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

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U.S. Auto Loan ABS Tracker: Full-Year And December 2020 Performance


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

(Editor's Note: In the original version of this report published Jan. 14, 2021, the June, July, and August 2020 extension data for American Credit, Americredit, and Avid were misstated in table 16. A corrected version follows.)

Due to normal seasonal factors, U.S. auto loan asset-backed securities' (ABS) performance dipped in November relative to October, while on a year-over-year basis, performance was remarkably strong. In both the prime and subprime segments, November losses were at record-low levels, and recoveries posted all-time highs for the month. Further, prime 60-plus-day delinquencies were at their lowest November level, and subprime delinquencies were at their lowest November level since 2013. We attribute the strong performance to enhanced unemployment pay, government stimulus checks that were paid earlier in 2020, exceptionally robust used vehicle values, and the continued use of extensions during the COVID-19 pandemic as a loss mitigation tool.

As vaccine rollouts in several countries continue, S&P Global Ratings believes there remains a high degree of uncertainty about the evolution of the coronavirus pandemic and its economic effects. Widespread immunization, which certain countries might achieve by midyear, will help pave the way for a return to more normal levels of social and economic activity. We use this assumption about vaccine timing 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 Increased While Still At Historically Low Levels

Prime net losses increased to 0.40% in November from 0.31% in October, but decreased compared with 0.67% in November 2019 (see table 1 and chart 1), making it the lowest November loss rate in our composite's history. Approximately 54% of the issuers in the total prime composite reported higher losses in November relative to October. These included Toyota Auto Receivables Owner Trust (Toyota), CarMax Auto Owner Trust (CarMax), World Omni Auto Receivables Trust (World Omni), Hyundai Auto Receivables Trust (Hyundai), Ally Auto Receivables Trust (Ally), BMW Vehicle Owner Trust (BMW), Volkswagen Auto Loan Enhanced Trust (Volkswagen), and Fifth Third Auto Trust (Fifth). We believe the higher losses largely stem from lower recovery rates.

Subprime net losses increased 107 basis points (bps) to 4.90% from 3.83% in October and decreased 386 bps from 8.75% in November 2019. Despite a slight uptick in losses month over month, losses remained at an all-time low in November.

Nine subprime shelves representing 55% of the total subprime composite reported higher month-over-month losses, most notably Drive Auto Receivables Trust (DRIVE), Santander Drive Auto Receivables Trust (SDART), American Credit Acceptance Receivables Trust (American Credit), GLS Auto Receivables Issuer Trust (GLS), World Omni Select Auto Trust (World Omni Select), First Investors Auto Owner Trust (First Investors), and Prestige Auto Receivables Trust (Prestige).

After netting out three deep subprime issuers--American Credit, Exeter Automobile Receivables Trust (Exeter), and DRIVE--modified subprime losses increased 59 bps to 3.76% in November from 3.17% in October and decreased 284 bps from 6.59% in November 2019.

Table 1

Net Loss Rate Composite(i)
Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19 Oct-20 Nov-20
Prime (%) 0.46 0.53 0.46 0.51 0.64 0.66 0.58 0.67 0.31 0.40
Subprime (%) 6.38 6.88 7.86 8.78 9.70 8.84 9.33 8.75 3.83 4.90
Subprime modified (%) 5.09 6.41 7.20 7.64 7.40 7.16 7.08 6.59 3.17 3.76
(i)Represents monthly annualized losses.

Chart 1

image

Monthly Recovery Rates Receded But Remained Higher Year Over Year

Prime recoveries decreased 518 bps to 69.32% in November from 74.49% in October, but increased by 15.8 percentage points from 53.52% in November 2019 (see table 2 and chart 2). November recoveries were mostly influenced by lower month-over-month recoveries from CarMax, Ford, World Omni, Hyundai, Ally, and BMW, which comprise approximately 45% of the total prime index.

Subprime recoveries decreased 814 bps to 48.91% in November from 57.05% in October. However, they were still historically high for the month and well above the 38.84% recorded in November 2019. Subprime modified recoveries decreased to 49.14% in November from 54.59% in October, but increased from 38.27% in November 2019.

The month-to-month decrease in recoveries, we believe, was due to normal seasonal factors and used vehicle supply easing slightly, albeit supply is expected to remain tight throughout the year. Nonetheless, demand for used vehicles has remained strong due to enhanced unemployment pay, new stimulus checks for some in January, a strengthening labor market, and urban dwellers fleeing to the suburbs where vehicles are essential, shifting the preference for vehicle ownership over ride-sharing. In November, the unemployment rate decreased to 6.7% compared to 6.9% in October, and held steady at 6.7% in December.

Table 2

Recovery Rate Composite(i)
Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19 Oct-20 Nov-20
Prime (%) 62.68 57.32 59.68 60.13 55.14 51.16 56.56 53.52 74.49 69.32
Subprime (%) 42.79 43.58 40.27 37.77 37.39 37.38 37.91 38.84 57.05 48.91
Subprime modified (%) 45.63 44.05 40.83 38.64 38.60 37.91 38.61 38.27 54.59 49.14
(i)Represents monthly recovery rates.

