P Global Ratings. CNL--Cumulative net loss. ALSI--Auto Loan Static Index. N/A--Not applicable.

Recent Auto Loan ABS Rating Activity/Revised Loss Expectations

In October, we revised our loss expectations and took the following rating actions:

The above actions resulted in 51 upgrades and 105 affirmations in October. Through Oct. 31, 2020, our reviews have resulted in 242 upgrades and eight downgrades. The 33 subprime non-investment-grade classes that we had put on CreditWatch with negative implications in May were resolved by November 6. They resulted in five downgrades (as reflected in table 7) with the rest being affirmed. In addition to those five downgrades, three other non-investment-grade classes were also downgraded.

Table 7

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 (YTD Oct. 31, 2020) 242 8
Total 2,813 31
YTD--Year to date.

Out of the 39 transactions that we reviewed in October, we lowered our revised expected cumulative net losses (ECNL) on 11, raised them on 21, and maintained them on seven. The upwardly revised ECNLs are primarily on the second-half 2018 and more recent transactions, and take into account potential deterioration resulting from high unemployment levels. In fact, most of the transactions are not currently trending toward the higher loss levels, but their higher-than-historical extension levels and future economic uncertainty led us to increase our base case. Even with these upward adjustments, there were no downgrades during October.

Table 8

GLS Auto Issuer Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2017-1 21.00-22.00 18.75-19.75 18.75-19.75
2018-1 21.00-22.00 18.50-19.50 17.50-18.50
2018-2 19.50-20.50 18.75-19.75 18.75-19.75
2018-3 19.50-20.50 18.75-19.75 18.75-19.75
2019-1 19.25-20.25 N/A 20.00-21.00
2019-2 19.25-20.25 N/A 20.00-21.00
CNL--Cumulative net loss. N/A--Not applicable.

Table 9

DT Auto Owner Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2019-4 28.50-29.50 N/A 31.00-32.00
2020-1 28.50-29.50 N/A 31.00-32.00
CNL--Cumulative net loss. N/A--Not applicable.

Table 10

California Republic Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2016-2 2.70-2.90 4.30-4.50 Up to 4.30
2017-1 3.00-3.20 4.30-4.50 4.15-4.25
2018-1 4.50-5.00 4.50-4.80 4.10-4.30
CNL--Cumulative net loss.

Table 11

Ally Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2017-3 0.95-1.05 0.95-1.05 Up to 1.00
2017-4 0.95-1.05 0.85-0.95 Up to 0.95
2018-3 0.95-1.05 0.95-1.05 0.95-1.05
2019-3 0.95-1.05 N/A 1.05-1.15
CNL--Cumulative net loss. N/A--Not applicable.

Table 12

Exeter Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2016-2 18.75-19.75 20.50-21.50 Up to 22.00
2016-3 18.50-19.50 20.50-21.50 Up to 21.00
2017-1 19.75-20.75 19.75-20.75 19.50-20.50
2017-2 20.10-21.10 20.10-21.10 20.50-21.50
2017-3 20.00-21.00 20.00-21.00 20.00-21.00
2018-1 20.00-21.00 20.00-21.00 20.25-21.25
2018-2 20.50-21.50 20.50-21.50 20.50-21.50
2019-1 20.50-21.50 N/A 22.25-23.25
2019-2 20.50-21.50 N/A 22.50-23.50
2019-3 20.50-21.50 N/A 22.75-23.75
2019-4 20.50-21.50 N/A 23.00-24.00
2020-1 20.50-21.50 N/A 23.00-24.00
CNL--Cumulative net loss. N/A--Not applicable.

Table 13

USAA Auto Owner Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2019-1 0.60-0.80 N/A 0.35-0.45
CNL--Cumulative net loss. N/A--Not applicable.

Table 14

American Credit Acceptance Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2019-4 27.25-28.25 N/A 28.00-29.00
2020-1 27.25-28.25 N/A 28.50-29.50
CNL--Cumulative net loss. N/A--Not applicable.

Table 15

Hyundai Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2017-B 1.65-1.85 1.40-1.60 1.15-1.35
2018-B 1.55-1.75 N/A 1.40-1.60
2019-A 1.45-1.65 N/A 1.60-1.80
CNL--Cumulative net loss. N/A--Not applicable.

Table 16

Flagship Credit Auto Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2019-3 12.25-12.75 N/A 13.75-14.25
2019-4 12.00-12.50 N/A 13.75-14.25
2020-1 12.00-12.50 N/A 13.75-14.25
CNL--Cumulative net loss. N/A--Not applicable.

Table 17

Sierra Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2016-1 19.00-20.00 24.25-25.25 Up to 25.75
CNL--Cumulative net loss.

Table 18

First Investors Auto Owner Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (revised Oct. 2020) (%)
2019-2 10.75-11.25 N/A 11.00-11.50
2020-1 10.75-11.25 N/A 11.00-11.50
CNL--Cumulative net loss. N/A--Not applicable.

Appendix I: ALSI Performance Data

Table 19

Prime Cumulative Net Losses (%)(i)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(ii) 2017(ii) 2018(ii) 2019(ii)
No. of deals 32 37 26 28 20 31 23 32 21 29 33 35 39
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 50.44
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 0.01
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 0.02
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 0.04
4 0.13 0.11 0.09 0.06 0.05 0.04 0.05 0.05 0.07 0.07 0.07 0.08 0.07
5 0.22 0.19 0.14 0.09 0.07 0.06 0.08 0.08 0.10 0.11 0.11 0.11 0.11
6 0.31 0.27 0.18 0.12 0.09 0.08 0.11 0.11 0.13 0.15 0.15 0.15 0.15
7 0.39 0.35 0.23 0.15 0.12 0.10 0.14 0.14 0.16 0.19 0.18 0.18 0.19
8 0.48 0.44 0.28 0.18 0.15 0.12 0.17 0.17 0.20 0.23 0.22 0.21 0.22
9 0.57 0.53 0.33 0.21 0.17 0.15 0.20 0.20 0.23 0.26 0.25 0.24 0.25
10 0.66 0.63 0.37 0.24 0.19 0.17 0.22 0.22 0.26 0.30 0.29 0.27 0.28
11 0.77 0.72 0.41 0.26 0.22 0.19 0.25 0.24 0.29 0.34 0.32 0.30 -
12 0.87 0.81 0.45 0.29 0.24 0.21 0.28 0.27 0.32 0.38 0.35 0.33 -
13 0.96 0.90 0.48 0.31 0.27 0.23 0.30 0.29 0.35 0.41 0.39 0.36 -
14 1.06 0.98 0.51 0.34 0.29 0.26 0.33 0.32 0.38 0.45 0.42 0.39 -
15 1.16 1.07 0.54 0.36 0.31 0.28 0.36 0.34 0.41 0.48 0.45 0.42 -
16 1.27 1.14 0.58 0.38 0.33 0.30 0.38 0.37 0.43 0.51 0.48 0.45 -
17 1.38 1.22 0.61 0.40 0.35 0.32 0.40 0.39 0.46 0.54 0.50 0.48 -
18 1.48 1.29 0.64 0.42 0.37 0.33 0.43 0.42 0.48 0.57 0.53 0.50 -
19 1.58 1.36 0.67 0.44 0.39 0.35 0.45 0.44 0.51 0.60 0.55 0.53 -
20 1.68 1.43 0.69 0.46 0.41 0.37 0.47 0.46 0.53 0.62 0.58 0.55 -
21 1.79 1.49 0.72 0.47 0.43 0.38 0.49 0.48 0.55 0.65 0.60 0.58 -
22 1.88 1.55 0.74 0.49 0.44 0.40 0.50 0.50 0.57 0.67 0.62 0.60 -
23 1.96 1.60 0.76 0.50 0.46 0.41 0.52 0.52 0.60 0.70 0.64 - -
24 2.03 1.65 0.77 0.51 0.47 0.43 0.54 0.54 0.62 0.72 0.66 - -
25 2.11 1.69 0.79 0.53 0.49 0.44 0.55 0.55 0.64 0.74 0.68 - -
26 2.17 1.73 0.80 0.54 0.50 0.45 0.57 0.57 0.65 0.76 0.70 - -
27 2.23 1.76 0.82 0.55 0.52 0.46 0.58 0.58 0.67 0.78 0.71 - -
28 2.30 1.79 0.83 0.56 0.53 0.47 0.59 0.60 0.69 0.80 0.73 - -
29 2.36 1.82 0.84 0.57 0.54 0.48 0.61 0.62 0.70 0.81 0.74 - -
30 2.41 1.85 0.85 0.57 0.55 0.49 0.62 0.63 0.72 0.83 0.76 - -
31 2.45 1.88 0.86 0.58 0.56 0.50 0.63 0.65 0.73 0.84 0.78 - -
32 2.48 1.91 0.87 0.59 0.57 0.50 0.64 0.66 0.74 0.85 0.79 - -
33 2.52 1.95 0.89 0.52 0.58 0.51 0.65 0.67 0.75 0.86 0.81 - -
34 2.55 1.97 0.90 0.53 0.59 0.52 0.66 0.68 0.76 0.87 0.82 - -
35 2.58 1.98 0.91 0.53 0.60 0.52 0.66 0.70 0.77 0.88 0.83 - -
36 2.60 2.01 0.92 0.54 0.61 0.53 0.67 0.71 0.77 0.89 - - -
37 - - - - - - 0.68 0.71 0.78 0.90 - - -
38 - - - - - - 0.68 0.72 0.79 0.92 - - -
39 - - - - - - 0.69 0.73 0.79 0.93 - - -
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 20

