U.S. prime auto loan asset-backed securities (ABS) saw strong results in September 2021, with even lower monthly annualized losses year over year due to high recovery rates. Prime month-over-month performance was relatively stable, while subprime performance results were less favorable but still quite positive relative to historical metrics. Subprime losses increased year over year but were still only about 50% of the September 2019 loss level. Subprime delinquencies and losses also rose month over month, while recoveries declined.

Prime Losses Fell Year Over Year, But Subprime Losses Increased

Prime net losses remained stable month over month at 0.17% in September, compared with pre-pandemic levels 0.18% in August, but they declined from 0.21% and 0.57% in September 2020 and September 2019, respectively.

Subprime losses increased to 4.11% in September from 3.54% in August 2021 and 3.53% in September 2020, but they remained below pre-pandemic levels--at less than half of the 8.55% reported in September 2019 (see table 1 and chart 1). We believe the subprime segment reported higher losses due to the seasonal decline in recovery rates, the fading impact of the government stimulus checks that were paid earlier in the year, and the termination of enhanced unemployment benefits.

Table 1

Net Loss Rate Composite(i)
	Sep-12	Sep-13	Sep-14	Sep-15	Sep-16	Sep-17	Sep-18	Sep-19	Sep-20	Aug-21	Sep-21
Prime (%)	0.39	0.45	0.51	0.50	0.63	0.68	0.61	0.57	0.21	0.18	0.17
Subprime (%)	5.42	6.63	7.72	8.07	8.86	8.49	8.56	8.55	3.53	3.54	4.11
Subprime modified (%) (ii)	4.39	6.12	7.04	7.08	6.88	6.81	6.55	6.32	3.06	2.83	3.03
(i)Represents monthly annualized losses. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE are excluded.

Prime And Subprime Recoveries Diverged

Prime recoveries increased to 88.69% in September from 75.99% in August and 79.91% in September 2020. In contrast, subprime recoveries decreased to 52.01% in September from 55.03% in August and 57.90% in September 2020. However, subprime recoveries remained significantly higher than the 41.23% reached in September 2019 (see table 2 and chart 2).

Table 2

Recovery Rate Composite(i)
	Sep-12	Sep-13	Sep-14	Sep-15	Sep-16	Sep-17	Sep-18	Sep-19	Sep-20	Aug-21	Sep-21
Prime (%)	64.13	59.93	56.31	59.38	57.70	52.85	52.01	53.90	79.91	75.99	88.69
Subprime (%)	44.26	41.66	40.37	39.95	39.69	39.25	39.42	41.23	57.90	55.03	52.01
Subprime modified (%)(ii)	53.26	42.08	40.83	41.11	40.86	40.88	40.42	41.48	57.25	53.67	52.12
(i)Represents monthly recovery rates. (ii) Three large deep subprime issuers -- American Credit Acceptance, Exeter, and DRIVE are excluded.

S&P Global Ratings assumes recovery rates will revert to historical levels when determining its expected cumulative net loss (ECNL) levels.

Delinquencies Continued To Rise But Remained Lower Than The September Monthly Historical Levels

The prime 60-plus-day delinquency rate was stable at 0.31% in September, compared with 0.30% in August, and down from 0.33% in September 2020 and 0.42% in September 2019 (see table 3 and chart 3). The subprime 60-plus-day delinquency rate increased to 3.69% in September from 3.59% in August and 3.66% in September 2020. Despite the increase, subprime delinquencies remained well below the 5.23% recorded in September 2019. Prime delinquencies remained at a record low for the month, while subprime delinquencies were at their lowest September level since 2012 (except in September 2020).

Table 3

60-Plus-Day Delinquency Rate Composite(i)
	Sep-12	Sep-13	Sep-14	Sep-15	Sep-16	Sep-17	Sep-18	Sep-19	Sep-20	Aug-21	Sep-21
Prime (%)	0.38	0.40	0.39	0.45	0.46	0.45	0.42	0.42	0.33	0.30	0.31
Subprime (%)	3.31	3.79	4.31	4.75	5.04	4.95	5.36	5.23	3.66	3.59	3.69
Subprime modified (%)(ii)	2.35	3.57	3.80	4.03	3.83	3.62	3.78	3.78	2.69	2.38	2.43
(i)Represents 60+ day delinquencies. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE are excluded.

We expect delinquencies to rise in coming months, especially in the subprime segment, due to the waning economic stimulus benefits and the expiration of enhanced unemployment benefits. However, the improving employment situation with fewer initial jobless claims being filed, the advance child tax credit payments that the IRS has been sending monthly to eligible families since July, and the continued strength in the used vehicle market should temper such an increase.

144a Subprime Issuers Extension Rates Fell To Pre-Pandemic Levels

144a subprime issuers' extension rates fell slightly to 4.00% in September from 4.08% in August. This is generally in line with pre-pandemic level of 3.97% in September 2019 and significantly below the 9.76% peak reached in April 2020. Extensions seem to have returned to normal levels following the recent bounce back from lower levels earlier this year due to government stimulus. Seasonality may play a role in coming months as consumers increase their spending during the holidays. We will also continue to monitor the impact inflationary pressures have on consumers' ability to stay current on their auto obligations.

Table 5

144a Subprime Issuer Shelf Extensions
As a % of balance
Shelf name	Sep-19	Mar-20	Apr-20	Sep-20	Aug-21	Sep-21
American Credit Acceptance	3.14	3.66	5.15	2.26	2.47	2.60
Avid Automobile Receivables Trust	1.88	3.43	2.82	3.73	3.27	3.41
CPS Auto Receivables Trust	3.45	6.18	10.21	4.28	3.67	4.12
DriveTime	4.40	2.54	7.93	1.64	4.40	4.21
Exeter Automobile Receivables Trust	3.95	4.34	11.80	5.25	5.11	4.69
First Investors Auto Owner Trust	3.57	4.38	3.94	2.14	2.94	3.23
Flagship Credit Auto Trust	2.97	9.26	18.81	3.33	3.54	4.27
GLS Auto Receivables Issuer Trust	4.16	4.92	11.39	2.31	3.27	2.94
Prestige Auto Receivables Trust	2.27	2.85	6.24	2.40	2.85	2.76
Tidewater Auto Receivables Trust	1.66	0.35	0.02	1.68	1.60	1.51
United Auto Credit Securitization Trust	3.84	7.54	6.02	3.05	2.79	3.51
Westlake Automobile Receivables Trust	5.42	11.73	7.41	4.85	5.41	4.61

Of the 12 144a subprime issuers in our dataset, six (ACA, Avid, CPS, First Investors, Flagship, and UAC) reported higher month-over-month extension levels in September. Exeter and Westlake continued to report the highest levels, at 4.69% and 4.61%, respectively. The month-over-month increase in extensions could have been due to Hurricane Ida, which formed in late August and dissipated on Sept. 4. Ida was a destructive Category 4 Atlantic hurricane that became the second-most damaging hurricane to make landfall in Louisiana behind Hurricane Katrina in 2005.