Chart 2

image

November Delinquencies Hit Record-Low Levels

The prime 60-plus-day delinquency rate increased slightly to 0.36% in November compared with 0.32% in October, but was down from 0.45% in November 2019 (see table 3 and chart 3). At only 0.36%, November's 60-plus-day delinquency rate was a record-low level for the month. We believe the low delinquency levels reflect the U.S. government's stimulus and enhanced unemployment payments, as well as the high number of loan extensions lenders initially provided to borrowers who lost their jobs or experienced furloughs and/or pay cuts.

The subprime 60-plus-day delinquency rate increased slightly to 4.02% in November from 3.53% in October, but nevertheless remained below November 2019's rate of 5.37% and was the lowest November level since 2013. Delinquencies were lower than they otherwise would have been due to extensions increasing in November relative to October (see the 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 increased to 2.90% in November from 2.55% in October, but decreased from 3.91% in November 2019.

Table 3

60-Plus-Day Delinquency Rate Composite(i)
Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19 Oct-20 Nov-20
Prime (%) 0.41 0.41 0.44 0.48 0.48 0.45 0.42 0.45 0.32 0.36
Subprime (%) 3.45 3.91 4.66 4.93 5.40 5.23 5.48 5.37 3.53 4.02
Subprime modified (%) 3.27 3.66 4.05 4.15 4.09 3.75 3.90 3.91 2.55 2.90
(i)Represents 60-plus-day delinquencies.

Chart 3

image

Subprime Extensions Rose For The Third Month

Subprime extensions increased for the third straight month, growing to 4.17% from 3.89% in October (includes both public and 144a transactions) and were at their highest level since June 2020 (see table 4 and chart 4). Public subprime extensions were also up, owing to higher deferrals from Santander's DRIVE and SDART platforms. Meanwhile, prime extensions rose only slightly to 0.55% from 0.52%, which was the first increase since April.

We believe the reduction in enhanced unemployment benefits to $300 per week in August from the prior $600 and the continued high number of unemployed individuals contributed to the rise in subprime auto loan extensions in November. We expect subprime loan extension rates to remain elevated until consumers receive their $600 stimulus checks in January; however, extension rates could also fall in the spring due to tax refunds. (See Appendix I for transaction-specific extension data for subprime transactions.)

Table 4

Loan Extensions
Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20
Prime Extensions--Reg AB II issuers (%) 0.32 3.75 5.76 2.16 1.39 0.82 0.63 0.55 0.52 0.55
Subprime extensions--Reg AB II issuers (%) 1.53 6.82 15.75 8.90 7.66 4.89 3.12 3.65 3.78 4.06
Subprime extensions --144a issuers (%)(i) 3.29 6.89 9.76 5.97 3.47 3.11 3.16 3.57 3.99 4.26
Subprime extensions--Reg AB II issuers plus 144a issuers (%)(i)(ii) 2.40 6.93 12.62 7.35 5.31 4.06 3.14 3.60 3.89 4.17
(i)DriveTime Automotive Group Inc.'s (DT) extension data included from April 2020 and onward. DT's extensions include both those related and unrelated to the COVID-19 pandemic. (ii)Reg AB II data used for AmeriCredit Automobile Receivables Trust, Santander Drive Auto Receivables Trust, Drive Auto Receivables Trust, World Omni Select 2019-A, and servicing reports for the other S&P Global Ratings-rated transactions, most of which were 144a transactions.

Chart 4

image

Recent Auto Loan ABS Rating Activity/Revised Loss Expectations

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

These rating actions resulted in 51 upgrades and 82 affirmations in December. In 2020, our reviews resulted in 332 upgrades and eight downgrades. The eight downgrades were on speculative-grade classes issued by Consumer Portfolio Services (CPS). These downgrades occurred on the lowest-rated classes from their 2015-B through 2017-A transactions and on the second-lowest-rated class on their 2016-A issuance.

Table 5

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 332 8
Total 2,813 31

Of the 37 transactions we reviewed in December, we lowered our revised expected cumulative net losses (ECNLs) on 18, raised them on 15, and maintained them on four. Six of the upwardly revised ECNLs were split equally between the CPS Auto Receivables Trust and TCF Auto Receivables Owner Trust transactions, all of which were performing worse than our original ECNL level before the pandemic began. The increased ECNL for the others were primarily due to future economic uncertainty, including the ultimate performance of loans still in extension status. Even with these upward adjustments, there were no downgrades during December.

Table 6

CPS Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2017-B 18.00-19.00 19.00-19.50 19.50-20.00
2017-C 18.00-19.00 16.25-16.75 16.75-17.25
2017-D 18.00-19.00 17.00-18.00 17.00-18.00
2018-C 17.00-18.00 16.50-17.50 16.75-17.75
2018-D 17.75-18.75 17.50-18.50 17.50-18.50
CNL--Cumulative net loss.

