U.S. auto mortgage asset-backed securities (ABS) efficiency remained sturdy in September 2020. Prime losses declined to their lowest stage since May 2012, and 60-plus-day delinquencies slid to a file low stage for the month of September. September’s subprime loss fee, excluding July and August’s file low loss ranges, was the bottom since May 2012. At the identical time, subprime 60-plus-day delinquencies declined to their lowest September stage since 2012.

While the decrease unemployment stage of seven.9% in September 2020 (in contrast with 8.4% in August) and continued sturdy restoration charges supported favorable efficiency, elevated extensions because the COVID-19 pandemic-induced recession began have, in our opinion, dampened delinquencies and doubtlessly losses. Extensions, which permit obligors to skip a cost and add it to the tip of their mortgage, usually carry the account present and stave off attainable repossession. Assuming the borrower can resume funds at a later date, losses shouldn’t be materially impacted; nevertheless, to the extent obligors can’t resume their funds, losses will ultimately rise.

In September, month-to-month extension charges for prime issuers continued to say no, whereas subprime issuers noticed their first improve in 5 months. In our view, the reversal in extension charges in subprime loans was on account of a number of of the next: enhanced unemployment advantages declining to $300 from $600; the devastating hurricane season, together with Hurricane Laura; and continued excessive ranges of unemployment. Even with the extension fee improve on subprime loans, extensions stay a lot improved from their peak ranges within the spring. (For efficiency on extensions, see our newest article, “SF Credit Brief: U.S. Auto Loan ABS Extension Patterns Diverged In September: Deferrals On Prime Loans Declined, But Rose On Subprime, revealed Nov. 12, 2020.)

S&P Global Ratings believes there stays a excessive diploma of uncertainty concerning the evolution of the coronavirus pandemic. Reports that at the very least one experimental vaccine is very efficient and would possibly achieve preliminary approval by the tip of the 12 months are promising, however that is merely step one towards a return to social and financial normality; equally essential is the widespread availability of efficient immunization, which may come by the center of subsequent 12 months. We use this assumption in assessing the financial and credit score implications related to the pandemic (see our analysis right here: www.spglobal.com/scores). As the scenario evolves, we are going to replace our assumptions and estimates accordingly.

Losses Reach Lowest Level Since 2012

Prime internet losses decreased to 0.22% in September 2020 in contrast with 0.25% in August 2020 and 0.57% in September 2019 (see desk 1 and chart 1). September’s loss stage was the bottom since May 2012. Several issuers reported decrease losses in September relative to August, together with 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 collectively comprise roughly 40% of the entire prime composite. Lower losses stem from greater restoration charges and elevated extension charges, albeit deferrals have been declining.

After declining for 4 straight months, subprime internet losses elevated by 60 foundation factors (bps) to three.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 file low loss ranges, September’s loss fee of three.53% was the bottom loss fee because the spring of 2012.

Subprime cabinets reporting greater losses had been Drive Auto Receivables Trust (DRIVE), Santander Drive Auto Receivables Trust (SDART), Westlake Automobile Receivables Trust (Westlake), and Flagship Credit Auto Trust (Flagship), which mixed, comprise roughly 55% of the entire subprime composite. After netting out three deep subprime issuers (American Credit Acceptance, Exeter, and DRIVE), modified subprime losses elevated by 35 bps to three.06% in September 2020 from 2.71% in August 2020, and decreased 327 bps from 6.32% in September 2019.

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
US Auto Loan ABS Tracker: Leistung im September 2020

Recoveries Declined, But Remained Near Record High Levels

Prime recoveries decreased 62 bps to 79.91% in September 2020 from August’s eight-year excessive of 80.54% and elevated from September 2019’s stage of 53.90% (see desk 2 and chart 2). September recoveries had been largely influenced by decrease 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 roughly 42% of the entire prime index.

After rising for 4 straight months and reaching a file of 65.02% in August, subprime recoveries decreased 711 bps to 57.90% in September 2020, which continues to be greater than historic ranges for the month and significantly above the speed of 41.23% in September 2019. Subprime modified recoveries decreased to 57.25% in September 2020 from 60.33% in August 2020, and elevated from 41.48% in September 2019.

The astonishingly excessive restoration charges stem from provide shortages and elevated demand. Supply has been hampered by decrease new car gross sales this 12 months, which have lowered the availability of trade-in autos, usually an enormous supply of used car stock. New car stock has additionally been low on account of auto manufacturing crops shutting down earlier this 12 months. At the identical time, demand is up for used autos on account of urbanites transferring to the suburbs the place car possession is crucial, and public transportation riders shifting to driving themselves to and from work in an effort to guarantee social distancing. All of this helped improve used car costs by 6.7% in September relative to August 2020, leaving used car costs up 10.3% for the 12 months ended Sept. 30, 2020, in response to the Consumer Price Index.