We did not include extensions for the public shelves this month, since we will include them in our upcoming quarterly loan-level extension report.

Collateral Characteristics

Prime

The collateral characteristics for prime auto transactions issued in first nine months of 2021 include the following notable changes from the same period last year:

• The weighted average FICO score decreased to 750 from 760 in 2020 and 755 in 2019.
• The weighted average used percentage increased to 63.26% from 58.52% in 2020--the highest we've ever seen. We attribute this to the growing mix of loans from Carvana and CarMax, which both sell and finance only used vehicles.
• With the higher percentage of used vehicles, the weighted average APR also increased to 4.48% from 4.14% in 2020.
• The percentage of loans with an original term of 76-84 months increased to 1.07% from 0.24% in 2020, and the percentage of loans with an original term of 73-75 months rose to 7.74% from 6.53% in 2020.

Table 6A

Prime Collateral Trends(i)
Prime	WA APR (%)	Used (%)	Loans with original term > 60 months (%)	Loans with original term 73-75 months (%) (ii)	Loans with original term 76-84 months and above (%) (ii)	WA original maturity	WA FICO score	WA LTV ratio (%)
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
2020	4.19	28.91	60.17	6.00	0.67	66.01	758	96.66
2020(iii)	4.14	27.43	58.52	6.53	0.24	65.70	760	96.21
2021(iii)	4.48	37.72	63.26	7.74	1.07	66.81	750	96.15
(i)The collateral characteristics of revolving transactions are not included because of the dynamic nature of the collateral pools. The 2016-2021 vintages include most of the term transactions that were not rated by S&P Global Ratings. (ii)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. (iii)Data as of Sept. 30. WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value. N/A--Not applicable.

Subprime

The collateral characteristics for subprime auto transactions issued in first nine months of 2021 saw the following significant changes from the same period in 2020:

• The used vehicle percentage increased to 77.14% from 71.83%--the highest we've seen in the past seven years. This is likely due to the high price and shortages of new vehicles.
• The percentage of loans with original terms greater than 60 months increased to 87.13% from 83.66%.
• The percentage of 73-75 month loans declined 155 basis points to 8.41% from 9.95%, while the percentage of 76-84 month loans increased to 1.78% from 0.22%.
• The weighted average loan-to-value (LTV) ratio declined to 110.08% from 112.03%.

Table 6B

Subprime Collateral Trends(i)
Subprime	WA APR (%)	Used (%)	Loans with original term > 60 months (%)	Loans with original term 73-75 months (%)(iii)	Loans with original term 76-84 months (%)(iii)	WA original maturity	WA FICO score	WA LTV ratio (%)
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	17.84	70.55	82.63	8.14	-	68.69	584	112.45
2020	17.21	72.41	83.04	9.48	0.41	68.98	588	111.86
2020(iii)	17.37	71.83	83.66	9.95	0.22	69.19	587	112.03
2021(iii)	17.27	77.14	87.13	8.41	1.78	69.88	588	110.08
(i)From 2016 onward, the data include most of the transactions that were not rated by S&P Global Ratings. (ii)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. (iii)Data as of Sept. 30. WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value. N/A--Not applicable.

Auto Loan Static Index

Prime

According to vintage static pool data, pools securitized during first-quarter 2020 through first-quarter 2021 are exhibiting extremely strong performance. At month 10, the average CNLs for the 2015-2019 vintages were 0.28%, compared with 0.20% for the first- and second-quarter 2020 vintages and 0.15% for the third- and fourth-quarter 2020 vintages. The low losses on these quarterly vintages, as well the leveling off of losses on the 2018 and 2019 vintages, is largely due to extraordinarily high recovery rates stemming from vehicle supply shortages.

Subprime

The subprime pools securitized in first-quarter 2020 through first-quarter 2021 are also demonstrating exceptionally strong performance. At month 10, the average CNLs for the 2015-2019 vintages were 3.59%, compared with 2.28% and 2.43% for first- and second-quarter 2020 vintages, respectively, and 1.43% and 1.42% for third- and fourth-quarter 2020 vintages. The 2018 and 2019 vintages are also experiencing an earlier leveling off of losses than the prior vintages, which we ascribe to government stimulus and higher recovery rates.

Issuer-Specific CNL Index Data

We track CNLs by vintage for a number of issuers and compare those losses to the prime, subprime, and nonprime Auto Loan Static Index (ALSI; see tables 7A-7C).

Table 7A

Prime Issuer CNL Performance Compared To The Prime ALSI
	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
Issuer(i)	Month 36	Month 34	Month 22	Month 19	Month 16	Month 13	Month 10	Month 6
Prime ALSI	0.84	0.70	0.51	0.28	0.24	0.17	0.15	0.05
Ally Auto Receivables Trust	0.84	0.77	0.47	N/A	N/A	N/A	N/A	N/A
Canadian Pacer (CPART)	0.35	0.45	0.24	0.15	N/A	N/A	N/A	N/A
Capital One Prime	N/A	N/A	0.15	0.09	N/A	N/A	N/A	N/A
BMW	N/A	0.19	0.07	N/A	N/A	0.01	N/A	N/A
CarMax	1.76	1.53	1.03	0.65	0.40	0.36	0.20	0.11
Carvana P	N/A	N/A	N/A	N/A	N/A	N/A	0.30	0.11
Fifth Third	0.52	N/A	0.46	N/A	N/A	N/A	N/A	N/A
Ford Credit	0.68	0.63	0.44	N/A	0.15	N/A	0.07	0.01
GM Financial	0.65	0.53	0.35	0.26	0.20	0.12	0.08	0.05
GTE	N/A	N/A	0.58	N/A	N/A	N/A	N/A	N/A
Honda	0.24	0.18	0.14	0.09	0.05	0.10	N/A	0.01
Hyundai	1.17	0.86	0.88	N/A	0.71	0.43	0.32	N/A
Mercedes-Benz	N/A	0.46	0.35	N/A	0.12	N/A	N/A	N/A
Nissan	0.75	0.85	0.91	N/A	0.17	N/A	N/A	N/A
Securitized Term (START)	0.27	0.20	0.12	N/A	N/A	N/A	N/A	N/A
Silver Arrow	N/A	0.15	0.13	N/A	N/A	N/A	N/A	N/A
Toyota	0.41	0.36	0.27	0.18	0.13	0.08	0.06	0.03
Unify	N/A	N/A	N/A	N/A	N/A	N/A	N/A	0.06
USAA	0.22	N/A	0.16	N/A	N/A	N/A	N/A	N/A
Volkswagen	N/A	0.68	N/A	N/A	0.46	N/A	N/A	N/A
World Omni Auto Receivables Trust	1.92	1.02	0.74	0.52	0.18	0.20	N/A	0.10
(i)For vintages 2016 and after, to arrive at the issuer-level CNLs, the data include most of the transactions that were not rated by S&P Global Ratings. CNL--Cumulative net loss. ALSI--Auto Loan Static Index. N/A--Not applicable.

