The U.S. auto loan asset-backed securities (ABS) market roared back to life in 2021 with issuance rising to a 16-year high of $98.4 billion (see chart 1), collateral losses receding to record lows and recovery rates rocketing to new heights. Further, S&P Global Ratings upgraded a record 579 classes last year and downgraded none. These events occurred despite retail auto sales of 15.1 million units remaining below 2019's 17.0 million (but above 2020's 14.5 million units).

Federal COVID-19-related stimulus payments in December 2020 and March 2021, the continuation of enhanced unemployment benefits through early September 2021 (many states ended them in June or July), advance child tax credit payments (July–Dec. 15), and the drop in unemployment to 3.9% by year-end from 6.7% at the start of the year contributed greatly to last year's robust credit performance. Also, low new vehicle supply resulting from semi-conductor shortages supported record used vehicle values, which in turn led to lower repossession losses.

As we look forward, there is uncertainty with respect to the degree to which subprime losses will rise and return to historical levels given that it will be the first year without COVID-19-related stimulus/relief payments (after two years). The rise in losses for the 2021 Q2 subprime vintage may be our first glimpse of the credit impact from consumers losing these benefits, including child tax credit payments, which, according to Center on Poverty & Social Policy (at Columbia University) kept approximately 3.5 million children from property during the months it was paid. Further, while we expect used vehicle values to remain healthy this year due to strong fundamentals, we believe recovery rates will decline this year and start to return to historical levels.

We're generally optimistic about prime performance but more cautious with respect to subprime auto loan performance. Nonetheless, these deals are, in our opinion, well protected with the use of credit support and robust payment structures that build credit enhancement overtime, especially for the most senior classes.

Annual Performance: Losses And Delinquencies Declined To Record Lows in 2021, While Recoveries Reached All-Time Highs

Going into 2021, we expected performance metrics to remain strong in the near term but gradually revert to pre-pandemic levels due to fiscal support programs ending. That normalization has not yet occurred, in part due to the economy improving more quickly than we had expected. The unemployment rate declined to 3.9% by year-end compared to our December 2020 forecast of 6.4% and down from an average of approximately 8.1% in 2020. That, coupled with sky-high used vehicle values, allowed losses to plummet to record low levels in both the prime and subprime sectors (see charts 2 and 3).

More specifically, in the U.S. prime auto loan ABS sector, last year we observed that:

• The average monthly loss rate decreased to 0.19% from 0.46% in 2020 and stood at a record low in our composite, which dates back to 2006;
• Average 60-plus-day delinquencies declined to an all-time low of 0.31%, down from 0.37% in 2020; and
• Average monthly recoveries posted their best year, increasing to 85.13% from 62.61% in 2020.

Subprime auto loan ABS performance was equally impressive, as observed by:

• The average monthly loss rate declining to a record low of 3.59% from 5.80% in 2020;
• Average 60-plus-day delinquencies decreasing to 3.46% from 4.08%, an eight-year low; and
• Average recoveries jumping to a record 57.71% from 47.59% in 2020.

Monthly And Rolling Six-Month Performance: Relationship Between Losses And Unemployment Explored

Losses

Correlation Between Unemployment And Losses  

This month, in addition to our normal month-over-month and year-over-year analysis (shown in tables 1-3), we also graphed losses on a six-month rolling average basis to smooth out the seasonal ups and downs and to juxtapose these losses to unemployment rates (chart 4). By doing so, we found that while losses had been highly correlated with unemployment rates from 2006-2012, that relationship weakened beginning in 2014. From then until the start of the pandemic, unemployment rates generally declined, but losses, particularly in subprime, rose. In our opinion, this was due to competitive factors and the recovery from the global financial crisis losing steam. Also, 2020's unemployment spike didn't result in higher losses due to consumers receiving government-related COVID-19 assistance and loan extensions from their lenders.