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
Image

Extensions Keep Delinquencies At Record Low Levels

The prime 60-plus-day delinquency fee declined three bps to 0.33% as of month-end September 2020 from 0.36% in August 2020 and 9 bps from 0.42% in September 2019 (see desk 3 and chart 3). At solely 0.33%, September’s 60-plus-day delinquency fee was a file low stage for the month. We imagine the low ranges of delinquencies are a mirrored image of the excessive charges of extensions that lenders have supplied to debtors who misplaced their jobs or had their pay minimize. For September, the unemployment fee remained elevated at 7.9%.

The subprime 60-plus-day delinquency fee decreased to three.66% in September 2020 from 3.72% in August 2020 and from 5.23% in September 2019. September’s 3.66% stage was the bottom subprime delinquency fee for the month since 2012. Delinquencies had been decrease than they in any other case can be on account of elevated extension charges, which rose in September relative to August (see Subprime Extensions On The Rise Again part under).

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

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
Image

Subprime Extensions On The Rise Again

There was a divergence in extension charges 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 cabinets (DRIVE, SDART, AmeriCredit Automobile Receivables Trust, and World Omni Select) to three.65% from 3.12% in August 2020 primarily based on their Regulation AB II loan-level information (see desk 4). The smaller, 144a subprime issuers additionally posted greater extensions of three.87% for the month, which was not solely greater than the three.39% in August, however in keeping with the three.90% in June. When we account for these transactions, the subprime all-in month-to-month extension fee elevated to three.76% from 3.26% in August.

We imagine that the expiration of the improved unemployment advantage of as much as $600 (among the funds continued into early August) triggered monetary misery in September for a lot of obligors in subprime swimming pools that in flip contributed to September’s extension improve. In our view, till one other stimulus bundle is authorized and the cash reaches the unemployed, we’re more likely to see elevated auto mortgage extension charges. For transaction-specific extension information for subprime transactions, please see Appendix II.

Erweiterungen
Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
Prime Extensions–Reg AB II information (%)(i) 0.32 3.75 5.76 2.16 1.39 0.82 0.63 0.55
Subprime Extensions–Reg AB II information (%)(i) 1.53 6.82 15.75 8.90 7.66 4.89 3.12 3.65
Subprime Extensions–144a (month-to-month servicing studies) (%) 3.29 6.89 10.08 6.30 3.90 3.36 3.39 3.87
Subprime Extensions–Reg AB II information + month-to-month servicing studies (%)(ii) 2.40 6.93 13.26 7.82 5.69 4.27 3.26 3.76

Collateral Trends

Prime

In our view, prime collateral traits remained sturdy by the primary 9 months of 2020. The weighted common FICO rating elevated to 759 from 755 in 2019, and the share of loans with better than 60-month loans declined to 58.99% in contrast with 60.31% in 2019. A slight unfavorable was that the weighted common loan-to worth (LTV) ratio elevated to 96.21% from 95.48% in 2019, but it surely stays under 2015 and 2016 ranges. Those years had been marked by intense competitors and lots of lenders subsequently tightened their credit score requirements in 2017.

Of observe, the transactions included in our aggregation don’t embody the revolving transactions, akin to Ford’s REV and Toyota’s TALNT cabinets, because of the dynamic nature of their pool compositions. These offers have allowed for 8% and 15% of the collateral, respectively, to incorporate authentic phrases of as much as 84 months. In addition, this 12 months, GMF included 84-month loans of their securitizations for the primary time, though the share has to date been below 5%. Also, Ford has included them for the primary time in its November 2020-C amortizing issuance. Loans on this pool with an authentic time period of 73-84 months equal roughly 9.8%.

Prime Collateral Trends(i)
Prime WA APR (%) Used (%) % of loans with orig. time period > 60 months (%) % of loans with orig. time period 73-75 months (%)(ii) % of loans with orig. time period 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

Subprime

In our view, subprime collateral credit score high quality weakened within the first quarter of 2020 relative to 2019 as lenders continued to develop origination quantity; nevertheless, lenders rapidly tightened credit score requirements as soon as the pandemic was upon us. Collateral traits usually improved from first-quarter 2020 to the third quarter. The weighted common FICO rating elevated to 591 from 575, the weighted common annual share fee (APR) decreased to 16.13% from 19.53% and, importantly, the weighted common LTV declined to 109.76% from 116.22% as the next issuers lowered their LTVs relative to the primary quarter: American Credit Acceptance, Flagship, Exeter, CPS Auto Receivables Trusts (CPS), and DRIVE. Only GLS Auto Receivables Trust reported a rise of their weighted common LTV quarter to quarter (to 121.31% in second-quarter 2020 from 119.68% in first-quarter 2020, though it dropped to 119.54% in third-quarter 2020). Additionally, many firms elevated their emphasis on revenue and job verification processes.