Table 7B

Subprime Issuer CNL Performance Compared To The Subprime ALSI
	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
Issuer	Month 36	Month 34	Month 22	Month 19	Month 16	Month 13	Month 10	Month 6
Subprime ALSI	12.60	9.95	6.55	4.45	3.57	1.89	1.74	0.67
ACA	22.57	19.69	13.30	9.11	8.40	5.45	4.87	2.10
AMCAR(ii)	6.52	5.13	3.31	1.77	N/A	0.88	N/A	0.26
Carvana NP	N/A	N/A	N/A	N/A	N/A	N/A	N/A	1.38
CPS	11.79	9.38	5.61	3.84	2.91	1.39	N/A	0.23
DRIVE	15.53	11.88	7.54	5.14	3.04	N/A	N/A	N/A
DriveTime(i)	25.53	19.18	11.75	8.13	5.80	4.77	N/A	1.77
Exeter	15.34	13.87	9.22	6.75	4.27	3.04	N/A	1.35
First Investors	9.03	6.10	3.08	2.60	N/A	N/A	N/A	0.34
Flagship	8.67	7.58	4.70	2.67	1.91	1.34	0.81	0.29
GLS	13.36	10.81	6.82	4.36	3.57	2.27	1.44	0.73
Prestige	10.89	9.79	6.75	N/A	N/A	N/A	1.34	N/A
SDART(ii)	9.70	7.78	5.03	N/A	2.60	1.55	1.14	0.49
Tidewater	N/A	9.14	N/A	3.16	N/A	N/A	N/A	N/A
UACC	19.36	19.46	15.64	N/A	8.36	N/A	N/A	1.38
Westlake	11.98	9.50	5.96	3.91	2.57	N/A	1.45	0.61
World Omni Select	N/A	4.40	2.72	N/A	N/A	1.01	N/A	N/A
(i)DriveTime is an integrated auto sales/finance business that is excluded from our subprime indexes. (ii)SDART and Americredit include transactions not rated by S&P Global Ratings. ALSI--Auto Loan Static Index. N/A--Not applicable.

Table 7C

Nonprime Issuer CNL Performance
	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
Issuer	Month 36	Month 34	Month 22	Month 19	Month 16	Month 13	Month 10	Month 6
CARAT	4.00	2.78	N/A	N/A	N/A	N/A	N/A	N/A
Santander Prime (SPAIN)	2.04	3.00	N/A	N/A	N/A	N/A	N/A	N/A
Santander Consumer (SCART)	N/A	N/A	N/A	N/A	0.96	0.38	N/A	N/A
CNL--Cumulative net loss. N/A--Not applicable.

Auto Loan ABS Rating Activity/Revised Loss Expectations

In October 2021, we revised our loss expectations and took the following rating actions:

• We affirmed 19 ratings from six Ford Credit Auto Owner Trust revolving pool transactions (see "Ford Credit Auto Owner Trust Ratings Affirmed On 19 Classes From Six Revolving Pool Transactions," published Oct. 8, 2021).
• We raised two ratings from one California Republic Auto Receivables Trust transaction (see "Two Ratings Raised From California Republic Auto Receivables Trust 2018-1," published Oct. 14, 2021).
• We raised 24 ratings and affirmed eight ratings from seven Westlake Automobile Receivables Trust transactions (see "24 Ratings Raised, Eight Affirmed On Seven Westlake Automobile Receivables Trust Transactions," published Oct. 14, 2021).
• We raised eight ratings and affirmed one rating from two GLS Auto Receivables Issuer Trust transactions (see "Eight Ratings Raised And One Affirmed On Two GLS Auto Receivables Issuer Trust Transactions," published Oct. 21, 2021).
• We raised 12 ratings and affirmed 29 ratings from eight GM Financial Consumer Automobile Receivables Trust transactions (see "GM Financial Consumer Automobile Receivables Trust Ratings Raised On 12 Classes, Affirmed On 29 From Eight Transactions," published Oct. 22, 2021).
• We raised five ratings and affirmed one rating from the Exeter Automobile Receivables Trust 2020-3 transaction (see "Five Ratings Raised, One Affirmed On Exeter Automobile Receivables Trust 2020-3," published Oct. 29, 2021).

These rating actions resulted in 51 upgrades and 58 affirmations (see table 8).

Table 8

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(i)	392	0
Total	2,347	15
(i)Data as of Oct. 31.

Of the 25 transactions we reviewed in September, we lowered our ECNLs on 19 transactions (see tables 9-11) and maintained our original ECNLs for the remaining six transactions (the Ford revolving pools).

Table 9

California Republic Auto Receivables Trust
Series	Initial expected net loss range (%)	Former expected lifetime CNL (%)	Revised/maintained expected lifetime CNL (%) (Revised October 2021)
2018-1	4.50-5.00	4.10-4.30	Up to 3.00
CNL--Cumulative net loss.

Table 10

Westlake Automobile Receivables Trust
Series	Initial expected net loss range (%)	Former expected lifetime CNL (%)	Revised/maintained expected lifetime CNL (%) (Revised October 2021)
2018-2	13.25-13.75	12.00-12.50	Up to 10.35
2018-3	13.00-13.50	13.00-13.50	9.75-10.25
2019-1	13.00-13.50	10.50-11.00	9.25-9.75
2019-2	13.00-13.50	13.75-14.25	9.00-9.50
2019-3	13.00-13.50	13.75-14.25	8.75-9.25
2020-1	13.00-13.50	12.00-12.50	8.75-9.25
2020-2	13.00-13.50	N/A	8.50-9.00
CNL--Cumulative net loss. N/A--Not applicable.