Since May 2020, however, unemployment rates have declined and losses have generally retreated, thereby restoring the historical relationship between the two. Although we saw a slight uptick in subprime losses during the second half of 2021, rolling six-month net charge-offs as of December 2021 (4.08%) were in line with December 2020 (3.97%) and more than 50% below December 2019's six-month rolling average (8.80%).

Subprime Losses Increased Month Over Month, But Prime And Subprime Losses Remained At Record-Low December Levels  

Table 1

Net Loss Rate Composite(i)
	Dec-12	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Nov-21	Dec-21
Prime (%)	0.49	0.59	0.49	0.58	0.69	0.78	0.62	0.65	0.38	0.33	0.31
Subprime (%)	6.02	7.46	7.51	8.59	9.62	9.58	10.15	9.30	5.51	4.57	5.16
Subprime modified (%)(ii)	4.39	6.98	6.85	7.58	7.59	7.62	8.03	7.23	4.12	3.41	3.85
(i)Represents monthly annualized losses. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE--are excluded.

Prime net losses decreased to 0.31% in December from 0.33% in November, 0.38% in December 2020, and 0.65% in December 2019, marking a new record low for December in our composite's history (see table 1). Subprime net losses increased 59 basis points (bps) to 5.16% from 4.57% in November, but they were 35 bps lower than December 2020's 5.51% level and 414 bps lower than December's 2019's 9.30% and were at an all-time low for December.

Recoveries

Recovery Rates Have Tracked Used Vehicle Value Indexes 

Beginning in January 2006 through September 2021, recovery rates across auto loan ABS have generally tracked the Manheim Used Vehicle Value Index and J.D. Power Used Vehicle Price Index (see chart 5). However, beginning in September 2021, recovery rates started to exhibit their normal seasonal decline, coming off of record highs of approximately 103%-113% and 74%-79% in April/May 2021 for prime and subprime, respectively. They ended the year at 75% and 50%. In contrast, the indexes reached record high levels at year-end.

The used vehicle indexes and our recovery rates track different metrics. First, the Manheim values, which are seasonally adjusted (our recovery rates are not seasonally adjusted), track the average prices of vehicles going to market and, in our opinion, have an embedded upward bias because, as the population has migrated to larger, more expensive, higher quality vehicles, average auction proceeds have in turn risen. J.D. Power's index is slightly different in that it measures a fixed portfolio of vehicles over time and is limited to vehicles that are eight years old or younger.

Our monthly recovery rates don't directly track used vehicle values: Instead, they measure net recovery proceeds (after expenses) for the month over the gross charged-off amount for the particular month. As a result, higher loan-to-value (LTV) ratios, longer loan terms, or a mismatch between charge-off and collections could result in lower recovery rates, even while the industry is posting higher used vehicle values. Also, recovery proceeds on vehicles repossessed during the first nine months of last year likely benefitted from the run up in used vehicle prices to a greater extent than the later repossessions. The earlier repossessions were likely from loans financed in 2020 and earlier, which had much lower financed amounts than loans financed in early 2021 that subsequently defaulted.

The important take-aways from the chart is that the historical average recovery range for prime and subprime ABS pools before the pandemic was 55%-60% and 40%-45%, respectively, and they still have significant room to decline before they reach those historical norms. Further, we are taking this into account in our expected cumulative net loss (ECNL) levels.

Monthly Recovery Rates Increased And Were Higher Year Over Year 

Table 2

Recovery Rate Composite(i)
	Dec-12	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Nov-21	Dec-21
Prime (%)	56.69	51.67	60.45	53.74	53.85	45.70	51.94	55.19	68.87	72.41	75.37
Subprime (%)	41.15	40.93	42.89	40.74	40.10	36.28	36.28	37.79	44.72	50.02	50.33
Subprime modified (%)(ii)	53.26	41.42	43.08	41.62	40.21	36.35	36.54	38.69	45.24	51.73	51.50
(i)Represents monthly recovery rates. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE--are excluded.

