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U.S. Auto Loan ABS Tracker: March 2023 Performance

COMMENTS

Lower Margin For Error On Debt Service Coverage Raises U.S. CMBS Performance Risk

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Weekly European CLO Update

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Select Servicer List

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European And U.K. Credit Card ABS Index Report Q1 2024


U.S. Auto Loan ABS Tracker: March 2023 Performance

Losses Fell Due To Seasonal Rise In Recovery Rates

Prime losses demonstrated strong performance and fell seven basis points (bps) to 0.35% in March 2023, dropping from 0.42% in February 2023. On a year-over-year basis, prime losses doubled from 0.17%, and remained 35% lower than pre-pandemic levels of 0.54% in March 2019.

Subprime losses dropped sharply by 162 bps to 5.80% in March 2023 from 7.42% in February 2023. While subprime losses were about 42% higher than March 2022 (4.09%), they fell 19% below the March 2019 level of 7.13%.

Robust loss performance was largely due to extremely strong recoveries, which typically strengthen in March relative to February, as there is greater vehicle demand stemming from consumers using their tax refunds to purchase automobiles.

Table 1

Net loss rate composite(i)
Mar-09 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Feb-23 Mar-23
Prime (%) 1.84 0.33 0.31 0.40 0.53 0.57 0.54 0.59 0.13 0.17 0.42 0.35
Subprime (%) 9.05 5.17 5.44 7.01 7.37 7.61 7.13 8.38 3.05 4.09 7.42 5.80
Subprime modified (%)(ii) N/A 4.39 4.92 5.56 6.16 6.36 5.78 6.52 2.77 3.23 6.47 5.24
(i)Represents monthly annualized losses. (ii)Three large deep subprime issuers-- American Credit Acceptance, Exeter, and DRIVE--are excluded. N/A--Not applicable.

Chart 1

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Recoveries Outpace Pre-Pandemic Levels

Prime recoveries spiked to 69.34% in March 2023 from 55.06% in February 2023, remaining approximately 14% above the 60.91% rate in March 2019, prior to the COVID-19 pandemic. Strength in recovery rates corresponded with higher Manheim Used Vehicle Values (see chart 2). While recovery rates retreated significantly from 81.40% and 91.24% in March 2022 and March 2021, respectively, those were unusual times, and we don't expect recoveries to return to those levels.

Subprime recoveries jumped to 60.00% in March 2023 from 45.32% in February 2023, higher than the March 2019 level of 49.02% (see table 2 and chart 2).

We expect recovery rates to normalize because more-recently financed vehicles are unlikely to experience the same run up in used vehicle values as in 2021 and early 2022, which resulted from three rounds of government stimulus checks paid to consumers and the shortage of new vehicle inventory, which has been easing.

Table 2

Recovery rate composite(i)
Mar-09 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Feb-23 Mar-23
Prime (%) 53.67 77.51 76.14 72.66 64.78 59.38 60.91 53.18 91.24 81.40 55.06 69.34
Subprime (%) 45.59 56.10 53.96 50.68 47.30 47.46 49.02 39.48 64.76 63.76 45.32 60.00
Subprime modified (%)(ii) N/A 53.26 53.98 52.05 48.10 46.60 48.35 39.48 60.32 63.04 44.18 57.66
(i)Represents monthly recovery rates. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Chart 2

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Delinquencies Benefit From Tax Refunds But Remain Higher Than Pre-Pandemic Levels

The prime 60-plus-day delinquency rate declined month-over-month to 0.41% in March 2023 from 0.47% in February 2023 but remained seven bps higher than pre-pandemic levels of 0.34% in March 2019 (see table 3 and chart 3). Similarly, the subprime 60-plus-day delinquency rate declined to 4.60% in March 2023 from 5.33% in February 2023, yet was 25 bps above March 2019 (4.35%).

We expected the month-over-month improvement, as consumers receive their tax refunds during this time. Year-over-year comparisons, however, show weakness. We attribute this, in part, to normalization, as year-ago levels benefited from consumers having more excess savings due to pandemic-related stimulus. More recently, consumers have been impacted by inflationary pressures.