Table 11

GLS Auto Receivables Issuer Trust
Series	Initial expected net loss range (%)	Revised/maintained expected lifetime CNL (%) (Revised October 2021)
2020-2	21.50-22.50	17.00-18.00
2020-3	21.50-22.50	16.50-17.50
CNL--Cumulative net loss.

Table 12

GM Financial Consumer Automobile Receivables Trust
Series	Initial expected net loss range (%)	Former expected lifetime CNL (%)	Revised/maintained expected lifetime CNL (%) (Revised October 2021)
2018-2	1.05-1.25	0.70-0.80	Up to 0.60
2018-3	1.05-1.25	0.75-0.95	Up to 0.65
2018-4	1.05-1.25	0.75-0.95	Up to 0.60
2019-2	1.00-1.20	0.90-1.10	0.60-0.70
2019-3	1.00-1.20	0.90-1.10	0.60-0.70
2020-1	1.00-1.20	0.85-1.05	0.70-0.80
2020-2	1.30-1.50	0.90-1.10	0.75-0.85
2020-4	1.40-1.60	N/A	1.10-1.30
CNL--Cumulative net loss. N/A–-Not applicable.

Table 13

Exeter Automobile Receivables Trust
Series	Initial expected net loss range (%)	Revised/maintained expected lifetime CNL (%) (Revised October 2021)
2020-3	23.50-24.50	18.75-19.75
CNL--Cumulative net loss.

Appendix I: Auto Loan Static Index

Table 14

Prime Cumulative Net Losses (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	32	37	26	28	20	31	23	32	21	29	33	35	39	6	12	7	6	8
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	50.44	8.56	14.87	10.42	7.90	9.90
Month
1	0.01	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.00	0.01	0.00	0.00	0.00
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	0.01	0.02	0.00	0.01	0.01
3	0.07	0.05	0.05	0.03	0.02	0.02	0.03	0.03	0.03	0.04	0.04	0.04	0.04	0.03	0.04	0.01	0.02	0.02
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	0.06	0.06	0.04	0.05	0.03
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	0.09	0.09	0.06	0.08	0.04
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	0.12	0.11	0.09	0.10	0.05
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	0.14	0.14	0.11	0.11
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	0.16	0.16	0.13	0.12
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	0.19	0.19	0.14	0.14
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	0.20	0.20	0.15	0.15
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	0.31	0.22	0.21	0.16
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	0.34	0.24	0.23	0.16
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	0.37	0.25	0.23	0.17
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	0.39	0.26	0.23
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	0.41	0.26	0.23
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	0.43	0.27	0.24
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	0.45	0.28
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	0.46	0.28
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	0.48	0.28
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	0.49
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	0.50
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	0.51
23	1.96	1.60	0.76	0.50	0.46	0.41	0.52	0.52	0.60	0.70	0.64	0.61
24	2.03	1.65	0.77	0.51	0.47	0.43	0.54	0.54	0.62	0.72	0.66	0.63
25	2.11	1.69	0.79	0.53	0.49	0.44	0.55	0.55	0.64	0.74	0.68	0.64
26	2.17	1.73	0.80	0.54	0.50	0.45	0.57	0.57	0.65	0.76	0.70	0.65
27	2.23	1.76	0.82	0.55	0.52	0.46	0.58	0.58	0.67	0.78	0.71	0.67
28	2.30	1.79	0.83	0.56	0.53	0.47	0.59	0.60	0.69	0.80	0.73	0.68
29	2.36	1.82	0.84	0.57	0.54	0.48	0.61	0.62	0.70	0.81	0.74	0.68
30	2.41	1.85	0.85	0.57	0.55	0.49	0.62	0.63	0.72	0.83	0.76	0.69
31	2.45	1.88	0.86	0.58	0.56	0.50	0.63	0.65	0.73	0.84	0.78	0.69
32	2.48	1.91	0.87	0.59	0.57	0.50	0.64	0.66	0.74	0.85	0.79	0.69
33	2.52	1.95	0.89	0.52	0.58	0.51	0.65	0.67	0.75	0.86	0.81	0.70
34	2.55	1.97	0.90	0.53	0.59	0.52	0.66	0.68	0.76	0.87	0.82	0.70
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	0.84
37							0.68	0.71	0.78	0.90	0.85
38							0.68	0.72	0.79	0.92	0.86
39							0.69	0.73	0.79	0.93	0.86
(i)We extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 months to account for the longer loan terms. Since 2016, we had included the SDART and AmeriCredit transactions that are not rated by S&P Global Ratings.