Prime recoveries increased by 296 bps to 75.37% in December from 72.41% in November and increased by 650 bps from 68.87% in December 2020 (see table 2). December 2021 recoveries were the highest reported December level in the composite.

Subprime recoveries increased by 31 bps to 50.33% in December from 50.02% in November and by 561 bps compared to December 2020's level of 44.72%. Further, they were the highest December level in our composite.

We believe the month-to-month and year-over-year improvements were related to the persistent scarcity of new vehicle production caused by the global semiconductor chip shortage. At the same time, there has been continued strong demand for used vehicles, which is coming from not only consumers but also rental car companies that can't buy enough new vehicles

Delinquencies

Table 3

60-Plus-Day Delinquency Rate Composite (%)(i)
	Dec-12	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Nov-21	Dec-21
Prime	0.42	0.43	0.46	0.49	0.49	0.48	0.47	0.47	0.38	0.40	0.42
Subprime	3.58	4.27	4.63	5.22	5.56	5.53	5.89	5.76	4.18	4.40	4.64
Subprime modified(ii)	2.35	4.01	4.00	4.35	4.21	4.03	4.18	4.20	2.96	2.91	3.10
(i)Represents 60+ day delinquencies. (ii) Three large deep subprime issuers-- American Credit Acceptance, Exeter, and DRIVE--are excluded.

Delinquencies Rose Month-Over-Month And Year-Over-Year 

Delinquencies rose slightly from November 2021 and December 2020 but remained below pre-pandemic 2019 levels

Sixty-plus day delinquencies, after reaching all-time lows in April 2021, which followed consumers receiving their American Rescue Plan stimulus checks, have generally been on an upward trajectory (see chart 6).

The prime 60-plus-day delinquency rate increased slightly to 0.42% in December compared with 0.40% in November and was up from 0.38% in December 2020 but still below December 2019's pre-pandemic level of 0.47% (see table 3). We believe the higher delinquency levels reflect the phasing out of government support programs as well has higher inflation. Still, delinquency levels remain below pre-pandemic levels due to improved labor market conditions (e.g., December's national average unemployment rate stood at 3.9% compared with November's 4.2%).

The subprime 60-plus-day delinquency rate increased slightly to 4.64% in December from 4.40% in November and exceeded December 2020's level of 4.18%. Still, it remained 19% lower than December 2019's rate of 5.76%. Delinquencies were likely lower than they would otherwise have been because of an increase in extensions in December relative to November (see the Extensions section below).

Extensions Increased Month Over Month In December But Were In Line With Pre-Pandemic Levels

Prime extensions rose to 0.46% from 0.37% and ended the year at the same level as January 2021. Even with the seasonal increase, they remained below December 2020's and 2019's levels of 0.73% and 0.51%, respectively (see chart 7).

Meanwhile, subprime extensions (including both public and 144a transactions) increased in December, growing to 3.20% from 2.81% in November, and were at their highest level since January 2021 (see chart 7). Nonetheless, they were lower than December 2020's level of 4.90% and comparable to December 2019's rate of 3.26%.

Across the 18 prime issuers in our report, all but three reported higher deferments in December than November. Relative to December 2020 and December 2019, however, the majority reported lower extension activity (see chart 8).

Among the subprime issuers, 12 of the 16 reported higher extensions in December than in November. However, these extension rates were generally lower than those in December 2020, and the majority reported lower levels than in December 2019 (see chart 9).

Collateral Characteristics: Loan Terms Continued To Lengthen

Prime

The collateral characteristics for prime transactions issued in 2021 remained generally strong, but the weighted average FICO score declined slightly, loan terms continued to lengthen, and the used vehicle percentage increased (see table 5A):

• The weighted average FICO score decreased to 2019's level of 754 from 757 in 2020.
• The used vehicle percentage increased to 36.4% from 29.41% due to the inclusion of Carvana (see below).
• Loans with original maturities greater than 60 months increased to their highest level of 63.06% due to higher vehicle prices. Further, loans with an original maturity of 76-84 months increased to 1.04% from 0.73% in 2020. This remains well below the national average. According to Experian's third quarter 2021 report, 34% of new and 25% of used industry vehicle financing consisted of 84-month loans.
• The weighted average LTV ratio decreased slightly to 96.16% from 96.66%.