Furthermore, some lenders are allowing certain obligors to remain delinquent as long as they resume monthly payments (as opposed to repossessing the vehicle) because, according to these lenders, the percentage of severely delinquent accounts that are rolling into charge-off is declining compared with past years. They attribute this to consumers shopping for alternate vehicles and financing, and realizing that their current monthly payment is lower than what it would be if they purchased a new vehicle (due to higher prices and higher interest rates).

Table 3

60-plus-day delinquency rate composite (%)(i)
Mar-09 Mar-14 Mar-15 Mar-16 Mar-17 Mar-18 Mar-19 Mar-20 Mar-21 Mar-22 Feb-23 Mar-23
Prime 0.54 0.32 0.32 0.38 0.36 0.35 0.34 0.41 0.23 0.32 0.47 0.41
Subprime 3.60 3.08 3.40 3.81 4.04 4.28 4.35 5.06 2.66 3.83 5.33 4.60
Subprime modified(ii) N/A 2.35 3.00 3.10 3.03 3.18 3.15 3.55 1.79 2.58 4.23 3.72
(i)Represents 60-plus delinquencies. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Chart 3

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Extension Rates Rose Month-Over-Month And Year Over Year

Both prime and subprime issuers saw a rise in extension rates month-over-month and year-over-year. Prime extensions increased to 0.40% in March 2023 from 0.36% in February 2023, and increased from 0.29% in March 2022. Similarly, extensions for subprime public and 144a transactions in aggregate inched up to 3.05% in March 2023 from 2.92% in February 2023 and 2.36% in March 2022 (see chart 4).

Chart 4

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Prime extensions

Of the 15 prime issuers listed in table 4A, only three reported a month-over-month decrease in extensions (Capital One Prime Auto Receivables Trust [Capital One], Carvana Prime, and Nissan Auto Receivables Owner Trust [Nissan]--a meager one basis point each), 11 reported upticks, and one had stable levels.

In addition:

  • CarMax Auto Owner Trust (CarMax) reported the highest extensions for the month at 0.81%, increasing from 0.69% in the prior month and double the March 2021 level of 0.40%. CarMax's month-to-month increase of 12 bps was also the greatest increase in the prime segment. Ford Credit Auto Owner Trust (Ford Credit) had the second-highest extension rate in March 2023 with 0.79%, but this was generally in line with the rates in February 2023 and March 2022 of 0.78% and 0.74%, respectively, and lower than the rate in March 2021 of 0.95%.
  • Only two issuers, Capital One and Nissan, reported a decline in extensions relative to March 2022.

Table 4A

Prime issuer shelf extension (% of balance)
Shelf name Feb-20 Mar-20 Apr-20 Mar-21 Mar-22 Feb-23 Mar-23
Ally Auto Receivables Trust 0.37 12.01 7.49 0.33 0.34 0.45 0.49
BMW Vehicle Owner Trust 0.17 2.00 7.58 0.21 0.01 0.11 0.14
Capital One Prime Auto Receivables Trust 0.01 0.82 1.94 0.08 0.07 0.04 0.03
CarMax Auto Owner Trust 0.38 3.33

7.33

0.40 0.39 0.69 0.81
Carvana Prime N/A N/A N/A 0.10 0.15 0.23 0.22
Ford Credit Auto Owner Trust 0.75 6.30

6.35

0.95 0.74 0.78 0.79
GM Financial Consumer Automobile Receivables Trust 0.32 0.81 2.27 0.27 0.30 0.33 0.33
Harley-Davidson Motorcycle Trust 0.20 1.85 4.01 0.31 0.27 0.36 0.38
Honda Auto Receivables Owner Trust 0.11 2.03

4.51

0.09 0.10 0.10 0.11
Hyundai Auto Receivables Trust 0.25 2.03

4.22

0.29 0.28 0.28 0.29
Mercedes-Benz Auto Receivables Trust 0.15 4.62 7.21 0.27 0.35 0.54 0.60
Nissan Auto Receivables Owner Trust 0.44 4.19