Table 15

Subprime Cumulative Net Losses (%)(i)
	2007	2008	2009	2010	2011	2012(ii)	2013	2014(iii)	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	19	4	2	14	15	26	26	29	29	38	33	42	39	10	9	9	7	11
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	25.75	5.46	6.08	7.84	5.76	8.56
Month
1	0.00	0.00	0.01	0.02	0.01	0.01	0.01	0.00	0.01	0.01	0.01	0.01	0.00	0.00	0.00	0.00	0.00	0.01
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	0.02	0.02	0.02	0.02	0.04
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	0.10	0.11	0.07	0.09	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	0.37	0.34	0.21	0.28	0.28
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	0.70	0.62	0.47	0.49	0.48
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	1.34	1.03	0.97	0.75	0.68	0.70
7	1.91	1.99	2.07	1.34	1.09	1.38	1.34	1.67	1.96	2.02	2.16	1.89	1.96	1.35	1.37	1.01	0.88
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	2.53	1.63	1.78	1.19	1.07
9	2.96	3.20	2.82	2.01	1.57	2.07	2.07	2.60	3.06	3.11	3.24	3.00	3.01	1.93	2.15	1.32	1.22
10	3.47	3.82	3.10	2.32	1.82	2.45	2.45	3.04	3.61	3.66	3.75	3.47	3.45	2.28	2.43	1.43	1.42
11	3.97	4.49	3.40	2.62	2.08	2.84	2.85	3.49	4.17	4.19	4.26	3.95	3.86	2.67	2.65	1.57
12	4.47	5.16	3.69	2.91	2.36	3.25	3.28	3.92	4.68	4.70	4.77	4.40	4.20	3.05	2.80	1.72
13	4.95	5.73	4.05	3.19	2.63	3.64	3.68	4.35	5.16	5.20	5.28	4.85	4.54	3.40	2.95	1.89
14	5.39	6.28	4.39	3.52	2.91	4.02	4.04	4.75	5.61	5.70	5.76	5.30	4.86	3.70	3.11
15	5.87	6.89	4.75	3.85	3.21	4.38	4.40	5.16	6.07	6.19	6.22	5.75	5.15	3.86	3.32
16	6.38	7.44	5.11	4.17	3.47	4.72	4.77	5.54	6.57	6.65	6.67	6.20	5.44	3.98	3.57
17	6.89	8.00	5.43	4.50	3.71	5.10	5.14	5.96	7.08	7.08	7.10	6.63	5.68	4.11
18	7.39	8.52	5.77	4.79	3.93	5.45	5.53	6.34	7.54	7.49	7.53	7.06	5.87	4.26
19	7.91	8.90	6.06	5.06	4.14	5.79	5.88	6.70	8.00	7.88	7.96	7.45	6.06	4.45
20	8.39	9.34	6.24	5.33	4.35	6.11	6.20	7.06	8.42	8.27	8.35	7.80	6.22
21	8.86	9.80	6.53	5.57	4.59	6.42	6.52	7.41	8.82	8.65	8.73	8.11	6.37
22	9.32	10.23	6.71	5.77	4.80	6.70	6.81	7.72	9.19	9.03	9.07	8.40	6.51
23	9.76	10.69	6.92	5.97	5.01	6.98	7.08	8.04	9.55	9.37	9.41	8.63	6.65
24	10.19	11.08	7.10	6.17	5.22	7.27	7.34	8.33	9.88	9.72	9.74	8.83
25	10.54	11.41	7.28	6.38	5.43	7.49	7.56	8.63	10.19	10.05	10.06	9.04
26	10.90	11.75	7.49	6.61	5.65	7.76	7.80	8.93	10.48	10.37	10.35	9.21
27	11.21	12.07	7.69	6.80	5.86	7.99	8.06	9.20	10.77	10.68	10.64	9.38
28	11.54	12.43	7.91	7.01	6.06	8.14	8.29	9.44	11.06	10.97	10.92	9.53
29	11.88	12.73	8.07	7.21	6.08	8.36	8.53	9.56	11.35	11.26	11.19	9.66
30	12.19	13.04	8.24	7.37	6.22	8.35	8.79	9.81	11.51	11.45	11.45	9.77
31	12.50	13.28	8.41	7.58	6.36	8.57	8.93	10.04	11.77	11.54	11.64	9.86
32	12.77	13.52	8.55	7.72	6.49	8.77	9.16	10.24	12.03	11.81	11.87	9.95
33	12.96	13.75	8.71	7.78	6.61	8.95	9.38	10.46	12.26	12.07	12.09	9.89
34	13.19	13.98	8.82	7.95	6.58	8.61	9.60	10.67	12.48	12.32	12.28	9.95
35	13.38	14.22	8.88	8.10	6.71	8.77	9.80	10.92	12.70	12.54	12.44
36	13.59	14.42	8.97	8.25	6.84	8.92	9.98	11.13	12.91	12.77	12.60
37	13.76	14.61	9.05	8.38	6.99	9.07	10.16	11.31	13.10	12.97	12.72
38	13.92	14.78	9.13	8.54	7.11	9.21	10.32	11.50	13.31	13.17	12.83
39	14.08	14.96	9.22	8.67	7.24	9.36	10.50	11.67	13.49	13.36	12.93
40	14.23	15.12	9.33	8.78	7.37	9.50	10.66	11.60	13.70	13.54	13.03
41	14.39	15.27	9.44	8.92	7.44	9.64	10.82	11.10	13.90	13.73	13.10
42	14.53	15.39	9.50	9.05	7.53	9.77	10.98	11.21	14.10	13.90	13.18
43	14.67	15.48	9.85	9.16	7.59	9.91	11.16	11.09	13.70	14.06	13.18
(i)Since 2016, we have included the SDART and AmeriCredit transactions that are not rated by S&P Global Ratings. (ii)Cumulative net loss (CNL) declined in month 34 as two transactions with relatively high losses paid off in month 33. (iii)CNL declined in months 40 and 41 as some high loss transactions paid off in months 39 and 40.

Table 16

Prime 60-Plus Day Delinquencies (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	32	37	26	28	20	31	23	32	21	29	33	35	39	6	12	7	6	8
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	50.44	8.56	14.87	10.42	7.90	9.90
Month
1	0.08	0.06	0.04	0.02	0.02	0.02	0.03	0.03	0.04	0.03	0.03	0.04	0.05	0.04	0.05	0.03	0.02	0.03
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	0.09	0.09	0.08	0.09	0.06
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	0.14	0.11	0.12	0.15	0.08
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	0.16	0.10	0.16	0.16	0.08
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	0.17	0.13	0.19	0.18	0.10
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	0.19	0.14	0.23	0.13	0.13
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	0.22	0.15	0.21	0.13
8	0.41	0.41	0.29	0.18	0.19	0.19	0.25	0.24	0.27	0.28	0.26	0.25	0.27	0.24	0.16	0.20	0.16
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	0.23	0.17	0.15	0.18
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	0.25	0.16	0.17	0.20
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	0.31	0.26	0.17	0.18
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	0.33	0.27	0.12	0.20
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	0.32	0.27	0.13	0.23
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	0.33	0.25	0.14
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	0.33	0.21	0.16
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	0.32	0.22	0.17
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	0.32	0.24
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	0.33	0.26
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	0.33	0.27
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	0.34
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	0.34
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	0.33
23	0.86	0.66	0.55	0.40	0.44	0.47	0.56	0.45	0.55	0.51	0.46	0.40
24	0.91	0.69	0.55	0.42	0.46	0.47	0.58	0.45	0.55	0.50	0.46	0.41
25	0.91	0.71	0.58	0.43	0.46	0.46	0.60	0.48	0.55	0.50	0.47	0.40
26	0.95	0.71	0.60	0.44	0.46	0.48	0.62	0.49	0.59	0.51	0.48	0.42
27	0.99	0.75	0.64	0.48	0.47	0.51	0.65	0.52	0.60	0.52	0.48	0.43
28	1.02	0.76	0.66	0.49	0.51	0.54	0.73	0.55	0.67	0.56	0.51	0.40
29	1.03	0.80	0.66	0.51	0.52	0.54	0.74	0.56	0.68	0.58	0.53	0.41
30	0.98	0.83	0.69	0.52	0.48	0.55	0.72	0.57	0.66	0.56	0.55	0.40
31	1.00	0.86	0.73	0.55	0.55	0.56	0.77	0.58	0.68	0.57	0.55	0.40
32	1.03	0.89	0.63	0.53	0.58	0.57	0.78	0.59	0.70	0.58	0.55	0.42
33	1.05	0.91	0.69	0.57	0.62	0.62	0.79	0.62	0.72	0.60	0.56	0.39
34	1.06	0.89	0.70	0.59	0.66	0.64	0.80	0.63	0.75	0.64	0.55	0.4
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	0.55
37							0.90	0.69	0.78	0.64	0.55
38							0.93	0.68	0.81	0.68	0.55
39							0.96	0.72	0.74	0.71	0.56
(i)We extended the reporting period for the prime 2013 and subsequent vintages to 30 months from 36 months to account for the longer loan terms. Since 2016, we have included SDART and AmeriCredit transactions that are not rated by S&P Global Ratings.