Ford Credit and GMF both started to include 84-month loans in their term deals in 2020. The percentage of these loans in their pools have generally remained low (less than 10%), although GMF's 2022-1 deal included 12.3%.

The collateral statistics do not include revolving pools, such as Toyota's TALNT 2021-1 transaction that allows a maximum of 15% with an original term of 76-84 months or Ford Credit's 2020-REV2 transaction that allows up to 12% with original maturities of 73-84 months.

A new prime issuer included in our index during 2021 was Carvana. They completed four prime transactions during the year consisting of all used vehicles. Our expected loss on these deals ranges from 2.2% to 3.6%.

Table 4A

Prime Collateral Trends(i)
Prime	WA APR (%)	Used (%)	Loans with original terms > 60 months (%)	Loans with original terms of 73-75 months (%)(ii)	Loans with original terms of 76-84 months and above (%)(ii)	WA original maturity	WA FICO score	WA LTV ratio (%)
2015	3.44	32.30	51.00	N/A	N/A	64.90	746	97.48
2016	3.51	29.75	50.15	N/A	N/A	64.32	746	96.94
2017	3.59	28.38	55.92	N/A	N/A	65.52	749	95.94
2018	3.73	27.66	60.03	N/A	N/A	65.80	755	95.81
2019	4.50	29.66	60.51	7.01	0.95	66.16	754	95.64
2020	4.24	29.41	60.67	6.39	0.73	66.25	757	96.66
2021	4.29	36.40	63.06	8.46	1.04	66.73	754	96.16
(i)Collateral characteristics of revolving transactions are not included because of the dynamic nature of the collateral pools. The 2016-2020 vintages include most non-S&P Global Ratings-rated term transactions. (ii)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan-to-value. N/A--Not applicable.

Subprime

In our view, collateral characteristics for subprime auto loan ABS were mixed relative to 2021. Although FICO scores and LTV ratios improved, terms lengthened. More specifically:

• The weighted average FICO score increased to 590 from 586.
• The weighted average LTV ratio decreased to 109.80% from 113.83%.
• Loans with original terms of 76-84 months increased to 1.46% from 0.43%.
• Loans with original maturities greater than 60 months increased to 86.30% from 81.57%.

Many issuers reported lower LTV ratios, but particularly American Credit Acceptance. We believe this is attributable to borrowers having more trade-in equity (due to record used vehicle values), which increases their down payment on subsequent purchase and lowers the LTV ratio. So although average vehicle prices are increasing, down payments (inclusive of trade-ins) are more than offsetting the increase, allowing LTV ratios to decline. It will be worth watching, though, to see if consumer behavior is different depending upon whether the majority of their down payment is coming from trade-ins as opposed to cash.

AmeriCredit, like with its GMF transactions, included 84-month loans in its public securitizations for the first time in 2020. Through its 2021-2 transaction, the percentage has remained below 10%. The 84-month loans in the 2021-2 transaction, which we rated, had more seasoning, higher FICO scores, and lower LTV ratios than the rest of the pool.

Table 4B

Subprime Collateral Trends(i)
Subprime	WA APR (%)	Used (%)	Loans with orig Terms > 60 months (%)	Loans with original terms of 73-75 months (%)(iii)	Loans with original terms of 76-84 months (%)(iii)	WA original maturity	WA FICO score	WA LTV ratio (%)
2015	17.31	71.18	83.16	N/A	N/A	68.58	572	113.11
2016	16.85	68.25	83.27	N/A	N/A	68.52	575	112.55
2017	17.79	69.05	84.61	N/A	N/A	68.94	578	110.57
2018	17.97	66.53	83.03	N/A	N/A	68.65	587	110.28
2019(ii)	17.84	70.55	82.63	8.14	N/A	68.69	584	112.45
2020	17.72	75.51	81.57	6.20	0.43	68.41	586	113.83
2021	17.07	78.65	86.30	8.56	1.46	69.68	590	109.80
(i)From 2016 onwards, the table includes the transactions we rated as well as most of the transactions we did not rate. (ii)Effective August 2019, we started reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan-to-value. N/A--Not applicable.