5.57

0.43 0.32 0.25 0.24
Toyota Auto Receivables Owner Trust 0.28 2.79

6.24

0.22 0.19 0.24 0.26
Volkswagen Auto Loan Enhanced Trust 0.21 0.60

5.81

0.06 0.11 0.11 0.16
World Omni Auto Receivables Trust 0.38 5.85 8.82 0.27 0.35 0.46 0.49
Prime average 0.32 3.75 5.76 0.34 0.29 0.36 0.40
N/A--Not applicable.
Subprime extension rates

The SEC-publicly registered subprime transactions (Reg AB II issuers in chart 4) had a weighted average extension rate of 2.30% for March 2023, a slight increase from February 2023 (2.15%) and more so relative to March 2022 (1.69%). These larger issuers, however, continued to report lower extensions than their 144a peers, which as a group logged a weighted average extension rate of 4.03%, up from the prior month (3.91%) and the year earlier (3.13%).

Of the 17 subprime issuers whose transactions we rate, only three reported a month-over-month decrease in extension rates: AmeriCredit Automobile Receivables Trust, United Auto Credit Securitization Trust, and Westlake Automobiles Receivables Trust. Thirteen reported higher levels from both the previous month and year (see table 4b). Noteworthy changes include the following:

  • Issuers with the largest month-over-month increase were Avid Automobile Receivables Trust (51 bps to 4.44% from 3.93%); Exeter Automobile Receivables Trust (50 bps to 4.80% from 4.30%); and GLS Auto Receivables Issuer Trust (49 bps to 3.88% from 3.39%).
  • Westlake Automobiles Receivables Trust (Westlake) and CPS Auto Receivables Trust (CPS) had the highest extensions in March 2023, both at 5.11%, followed by Exeter Automobile Receivables Trust (Exeter) at 4.80%. Although Westlake has relatively high extension rates, its average 60-plus-day delinquency rate across transactions with at least four months of performance data was only 1.13% as of March 31, 2023, while rates for CPS and Exeter were 6.10% and 8.74%, respectively.

Table 4B

Subprime issuer shelf extension (% of balance)
Shelf name Feb-20 Mar-20 Apr-20 Mar-21 Mar-22 Feb-23 Mar-23
American Credit Acceptance 2.84 3.66 5.15 1.91 1.32 2.48 2.78
AmeriCredit Automobile Receivables Trust(i) 2.48 4.11 6.93

2.43

2.28

2.67

2.62

Avid Automobile Receivables Trust 2.88 3.43 2.82 3.47 3.35 3.93 4.44
Carvana Subprime N/A N/A N/A N/A 1.18 1.90 1.92
CPS Auto Receivables Trust 3.71 6.18 10.21 2.47 3.22 5.00 5.11
Drive Auto Receivables 1.14 8.14 20.64 2.15 1.24 1.50 1.69
DriveTime Automotive Group Inc.(ii) 2.53 3.06 8.88 1.36 1.48 2.34 2.39
Exeter Automobile Receivables Trust 3.02 4.34 11.80

3.06

3.70

4.30

4.80

First Investors Auto Owner Trust 2.79 4.38 3.94 1.70 2.38 2.38 2.74
Flagship Credit Auto Trust 2.01 9.26 18.81 2.63 3.39 3.71 3.89
GLS Auto Receivables Issuer Trust 2.80 4.92 11.39 2.50 2.85 3.39 3.88
Prestige Auto Receivables Trust 2.69 2.85 6.24 2.19 2.75 3.66 4.02
Santander Drive Auto Receivables Trust 1.07 7.04

17.28

1.40 0.98 1.26 1.43
Tidewater Auto Receivables Trust 0.96 1.59 8.36 2.35 1.56 1.59 1.87
United Auto Credit Securitization Trust 4.75 7.54 6.02 2.57 3.98 4.85 4.26
Westlake Automobiles Receivables Trust 4.85 11.73 7.41 3.76 4.44 5.23 5.11
World Omni Select

1.58

14.72 19.58

1.28

1.31

1.36

1.36

Subprime average 2.35 6.62 12.75 2.21 2.36 2.92 3.05
(i)March 2022 and onwards includes only AmeriCredit's S&P Global Ratings-rated deals. (ii)Extension rate for DriveTime Automotive Group Inc. for February and March 2023 includes only the 2021-3 through 2022-3 deals. These are the only deals with at least four months of performance in which the servicing reports provide extension info on a dollar basis (as opposed to account-based). The company previously provided dollar-based extensions through Dec. 31, 2021, for all of its o/s deals from August 2019 through Dec. 31, 2021. N/A--Not applicable.