Table 17

Subprime 60-Plus Day Delinquencies (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	19	4	2	14	15	26	26	29	29	38	33	42	39	10	9	9	7	11
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	25.75	5.46	6.08	7.84	5.76	8.56
Month
1	0.04	0.06	0.05	0.10	0.05	0.04	0.04	0.11	0.06	0.10	0.17	0.11	0.10	0.10	0.17	0.09	0.11	0.26
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	0.84	0.74	0.58	0.58	0.60
3	1.42	1.51	1.42	1.74	1.04	1.47	1.47	1.78	2.29	2.06	2.72	2.52	2.06	1.85	1.46	1.32	1.21	0.94
4	2.09	1.82	1.51	1.86	1.25	1.97	2.08	2.29	2.97	2.64	3.44	3.30	2.83	2.24	1.92	1.94	1.53	1.24
5	2.44	1.85	1.64	1.97	1.36	2.33	2.49	2.59	3.20	2.91	3.70	3.52	3.24	2.21	2.20	2.12	1.32	1.61
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	3.52	2.18	2.57	2.21	1.30	1.87
7	2.82	2.24	2.07	2.38	1.32	2.24	2.47	3.03	3.36	3.29	3.61	3.76	3.61	2.46	2.85	1.93	1.44
8	2.97	2.60	1.35	2.58	1.50	2.38	2.59	3.27	3.61	3.48	3.69	3.84	3.58	2.92	2.91	1.72	1.69
9	3.03	2.79	1.04	2.61	1.72	2.62	2.92	3.46	3.99	3.78	3.91	3.94	3.58	3.20	2.99	1.75	1.94
10	3.13	2.75	1.24	2.54	1.93	2.98	3.26	3.60	4.24	4.00	4.19	4.12	3.59	3.44	2.55	2.01	2.23
11	3.25	2.57	1.52	2.50	2.04	3.34	3.45	3.83	4.37	4.00	4.58	4.31	3.70	3.80	2.34	2.34
12	3.32	2.45	1.76	2.75	2.14	3.47	3.58	4.01	4.30	4.16	4.90	4.53	3.74	3.90	2.42	2.67
13	3.34	2.55	1.75	3.05	2.40	3.43	3.66	4.19	4.45	4.42	4.97	4.84	3.78	3.59	2.75	2.97
14	3.65	2.57	2.40	3.30	2.41	3.52	3.79	4.27	4.78	4.43	4.99	5.07	3.78	3.28	3.21
15	4.00	2.84	1.75	3.52	2.56	3.71	3.94	4.58	5.14	4.49	5.18	5.15	3.81	2.82	3.60
16	4.15	2.82	1.74	3.58	2.58	3.88	4.30	4.75	5.44	4.79	5.34	5.28	3.74	2.81	3.85
17	4.37	2.30	1.86	3.64	2.49	4.14	4.53	4.79	5.54	4.70	5.49	5.36	3.63	3.20
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	3.52	3.56
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	3.56	3.85
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	3.62
21	4.66	2.82	1.23	4.03	2.80	4.28	4.57	5.00	5.69	5.09	5.83	4.99	3.61
22	4.74	2.53	1.26	3.92	3.00	4.46	4.62	5.03	5.74	5.28	5.89	4.79	3.63
23	4.57	2.30	1.43	4.08	2.97	4.58	4.57	5.15	5.71	5.22	5.97	4.66	3.65
24	4.56	2.11	1.66	4.42	3.17	4.63	4.62	5.34	5.56	5.23	6.06	4.49
25	4.42	2.22	1.77	4.71	3.30	4.67	4.88	5.34	5.60	5.44	6.13	4.38
26	4.54	2.33	2.16	4.94	3.32	4.62	4.98	5.38	5.74	5.41	6.16	4.36
27	4.62	2.60	1.72	5.00	3.43	4.64	5.00	5.50	6.13	5.39	6.21	4.35
28	4.77	2.70	1.70	5.10	3.29	4.84	5.26	5.55	6.31	5.40	6.31	4.28
29	4.93	2.04	2.00	5.29	3.21	4.90	5.53	5.80	6.26	5.38	6.40	4.11
30	4.80	1.99	1.96	5.40	2.90	5.05	5.58	5.84	6.44	5.28	6.48	4.03
31	4.82	2.20	2.69	5.56	2.84	5.18	5.63	5.87	6.31	5.67	6.60	3.98
32	4.73	2.41	1.60	5.66	3.14	5.24	5.70	6.18	6.24	5.83	6.42	4.05
33	4.69	2.83	1.25	5.65	3.48	4.98	5.96	6.24	6.32	6.11	6.18	4.09
34	4.73	2.48	1.30	5.57	3.66	5.23	5.92	6.27	6.52	6.08	5.94	4.03
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	5.54
37	4.34	2.29	2.02	6.46	3.77	5.55	6.17	6.57	6.51	6.22	5.22
38	4.30	2.31	2.90	6.67	3.79	5.74	6.36	6.62	6.60	6.31	5.18
39	4.40	2.69	2.48	6.70	3.97	5.99	6.57	6.69	6.81	6.35	5.17
40	4.52	2.80	2.17	6.76	4.03	5.90	6.89	6.61	7.23	6.41	4.83
41	4.71	1.97	2.24	7.10	4.04	6.12	7.16	7.14	7.57	6.66	4.65
42	4.62	2.03	2.09	6.96	3.62	6.23	7.30	7.01	7.22	6.68	4.67
43	4.76	2.28	3.12	7.32	3.53	6.31	7.21	7.07	7.47	6.68	4.95
(i)Beginning in 2016, we have included the SDART and AmeriCredit transactions not rated by S&P Global Ratings.