Subprime Cumulative Net Losses (%)
2007 2008 2009 2010 2011 2012(i) 2013 2014(ii) 2015 2016(iii) 2017 2018(iii)(iv) 2019
No. of deals 19 4 2 14 15 26 26 29 29 38 33 42 39
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 25.75
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
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 0.03
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 0.12
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 0.42
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 0.83
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 1.35
7 1.91 1.99 2.07 1.34 1.09 1.38 1.34 1.67 1.96 2.02 2.16 1.90 1.97
8 2.43 2.54 2.42 1.65 1.32 1.72 1.70 2.13 2.52 2.57 2.72 2.49 2.54
9 2.96 3.20 2.82 2.01 1.57 2.07 2.07 2.60 3.06 3.11 3.24 3.01 3.02
10 3.47 3.82 3.10 2.32 1.82 2.45 2.45 3.04 3.61 3.66 3.75 3.48 3.46
11 3.97 4.49 3.40 2.62 2.08 2.84 2.85 3.49 4.17 4.19 4.26 3.96 3.88
12 4.47 5.16 3.69 2.91 2.36 3.25 3.28 3.92 4.68 4.70 4.77 4.41 -
13 4.95 5.73 4.05 3.19 2.63 3.64 3.68 4.35 5.16 5.20 5.28 4.87 -
14 5.39 6.28 4.39 3.52 2.91 4.02 4.04 4.75 5.61 5.70 5.76 5.32 -
15 5.87 6.89 4.75 3.85 3.21 4.38 4.40 5.16 6.07 6.19 6.22 5.77 -
16 6.38 7.44 5.11 4.17 3.47 4.72 4.77 5.54 6.57 6.65 6.67 6.21 -
17 6.89 8.00 5.43 4.50 3.71 5.10 5.14 5.96 7.08 7.08 7.10 6.65 -
18 7.39 8.52 5.77 4.79 3.93 5.45 5.53 6.34 7.54 7.49 7.53 7.08 -
19 7.91 8.90 6.06 5.06 4.14 5.79 5.88 6.70 8.00 7.88 7.96 7.47 -
20 8.39 9.34 6.24 5.33 4.35 6.11 6.20 7.06 8.42 8.27 8.35 7.82 -
21 8.86 9.80 6.53 5.57 4.59 6.42 6.52 7.41 8.82 8.65 8.73 8.13 -
22 9.32 10.23 6.71 5.77 4.80 6.70 6.81 7.72 9.19 9.03 9.07 8.41 -
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 10.35 - -
27 11.21 12.07 7.69 6.80 5.86 7.99 8.06 9.20 10.77 10.68 10.64 - -
28 11.54 12.43 7.91 7.01 6.06 8.14 8.29 9.44 11.06 10.97 10.92 - -
29 11.88 12.73 8.07 7.21 6.08 8.36 8.53 9.56 11.35 11.26 11.19 - -
30 12.19 13.04 8.24 7.37 6.22 8.35 8.79 9.81 11.51 11.45 11.45 - -
31 12.50 13.28 8.41 7.58 6.36 8.57 8.93 10.04 11.77 11.54 11.64 - -
32 12.77 13.52 8.55 7.72 6.49 8.77 9.16 10.24 12.03 11.81 11.87 - -
33 12.96 13.75 8.71 7.78 6.61 8.95 9.38 10.46 12.26 12.07 12.09 - -
34 13.19 13.98 8.82 7.95 6.58 8.61 9.60 10.67 12.48 12.32 12.28 - -
35 13.38 14.22 8.88 8.10 6.71 8.77 9.80 10.92 12.70 12.54 12.40 - -
36 13.59 14.42 8.97 8.25 6.84 8.92 9.98 11.13 12.91 12.77 - - -
37 13.76 14.61 9.05 8.38 6.99 9.07 10.16 11.31 13.10 12.97 - - -
38 13.92 14.78 9.13 8.54 7.11 9.21 10.32 11.50 13.31 13.17 - - -
39 14.08 14.96 9.22 8.67 7.24 9.36 10.50 11.67 13.49 13.36 - - -
40 14.23 15.12 9.33 8.78 7.37 9.50 10.66 11.60 13.70 13.54 - - -
41 14.39 15.27 9.44 8.92 7.44 9.64 10.82 11.10 13.90 13.73 - - -
42 14.53 15.39 9.50 9.05 7.53 9.77 10.98 11.21 14.10 13.90 - - -
43 14.67 15.48 9.85 9.16 7.59 9.91 11.16 11.09 13.70 14.06 - - -
(i)CNL declined in month 34 as two transactions with relatively high losses paid off in month 33. (ii)CNL declined in months 40 and 41 as some high loss 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.'

Table 21

Modified Subprime Cumulative Net Losses (%)
2013 2014 2015 2016(i) 2017 2018(ii) 2019
Initial collateral balance (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Month
1 0.01 0.01 0.01 0.01 0.01 0.01 0.01
2 0.03 0.03 0.03 0.06 0.08 0.04 0.03
3 0.09 0.11 0.13 0.20 0.23 0.16 0.13
4 0.36 0.31 0.33 0.48 0.51 0.39 0.38
5 0.65 0.59 0.60 0.79 0.82 0.68 0.69
6 0.83 0.91 0.93 1.16 1.21 1.02 1.04
7 1.12 1.27 1.31 1.56 1.66 1.46 1.47
8 1.45 1.62 1.70 1.98 2.05 1.89 1.88
9 1.79 2.01 2.09 2.39 2.42 2.26 2.24
10 2.14 2.39 2.50 2.79 2.79 2.62 2.56
11 2.51 2.77 2.91 3.19 3.15 2.98 2.88
12 2.92 3.15 3.30 3.59 3.52 3.34 -
13 3.30 3.52 3.67 3.99 3.89 3.69 -
14 3.63 3.88 4.01 4.40 4.23 4.05 -
15 3.95 4.23 4.36 4.80 4.56 4.40 -
16 4.29 4.56 4.72 5.16 4.91 4.77 -
17 4.62 4.94 5.10 5.52 5.23 5.10 -
18 4.97 5.27 5.43 5.87 5.58 5.44 -
19 5.32 5.58 5.78 6.19 5.91 5.76 -
20 5.62 5.91 6.10 6.52 6.21 6.04 -
21 5.93 6.21 6.39 6.82 6.50 6.30 -
22 6.20 6.48 6.69 7.13 6.76 6.54 -
23 6.45 6.75 6.98 7.42 7.03 6.73 -
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 7.76 - -
27 7.36 7.79 7.95 8.52 7.99 - -
28 7.57 8.02 8.17 8.76 8.22 - -
29 7.80 8.05 8.40 9.01 8.43 - -
30 8.04 8.26 8.37 9.11 8.64 - -
31 8.15 8.46 8.57 9.05 8.68 - -
32 8.38 8.58 8.77 9.26 8.87 - -
33 8.60 8.78 8.96 9.47 9.05 - -
34 8.82 8.96 9.15 9.67 9.21 - -
35 9.01 9.12 9.33 9.86 - - -
36 9.18 9.31 9.39 10.05 - - -
37 9.35 9.49 9.56 10.22 - - -
38 9.51 9.66 9.71 10.39 - - -
39 9.68 9.82 9.86 10.56 - - -
40 9.84 9.97 9.90 10.70 - - -
41 9.98 10.12 9.91 10.79 - - -
42 10.14 10.18 10.05 10.82 - - -
43 10.31 10.32 10.19 10.82 - - -
44 - - - 10.95 - - -
45 - - - 11.06 - - -
46 - - - 11.17 - - -
47 - - - 10.11 - - -
(i)Includes SDART 2016-1, 2016-2, 2016-3, not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