Auto Loan Static Indexes

Prime--Vintage cumulative net losses (CNLs) weaken but track lower than pre-pandemic levels

Each annual vintage from 2018 through 2020 is performing better than its immediately preceding vintage (see chart 5). Stronger underwriting practices during the beginning of the COVID-19 pandemic relative to prior years coupled with government stimulus payments and record recovery rates contributed to this improved performance.

Nevertheless, the end of assistance programs, declining used vehicle values during the second half of 2022, and inflationary pressures have put the brakes on further performance improvement. For example, the 2021 vintage posts a 0.30% loss level at month 16, which is slightly higher than the 2020 vintage at the same seasoning point (0.24%). However, losses for the 2021 vintage remain below those of 2016-2019 at the same number of months. While CNLs for the 2022 quarterly vintages are trending higher than for the 2021 vintage year, they are generally tracking lower than the 2016-2019 annual vintages.

Prime cumulative gross losses (CGL) (see chart 6) are showing trends similar to CNLs through fourth-quarter 2022.

Cumulative recoveries appear to have peaked for the 2020 cohort at approximately 64% (for months 24-28), followed by the 2021 vintage (chart 7). The 2022 quarterly vintages have generally gotten off to a weaker start, taking a bit longer to reach the normal recovery rate of approximately 50%.

Recent vintages are also showing weakness on the delinquency front, reporting higher 60-plus-day delinquencies on the first- through fourth-quarters 2022 vintages than for the 2016-2019 vintages at the same months outstanding (see chart 8). In fact, the 2022 quarterly vintages are reporting 60-plus-day delinquencies that are in line with 2007 and 2008.

Chart 5

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Chart 6

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Chart 7

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Chart 8

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Subprime--Losses escalate on the 2022 quarterly vintages above historical levels

Similar to prime vintages, subprime 2018-2020 vintages are all performing sequentially better than their immediately preceding vintage; however, normalization has set in with the 2021 vintage, and the second-quarter 2022 vintage is off to a rough start with higher losses (4.75% at month 10) than all pre-COVID-19 pandemic vintages between 2016 to 2019, and even higher than the 2008 vintage (chart 9a). The subsequent 2022 quarterly vintages are also showing deterioration relative to historical levels. Higher CNLs have been due to greater defaults (chart 10), stemming from inflationary pressures on the subprime customer, and a precipitous drop in recoveries early in the lives of these transactions (chart 11). We believe intense competition in this space from mid-2021 through mid-2022 also contributed to weaker performance.

While much of the deterioration in losses is concentrated among the deep subprime players (specifically Exeter and American Credit Acceptance), even after excluding them (and Santander's Drive platform) in the modified subprime CNL index (chart 9b), CNLs for second- through fourth-quarter 2022 vintages are trending higher than pre-pandemic and 2008 vintages, although to a lesser extent. For issuers reporting worse performance, see Appendix I: Issuer's CNL Performance Charts.

Cumulative recoveries have peaked for the 2020 vintage (53% at month 28), retracted in the 2021 vintage, and continued to weaken in the 2022 quarterly vintages (see chart 11). The fourth-quarter 2022 vintage is reporting only a 19.56% recovery rate through month five, which is very low by historical standards. Some issuers attribute the lower recovery rates to more full-balance charge-offs because it's taking them longer to find and repossess vehicles. As the first- and second-quarter 2022 vintages reflect, cumulative recoveries are remaining low early on, but start to approach historic levels later once the vehicles are liquidated at auction and other recoveries are received.