Table 7

DT Auto Owner Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2017-2 29.50-30.50 28.50-29.00 29.00-29.50
2017-3 29.50-30.50 27.75-28.25 28.25-28.75
2018-2 29.00-30.00 28.75-29.75 27.00-28.00
2018-3 28.50-29.50 28.50-29.50 27.50-28.50
2019-3 27.00-28.00 N/A 28.25-29.25
N/A--Not applicable. CNL--Cumulative net loss.

Table 8

TCF Auto Receivables Owner Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2015-2 3.00-3.30 Up to 5.50 Up to 5.90
2016-1 2.70-3.00 4.60-4.90 Up to 5.45
2016-1-PT1 2.80-3.00 4.60-4.90 5.35- 5.55
CNL--Cumulative net loss.

Table 9

Avid Automobile Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2018-1 14.00-15.00 12.75-13.75 12.00-13.00
2019-1 13.75-14.75 N/A 15.50-16.50
N/A--Not applicable. CNL--Cumulative net loss.

Table 10

Hyundai Auto Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2016-B 1.50-1.70 1.65–1.85 Up to 1.60
2017-A 1.65-1.85 1.50-1.70 Up to 1.50
2018-A 1.65-1.85 1.40-1.60 1.30-1.50
2019-B 1.40-1.60 N/A 1.60-1.80
N/A--Not applicable. CNL--Cumulative net loss.

Table 11

Honda Auto Receivables Owner Trust
Series Initial expected net loss range (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2019-3 0.50-0.60 0.50-0.60
2019-4 0.50-0.60 0.50-0.60
CNL--Cumulative net loss.

Table 12

World Omni Auto Receivables Trust
Series Initial expected net loss range (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2018-A 1.15-1.35 1.25-1.45
2018-B 1.15-1.35 1.35-1.55
2019-B 1.20-1.40 1.50-1.70
CNL--Cumulative net loss.

Table 13

GM Financial Consumer Automobile Receivables Trust
Series Initial expected net loss range (%) Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2017-2 1.15-1.35 0.80-1.00 Up to 0.70
2017-3 1.15-1.35 0.80-1.00 Up to 0.70
2018-2 1.05-1.25 1.00-1.20 0.70-0.80
2018-3 1.05-1.25 1.00-1.20 0.70-0.80
2018-4 1.05-1.25 1.00-1.20 0.75-0.95
2019-2 1.00-1.20 1.10-1.30 0.90-1.10
2019-3 1.00-1.20 N/A 0.90-1.10
N/A--Not applicable. CNL--Cumulative net loss.

Table 14

Capital Auto Receivables Asset Trust
Series Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2017-1 5.15-5.35 4.60-4.80
2018-1 4.60-4.80 4.10-4.30
2018-2 2.90-3.10 2.40-2.60
CNL--Cumulative net loss.

Table 15

Credit Acceptance Auto Loan Trust
Series Former expected lifetime CNL (%) Revised/maintained expected lifetime CNL (%) (Revised Dec. 2020)
2018-1 19.75-20.25 16.00-16.50
2018-2 19.75-20.25 21.50-22.00
2018-3 19.75-20.25 16.25-16.75
CNL--Cumulative net loss.