Table 22

Prime 60-Plus Day Delinquencies (%)(i)

2007

2008 2009 2010 2011 2012 2013 2014 2015 2016(ii) 2017(ii) 2018(ii) 2019 (ii)
No. of deals 32 37 26 28 20 31 23 32 21 29 33 35 39
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 50.44
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 0.05
2 0.21 0.15 0.12 0.07 0.07 0.06 0.08 0.09 0.10 0.11 0.10 0.11 0.11
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 0.16
4 0.36 0.25 0.21 0.13 0.12 0.12 0.18 0.15 0.19 0.20 0.19 0.17 0.19
5 0.38 0.30 0.24 0.15 0.13 0.14 0.20 0.18 0.21 0.23 0.22 0.20 0.22
6 0.39 0.33 0.25 0.16 0.16 0.15 0.22 0.20 0.22 0.24 0.23 0.22 0.24
7 0.38 0.35 0.26 0.18 0.17 0.17 0.24 0.22 0.24 0.26 0.26 0.23 0.26
8 0.41 0.41 0.29 0.18 0.19 0.19 0.25 0.24 0.27 0.28 0.26 0.26 0.27
9 0.43 0.43 0.31 0.20 0.19 0.21 0.27 0.25 0.30 0.31 0.28 0.26 0.29
10 0.44 0.43 0.32 0.21 0.23 0.23 0.29 0.26 0.31 0.33 0.32 0.28 0.30
11 0.48 0.45 0.33 0.22 0.26 0.26 0.32 0.26 0.33 0.34 0.33 0.30 -
12 0.53 0.50 0.33 0.25 0.26 0.27 0.34 0.28 0.34 0.35 0.33 0.32 -
13 0.54 0.52 0.37 0.26 0.26 0.28 0.35 0.31 0.37 0.36 0.34 0.35 -
14 0.59 0.54 0.39 0.26 0.26 0.29 0.38 0.32 0.37 0.37 0.37 0.36 -
15 0.65 0.57 0.40 0.28 0.28 0.32 0.40 0.35 0.38 0.39 0.38 0.37 -
16 0.69 0.60 0.43 0.31 0.30 0.34 0.42 0.38 0.42 0.41 0.39 0.37 -
17 0.72 0.62 0.44 0.31 0.33 0.35 0.46 0.37 0.44 0.44 0.41 0.38 -
18 0.74 0.64 0.46 0.32 0.33 0.35 0.45 0.39 0.44 0.44 0.42 0.42 -
19 0.78 0.66 0.48 0.33 0.35 0.37 0.46 0.40 0.45 0.44 0.42 0.42 -
20 0.82 0.70 0.50 0.35 0.37 0.37 0.50 0.44 0.49 0.45 0.42 0.41 -
21 0.86 0.66 0.52 0.35 0.38 0.41 0.49 0.45 0.51 0.45 0.43 0.43 -
22 0.87 0.65 0.55 0.38 0.42 0.45 0.51 0.43 0.52 0.49 0.45 0.40 -
23 0.86 0.66 0.55 0.40 0.44 0.47 0.56 0.45 0.55 0.51 0.46 - -
24 0.91 0.69 0.55 0.42 0.46 0.47 0.58 0.45 0.55 0.50 0.46 - -
25 0.91 0.71 0.58 0.43 0.46 0.46 0.60 0.48 0.55 0.50 0.47 - -
26 0.95 0.71 0.60 0.44 0.46 0.48 0.62 0.49 0.59 0.51 0.48 - -
27 0.99 0.75 0.64 0.48 0.47 0.51 0.65 0.52 0.60 0.52 0.48 - -
28 1.02 0.76 0.66 0.49 0.51 0.54 0.73 0.55 0.67 0.56 0.51 - -
29 1.03 0.80 0.66 0.51 0.52 0.54 0.74 0.56 0.68 0.58 0.53 - -
30 0.98 0.83 0.69 0.52 0.48 0.55 0.72 0.57 0.66 0.56 0.55 - -
31 1.00 0.86 0.73 0.55 0.55 0.56 0.77 0.58 0.68 0.57 0.55 - -
32 1.03 0.89 0.63 0.53 0.58 0.57 0.78 0.59 0.70 0.58 0.55 - -
33 1.05 0.91 0.69 0.57 0.62 0.62 0.79 0.62 0.72 0.60 0.56 - -
34 1.06 0.89 0.70 0.59 0.66 0.64 0.80 0.63 0.75 0.64 0.55 - -
35 1.05 0.92 0.72 0.63 0.68 0.67 0.86 0.63 0.77 0.64 0.54 - -
36 1.12 0.87 0.72 0.67 0.65 0.66 0.87 0.65 0.78 0.64 - - -
37 - - - - - - 0.90 0.69 0.78 0.64 - - -
38 - - - - - - 0.93 0.68 0.81 0.68 - - -
39 - - - - - - 0.96 0.72 0.74 0.71 - - -
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 23

Subprime 60-Plus Day Delinquencies (%)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(i) 2017 2018(ii) 2019
No. of deals 19 4 2 14 15 26 26 29 29 38 33 42 39
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 25.75
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 0.10
2 0.64 0.69 1.22 1.07 0.54 0.67 0.61 0.89