Auto Loan Static Index

Prime

The 2018 through 2020 vintages are performing sequentially better than their respective prior annual vintage, and the Q1 2021 vintage is off to a good start, reporting lower losses than the 2015-2020 vintages. For example, the Q1 2021 vintage had cumulative net losses (CNLs) of 0.07% at month seven, compared to 0.13%-0.19% for the earlier vintages. We believe the reduction in losses for these recent vintages is attributable to COVID-19-related stimulus and enhanced unemployment benefits, as well as strong recoveries due to limited vehicle supply.

However, the Q2 2021 vintage is off to a weak start relative to Q1 2021 with CNLs of 0.10% compared to 0.07% for Q1 2021. The slight increase is attributable to composition, as CarMax and Carvana, which have higher CNLs and lower recovery rates on charged off loans than most of their peers (due to their focus on used vehicles), represent a significant share of that quarter's issuance (22%, up from 19% in Q1 and 14% in 2020).

Subprime

We're seeing a very strong back-end performance benefit in the 2018 and 2019 subprime transactions due to COVID-19-related relief and stimulus measures as well as record used vehicle values. Also, the 2020 vintage is reporting a 44% reduction in losses relative to 2019 (2.55% in CNL at month 13 versus 4.54% for 2019 at the same month). Further, Q1 2021 is performing about 10% better than 2020 with 1.47% in CNLs compared to 1.64% for 2020.

However, the Q2 2021 vintage is off to a weak start, reporting an 56% increase in CNLs relative to Q1 2021 and a 33% increase in losses relative to 2020 (CNLs of 1.53% at month seven compared to 1.15% for 2020 and 0.98% for Q1). All of the issuers in our database that issued in both quarters reported higher CNLs in the second quarter. While much of the deterioration came from lower recovery rates, cumulative defaults were also up through month seven (2.34% versus 1.57% for Q1 2021, 1.69% for 2020, and 2.91% for 2019). Some of this deterioration, we believe, is due to the expiration of the expanded child tax credits that were being paid through mid-December.

Performance Outlook

Over time, we expect performance to normalize and losses and delinquencies to return to higher levels due to the fading benefit of stimulus payments and lenders returning to their pre-COVID-19 underwriting standards. Additionally, growth in consumer spending and inflationary pressures could squeeze the wallets of many, particularly lower-income consumers. In the subprime sector, we'll also be watching to see how increased originations/competition within the sector and the discontinuance of the expanded child tax credit payments affect performance going forward.

While we expect recovery rates to continue to decline slightly through the winter of 2022, we believe used vehicle values will remain higher than normal in 2022 due to strong fundamentals. Strengths here include new vehicle supply shortages through at least the first half of the year, pent-up demand, and continued low supply of used vehicles due to more lessees keeping their vehicles upon lease termination and rental car companies holding their fleets longer than usual.

Issuer-Specific CNL Index Data

We track CNLs by vintage for a number of issuers and compare those losses to the prime and subprime Auto Loan Static Index (ALSI). (See tables 6A and 6B.)