Appendix I: Subprime Extensions

Table 16

Subprime Extensions
Extension %
Deals Feb. 2020 March 2020 April 2020 May 2020 June 2020 July 2020 Aug 2020 Sept. 2020 Oct. 2020 Nov. 2020
American Credit Acceptance Receivables Trust 2016-4(i) 3.87 4.24 5.66 4.83 3.42 3.22 2.74 2.32 N/A N/A
American Credit Acceptance Receivables Trust 2017-1 3.73 4.69 6.25 5.19 3.66 3.19 3.33 2.41 2.87 3.04
American Credit Acceptance Receivables Trust 2017-2 4.37 4.86 6.54 4.51 3.97 2.81 2.64 3.06 3.47 3.61
American Credit Acceptance Receivables Trust 2017-3 3.54 5.05 6.82 4.77 3.38 3.24 2.81 2.73 3.49 3.38
American Credit Acceptance Receivables Trust 2017-4 3.91 4.31 6.02 4.95 3.64 3.28 2.67 2.77 3.94 2.87
American Credit Acceptance Receivables Trust 2018-1 3.28 4.28 6.47 5.28 3.94 3.19 2.73 3.21 3.75 3.46
American Credit Acceptance Receivables Trust 2018-2 3.86 5.34 5.45 5.09 3.94 3.46 2.65 3.00 4.12 3.30
American Credit Acceptance Receivables Trust 2018-3 3.34 4.44 6.04 5.05 3.84 3.69 2.45 2.77 3.77 3.74
American Credit Acceptance Receivables Trust 2018-4 3.79 3.99 5.83 5.31 4.38 3.46 2.56 2.68 3.78 3.43
American Credit Acceptance Receivables Trust 2019-1 3.70 4.99 5.88 5.05 4.41 3.67 2.63 2.96 4.34 4.03
American Credit Acceptance Receivables Trust 2019-2 3.29 3.75 5.59 5.04 4.19 3.65 2.99 2.77 3.62 3.94
American Credit Acceptance Receivables Trust 2019-3 3.91 4.60 5.80 4.72 4.13 3.70 3.00 2.85 4.26 3.44
American Credit Acceptance Receivables Trust 2019-4 1.09 2.94 4.88 4.68 4.02 3.36 2.61 2.67 3.60 3.61
American Credit Acceptance Receivables Trust 2020-1 0.16 0.79 2.21 2.80 3.27 2.97 2.17 2.61 3.63 3.46
American Credit Acceptance Receivables Trust 2020-2 N/A N/A N/A 0.74 1.42 2.04 1.82 2.33 3.27 3.64
American Credit Acceptance Receivables Trust 2020-3 N/A N/A N/A N/A N/A N/A 0.08 0.53 1.09 1.69
Americredit Automobile Receivables Trust 2016-1(i) 2.36 3.07 4.34 2.27 1.87 1.91 1.51 0.00 N/A N/A
Americredit Automobile Receivables Trust 2016-2(ii) 2.71 3.38 4.74 2.55 2.05 2.10 2.11 2.15 N/A N/A
Americredit Automobile Receivables Trust 2016-3 2.48 3.70 5.38 2.72 2.26 2.23 2.15 2.38 2.19 1.98
Americredit Automobile Receivables Trust 2016-4 2.73 3.97 5.23 3.05 2.40 2.59 2.18 2.43 2.18 1.93
Americredit Automobile Receivables Trust 2017-1 2.89 4.10 5.67 3.01 2.67 2.42 2.35 2.52 2.13 2.24
Americredit Automobile Receivables Trust 2017-4 3.02 4.37 6.64 3.60 3.08 2.98 3.01 3.03 2.88 2.67
Americredit Automobile Receivables Trust 2018-1 2.81 4.35 6.63 3.66 3.07 3.05 2.72 2.94 2.81 2.72
Americredit Automobile Receivables Trust 2019-1 2.17 4.18 7.19 3.94 3.20 3.11 2.86 3.11 2.91 3.03
Americredit Automobile Receivables Trust 2019-3 3.37 4.49 7.47 3.75 2.74 2.51 2.41 2.80 2.90 2.90
Americredit Automobile Receivables Trust 2020-2 N/A N/A N/A N/A N/A 1.76 2.17 2.65 2.54 2.42
Avid Automobile Receivables Trust 2018-1 1.87 1.88 1.96 18.14 1.96 1.66 1.82 1.86 1.97 1.52
Avid Automobile Receivables Trust 2019-1 3.16 3.57 3.12