Subprime Collateral Trends(i)
Subprime WA APR (%) Used (%) % of loans with orig. time period > 60 months (%) % of loans with orig. time period 73-75 months (%)(iii) % of loans with orig. time period 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

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

Prime

Prime auto mortgage ABS issuers’ tighter underwriting requirements and extra selective standards for his or her 2017 and 2018 securitizations are nonetheless producing optimistic outcomes. The 2017 classic with 35 months of efficiency is experiencing decrease losses than 2016 (0.83% for 2017 in contrast with 0.88% for 2016). Also, the 2018 classic, with 22 months of efficiency, has incurred 0.60% of cumulative internet losses (CNLs) in contrast with 0.62% on the similar seasoning level for the 2017 classic and 0.67% for 2016 (see chart 4 and desk 19 in Appendix I).

The 2019 classic with 10 months of seasoning has incurred 0.28% of CNLs, which is in keeping with the 2018 and 2017 vintages on the similar seasoning level. However, it is too early to attract conclusions from the restricted information, particularly since higher-than-normal ranges of extensions have saved delinquencies and losses decrease than they in any other case would have been.

Image

Subprime

Subprime CNLs, in mixture, are displaying improved outcomes for the newer vintages. The 2017 classic with 35 months of efficiency is experiencing decrease losses than 2016 (12.40% for 2017 in contrast with 12.54% for 2016). The 2018 and 2019 vintages are demonstrating marked enchancment relative to the 2016 and 2017 vintages. The 2018 cohort has CNLs of 8.41% at month 22 in contrast with 9.03% and 9.07% for 2016 and 2017, respectively. The 2019 cohort is trending under the 2016 and 2018 vintages with 3.88% in losses at month 11 in contrast with 3.96% and 4.26%, respectively, for the sooner vintages.

As famous above, it is too early to attract conclusions from 2019’s restricted monitor file, particularly given the elevated ranges of subprime mortgage extensions, which have saved delinquency charges low. In addition, now we have seen that the 2019 cohort of offers is paying down extra slowly than earlier vintages, doubtless on account of excessive deferments, and these offers might expertise extra back-loaded loss curves than earlier transactions.

Image

Issuer-Specific Cumulative Net Loss Index Data

We monitor CNLs by classic for a variety of issuers and evaluate these losses to the prime and subprime Auto Loan Static Index (ALSI) (see tables 6A and 6B).

Various prime issuers reported greater losses on their 2016 securitizations at month 36 than their 2015 transactions. Some issuers have addressed this by both including a minimal FICO rating for his or her pool or in any other case bettering their pool mixes. In truth, World Omni created a separate issuing shelf in 2019, World Omni Select Auto Trust, to securitize its nonprime/subprime auto loans individually from its prime swimming pools.

Most prime issuers are reporting passable outcomes for his or her 2017 by third-quarter 2019 swimming pools. However, Nissan is reporting greater losses on its first- and second-quarter 2019 securitizations in contrast with older vintages which have an extended efficiency historical past. The obligor and collateral traits of those 2019 swimming pools are barely weaker than the sooner vintages. We thought of this weak spot by elevating our anticipated cumulative internet losses (ECNL) on Nissan’s 2019-C transaction issued within the fourth quarter of 2019.

Most of the subprime issuers’ 2016 vintages carried out worse than these from 2015, whereas the 2017 vintages are usually performing higher than their respective 2016 vintages. The 2018 offers are usually performing inside passable bounds. It’s troublesome to gauge at this level how the 2019 offers will carry out given their younger standing and since excessive ranges of extensions have restricted the quantity of losses that they might in any other case have incurred at this level. Expected excessive unemployment ranges by the remainder of the 12 months may additionally negatively influence these transactions, as may the discount in unemployment advantages.