Table 18

Prime Cumulative Recoveries (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	32	37	26	28	20	31	23	32	21	29	33	35	39	6	12	7	6	8
Initial collateral balance (bil. $)	55.26	53.20	41.25	33.45	22.77	40.72	27.93	32.04	23.63	36.08	41.35	45.25	50.44	8.56	14.87	10.42	7.90	9.90
Month
1	29.50	(2.06)	23.32	19.68	21.47	20.28	18.61	31.98	26.35	25.57	16.46	26.76	34.52	43.26	12.95	31.28	32.70	16.33
2	47.93	43.02	40.43	47.24	65.16	59.19	57.05	54.08	40.70	43.19	41.64	49.03	44.20	36.67	35.66	65.64	51.81	42.75
3	47.02	41.67	42.50	48.71	63.52	56.24	53.60	54.69	39.78	42.03	42.47	47.08	47.25	39.08	43.58	57.68	47.82	41.36
4	44.91	40.73	42.09	48.33	60.04	54.66	47.95	50.42	41.08	39.93	41.61	44.95	44.77	33.09	42.46	51.99	43.75	54.25
5	45.01	41.42	44.01	48.39	60.63	55.15	46.94	50.07	42.86	41.09	42.14	46.63	43.77	35.85	42.56	48.97	41.30	60.93
6	45.39	41.72	46.10	50.04	60.98	56.11	48.71	50.38	43.52	42.71	43.46	47.21	43.66	36.97	45.22	49.20	48.72	60.36
7	45.92	42.13	47.29	51.74	61.48	56.68	49.14	52.08	44.53	44.07	44.74	48.13	44.21	41.25	46.95	50.00	52.56
8	46.76	42.85	48.22	52.86	61.96	57.18	51.82	52.89	45.68	45.80	45.71	49.07	45.58	43.50	48.26	52.58	54.42
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	46.37	45.51	50.09	55.99	56.22
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	48.62	52.62	58.62	56.52
11	46.56	44.99	50.88	56.31	63.01	57.42	54.19	54.71	47.57	47.94	48.63	50.74	47.69	50.40	54.69	59.36
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	47.94	51.30	56.17	60.66
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	49.02	53.13	58.27	61.72
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	49.43	55.20	58.85
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	50.42	57.68	60.36
16	46.28	47.66	54.07	59.25	64.55	59.19	55.55	56.48	50.95	50.25	50.96	52.44	51.24	59.02	61.58
17	46.16	48.18	54.70	59.83	64.73	59.23	55.70	56.73	51.38	50.66	51.49	52.67	51.99	60.00
18	46.26	48.71	55.17	60.24	64.53	59.45	55.73	56.79	51.70	50.62	51.90	52.88	52.93	60.76
19	46.33	49.10	55.65	60.93	64.42	59.81	55.97	56.84	51.84	51.04	52.24	52.95	53.79	61.86
20	46.59	49.47	56.09	61.35	64.75	59.98	56.51	56.96	52.19	51.48	52.66	53.00	54.65
21	46.68	49.90	56.45	61.72	65.07	60.09	56.81	57.03	52.26	51.77	52.87	53.06	55.35
22	46.94	50.36	56.99	61.92	65.23	60.42	57.17	57.22	52.61	52.00	53.09	53.06	56.03
23	47.09	50.69	57.43	62.29	65.24	60.56	57.23	57.44	52.70	52.19	53.24	53.50
24	47.42	51.11	58.01	62.61	65.43	60.57	57.45	57.63	52.86	52.32	53.41	53.66
25	47.70	51.48	58.47	62.81	65.61	60.77	57.42	58.02	53.21	52.60	53.57	54.01
26	47.99	51.86	58.82	63.14	65.61	60.97	57.66	58.23	53.48	52.77	53.80	54.30
27	48.27	52.25	59.11	63.35	65.67	61.26	58.02	58.47	53.52	53.09	54.02	54.63
28	48.50	52.56	59.44	63.71	65.84	61.47	58.17	58.64	53.80	53.27	54.26	54.94
29	48.76	52.83	59.74	63.90	66.03	61.69	58.18	58.74	53.95	53.46	54.49	55.38
30	49.00	53.12	60.09	64.11	66.12	61.88	58.38	58.84	54.20	53.69	54.46	55.96
31	49.39	53.39	60.47	64.33	66.38	62.19	58.55	58.95	54.34	53.88	54.62	56.54
32	49.74	53.67	60.84	64.40	66.49	62.39	58.87	59.14	54.63	54.21	54.68	57.03
33	50.00	53.80	61.06	65.35	66.55	62.71	59.05	59.18	54.91	54.47	54.72	57.43
34	50.28	54.07	61.23	65.65	66.71	62.79	59.50	59.20	55.25	54.70	54.77	57.83
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	55.15
37							59.98	59.72	56.35	55.25	55.31
38							60.22	59.85	56.61	55.51	55.56
39							60.74	60.10	56.87	55.71	55.78
(i)We extended the reporting period for the prime 2013 and subsequent vintages to 30 months from 36 months to account for the longer loan terms. Since 2016, we have included SDART and AmeriCredit transactions that are not rated by S&P Global Ratings.