1.07

1.09 1.30 1.04 0.84
3 1.42 1.51 1.42 1.74 1.04 1.47 1.47 1.78

2.29

2.06 2.72 2.53 2.06
4 2.09 1.82 1.51 1.86 1.25 1.97 2.08 2.29

2.97

2.64 3.44 3.31 2.84
5 2.44 1.85 1.64 1.97 1.36 2.33 2.49 2.59 3.20 2.91 3.70 3.53 3.27
6 2.61 1.87 1.68 2.10 1.24 2.37 2.58 2.87 3.24 3.04 3.68 3.67 3.55
7 2.82 2.24 2.07 2.38 1.32 2.24 2.47 3.03 3.36 3.29 3.61 3.77 3.64
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 3.61
9 3.03 2.79 1.04 2.61 1.72 2.62 2.92 3.46 3.99 3.78 3.91 3.95 3.61
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 3.62
11 3.25 2.57 1.52 2.50 2.04 3.34 3.45 3.83 4.37 4.00 4.58 4.33 3.74
12 3.32 2.45 1.76 2.75 2.14 3.47 3.58 4.01 4.30 4.16 4.90 4.54 -
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 5.09 -
15 4.00 2.84 1.75 3.52 2.56 3.71 3.94 4.58 5.14 4.49 5.18 5.16 -
16 4.15 2.82 1.74 3.58 2.58 3.88 4.30 4.75 5.44 4.79 5.34 5.29 -
17 4.37 2.30 1.86 3.64 2.49 4.14 4.53 4.79 5.54 4.70 5.49 5.37 -
18 4.45 2.25 1.88 3.73 2.35 4.13 4.52 4.85 5.57 4.79 5.62 5.35 -
19 4.55 2.42 2.47 3.94 2.40 4.16 4.47 4.80 5.49 4.88 5.72 5.33 -
20 4.47 2.64 1.56 4.04 2.57 4.19 4.47 4.89 5.54 4.93 5.82 5.15 -
21 4.66 2.82 1.23 4.03 2.80 4.28 4.57 5.00 5.69 5.09 5.83 5.00 -
22 4.74 2.53 1.26 3.92 3.00 4.46 4.62 5.03 5.74 5.28 5.89 4.80 -
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 6.16 - -
27 4.62 2.60 1.72 5.00 3.43 4.64 5.00 5.50 6.13 5.39 6.21 - -
28 4.77 2.70 1.70 5.10 3.29 4.84 5.26 5.55 6.31 5.40 6.31 - -
29 4.93 2.04 2.00 5.29 3.21 4.90 5.53 5.80 6.26 5.38 6.40 - -
30 4.80 1.99 1.96 5.40 2.90 5.05 5.58 5.84 6.44 5.28 6.48 - -
31 4.82 2.20 2.69 5.56 2.84 5.18 5.63 5.87 6.31 5.67 6.60 - -
32 4.73 2.41 1.60 5.66 3.14 5.24 5.70 6.18 6.24 5.83 6.42 - -
33 4.69 2.83 1.25 5.65 3.48 4.98 5.96 6.24 6.32 6.11 6.18 - -
34 4.73 2.48 1.30 5.57 3.66 5.23 5.92 6.27 6.52 6.08 5.94 - -
35 4.49 2.26 1.68 5.67 3.64 5.31 5.96 6.51 6.51 6.05 5.73 - -
36 4.41 2.12 1.81 5.99 3.73 5.47 5.86 6.56 6.50 6.05 - - -
37 4.34 2.29 2.02 6.46 3.77 5.55 6.17 6.57 6.51 6.22 - - -
38 4.30 2.31 2.90 6.67 3.79 5.74 6.36 6.62 6.60 6.31 - - -
39 4.40 2.69 2.48 6.70 3.97 5.99 6.57 6.69 6.81 6.35 - - -
40 4.52 2.80 2.17 6.76 4.03 5.90 6.89 6.61 7.23 6.41 - - -
41 4.71 1.97 2.24 7.10 4.04 6.12 7.16 7.14 7.57 6.66 - - -
42 4.62 2.03 2.09 6.96 3.62 6.23 7.30 7.01 7.22 6.68 - - -
43 4.76 2.28 3.12 7.32 3.53 6.31 7.21 7.07 7.47 6.68 - - -
(i)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

Table 24

Modified Subprime 60-Plus Day Delinquencies (%)
2013 2014 2015 2016(i) 2017 2018(ii) 2019
Initial collateral balance (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Month
1 0.02 0.05 0.04 0.10 0.24 0.17 0.11
2 0.49 0.66 0.62 0.77 0.88 0.76 0.61
3 1.27 1.36 1.34 1.36 1.69 1.59 1.31
4 1.81 1.69 1.76 1.79 2.08 2.07 1.74
5 2.16 1.85 1.95 2.03 2.22 2.21 2.02
6 2.23 2.00 2.07 2.15 2.31 2.32 2.14
7 2.11 2.14 2.09 2.30 2.32 2.45 2.18
8 2.19 2.39 2.30 2.41 2.28 2.56 2.29
9 2.49 2.61 2.54 2.55 2.46 2.68 2.32
10 2.85 2.73 2.89 2.75 2.64 2.84 2.33
11 3.06 2.93 2.91 2.85 2.90 2.94 2.47
12 3.12 3.08 2.91 2.95 3.18 3.12 -
13 3.14 3.25 2.99 3.12 3.23 3.28 -
14 3.19 3.31 3.13 3.05 3.19 3.55 -
15 3.30 3.64 3.38 3.13 3.34 3.57 -
16 3.63 3.80 3.55 3.51 3.43 3.61 -
17 3.89 3.85 3.59 3.47 3.56 3.68 -
18 4.01 3.88 3.65 3.59 3.75 3.74 -
19 3.99 3.80 3.60 3.59 3.84 3.79 -
20 3.95 3.84 3.60 3.56 3.89 3.72 -
21 3.99 3.96 3.75 3.72 3.87 3.58 -
22 4.09 3.96 3.92 3.96 3.98 3.47 -
23 4.09 4.07 3.86 3.88 4.07 3.34 -
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 4.26 - -
27 4.33 4.37 4.10 4.02 4.24 - -
28 4.57 4.36 4.21 4.09 4.28 - -
29 4.81 4.57 4.11 4.07 4.47 - -
30 4.96 4.61 4.40 3.89 4.51 - -
31 5.07 4.55 4.26 4.18 4.71 - -
32 5.12 4.77 4.15 4.23 4.73 - -
33 5.34 4.90 4.28 4.51 4.54 - -
34 5.31 4.92 4.70 4.55 4.28 - -
35 5.34 5.15 4.68 4.62 - - -
36 5.19 5.18 4.58 4.62 - - -
37 5.49 5.21 4.53 4.81 - - -
38 5.61 5.27 4.59 4.84 - - -
39 5.76 5.48 4.54 4.85 - - -
40 6.00 5.63 4.83 5.00 - - -
41 6.32 5.94 5.05 5.18 - - -
42 6.52 5.92 5.24 5.40 - - -
43 6.47 5.70 5.21 5.63 - - -
(i)Includes SDART not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit not rated by S&P Global Ratings.

Table 25

Prime Cumulative Recoveries (%)(i)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(ii) 2017(ii) 2018(ii) 2019(ii)
No. of deals 32 37 26 28 20 31 23 32 21 29 33 35 39
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 50.44
Month
1 29.50 -2.06 23.32 19.68 21.47 20.28 18.61 31.98 26.35 25.57 16.46 26.79 34.50
2 47.93 43.02 40.43 47.24 65.16 59.19 57.05 54.08 40.70 43.19 41.64 49.05 44.19
3 47.02 41.67 42.50 48.71 63.52 56.24 53.60 54.69 39.78 42.03 42.47 47.11 47.24
4 44.91 40.73 42.09 48.33 60.04 54.66 47.95 50.42 41.08 39.93 41.61 44.96 44.77
5 45.01 41.42 44.01 48.39 60.63 55.15 46.94 50.07 42.86 41.09 42.14 46.65 43.77
6 45.39 41.72 46.10 50.04 60.98 56.11 48.71 50.38 43.52 42.71 43.46 47.22 43.66
7 45.92 42.13 47.29 51.74 61.48 56.68 49.14 52.08 44.53 44.07 44.74 48.14 44.21
8 46.76 42.85 48.22 52.86 61.96 57.18 51.82 52.89 45.68 45.80 45.71 49.08 45.58
9 46.85 43.53 49.09 54.60 62.30 56.80 53.33 53.37 47.04 46.85 46.86 49.77 46.36
10 46.78 44.19 49.84 55.52 62.95 56.76 53.60 53.88 47.38 47.08 47.48 50.24 47.96
11 46.56 44.99 50.88 56.31 63.01 57.42 54.19 54.71 47.57 47.94 48.63 50.75 -
12 46.60 45.26 51.66 57.02 63.29 57.98 54.79 55.30 48.51 48.28 49.22 51.41 -
13 46.60 45.79 52.29 57.84 63.54 58.55 54.89 56.05 49.68 49.01 49.57 51.83 -
14 46.55 46.48 52.97 58.10 64.16 58.60 54.94 56.21 50.05 49.64 49.98 52.11 -
15 46.34 47.11 53.61 58.77 64.35 58.85 55.21 56.22 50.34 50.27 50.61 52.42 -
16 46.28 47.66 54.07 59.25 64.55 59.19 55.55 56.48 50.95 50.25 50.96 52.45 -
17 46.16 48.18 54.70 59.83 64.73 59.23 55.70 56.73 51.38 50.66 51.49 52.69 -
18 46.26 48.71 55.17 60.24 64.53 59.45 55.73 56.79 51.70 50.62 51.90 52.90 -
19 46.33 49.10 55.65 60.93 64.42 59.81 55.97 56.84 51.84 51.04 52.24 52.96 -
20 46.59 49.47 56.09 61.35 64.75 59.98 56.51 56.96 52.19 51.48 52.66 53.02 -
21 46.68 49.90 56.45 61.72 65.07 60.09 56.81 57.03 52.26 51.77 52.87 53.08 -
22 46.94 50.36 56.99 61.92 65.23 60.42 57.17 57.22 52.61 52.00 53.09 53.08 -
23 47.09 50.69 57.43 62.29 65.24 60.56 57.23 57.44 52.70 52.19 53.24 - -
24 47.42 51.11 58.01 62.61 65.43 60.57 57.45 57.63 52.86 52.32 53.41 - -
25 47.70 51.48 58.47 62.81 65.61 60.77 57.42 58.02 53.21 52.60 53.57 - -
26 47.99 51.86 58.82 63.14 65.61 60.97 57.66 58.23 53.48 52.77 53.80 - -
27 48.27 52.25 59.11 63.35 65.67 61.26 58.02 58.47 53.52 53.09 54.02 - -
28 48.50 52.56 59.44 63.71 65.84 61.47 58.17 58.64 53.80 53.27 54.26 - -
29 48.76 52.83 59.74 63.90 66.03 61.69 58.18 58.74 53.95 53.46 54.49 - -
30 49.00 53.12 60.09 64.11 66.12 61.88 58.38 58.84 54.20 53.69 54.46 - -
31 49.39 53.39 60.47 64.33 66.38 62.19 58.55 58.95 54.34 53.88 54.62 - -
32 49.74 53.67 60.84 64.40 66.49 62.39 58.87 59.14 54.63 54.21 54.68 - -
33 50.00 53.80 61.06 65.35 66.55 62.71 59.05 59.18 54.91 54.47 54.72 - -
34 50.28 54.07 61.23 65.65 66.71 62.79 59.50 59.20 55.25 54.70 54.77 - -
35 50.51 54.34 61.51 65.95 66.75 62.96 59.61 59.29 55.66 54.83 54.90 - -
36 50.73 54.56 61.61 66.11 66.85 63.12 59.85 59.52 56.00 55.03 - - -
37 - - - - - - 59.98 59.72 56.35 55.25 - - -
38 - - - - - - 60.22 59.85 56.61 55.51 - - -
39 - - - - - - 60.74 60.10 56.87 55.71 - - -
(i)Starting this month, for the recent vintages (2013 onwards), we have extended the performance data to 39 months to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 26