13.24

3.60 3.88 4.05 4.28 6.54 4.08
Carnow Auto Receivables Trust 2017-1 (ii) 1.73 1.11 0.93 0.46 0.37 0.37 0.28 0.80 N/A N/A
CPS Auto Receivables Trust 2015-B 2.53 3.83 7.11 3.49 1.57 1.43 1.69 1.24 1.38 1.27
CPS Auto Receivables Trust 2015-C 2.24 4.66 6.69 4.08 1.69 1.63 1.79 2.05 1.43 1.71
CPS Auto Receivables Trust 2016-A 2.95 4.58 7.73 4.24 2.13 1.77 1.76 2.28 2.07 2.31
CPS Auto Receivables Trust 2016-B 3.49 5.85 7.34 5.19 1.98 2.19 2.33 2.87 2.82 2.30
CPS Auto Receivables Trust 2016-C 3.40 5.58 8.71 4.44 2.84 2.23 2.68 2.85 2.87 2.61
CPS Auto Receivables Trust 2016-D 3.71 5.31 9.46 5.62 3.08 2.46 3.15 3.39 3.45 3.42
CPS Auto Receivables Trust 2017-A 3.86 6.61 9.73 7.18 3.58 3.04 3.73 3.91 4.00 4.42
CPS Auto Receivables Trust 2017-B 4.07 5.55 10.69 6.53 3.34 3.14 3.92 4.27 4.79 3.94
CPS Auto Receivables Trust 2017-C 4.25 6.03 10.11 6.72 3.98 3.18 4.34 4.40 4.73 3.88
CPS Auto Receivables Trust 2017-D 3.77 6.99 9.74 6.21 3.46 3.32 3.91 4.15 4.07 3.92
CPS Auto Receivables Trust 2018-A 4.21 6.22 10.04 6.74 3.77 3.81 4.34 4.24 4.21 4.37
CPS Auto Receivables Trust 2018-B 4.23 6.69 9.84 6.87 3.96 3.02 3.96 4.41 5.05 3.51
CPS Auto Receivables Trust 2018-C 4.39 6.79 10.23 6.03 3.36 3.36 3.65 4.57 4.80 4.53
CPS Auto Receivables Trust 2018-D 4.85 7.26 10.62 6.67 3.87 3.18 3.84 4.61 4.86 4.62
CPS Auto Receivables Trust 2019-A 3.95 6.96 11.50 7.69 4.16 3.42 4.04 4.68 4.97 4.46
CPS Auto Receivables Trust 2019-B 3.65 5.87 10.57 7.26 3.95 3.22 4.20 5.10 4.84 4.25
CPS Auto Receivables Trust 2019-C 4.95 7.81 10.94 6.82 3.30 3.36 3.86 4.91 5.19 4.55
CPS Auto Receivables Trust 2019-D 1.53 4.69 11.61 7.40 4.27 3.48 3.79 4.92 4.61 4.67
CPS Auto Receivables Trust 2020-B N/A N/A N/A N/A 0.72 0.92 2.04 4.02 4.60 4.83
Exeter Automobile Receivables Trust 2016-1(i) 2.65 4.90 12.85 8.93 5.68 3.79 3.94 4.42 N/A N/A
Exeter Automobile Receivables Trust 2016-2 2.90 4.27 13.28 8.98 5.02 4.45 3.90 4.62 4.18 4.38
Exeter Automobile Receivables Trust 2016-3 3.54 4.77 13.17 9.11 5.52 3.97 4.48 4.79 4.52 4.76
Exeter Automobile Receivables Trust 2017-1 3.79 5.37 13.24 8.85 5.19 4.08 4.90 5.29 5.42 4.73
Exeter Automobile Receivables Trust 2017-2 3.72 5.02 12.57 8.70 6.15 5.02 4.91 5.64 5.44 5.59
Exeter Automobile Receivables Trust 2017-3 4.08 5.33 12.72 8.69 6.32 4.37 5.06 5.79 5.31 5.39
Exeter Automobile Receivables Trust 2018-1 4.32 5.53 13.24 9.09 5.74 4.35 5.06 5.75 5.75 5.53
Exeter Automobile Receivables Trust 2018-2 3.75 5.52 13.04 9.01 6.14 4.75 5.64 6.09 5.86 5.98
Exeter Automobile Receivables Trust 2018-3 3.88 4.75 12.57 9.86 6.34 4.82 5.40 6.03 5.83 5.67
Exeter Automobile Receivables Trust 2018-4 4.54 5.59 11.98 9.56 6.21 4.88 5.64 5.58 5.71 6.12
Exeter Automobile Receivables Trust 2019-1 3.47 5.08 13.14 9.51 6.01 4.97 5.28 5.98 5.74 5.50
Exeter Automobile Receivables Trust 2019-2 3.40 3.92 12.36 9.38 6.49 4.92 5.92 6.11 6.04 6.28
Exeter Automobile Receivables Trust 2019-3 5.07 5.58 11.10 9.39 6.27 4.66 5.33 5.94 5.69 5.76
Exeter Automobile Receivables Trust 2019-4 1.38 4.31 12.19 9.70 6.45 4.56 5.13 5.68 5.52 5.49
Exeter Automobile Receivables Trust 2020-1 0.07 1.08 8.88 9.27 6.27 4.16 5.01 5.49 5.43 5.43
Exeter Automobile Receivables Trust 2020-2 N/A N/A N/A N/A 6.20 1.20 1.17 2.90 4.24 5.49
First Investors Auto Owner Trust 2016-1 2.32 3.39 3.46 2.37 1.42 1.42 0.61 0.92 0.00 0.00
First Investors Auto Owner Trust 2016-2 3.53 5.56 4.55 1.93 2.16 1.95 1.47 1.90 0.93 1.11