Table 19

Subprime Cumulative Recoveries (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016	2017	2018	2019	Q1 2020	Q2 2020	Q3 2020	Q4 2020	Q1 2021
No. of transactions	19	4	2	14	15	26	26	29	29	38	33	42	39	10	9	9	7	11
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.62	22.44	20.42	27.42	25.75	5.46	6.08	7.84	5.76	8.56
Month
1	50.45	4.68	26.37	13.24	38.17	34.26	48.95	26.51	19.69	15.31	(68.84)	(30.54)	(10.35)	17.43	(49.18)	7.79	(27.49)	3.76
2	52.67	16.20	33.03	40.00	48.39	49.13	50.63	44.56	42.02	31.03	27.83	35.96	37.44	38.39	26.19	31.89	21.99	37.67
3	46.95	29.34	37.37	41.47	47.18	52.07	55.86	45.53	43.70	36.43	33.14	40.47	39.22	35.88	27.35	38.09	25.47	41.17
4	38.89	27.91	35.33	35.15	42.05	42.02	42.71	38.13	37.37	33.69	29.36	36.65	33.89	21.61	24.97	31.18	25.04	39.06
5	36.34	28.40	35.45	37.94	42.98	41.06	42.01	37.93	36.74	33.14	30.12	37.61	34.14	24.45	27.26	30.69	30.73	38.57
6	35.89	31.83	34.81	38.97	44.45	43.35	45.07	38.11	36.19	33.10	31.12	37.15	34.19	28.00	28.63	31.33	64.73	39.83
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	33.25	31.22	30.08	35.55	56.05
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	33.64	34.89	31.42	39.69	53.34
9	36.59	33.43	38.30	40.34	45.82	44.24	44.87	40.07	37.59	34.93	33.89	inn	34.78	37.25	32.81	43.32	53.12
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	35.64	38.66	35.59	46.36	52.64
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	36.39	39.33	38.37	47.94
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	37.48	39.99	41.37	48.96
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	38.36	41.19	43.44	49.67
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	39.03	42.62	45.05
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	39.64	44.59	45.83
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	40.13	46.37	46.13
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	40.94	47.66
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	41.92	48.43
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	42.81	48.95
20	37.93	37.02	41.29	44.79	47.45	45.62	46.34	43.41	41.72	38.84	39.88	41.51	43.64
21	37.81	37.20	41.68	45.16	47.46	45.73	46.46	43.46	41.88	38.95	40.18	41.68	44.41
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	45.16
23	37.74	37.47	42.00	45.90	47.68	45.98	46.82	43.67	42.06	39.20	40.70	42.10	45.80
24	37.70	37.64	42.24	46.11	47.83	46.01	47.01	43.72	42.17	39.31	40.86	42.35
25	37.87	37.79	42.37	46.21	47.84	46.95	47.64	43.78	42.27	39.39	41.01	42.56
26	38.04	37.90	42.49	46.36	47.84	47.04	47.83	43.73	42.40	39.48	41.20	42.85
27	38.23	38.01	42.68	46.60	47.82	47.13	47.84	43.79	42.45	39.53	41.37	43.09
28	38.31	38.06	42.66	46.73	47.85	47.36	47.97	43.89	42.46	39.62	41.47	43.31
29	38.38	38.21	42.78	46.80	47.99	47.41	47.92	44.03	42.48	39.66	41.52	43.63
30	38.49	38.38	42.85	47.11	48.18	47.67	47.85	44.04	42.68	39.86	41.57	44.00
31	38.58	38.45	42.90	47.40	48.31	47.63	47.93	44.06	42.67	40.13	41.71	44.34
32	38.79	38.54	43.03	47.68	48.44	47.66	47.90	44.24	42.66	40.18	41.71	44.71
33	38.98	38.59	43.16	48.11	48.52	47.76	47.84	44.23	42.67	40.20	41.72	45.37
34	39.07	38.62	43.26	48.17	49.68	48.08	47.76	44.21	42.67	40.25	41.75	45.70
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	41.92
37	39.49	38.94	43.69	48.27	49.68	48.24	47.73	44.33	42.91	40.34	42.05
38	39.63	39.01	43.77	48.22	49.70	48.34	47.72	44.26	42.92	40.34	42.18
39	39.74	39.06	43.81	48.29	49.70	48.28	47.68	44.24	43.09	40.35	42.26
40	39.95	39.14	43.85	48.39	49.72	48.38	47.04	44.33	43.11	40.38	42.37
41	40.04	39.24	43.88	48.38	49.85	48.37	47.60	44.58	43.29	40.50	42.51
42	40.13	39.35	43.95	48.38	49.90	48.37	47.53	44.68	43.25	40.67	43.05
43	40.21	39.48	44.88	48.38	50.22	48.34	47.42	44.76	43.49	40.90	43.73
(i)Since 2016, we have included SDART and AmeriCredit transactions that are not rated by S&P Global Ratings.

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 3.0% or less, average FICO scores of 700 or higher, and annual percentage rates (APRs) of 0.0%-5.0%.

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. We then weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the index starting in its fourth month outstanding. During a transaction's first three months, unusually high or low recoveries are reported, leading to a spike in the composite figures.

How do you calculate the monthly 60-plus-day delinquency rate?

We calculate delinquencies by taking each transaction's 60-plus-day delinquency amount over the ending pool balance for the current month. We then weight each transaction's 60-plus-day delinquency percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the composite.

We only allow a transaction to enter the composite starting in its fourth month outstanding. During the transaction's first three months, zero or 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, subprime, and modified subprime composites and indices, see "U.S. Auto Loan ABS Tracker: March 2019," published May 23, 2019. However, note that we subsequently added transactions rated by S&P Global Ratings that have since closed, most prime transactions that closed and were not rated by S&P Global Ratings from 2016 through the present, and most Santander Drive Auto Receivables Trust and AmeriCredit Automobile Receivables Trust transactions not rated by S&P Global Ratings.

Related Research

• Five Ratings Raised, One Affirmed On Exeter Automobile Receivables Trust 2020-3, Oct. 29, 2021
• GM Financial Consumer Automobile Receivables Trust Ratings Raised On 12 Classes, Affirmed On 29 From Eight Transactions, Oct. 22, 2021
• Eight Ratings Raised And One Affirmed On Two GLS Auto Receivables Issuer Trust Transactions, Oct. 21, 2021
• 24 Ratings Raised, Eight Affirmed On Seven Westlake Automobile Receivables Trust Transactions, Oct. 14, 2021
• Two Ratings Raised From California Republic Auto Receivables Trust 2018-1, Oct. 14, 2021
• 12 Ratings Raised And 12 Affirmed From Five Ally Auto Receivables Trust Transactions, Oct. 9, 2021
• Ford Credit Auto Owner Trust Ratings Affirmed On 19 Classes From Six Revolving Pool Transactions, Oct. 8, 2021
• Economic Outlook U.S. Q4 2021: The Rocket Is Leveling Off, Sept. 24. 2021
• Auto Loan ABS COVID-19 Loss Adjustment Reassessed After Better-Than-Expected Performance, July 8, 2021
• U.S. Auto Loan ABS Tracker: March 2019, May 23, 2019

Primary Credit Analyst:	Amy S Martin, New York + 1 (212) 438 2538; amy.martin@spglobal.com
Secondary Contacts:	Timothy J Moran, CFA, FRM, New York + 1 (212) 438 2440; timothy.moran@spglobal.com
	Jennie P Lam, New York + 1 (212) 438 2524; jennie.lam@spglobal.com
	Kenneth D Martens, New York + 1 (212) 438 7327; kenneth.martens@spglobal.com
	Steve D Martinez, New York + 1 (212) 438 2881; steve.martinez@spglobal.com
Research Contributor:	Veerbhadrappa Umbargi, CRISIL Global Analytical Center, an S&P affiliate, Mumbai