Prime Issuer CNL Performance Compared To The ALSI
2015 2016 (i) 2017(i) 2018 2019 Q1 2019 Q2 2019 Q3
Aussteller Monat 36 Monat 36 Monat 35 Monat 21 Monat 18 Monat 15 Monat 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
Fünftes Drittel N / A N / A 0.53 N / A NA 0.38 N / A
Ford Kredit 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
SolarTrust 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
Subprime Issuer CNL Performance Compared To The ALSI
2015 2016 2017 2018 2019 Q1 2019 Q2 2019 Q3
Monat 36 Monat 36 Monat 35 Monat 21 Monat 18 Monat 15 Monat 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
AutomotiveFinance 12.10 N / A N / A N / A N / A N / A N / A
AutomotiveNow (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
FAHREN 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
Flaggschiff 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
Ehren 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
Gezeitenwasser 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

Recent Auto Loan ABS Rating Activity/Revised Loss Expectations

In October, we revised our loss expectations and took the next score actions:

The above actions resulted in 51 upgrades and 105 affirmations in October. Through Oct. 31, 2020, our evaluations have resulted in 242 upgrades and eight downgrades. The 33 subprime non-investment-grade lessons that we had placed on CreditWatch with unfavorable implications in May had been resolved by November 6. They resulted in 5 downgrades (as mirrored in desk 7) with the remaining being affirmed. In addition to these 5 downgrades, three different non-investment-grade lessons had been additionally downgraded.

Historical Ratings Activity–U.S. ABS Auto Loans
Zeitraum Upgrades Politik

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

Out of the 39 transactions that we reviewed in October, we lowered our revised anticipated cumulative internet losses (ECNL) on 11, raised them on 21, and maintained them on seven. The upwardly revised ECNLs are totally on the second-half 2018 and newer transactions, and have in mind potential deterioration ensuing from excessive unemployment ranges. In truth, many of the transactions aren’t presently trending towards the upper loss ranges, however their higher-than-historical extension ranges and future financial uncertainty led us to extend our base case. Even with these upward changes, there have been no downgrades throughout October.

GLS Auto Issuer Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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
DT Auto Owner Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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
California Republic Auto Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated lifetime CNL (revised Oct. 2020) (%)
2016-2 2.70-2.90 4.30-4.50 max. 4.30 Personen
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
Ally Auto Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated lifetime CNL (revised Oct. 2020) (%)
2017-3 0.95-1.05 0.95-1.05 max. 1.00 Personen
2017-4 0.95-1.05 0.85-0.95 max. 0.95 Personen
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
Exeter Auto Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated lifetime CNL (revised Oct. 2020) (%)
2016-2 18.75-19.75 20.50-21.50 max. 22.00 Personen
2016-3 18.50-19.50 20.50-21.50 max. 21.00 Personen
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
USAA Auto Owner Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated lifetime CNL (revised Oct. 2020) (%)
2019-1 0.60-0.80 N / A 0.35-0.45
American Credit Acceptance Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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
Hyundai Auto Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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
Flagship Credit Auto Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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
Sierra Auto Receivables Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated lifetime CNL (revised Oct. 2020) (%)
2016-1 19.00-20.00 24.25-25.25 max. 25.75 Personen
First Investors Auto Owner Trust
Serien Initial anticipated internet loss vary (%) Former anticipated lifetime CNL (%) Revised/maintained anticipated 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

Appendix I: ALSI Performance Data

Prime Cumulative Net Losses (%)(i)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(ii) 2017(ii) 2018(ii) 2019(ii)
No. of offers 32 37 26 28 20 31 23 32 21 29 33 35 39
Initial collateral stability (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
Monat
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 - - -
Subprime Cumulative Net Losses (%)
2007 2008 2009 2010 2011 2012(i) 2013 2014(ii) 2015 2016(iii) 2017 2018(iii)(iv) 2019
No. of offers 19 4 2 14 15 26 26 29 29 38 33 42 39
Initial collateral stability (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
Monat
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 - - -
Modified Subprime Cumulative Net Losses (%)
2013 2014 2015 2016(i) 2017 2018(ii) 2019
Initial collateral stability (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Monat
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 - - -
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 offers 32 37 26 28 20 31 23 32 21 29 33 35 39
Initial collateral stability (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
Monat
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 - - -
Subprime 60-Plus Day Delinquencies (%)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(i) 2017 2018(ii) 2019
No. of offers 19 4 2 14 15 26 26 29 29 38 33 42 39
Initial collateral stability (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
Monat
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 - - -
Modified Subprime 60-Plus Day Delinquencies (%)
2013 2014 2015 2016(i) 2017 2018(ii) 2019
Initial collateral stability (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Monat
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 - - -
Prime Cumulative Recoveries (%)(i)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(ii) 2017(ii) 2018(ii) 2019(ii)
No. of offers 32 37 26 28 20 31 23 32 21 29 33 35 39
Initial collateral stability (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
Monat
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 - - -
Subprime Cumulative Recoveries (%)
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016(i) 2017