First Investors Auto Owner Trust 2017-1 3.22 5.43 4.61 2.17 3.10 2.63 2.40 2.81 1.68 2.38
First Investors Auto Owner Trust 2017-2 3.09 5.48 4.32 2.19 2.59 2.49 2.18 2.37 1.98 2.58
First Investors Auto Owner Trust 2017-3 3.95 6.42 4.84 2.03 2.50 2.67 2.90 3.05 2.04 2.69
First Investors Auto Owner Trust 2018-1 3.16 5.43 4.74 1.77 2.60 2.95 2.59 2.22 1.74 2.64
First Investors Auto Owner Trust 2018-2 3.06 5.34 4.87 1.86 2.35 2.59 2.57 2.66 1.87 2.53
First Investors Auto Owner Trust 2019-1 2.69 4.90 4.87 1.99 2.43 2.31 2.18 2.38 1.72 2.24
First Investors Auto Owner Trust 2019-2 1.88 4.33 4.25 1.16 2.29 2.17 2.17 1.97 1.57 2.30
First Investors Auto Owner Trust 2020-1 N/A 0.66 1.19 0.58 0.50 0.97 1.40 1.44 0.93 1.68
Flagship Credit Auto Trust 2015-3(i) 2.16 7.60 14.45 5.10 1.43 1.41 1.49 1.39 N/A N/A
Flagship Credit Auto Trust 2016-1 2.29 7.95 14.90 5.61 1.82 1.40 1.29 1.35 1.79 2.05
Flagship Credit Auto Trust 2016-2 2.43 8.49 15.75 6.01 1.92 1.54 1.48 1.62 2.76 1.68
Flagship Credit Auto Trust 2016-3 2.38 8.75 15.94 6.90 1.78 1.67 1.31 1.70 2.33 1.49
Flagship Credit Auto Trust 2016-4 2.10 9.39 17.88 6.83 1.98 2.34 1.97 2.82 3.49 2.80
Flagship Credit Auto Trust 2017-1 2.53 8.49 17.18 7.10 1.50 2.32 1.65 2.60 3.31 2.32
Flagship Credit Auto Trust 2017-2 2.77 8.40 16.91 6.80 2.03 2.14 2.42 3.08 3.51 2.70
Flagship Credit Auto Trust 2017-3 2.01 9.48 17.59 7.43 2.24 2.08 2.05 2.91 3.55 2.70
Flagship Credit Auto Trust 2017-4 2.04 8.83 18.01 7.82 2.62 3.21 2.40 3.57 4.24 3.50
Flagship Credit Auto Trust 2018-1 2.44 9.27 17.71 7.08 2.50 2.32 2.53 3.14 3.98 3.72
Flagship Credit Auto Trust 2018-2 2.95 9.83 18.80 8.33 2.69 2.57 3.01 3.20 4.71 3.63
Flagship Credit Auto Trust 2018-3 3.04 11.05 19.77 8.63 3.00 3.10 3.11 3.80 5.03 3.76
Flagship Credit Auto Trust 2018-4 1.66 9.72 19.67 9.09 2.76 3.23 3.35 4.76 4.91 4.30
Flagship Credit Auto Trust 2019-1 1.79 9.88 19.73 8.90 2.81 2.57 3.11 4.18 5.46 4.13
Flagship Credit Auto Trust 2019-2 3.02 10.28 19.37 8.12 2.62 2.96 3.43 3.67 4.98 4.27
Flagship Credit Auto Trust 2019-3 4.22 12.43 20.11 8.85 2.92 3.03 3.17 4.12 4.99 3.95
Flagship Credit Auto Trust 2019-4 0.03 8.39 20.64 8.59 3.48 3.63 3.70 4.44 5.15 3.90
Flagship Credit Auto Trust 2020-1 0.14 6.29 18.88 6.95 2.25 2.39 2.73 3.85 4.72 3.77
Flagship Credit Auto Trust 2020-2 N/A N/A N/A 2.23 1.13 1.62 1.74 2.26 2.90 3.19
Flagship Credit Auto Trust 2020-3 N/A N/A N/A N/A N/A N/A 1.00 1.31 1.85 1.76
GLS Auto Receivables Issuer Trust 2018-2 3.50 5.62 11.07 4.29 3.17 3.14 2.63 2.79 2.86 3.06
GLS Auto Receivables Issuer Trust 2018-3 3.46 5.71 11.03 5.06 3.19 2.72 2.84 2.97 2.93 3.42
GLS Auto Receivables Issuer Trust 2019-1 3.42 5.91 12.83 5.22 3.56 3.05 2.57 2.70 2.83 3.78
GLS Auto Receivables Issuer Trust 2019-2 2.96 5.05 11.94 4.57 3.36 3.34 2.60 2.81 3.08 3.51
GLS Auto Receivables Issuer Trust 2019-3 4.66 5.48 11.91 4.75 2.75 2.49 2.50 2.86 3.25 3.87
GLS Auto Receivables Issuer Trust 2019-4 2.46 6.10 12.32 5.53 3.55 2.93 2.27 2.03 2.48 3.19
GLS Auto Receivables Issuer Trust 2020-1 0.20 2.32 10.01 3.57 2.69 3.06 2.93 2.92 2.95 3.12
GLS Auto Receivables Issuer Trust 2020-2 N/A N/A N/A N/A 0.23 0.24 0.67 1.49 2.77 3.64
GLS Auto Receivables Issuer Trust 2020-3 N/A N/A N/A N/A N/A N/A 0.38 0.97 1.70 2.37
GLS Auto Receivables Trust 2017-1 3.76 5.31 9.93 3.93 2.91 3.03 2.31 2.48 2.68 2.70
GLS Auto Receivables Trust 2018-1 3.58 5.21 10.70 4.46 2.92 2.78 2.61 2.33 3.01 2.62