Sixty-plus-day delinquencies have ticked up beginning with the 2021 vintage to 5.67% as of month 16, which is higher than the 2016-2020 vintages at the same seasoning point. The third-quarter 2022 vintage is worse at 5.03% at only month seven. (See chart 12A.)

Chart 9A

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Chart 9B

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Chart 10

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Chart 11

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Chart 12A

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Chart 12B

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Collateral Characteristics: APRs Rise Along With LTVs

Prime

The collateral characteristics for prime transactions for the first three months ended March 2023 were mixed. The weighted average FICO score slightly improved, while the percentage of used vehicles financed and the weighted average LTV increased. (See table 13a.)

  • The weighted average FICO inched up to 756 compared to 754 for 2022, and is the highest since 2015, except for 2020 when lending standards tightened due to COVID-19.
  • Used vehicles comprised 38.53% of pools securitized in first-quarter 2023, an increase from 35.13% in first-quarter 2022
  • In first-quarter 2023, loans with original maturities of 73-75 months decreased to 7.99% from 10.45%, but maturities of 76-84 months increased to 3.83% from 2.77%.
  • The weighted average loan-to-value (LTV) ratio increased modestly to 97.13% from 95.95% in 2022.
  • With the Federal Reserve increasing interest rates, unsurprisingly, the weighted average APR rose to 5.10% from 4.41% last year. Of note, however, is the dispersion of APRs, with the captives (or quasi captives) having low APRs (ranging from 3.1% for Honda to 5.6% for World Omni), while used-car retailers CarMax and Carvana having much higher APRs of 9.1% and 11.8%, respectively. We continue to group CarMax and Carvana's prime deals in our prime segment because our expected CNLs on their transactions are less than 3.25%.

Table 5A

Prime collateral trends(i)
WA APR (%) Used (%) Loans with original terms > 60 months (%) Loans with original terms of 61-72 months (%) Loans with original terms of 73-75 months (%) Loans with original terms of 76-84 months (%)(ii) WA original maturity WA LTV ratio (%) WA FICO score
2016 3.51 29.75 50.15 45.00 -- -- 64.32 96.94 746
2017 3.59 28.38 55.92 48.16 -- -- 65.52 95.94 749
2018 3.73 27.66 58.14 52.35 -- -- 65.8 95.81 755
2019(ii) 4.50 29.66 60.51 52.54 7.01 0.95 66.16 95.64 754
2020 4.24 29.41 61.81 54.69 6.39 0.73 66.25 96.66 757
2021 4.29 36.40 63.06 52.97 8.46 1.04 66.73 96.16 754
2022 4.41 35.13 66.87 53.65 10.45 2.77 67.17 95.95 754
First-quarter 2023 5.10 38.53 66.58 54.76 7.99 3.83 66.86 97.13 756
(i)The collateral characteristics of revolving transactions are not included because the collateral pools are dynamic. The 2016-2020 vintages include most term transaction not rated by S&P Global Ratings. (ii)Effective August 2019, we began reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan-to-value.
Subprime

Issuance composition in first-quarter 2023 was skewed by two Westlake transactions, which represented 37% of the quarter's dollar volume, in aggregate, based on the transactions in our data set. As such, comparing the changes in collateral attributes for first-quarter 2023 to all of 2022 has limited value. (See table 13b.)

  • The weighted average FICO score improved to 601 from 593 for all of 2022, due to Westlake's transactions having a weighted average FICO scores of 624 and 629.
  • The weighted average APR surged to approximately 18.00% from 16.69% in 2022. Most lenders have increased their APRs given higher ABS funding costs.
  • During first-quarter 2023, the percentage of loans with original maturities greater than 60 months decreased to 76.85% from 85.64%, and loans with original terms of 73-75 months declined to 8.31% from 12.60%. Loan terms shortened due to the inclusion of two Westlake transactions, as its first-quarter 2023 transactions had the second-shortest weighted average original maturities (63 and 61 months) in our subprime composite. United Auto Credit had the lowest maturity at 59 months. The other subprime securitizers had weighted average original maturities of approximately 70 to 74 months for first-quarter 2023.
  • The percentage of loans with original terms of 76-84 months increased to 4.60% from 2.27% in 2022. AmeriCredit Automobile Receivables Trust, Exeter, and CPS were the largest securitizers of these loans in first-quarter 2023 with 19.75%, 14.25% (76-78 months), and 8.68% (76-78 months), respectively.
  • The percentage of used vehicle financing increased to 86.78% for first-quarter 2023 from 84.75% for full-year 2022.
  • The weighted average LTV increased to 112.90% for first-quarter 2023 from 110.30% for full year 2022.