Subprime Cumulative Recoveries (%)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(i) 2017

2018(ii)

2019
No. of deals 19 4 2 14 15 26 26 29 29 38 33 42 39
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 25.75
Month
1 50.45 4.68 26.37 13.24 38.17 34.26 48.95 26.51 19.69 15.31 (68.84) (30.46) (10.12)
2 52.67 16.20 33.03 40.00 48.39 49.13 50.63 44.56 42.02 31.03 27.83 36.07 37.34
3 46.95 29.34 37.37 41.47 47.18 52.07 55.86 45.53 43.70 36.43 33.14 40.51 39.50
4 38.89 27.91 35.33 35.15 42.05 42.02 42.71 38.13 37.37 33.69 29.36 36.63 33.99
5 36.34 28.40 35.45 37.94 42.98 41.06 42.01 37.93 36.74 33.14 30.12 37.59 34.14
6 35.89 31.83 34.81 38.97 44.45 43.35 45.07 38.11 36.19 33.10 31.12 37.14 34.17
7 36.19 32.88 35.59 39.61 45.43 44.30 45.17 38.54 36.08 33.42 31.38 36.10 33.26
8 36.63 32.92 36.98 40.39 45.82 44.39 45.00 39.35 36.71 34.28 32.76 36.08 33.65
9 36.59 33.43 38.30 40.34 45.82 44.24 44.87 40.07 37.59 34.93 33.89 37.21 34.79
10 37.35 33.91 39.23 41.16 45.64 44.21 44.88 40.84 38.47 35.49 34.95 38.37 35.66
11 37.65 34.37 39.72 42.06 45.70 43.96 45.01 41.31 39.06 36.15 35.81 39.08 36.41
12 37.83 34.69 40.13 42.55 45.90 43.85 44.95 41.62 39.64 36.59 36.41 39.88 -
13 38.19 35.11 39.93 42.96 46.14 44.19 45.17 42.03 40.32 36.96 37.06 40.16 -
14 38.40 35.30 40.10 43.14 46.16 44.42 45.56 42.36 40.82 37.36 37.60 40.58 -
15 38.47 35.64 40.15 43.33 46.12 44.69 45.88 42.70 41.22 37.65 38.14 40.97 -
16 38.35 35.95 40.70 43.63 46.41 45.00 46.05 42.98 41.28 37.84 38.57 41.20 -
17 38.27 36.44 40.81 43.76 46.81 45.04 46.08 43.02 41.35 38.19 39.01 41.38 -
18 38.16 36.70 40.95 44.05 47.14 45.32 46.09 43.18 41.54 38.39 39.30 41.38 -
19 37.99 36.91 40.97 44.45 47.36 45.45 46.14 43.34 41.59 38.66 39.54 41.43 -
20 37.93 37.02 41.29 44.79 47.45 45.62 46.34 43.41 41.72 38.84 39.88 41.52 -
21 37.81 37.20 41.68 45.16 47.46 45.73 46.46 43.46 41.88 38.95 40.18 41.69 -
22 37.72 37.29 42.01 45.63 47.53 45.84 46.65 43.59 41.96 39.04 40.49 41.85 -
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 41.20 - -
27 38.23 38.01 42.68 46.60 47.82 47.13 47.84 43.79 42.45 39.53 41.37 - -
28 38.31 38.06 42.66 46.73 47.85 47.36 47.97 43.89 42.46 39.62 41.47 - -
29 38.38 38.21 42.78 46.80 47.99 47.41 47.92 44.03 42.48 39.66 41.52 - -
30 38.49 38.38 42.85 47.11 48.18 47.67 47.85 44.04 42.68 39.86 41.57 - -
31 38.58 38.45 42.90 47.40 48.31 47.63 47.93 44.06 42.67 40.13 41.71 - -
32 38.79 38.54 43.03 47.68 48.44 47.66 47.90 44.24 42.66 40.18 41.71 - -
33 38.98 38.59 43.16 48.11 48.52 47.76 47.84 44.23 42.67 40.20 41.72 - -
34 39.07 38.62 43.26 48.17 49.68 48.08 47.76 44.21 42.67 40.25 41.75 - -
35 39.20 38.75 43.50 48.19 49.72 48.18 47.73 44.40 42.67 40.32 41.84 - -
36 39.33 38.86 43.59 48.22 49.72 48.23 47.74 44.33 42.87 40.33 - - -
37 39.49 38.94 43.69 48.27 49.68 48.24 47.73 44.33 42.91 40.34 - - -
38 39.63 39.01 43.77 48.22 49.70 48.34 47.72 44.26 42.92 40.34 - - -
39 39.74 39.06 43.81 48.29 49.70 48.28 47.68 44.24 43.09 40.35 - - -
40 39.95 39.14 43.85 48.39 49.72 48.38 47.04 44.33 43.11 40.38 - - -
41 40.04 39.24 43.88 48.38 49.85 48.37 47.60 44.58 43.29 40.50 - - -
42 40.13 39.35 43.95 48.38 49.90 48.37 47.53 44.68 43.25 40.67 - - -
43 40.21 39.48 44.88 48.38 50.22 48.34 47.42 44.76 43.49 40.90 - - -
(i)Includes SDART deals we didn't rate. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

Table 27

Modified Subprime Cumulative Recoveries (%)
2013 2014 2015 2016(i) 2017

2018(ii)

2019
Initial collateral balance (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Month
1 52.58 31.78 22.06 20.47

(15.08)

(18.61)

(12.03)