Prestige Auto Receivables Trust 2016-1(ii) 2.26 2.12 7.14 4.04 3.80 2.62 2.24 1.95 N/A N/A
Prestige Auto Receivables Trust 2016-2 2.48 2.65 6.99 3.92 3.33 3.05 2.13 2.24 2.23 2.41
Prestige Auto Receivables Trust 2017-1 2.69 2.72 6.45 3.81 3.27 3.62 2.14 2.29 2.36 2.36
Prestige Auto Receivables Trust 2018-1 2.88 3.00 6.29 3.66 3.52 3.22 2.47 2.55 2.68 2.72
Prestige Auto Receivables Trust 2019-1 2.68 2.96 5.78 3.10 3.13 3.02 2.35 2.41 2.63 2.78
Sierra Auto Receivables Securitization Trust 2016-1 1.54 2.89 2.89 1.36 1.64 1.18 1.58 1.81 1.37 1.22
United Auto Credit Securitization Trust 2018-1(i) 4.06 6.86 5.85 3.93 3.56 3.78 3.85 N/A N/A N/A
United Auto Credit Securitization Trust 2018-2 4.66 6.52 5.80 4.38 4.41 4.71 4.00 2.64 3.30 4.92
United Auto Credit Securitization Trust 2019-1 4.94 8.08 6.13 4.68 4.20 4.13 4.16 3.45 4.23 5.38
United Auto Credit Securitization Trust 2020-1 N/A N/A N/A N/A 1.78 2.97 3.43 3.26 4.01 5.86
Westlake Auto Receivables Trust 2019-1 4.57 12.37 8.05 6.18 4.81 4.90 5.37 5.94 5.86 7.04
Westlake Automobile Receivables Trust 2017-2 8.34 15.61 9.47 6.82 6.11 5.93 6.89 6.94 7.97 8.81
Westlake Automobile Receivables Trust 2018-1 5.89 14.59 8.93 6.58 5.71 5.67 5.92 6.31 6.29 7.70
Westlake Automobile Receivables Trust 2018-2 6.19 14.46 9.15 6.87 5.98 6.25 6.74 7.26 7.44 9.27
Westlake Automobile Receivables Trust 2018-3 5.43 13.86 8.72 6.67 5.71 5.46 6.23 6.64 6.72 8.22
Westlake Automobile Receivables Trust 2019-2 4.31 11.73 7.43 5.74 4.85 4.72 5.26 5.86 6.11 7.40
Westlake Automobile Receivables Trust 2019-3 3.33 10.76 6.75 5.25 4.11 3.97 4.42 4.75 5.19 6.42
Westlake Automobile Receivables Trust 2020-1 N/A 7.28 4.78 3.99 3.26 3.13 3.63 4.15 4.57 5.61
Westlake Automobile Receivables Trust 2020-2 N/A N/A N/A N/A 0.21 0.95 1.61 2.31 2.93 3.77
World Omni Select Auto Trust 2018-1 N/A N/A N/A N/A 6.08 4.48 1.37 1.48 1.65 1.46
World Omni Select Auto Trust 2019-A N/A N/A N/A N/A 5.78 4.65 1.50 1.68 2.00 1.72
Drive Auto Receivables Trust 2017-1 1.37 7.89 20.74 12.09 10.24 6.48 3.50 4.13 4.46 4.67
Drive Auto Receivables Trust 2017-2 1.27 8.32 21.09 12.20 10.51 6.28 3.62 4.43 4.24 5.07
Drive Auto Receivables Trust 2017-3 1.45 8.23 20.49 11.64 10.25 6.13 3.68 4.39 4.36 5.08
Drive Auto Receivables Trust 2018-1 1.28 8.26 20.80 11.68 10.30 6.70 3.45 4.35 4.75 4.95
Drive Auto Receivables Trust 2018-2 1.40 8.19 20.85 12.29 10.93 7.15 3.90 4.62 5.06 5.31
Drive Auto Receivables Trust 2018-3 1.37 8.59 21.12 12.06 10.80 7.05 3.93 4.43 4.82 5.35
Drive Auto Receivables Trust 2018-4 1.33 8.87 21.65 12.86 10.99 6.82 3.98 4.76 5.14 5.23
Drive Auto Receivables Trust 2018-5 1.30 8.35 21.35 12.51 10.92 7.28 3.88 4.78 5.16 5.68
Drive Auto Receivables Trust 2019-1 1.18 8.09 20.46 11.98 10.39 6.71 3.81 4.39 4.85 5.16
Drive Auto Receivables Trust 2019-2 1.23 8.13 21.15 12.47 10.98 7.13 3.92 4.60 4.77 5.31
Drive Auto Receivables Trust 2019-3 1.16 7.56 19.81 11.42 10.31 6.75 3.89 4.62 4.88 5.07
Drive Auto Receivables Trust 2019-4 1.28 8.39 20.52 11.96 10.64 6.86 3.85 4.53 4.86 5.41
Drive Auto Receivables Trust 2020-1 0.13 7.58 19.80 11.71 10.58 7.07 3.99 4.62 4.71 5.35
Santander Drive Auto Receivables Trust 2017-1 1.10 7.28 18.31 9.95 8.07 5.38 2.80 2.98 3.38 3.79
Santander Drive Auto Receivables Trust 2017-2 1.05 7.15 17.73 9.91 8.42 5.27 2.69 3.28 3.38 3.77
Santander Drive Auto Receivables Trust 2017-3 1.02 6.71 17.04 9.42 7.89 4.76 2.68 2.99 3.42 3.82