2018(ii)

2019
No. of offers 19 4 2 14 15 26 26 29 29 38 33 42 39
Initial collateral stability (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
Monat
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 offers we did not fee. (ii)Includes SDART and AmeriCredit offers not rated by S&P Global Ratings.
Modified Subprime Cumulative Recoveries (%)
2013 2014 2015 2016(i) 2017

2018(ii)

2019
Initial collateral stability (bil. $) 12.30 11.83 12.00 16.08 11.12 16.09 14.94
Monat
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 - - -

Appendix II: Subprime Extensions

Subprime Extensions
Extension (%) Current pool issue (%)
Angebote Feb-20 Mar-20 April-20 May-20 Juni-20 Juli-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

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

How do you outline prime auto mortgage ABS?

We usually categorize prime auto mortgage ABS transactions as these backed by mortgage swimming pools with preliminary anticipated CNLs of three.00% or much less, common FICO scores of 700 or greater, and APRs of 0.00%-5.00%.

How do you outline subprime auto mortgage ABS?

We usually categorize subprime auto mortgage ABS transactions as these backed by mortgage swimming pools with preliminary anticipated CNLs of at the very least 7.50%, common FICO scores of lower than 620, and APRs that exceed 14.00%.

How do you calculate the month-to-month internet loss fee?

The month-to-month internet loss fee is annualized. It equals every transaction’s internet loss fee weighted by the transaction’s ending pool stability for the present month over the combination ending pool stability of all transactions included within the index.

We solely enable a transaction to enter the composite beginning in its fourth month excellent. Transactions often have zero or low losses throughout their first three months, which dilutes the composite figures.

How do you calculate the month-to-month restoration fee?

We calculate recoveries by taking the restoration quantity reported (which generally consists of all recoveries, together with disposition proceeds, post-disposition proceeds, and another reported recoveries) over the gross loss quantity for the present month. We then weight every transaction’s restoration share by the transaction’s ending pool stability for the present month over the combination ending pool stability of all transactions included within the index.

We solely enable a transaction to enter the index beginning in its fourth month excellent. During a transaction’s first three months, unusually excessive or low recoveries are reported, resulting in a spike within the composite figures.

How do you calculate the month-to-month 60-plus-day delinquency fee?

We calculate delinquencies by taking every transaction’s 60-plus-day delinquency quantity over the ending pool stability for the present month. We then weight every transaction’s 60-plus-day delinquency share by the transaction’s ending pool stability for the present month over the combination ending pool stability of all transactions included within the composite.

We solely enable a transaction to enter the composite beginning in its fourth month excellent. During the transaction’s first three months, zero or decrease delinquencies are reported, which dilutes the composite figures.

What is the ALSI?

Our ALSI screens the credit score efficiency of securitizations that had been originated in the identical 12 months on a weighted common foundation. The variety of months displayed for every classic is usually decided by the final level that every one securitizations for that point interval have an information level. We calculate the prime and subprime ALSI CNLs by taking the weighted common of the CNLs of the transactions that had been accomplished in the identical time interval (usually a 12 months). Each transaction’s CNL is weighted by its preliminary pool stability over the combination preliminary pool stability of all of the transactions included within the index for that interval. In the subprime ALSI, transactions from Byrider Finance LLC (doing enterprise as AutomotiveNow Acceptance Corp.), Credit Acceptance Corp., and DriveTime Automotive Group Inc. are excluded as a result of they don’t have the standard oblique auto mortgage enterprise mannequin.

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

For an inventory of the transactions included in our prime, subprime, and modified subprime composites and indices, see “U.S. Auto Loan ABS Tracker: March 2019,” revealed May 23, 2019. However, observe that we subsequently added S&P Global Ratings-rated transactions which have since closed, most prime transactions that closed and weren’t rated by S&P Global Ratings from 2016 by the current, and most Santander and AmeriCredit transactions not rated by S&P Global Ratings.

Verwandte Forschung

Many individuals within the U.S. auto lending business have obtained inquiries from regulatory our bodies referring to the origination, underwriting, servicing, and securitization of auto loans. At this time, we don’t anticipate that these inquiries will have an effect on our scores of auto mortgage ABS transactions. However, we are going to proceed to judge developments in these areas as they relate to our scores of auto mortgage ABS transactions and can replace our views as we deem acceptable.

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