2 49.83 42.50 36.30 31.46 25.45 30.90 33.47
3 56.60 45.31 42.20 37.07 30.51 36.03 36.70
4 42.89 38.14 38.91 36.12 29.05 34.18 32.88
5 42.25 38.28 38.71 34.80 30.59 36.07 33.69
6 45.70 38.39 38.07 34.61 31.56 36.98 34.28
7 45.70 38.77 37.52 34.81 32.01 36.18 34.00
8 45.42 39.67 37.83 35.59 33.68 36.14 34.48
9 45.19 40.41 38.53 36.16 34.83 37.18 35.43
10 45.13 41.17 39.30 36.67 35.84 38.24 36.29
11 45.22 41.63 39.80 37.21 36.59 38.75 36.95
12 45.14 41.94 40.16 37.55 37.12 39.56 -
13 45.37 42.33 40.72 37.82 37.67 39.63 -
14 45.81 42.64 41.14 38.09 38.18 39.98 -
15 46.20 42.97 41.51 38.36 38.66 40.38 -
16 46.39 43.25 41.54 38.50 39.00 40.56 -
17 46.46 43.27 41.62 38.68 39.45 40.80 -
18 46.47 43.45 41.90 38.82 39.68 40.81 -
19 46.48 43.65 41.93 39.04 39.87 40.81 -
20 46.65 43.72 42.07 39.19 40.12 40.93 -
21 46.78 43.79 42.23 39.30 40.44 41.03 -
22 46.97 43.97 42.25 39.37 40.72 41.24 -
23 47.16 44.07 42.28 39.52 40.88 41.50 -
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 41.32 - -
27 48.31 44.24 42.59 39.77 41.47 - -
28 48.45 44.34 42.56 39.85 41.54 - -
29 48.41 44.55 42.59 39.86 41.58 - -
30 48.34 44.62 42.92 40.10 41.59 - -
31 48.45 44.66 42.91 40.47 41.87 - -
32 48.41 44.94 42.89 40.54 41.84 - -
33 48.33 44.91 42.88 40.58 41.81 - -
34 48.24 44.94 42.85 40.65 41.84 - -
35 48.22 45.22 42.83 40.71 - - -
36 48.23 45.16 43.12 40.74 - - -
37 48.21 45.12 43.16 40.74 - - -
38 48.22 45.06 43.19 40.73 - - -
39 48.20 45.05 43.47 40.75 - - -
40 47.49 45.03 43.53 40.77 - - -
41 48.12 44.98 43.86 40.95 - - -
42 48.06 45.11 43.84 41.24 - - -
43 47.95 45.09 43.85 41.58 - - -
(i)Includes SDART deals we didn't rate. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

Appendix II: Subprime Extensions

Table 28

Subprime Extensions
Extension (%) Current pool factor (%)
Deals Feb-20 Mar-20 April-20 May-20 June-20 July-20 Aug-20 Sep-20 Sep-20
American Credit Acceptance Receivables Trust 2016-4(i) 3.87 4.24 5.66 4.83 3.42 3.22 2.74 2.32 0.00
American Credit Acceptance Receivables Trust 2017-1 3.73 4.69 6.25 5.19 3.66 3.19 3.33 2.41 17.10
American Credit Acceptance Receivables Trust 2017-2 4.37 4.86 6.54 4.51 3.97 2.81 2.64 3.06 18.90
American Credit Acceptance Receivables Trust 2017-3 3.54 5.05 6.82 4.77 3.38 3.24 2.81 2.73 18.95
American Credit Acceptance Receivables Trust 2017-4 3.91 4.31 6.02 4.95 3.64 3.28 2.67 2.77 25.96
American Credit Acceptance Receivables Trust 2018-1 3.28 4.28 6.47 5.28 3.94 3.19 2.73 3.21 31.45
American Credit Acceptance Receivables Trust 2018-2 3.86 5.34 5.45 5.09 3.94 3.46 2.65 3.00 39.31
American Credit Acceptance Receivables Trust 2018-3 3.34 4.44 6.04 5.05 3.84 3.69 2.45 2.77 40.85
American Credit Acceptance Receivables Trust 2018-4 3.79 3.99 5.83 5.31 4.38 3.46 2.56 2.68 47.30
American Credit Acceptance Receivables Trust 2019-1 3.70 4.99 5.88 5.05 4.41 3.67 2.63 2.96 56.18
American Credit Acceptance Receivables Trust 2019-2 3.29 3.75 5.59 5.04 4.19 3.65 2.99 2.77 59.63
American Credit Acceptance Receivables Trust 2019-3 3.91 4.60 5.80 4.72 4.13 3.70 3.00 2.85 68.90
American Credit Acceptance Receivables Trust 2019-4 1.09 2.94 4.88 4.68 4.02 3.36 2.61 2.67 76.18
American Credit Acceptance Receivables Trust 2020-1 0.16 0.79 2.21 2.80 3.27 2.97 2.17 2.61 84.69
American Credit Acceptance Receivables Trust 2020-2 N/A N/A N/A 0.74 1.42 2.04 1.82 2.33 91.63
American Credit Acceptance Receivables Trust 2020-3 N/A N/A N/A N/A N/A N/A 0.08 0.53 97.39
Americredit Automobie Receivables Trust2016-1 2.36 3.07 4.34 2.27 1.87 1.91 1.61 0.00 0.00
Americredit Automobie Receivables Trust2016-2 2.71 3.38 4.74 2.55 2.05 2.10 2.11 2.15 9.92
Americredit Automobie Receivables Trust2016-3 2.48 3.70 5.38 2.72 2.26 2.23 2.15 2.38 13.82
Americredit Automobie Receivables Trust2016-4 2.73 3.97 5.23 3.05 2.40 2.59 2.18 2.43 16.20
Americredit Automobie Receivables Trust2017-1 2.89 4.10 5.67 3.01 2.67 2.42 2.35 2.52 19.35
Americredit Automobie Receivables Trust2017-4 3.02 4.37 6.64 3.60 3.08 2.98 3.01 3.03 29.98
Americredit Automobie Receivables Trust2018-1 2.81 4.35 6.63 3.66 3.07 3.05 2.72 2.94 38.94
Americredit Automobie Receivables Trust2019-1 2.17 4.18 7.19 3.94 3.20 3.11 2.86 3.11 55.43
Americredit Automobie Receivables Trust2019-3 3.37 4.49 7.47 3.75 2.74 2.51 2.41 2.80 68.76
Americredit Automobie Receivables Trust2020-2 N/A N/A N/A N/A N/A 1.76 2.17 2.65 90.63
Avid Automobie Receivables Trust 2018-1 1.87 1.88 1.96 18.14 1.96 1.66 1.82 1.86 22.63
Avid Automobie Receivables Trust 2019-1 3.16 3.57 3.12