Santander Drive Auto Receivables Trust 2018-1 1.07 6.82 17.41 10.01 8.11 5.44 2.69 3.22 3.58 3.75
Santander Drive Auto Receivables Trust 2018-2 1.00 6.89 17.23 10.17 8.08 5.54 2.75 3.40 3.60 3.95
Santander Drive Auto Receivables Trust 2018-3 1.17 7.33 18.71 10.24 8.92 5.97 3.25 3.66 3.95 4.40
Santander Drive Auto Receivables Trust 2018-4 1.08 7.02 18.40 9.67 8.76 5.69 3.13 3.57 3.80 3.98
Santander Drive Auto Receivables Trust 2018-5 1.13 7.15 18.28 10.11 8.56 5.66 3.25 3.70 3.91 4.20
Santander Drive Auto Receivables Trust 2019-1 1.10 7.32 18.54 10.17 8.74 5.79 3.06 3.46 3.60 3.95
Santander Drive Auto Receivables Trust 2019-2 1.00 6.81 17.36 9.82 8.57 5.60 2.88 3.48 3.55 3.77
Santander Drive Auto Receivables Trust 2019-3 1.05 6.99 17.35 9.19 8.46 5.20 3.01 3.45 3.44 3.87
Santander Drive Auto Receivables Trust 2020-1 N/A N/A N/A N/A N/A N/A 2.96 3.03 3.18 3.86
DT Auto Owner Trust 2016-4(i) N/A N/A 6.98 3.67 1.31 1.31 1.11 0.94 0.00 0.00
DT Auto Owner Trust 2017-1 N/A N/A 7.35 4.01 1.61 1.34 1.37 1.16 0.93 2.03
DT Auto Owner Trust 2017-2 N/A N/A 7.58 3.91 1.56 1.37 1.33 1.10 1.13 1.90
DT Auto Owner Trust 2017-3 N/A N/A 7.94 3.90 1.76 1.34 1.39 1.24 1.08 2.09
DT Auto Owner Trust 2017-4 N/A N/A 8.20 4.49 0.74 1.59 1.34 1.48 1.08 2.49
DT Auto Owner Trust 2018-1 N/A N/A 8.38 4.52 0.85 1.60 1.84 1.50 1.21 2.75
DT Auto Owner Trust 2018-2 N/A N/A 8.90 5.22 0.81 1.83 2.14 1.61 1.24 3.19
DT Auto Owner Trust 2018-3 N/A N/A 8.33 4.49 0.86 1.85 1.89 1.70 1.45 3.24
DT Auto Owner Trust 2019-1 N/A N/A 9.05 3.77 0.88 1.98 2.05 1.78 1.29 3.55
DT Auto Owner Trust 2019-2 N/A N/A 9.00 3.94 0.82 2.03 1.92 2.02 1.43 3.21
DT Auto Owner Trust 2019-3 N/A N/A 8.31 3.71 0.83 1.78 1.82 1.67 1.40 3.17
DT Auto Owner Trust 2019-4 N/A N/A 8.70 4.02 0.96 1.93 2.15 1.74 1.56 3.03
DT Auto Owner Trust 2020-1 N/A N/A 4.69 2.67 0.81 1.66 1.81 1.63 1.43 2.35
DT Auto Owner Trust 2020-2 N/A N/A N/A N/A N/A 0.27 0.48 1.65 1.07 1.34
The data for this table was sourced from the servicing reports, with the exception of Santander's SDART and DRIVE transactions. For their data, we used the loan-level data reported to the SEC as required per Reg AB II. This data is also the same data we extract for our monthly Reg AB II extension report. The extension percentages we report for Santander's transactions are slightly lower than what Santander reports because we measure extensions relative to the beginning month pool balance (which is consistent with most of the industry), while they measure it relative to the ending month balance. For AmeriCredit, the data in this report is from their servicing reports and it differs very little from our compilation of their Reg AB II data. (i)Paid Off in October 2020. (ii)Paid Off in November 2020. N/A--Not applicable. SDART--Santander Drive Auto Receivables Trust. DRIVE--Drive Auto Receivables Trust. AmeriCredit--AmeriCredit Automobile Receivables Trust.

Appendix II: 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 cumulative net losses (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.

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 (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 Drive Auto Receivables Trust and AmeriCredit Automobile Receivables Trust transactions not rated by S&P Global Ratings.

Related Research

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:Nupur Hule, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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