Table 5B

Subprime collateral trends(i)
WA APR (%) Used (%) Loans with original terms > 60 months (%) Loans with original terms of 61-72 months (%) Loans with original terms of 73-75 months (%) Loans with original terms of 76-84 months (%)(ii) WA Original Maturity WA LTV ratio (%) WA FICO score
2016 16.85 68.25 83.27 79.56 -- -- 68.52 112.55 575
2017 17.79 69.05 84.61 79.28 -- -- 68.94 110.57 578
2018 17.97 66.53 83.03 74.55 -- -- 68.65 110.28 587
2019(ii) 17.84 70.55 82.63 74.49 8.14 -- 68.69 112.45 584
2020 17.21 72.42 83.04 73.15 9.48 0.43 68.98 111.87 588
2021 17.07 78.65 86.30 76.25 8.56 1.46 69.68 109.80 590
2022 16.69 84.75 85.64 70.13 12.60 2.27 69.75 110.30 593
First-quarter 2023 17.98 86.78 76.85 63.92 8.31 4.60 67.88 112.90 601
(i)The collateral characteristics of revolving transactions are not included because the collateral pools are dynamic. The 2016-2020 vintages include most term transaction not rated by S&P Global Ratings. (ii)Effective August 2019, we began reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan-to-value.

Auto Loan ABS Rating Activity/Revised Loss Expectations

In April 2023, we revised our loss expectations and took the following rating actions:

  • We raised our ratings on 10 classes and affirmed our ratings on five classes from three DT Auto Owner Trust transactions (2021-3, 2021-4, and 2022-1).
  • We raised our ratings on two classes and affirmed our ratings on 21 classes from Six Hyundai Auto Receivables Trust transactions.
  • We raised our ratings on seven classes and affirmed our ratings on four classes from Three World Omni Select Auto Trust transactions.
  • We raised our ratings on seven classes of notes and affirmed our ratings on three classes from two GLS Auto Receivables Issuer Trust transactions.
  • We lowered our rating on the UACST Trust 2022-2's class E notes to 'B (sf)' from 'BB (sf)' and removed it from CreditWatch negative.
  • We raised our ratings on six classes and affirmed our ratings on two classes from American Credit Acceptance Receivables Trust 2022-1 and 2022-2.

These rating actions resulted in 32 upgrades, 35 affirmations, and one downgrade, bringing the total number of upgrades and downgrades on S&P Global Ratings' publicly rated U.S. auto loan ABS transactions to 52 and five, respectively through April 30, 2023 (see tables 6-8).

Table 6

Historical ratings activity--U.S. ABS auto loans
Period Upgrades Downgrades
2015 177 0
2016 357 0
2017 322 0
2018 335 2
2019 432 5
2020 332 8
2021 579 0
2022(i) 419 6
2023(ii) 52 5
Total 3,005 26
(i)The downgrades were a result of error correction. Prior upgrades were too high due to a input error and as such the degree of upgrade was reduced with the error correction. (ii)As of April 30, 2023.

Table 7

Historical ratings activity--Canadian ABS auto loans
Period Upgrades Downgrades
2021 8 0
2022 3 0
2023(i) 0 0
Total 11 0
(i)As of April 30, 2023.

Table 8

CreditWatch placements
Transaction name Class Current rating CreditWatch Date placed on CreditWatch
Exeter Automobile Receivables Trust 2022-5 E BB (sf) Watch negative March 31, 2023

Of the 17 transactions we reviewed in April, we increased our expected cumulative net loss (ECNL) on four (all subprime transactions from 2022), lowered them on eight, and maintained them on five.