13.24

3.60 3.88 4.05 4.28 75.78
Carnow Auto Receivables Trust 2017-1 1.73 1.11 0.93 0.46 0.37 0.37 0.28 0.80 14.33
CPS Auto Receivables Trust2015-B 2.53 3.83 7.11 3.49 1.57 1.43 1.69 1.24 8.83
CPS Auto Receivables Trust2015-C 2.24 4.66 6.69 4.08 1.69 1.63 1.79 2.05 11.20
CPS Auto Receivables Trust2016-A 2.95 4.58 7.73 4.24 2.13 1.77 1.76 2.28 12.33
CPS Auto Receivables Trust2016-B 3.49 5.85 7.34 5.19 1.98 2.19 2.33 2.87 15.67
CPS Auto Receivables Trust2016-C 3.40 5.58 8.71 4.44 2.84 2.23 2.68 2.85 16.88
CPS Auto Receivables Trust2016-D 3.71 5.31 9.46 5.62 3.08 2.46 3.15 3.39 21.13
CPS Auto Receivables Trust2017-A 3.86 6.61 9.73 7.18 3.58 3.04 3.73 3.91 23.53
CPS Auto Receivables Trust2017-B 4.07 5.55 10.69 6.53 3.34 3.14 3.92 4.27 26.57
CPS Auto Receivables Trust2017-C 4.25 6.03 10.11 6.72 3.98 3.18 4.34 4.40 27.56
CPS Auto Receivables Trust2017-D 3.77 6.99 9.74 6.21 3.46 3.32 3.91 4.15 32.77
CPS Auto Receivables Trust2018-A 4.21 6.22 10.04 6.74 3.77 3.81 4.34 4.24 36.64
CPS Auto Receivables Trust2018-B 4.23 6.69 9.84 6.87 3.96 3.02 3.96 4.41 41.11
CPS Auto Receivables Trust2018-C 4.39 6.79 10.23 6.03 3.36 3.36 3.65 4.57 41.10
CPS Auto Receivables Trust2018-D 4.85 7.26 10.62 6.67 3.87 3.18 3.84 4.61 47.69
CPS Auto Receivables Trust2019-A 3.95 6.96 11.50 7.69 4.16 3.42 4.04 4.68 55.83
CPS Auto Receivables Trust2019-B 3.65 5.87 10.57 7.26 3.95 3.22 4.20 5.10 62.59
CPS Auto Receivables Trust2019-C 4.95 7.81 10.94 6.82 3.30 3.36 3.86 4.91 68.74
CPS Auto Receivables Trust2019-D 1.53 4.69 11.61 7.40 4.27 3.48 3.79 4.92 77.19
CPS Auto Receivables Trust2020-B N/A N/A N/A N/A 0.72 0.92 2.04 4.02 91.92
Exeter Automobile Receivables Trust 2016-1 2.65 4.90 12.85 8.93 5.68 3.79 3.94 4.42 9.59
Exeter Automobile Receivables Trust 2016-2 2.90 4.27 13.28 8.98 5.02 4.45 3.90 4.62 11.37
Exeter Automobile Receivables Trust 2016-3 3.54 4.77 13.17 9.11 5.52 3.97 4.48 4.79 15.07
Exeter Automobile Receivables Trust 2017-1 3.79 5.37 13.24 8.85 5.19 4.08 4.90 5.29 18.55
Exeter Automobile Receivables Trust 2017-2 3.72 5.02 12.57 8.70 6.15 5.02 4.91 5.64 21.86
Exeter Automobile Receivables Trust 2017-3 4.08 5.33 12.72 8.69 6.32 4.37 5.06 5.79 27.63
Exeter Automobile Receivables Trust 2018-1 4.32 5.53 13.24 9.09 5.74 4.35 5.06 5.75 30.37
Exeter Automobile Receivables Trust 2018-2 3.75 5.52 13.04 9.01 6.14 4.75 5.64 6.09 35.44
Exeter Automobile Receivables Trust 2018-3 3.88 4.75 12.57 9.86 6.34 4.82 5.40 6.03 41.68
Exeter Automobile Receivables Trust 2018-4 4.54 5.59 11.98 9.56 6.21 4.88 5.64 5.58 44.59
Exeter Automobile Receivables Trust 2019-1 3.47 5.08 13.14 9.51 6.01 4.97 5.28 5.98 51.64
Exeter Automobile Receivables Trust 2019-2 3.40 3.92 12.36 9.38 6.49 4.92 5.92 6.11 58.15
Exeter Automobile Receivables Trust 2019-3 5.07 5.58 11.10 9.39 6.27 4.66 5.33 5.94 65.04
Exeter Automobile Receivables Trust 2019-4 1.38 4.31 12.19 9.70 6.45 4.56 5.13 5.68 71.57
Exeter Automobile Receivables Trust 2020-1 0.07 1.08 8.88 9.27 6.27 4.16 5.01 5.49 80.74
Exeter Automobile Receivables Trust 2020-2 N/A N/A N/A N/A 6.20 1.20 1.17 2.90 91.16
First Investors Auto Owner Trust 2016-1 2.32 3.39 3.46 2.37 1.42 1.42 0.61 0.92 9.24
First Investors Auto Owner Trust 2016-2 3.53 5.56 4.55 1.93 2.16 1.95 1.47 1.90 14.84
First Investors Auto Owner Trust 2017-1 3.22 5.43 4.61 2.17 3.10 2.63 2.40 2.81 19.08
First Investors Auto Owner Trust 2017-2 3.09 5.48 4.32 2.19 2.59 2.49 2.18 2.37 24.44
First Investors Auto Owner Trust 2017-3 3.95 6.42 4.84 2.03 2.50 2.67 2.90 3.05 29.23
First Investors Auto Owner Trust 2018-1 3.16 5.43 4.74 1.77 2.60 2.95 2.59 2.22 35.47
First Investors Auto Owner Trust 2018-2 3.06 5.34 4.87 1.86 2.35 2.59 2.57 2.66 45.30
First Investors Auto Owner Trust 2019-1 2.69 4.90 4.87 1.99 2.43 2.31 2.18 2.38 53.48
First Investors Auto Owner Trust 2019-2 1.88 4.33 4.25 1.16 2.29 2.17 2.17 1.97 69.20
First Investors Auto Owner Trust 2020-1 N/A 0.66 1.19 0.58 0.50 0.97 1.40 1.44 80.24
Flagship Credit Auto Trust 2015-3 2.16 7.60 14.45 5.10 1.43 1.41 1.49 1.39 8.73
Flagship Credit Auto Trust 2016-1 2.29 7.95 14.90 5.61 1.82 1.40 1.29 1.35 10.83
Flagship Credit Auto Trust 2016-2 2.43 8.49 15.75 6.01 1.92 1.54 1.48 1.62 13.75
Flagship Credit Auto Trust 2016-3 2.38 8.75 15.94 6.90 1.78 1.67 1.31 1.70 16.13
Flagship Credit Auto Trust 2016-4 2.10 9.39 17.88 6.83 1.98 2.34 1.97 2.82 18.41
Flagship Credit Auto Trust 2017-1 2.53 8.49 17.18 7.10 1.50 2.32 1.65 2.60 22.42
Flagship Credit Auto Trust 2017-2 2.77 8.40 16.91 6.80 2.03 2.14 2.42 3.08 26.48
Flagship Credit Auto Trust 2017-3 2.01 9.48 17.59 7.43 2.24 2.08 2.05 2.91 31.27
Flagship Credit Auto Trust 2017-4 2.04 8.83 18.01 7.82 2.62 3.21 2.40 3.57 34.38
Flagship Credit Auto Trust 2018-1 2.44 9.27 17.71 7.08 2.50 2.32 2.53 3.14 38.31
Flagship Credit Auto Trust 2018-2 2.95 9.83 18.80 8.33 2.69 2.57 3.01 3.20 44.92
Flagship Credit Auto Trust 2018-3 3.04 11.05 19.77 8.63 3.00 3.10 3.11 3.80 49.31
Flagship Credit Auto Trust 2018-4 1.66 9.72 19.67 9.09 2.76 3.23 3.35 4.76 53.82
Flagship Credit Auto Trust 2019-1 1.79 9.88 19.73 8.90 2.81 2.57 3.11 4.18 59.83
Flagship Credit Auto Trust 2019-2 3.02 10.28 19.37 8.12 2.62 2.96 3.43 3.67 66.19
Flagship Credit Auto Trust 2019-3 4.22 12.43 20.11 8.85 2.92 3.03 3.17 4.12 73.27
Flagship Credit Auto Trust 2019-4 0.03 8.39 20.64 8.59 3.48 3.63 3.70 4.44 79.69
Flagship Credit Auto Trust 2020-1 0.14 6.29 18.88 6.95 2.25 2.39 2.73 3.85 85.38
Flagship Credit Auto Trust 2020-2 N/A N/A N/A 2.23 1.13 1.62 1.74 2.26 89.18
Flagship Credit Auto Trust 2020-3 N/A N/A N/A N/A N/A N/A 1.00 1.31 97.15
GLS Auto Receivables Issuer Trust 2018-2 3.50 5.62 11.07 4.29 3.17 3.14 2.63 2.79 41.10
GLS Auto Receivables Issuer Trust 2018-3 3.46 5.71 11.03 5.06 3.19 2.72 2.84 2.97 48.23
GLS Auto Receivables Issuer Trust 2019-1 3.42 5.91 12.83 5.22 3.56 3.05 2.57 2.70 55.15
GLS Auto Receivables Issuer Trust 2019-2 2.96 5.05 11.94 4.57 3.36 3.34 2.60 2.81 62.35
GLS Auto Receivables Issuer Trust 2019-3 4.66 5.48 11.91 4.75 2.75 2.49 2.50 2.86 70.22
GLS Auto Receivables Issuer Trust 2019-4 2.46 6.10 12.32 5.53 3.55 2.93 2.27 2.03 77.23
GLS Auto Receivables Issuer Trust 2020-1 0.20 2.32 10.01 3.57 2.69 3.06 2.93 2.92 85.12
GLS Auto Receivables Issuer Trust 2020-2 N/A N/A N/A N/A 0.23 0.24 0.67 1.49 93.75
GLS Auto Receivables Issuer Trust 2020-3 N/A N/A N/A N/A N/A N/A 0.38 0.97 96.70
GLS Auto Receivables Issuer Trust 2017-1 3.76 5.31 9.93 3.93 2.91 3.03 2.31 2.48 23.65
GLS Auto Receivables Issuer Trust 2018-1 3.58 5.21 10.70 4.46 2.92 2.78 2.61 2.33 32.36
Prestige Auto Receivables Trust 2016-1 2.26 2.12 7.14 4.04 3.80 2.62 2.24 1.95 10.07
Prestige Auto Receivables Trust 2016-2 2.48 2.65 6.99 3.92 3.33 3.05 2.13 2.24 17.41
Prestige Auto Receivables Trust 2017-1 2.69 2.72 6.45 3.81 3.27 3.62 2.14 2.29 25.74
Prestige Auto Receivables Trust 2018-1 2.88 3.00 6.29 3.66 3.52 3.22 2.47 2.55 45.21
Prestige Auto Receivables Trust 2019-1 2.68 2.96 5.78 3.10 3.13 3.02 2.35 2.41 65.99
Sierra Auto Receivables Securitization Trust 2016-1 1.54 2.89 2.89 1.36 1.64 1.18 1.58 1.81 5.20
United Auto Credit Securitization Trust 2018-1(i) 4.06 6.86 5.85 3.93 3.56 3.78 3.85 0.00 0.00
United Auto Credit Securitization Trust 2018-2 4.66 6.52 5.80 4.38 4.41 4.71 4.00 2.64 23.16
United Auto Credit Securitization Trust 2019-1 4.94 8.08 6.13 4.68 4.20 4.13 4.16 3.45 44.44
United Auto Credit Securitization Trust 2020-1 N/A N/A N/A N/A 1.78 2.97 3.43 3.26 87.39
Westlake Auto Receivables Trust 2019-1 4.57 12.37 8.05 6.18 4.81 4.90 5.37 5.94 46.88
Westlake Automobile Receivables Trust 2017-2 8.34 15.61 9.47 6.82 6.11 5.93 6.89 6.94 13.55
Westlake Automobile Receivables Trust 2018-1 5.89 14.59 8.93 6.58 5.71 5.67 5.92 6.31 20.18
Westlake Automobile Receivables Trust 2018-2 6.19 14.46 9.15 6.87 5.98 6.25 6.74 7.26 28.39
Westlake Automobile Receivables Trust 2018-3 5.43 13.86 8.72 6.67 5.71 5.46 6.23 6.64 36.64
Westlake Automobile Receivables Trust 2019-2 4.31 11.73 7.43 5.74 4.85 4.72 5.26 5.86 57.93
Westlake Automobile Receivables Trust 2019-3 3.33 10.76 6.75 5.25 4.11 3.97 4.42 4.75 68.09
Westlake Automobile Receivables Trust 2020-1 N/A 7.28 4.78 3.99 3.26 3.13 3.63 4.15 82.62
Westlake Automobile Receivables Trust 2020-2 N/A N/A N/A N/A 0.21 0.95 1.61 2.31 89.16
World Omni Select Auto Trust 2018-1 N/A N/A N/A N/A 6.08 4.48 1.37 1.48 40.49
World Omni Select Auto Trust 2019-A N/A N/A N/A N/A 5.78 4.65 1.50 1.68 65.19
Drive Auto Receivables Trust 2017-1 1.37 7.89 20.74 12.09 10.20 6.74 3.64 4.13 19.26
Drive Auto Receivables Trust 2017-2 1.27 8.32 21.09 12.20 10.47 6.52 3.75 4.43 20.23
Drive Auto Receivables Trust 2017-3 1.45 8.23 20.49 11.64 10.20 6.34 3.82 4.39 22.10
Drive Auto Receivables Trust 2018-1 1.28 8.26 20.80 11.68 10.26 6.94 3.74 4.35 27.24
Drive Auto Receivables Trust 2018-2 1.40 8.19 20.85 12.29 10.90 7.36 3.57 4.62 32.85
Drive Auto Receivables Trust 2018-3 1.37 8.59 21.12 12.06 10.77 7.27 3.58 4.43 34.49
Drive Auto Receivables Trust 2018-4 1.33 8.87 21.65 12.86 10.96 7.06 4.02 4.76 35.76
Drive Auto Receivables Trust 2018-5 1.30 8.35 21.35 12.51 10.88 7.50 4.05 4.78 41.32
Drive Auto Receivables Trust 2019-1 1.18 8.09 20.46 11.98 10.36 6.91 4.12 4.39 44.40
Drive Auto Receivables Trust 2019-2 1.23 8.13 21.15 12.47 10.94 7.35 4.00 4.60 50.38
Drive Auto Receivables Trust 2019-3 1.16 7.56 19.81 11.42 10.27 6.95 3.94 4.62 59.24
Drive Auto Receivables Trust 2019-4 1.28 8.39 20.52 11.96 10.61 7.07 4.04 4.53 66.33
Drive Auto Receivables Trust 2020-1 0.13 7.58 19.80 11.71 10.55 7.27 4.01 4.62 80.03
Drive Auto Receivables Trust 2020-2 N/A N/A N/A N/A 3.51 2.13 3.98 92.02
Santander Drive Auto Receivables Trust 2017-1 1.10 7.28 18.31 9.95 8.01 5.60 4.10 2.98 15.21
Santander Drive Auto Receivables Trust 2017-2 1.05 7.15 17.73 9.91 8.35 5.45 2.30 3.28 17.56
Santander Drive Auto Receivables Trust 2017-3 1.02 6.71 17.04 9.42 7.82 4.95 2.79 2.99 22.80
Santander Drive Auto Receivables Trust 2018-1 1.07 6.82 17.41 10.01 8.05 5.65 2.80 3.22 25.81
Santander Drive Auto Receivables Trust 2018-2 1.00 6.89 17.23 10.17 8.04 5.74 2.84 3.40 28.99
Santander Drive Auto Receivables Trust 2018-3 1.17 7.33 18.71 10.24 8.89 6.15 3.34 3.66 33.36
Santander Drive Auto Receivables Trust 2018-4 1.08 7.02 18.40 9.67 8.71 5.88 3.23 3.57 35.99
Santander Drive Auto Receivables Trust 2018-5 1.13 7.15 18.28 10.11 8.50 5.86 3.37 3.70 38.52
Santander Drive Auto Receivables Trust 2019-1 1.10 7.32 18.54 10.17 8.70 5.99 3.16 3.46 48.28
Santander Drive Auto Receivables Trust 2019-2 1.00 6.81 17.36 9.82 8.53 5.76 2.97 3.48 88.45
Santander Drive Auto Receivables Trust 2019-3 1.05 6.99 17.35 9.19 8.43 5.37 3.11 3.45 63.14
Santander Drive Auto Receivables Trust 2020-1 N/A N/A N/A N/A 7.03 3.83 3.05 3.03 86.42
Santander Drive Auto Receivables Trust 2020-2 N/A N/A N/A N/A N/A 1.53 1.45 92.20
(i)Paid off in October 2020. N/A--Not applicable.

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

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 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.

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 ALSI?

Our 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 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 most Santander and AmeriCredit transactions not rated by S&P Global Ratings.

Related Research

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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