Table 9

American Credit Acceptance Receivables Trust 2022-1 and 2022-2
Series Original lifetime CNL exp. Revised lifetime CNL exp.(i)
2022-1 25.50-26.50 30.00
2022-2 25.50-26.50 31.50
(i)As of the collection period ended March 2023. CNL exp.--Cumulative net loss expectations.

Table 10

United Auto Credit Securitization Trust 2022-2
Series Original lifetime CNL exp. Current lifetime CNL exp.(i)
2022-2 19.75-20.75 25.50
(i)As of the collection period ended March 31, 2023. CNL exp.--Cumulative net loss expectation.

Table 11

GLS Auto Receivables Issuer Trust transactions
Series Original lifetime CNL exp. Prior Revised lifetime CNL exp. Revised CNL exp.(i)
2021-4 16.25-17.25 N/A 16.00
2022-1 16.25-17.25 N/A 17.50
(i)As of March 2023. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Table 12

World Omni Select Auto Trust transactions
Series Original lifetime CNL exp. Former lifetime CNL exp.(i) Revised lifetime CNL exp.(i)
2019-A 6.75-7.25 4.25-4.75 3.50
2020-A 8.15-8.65 4.00-4.50 2.75
2021-A 6.25-6.75 N/A 3.50
(i)As of March 2023. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Table 13

Hyundai Auto Receivables Trust transactions
Series Original lifetime CNL exp. Former lifetime CNL exp.(i) Current lifetime CNL exp.(i)
2019-A 1.45-1.65 1.00-1.20 up to 1.00
2019-B 1.40-1.60 0.95-1.15 up to 1.00
2020-A 1.80-2.00 1.10-1.30 1.20
2020-B 1.80-2.00 1.10-1.30 1.10
2020-C 1.80-2.00 1.10-1.30 1.15
2022-A 1.30-1.50 N/A 1.40
(i)As of March 2023. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Table 14

DT Auto Owner Trust transactions
Series Original lifetime CNL exp. Former lifetime CNL exp. Revised lifetime CNL exp.
2021-3 26.00-27.00 N/A 23.00
2021-4 25.25-26.25 N/A 24.00
2022-1 24.25-25.25 N/A 25.25
CNL exp.--Cumulative net loss expectations. N/A–-Not applicable.

Appendix I: Issuer's CNL Performance Charts

The charts in this section show static pool cumulative net losses by issuer.

Chart 13

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Chart 14

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Chart 15

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Chart 16

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Chart 17

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Chart 18

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Chart 19

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Chart 20

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Chart 21

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Chart 22

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Chart 23

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Chart 24

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Chart 25

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Chart 26

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Chart 27

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Chart 28

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Chart 29

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Chart 30

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Chart 31

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Chart 32

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Chart 33

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Chart 34

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Chart 35

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Chart 36

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Chart 37

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Chart 38

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Chart 39

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Chart 40

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Chart 41

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Chart 42

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Chart 43

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Appendix II: Auto Tracker 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 ECNLs of 3.25% or less and average FICO scores of 700 or higher. We include CarMax and Carvana in this segment.

How do you define subprime auto loan ABS?

We generally categorize subprime auto loan ABS transactions as those backed by loan pools with initial ECNLs of at least 7.5%, average FICO scores of less than 620, and APRs that exceed 14.0%.

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. Then we 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. Then we 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 fewer 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 month 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 and subprime composites and indices, see "U.S. Auto Loan ABS Tracker: June 2022 Performance," published Aug. 18, 2022. However, note that we subsequently added transactions that have since closed.

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:Jennie P Lam, New York + 1 (212) 438 2524;
jennie.lam@spglobal.com
Steve D Martinez, New York + 1 (212) 438 2881;
steve.martinez@spglobal.com
Sanjay Narine, CFA, Toronto + 1 (416) 507 2548;
sanjay.narine@spglobal.com
Research Contributor:Veerbhadrappa Umbargi, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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