Table 5A

Prime Issuer CNL Performance Compared To The Prime ALSI
Issuer(i)	2017, month 36	2018, month 36	2019, month 25	2020, month 13	2021 Q1, month 9	2021 Q2, month 7
Prime ALSI	0.84	0.70	0.52	0.21	0.09	0.10
Ally Auto Receivables Trust	0.84	0.79	0.52	N/A	N/A	N/A
Canadian Pacer (Bank of Montreal)	0.35	0.47	0.26	0.09	N/A	N/A
Capital One Prime	N/A	N/A	0.16	0.09	N/A	N/A
BMW	N/A	0.19	0.07	0.01	N/A	N/A
CarMax	1.76	1.55	1.09	0.41	0.22	0.18
Carvana P	N/A	N/A	N/A	0.39	0.20	0.17
Fifth Third	0.52	N/A	0.46	N/A	N/A	N/A
Ford Credit	0.68	0.63	0.45	0.12	0.03	N/A
GM Financial	0.65	0.53	0.38	0.15	0.07	0.04
GTE	N/A	N/A	0.62	N/A	N/A	N/A
Harley	N/A	N/A	N/A	0.23	0.15	N/A
Honda	0.24	0.18	0.14	0.08	0.03	0.03
Hyundai	1.17	0.86	0.90	0.50	N/A	0.16
Mercedes-Benz	N/A	0.45	0.33	0.15	N/A	N/A
Nissan	0.75	0.84	0.93	0.17	N/A	0.07
Securitized Term (Bank of Nova Scotia)	0.27	0.20	0.14	N/A	N/A	N/A
Silver Arrow (Mercedes Canada)	N/A	0.13	0.13	N/A	N/A	N/A
Toyota	0.41	0.36	0.28	0.11	0.05	0.08
Unify	N/A	N/A	N/A	N/A	0.13	N/A
USAA	0.22	N/A	0.14	N/A	N/A	N/A
Volkswagen	N/A	0.67	N/A	0.45	N/A	N/A
World Omni Auto Receivables Trust	1.92	1.02	0.78	0.26	0.13	0.08
(i)For vintages 2017 and after, we have included most transactions that we didn't rate to arrive at the issuer level CNLs. CNL--Cumulative net loss. ALSI--Auto Loan Static Index. N/A--Not applicable.

Table 5B

Subprime Issuer CNL Performance Compared To The Subprime ALSI
	2017,month 36	2018, month 36	2019, month 25	2020, month 13	2021 Q1, month 9	2021 Q2, month 7
Subprime ALSI	12.60	10.06	6.91	2.55	1.47	1.53
ACA	22.57	19.95	14.02	6.62	4.53	4.27
AMCAR(i)	6.52	5.20	3.51	1.00	0.41	0.40
Carvana NP	N/A	N/A	N/A	N/A	2.44	2.08
CPS	11.79	9.67	6.21	2.15	1.04	0.65
DRIVE	15.53	11.95	7.90	3.31	N/A	1.58
DriveTime(ii)	25.53	19.53	12.63	5.25	3.51	2.56
Exeter	15.34	14.13	9.87	3.96	2.31	2.64
First Investors	9.03	6.16	3.83	2.03	0.78	N/A
Flagship	8.67	7.81	5.19	1.56	0.74	0.57
GLS	13.36	11.01	7.44	2.71	1.54	1.12
Prestige	10.89	9.99	7.40	2.26	N/A	N/A
SDART(i)	9.70	7.81	5.24	1.77	1.14	1.15
Sierra	N/A	N/A	N/A	N/A	N/A	N/A
Tidewater	N/A	9.51	N/A	1.74	N/A	N/A
UACC	19.36	19.46	16.26	6.94	3.13	N/A
Westlake	11.98	9.60	6.34	2.26	1.31	1.14
World Omni Select	N/A	4.43	2.73	1.01	N/A	N/A
(i)SDART and Americredit include deals not rated by S&P Global Ratings. (ii)DriveTime is an integrated auto sales/finance business and is excluded from our subprime indexes. CNL--Cumulative net loss. ALSI--Auto Loan Static Index. N/A--Not applicable.

Table 5C

Non-Prime Issuer CNL Performance
	2017, month 36	2018, month 36	2019, month 25	2020, month 13	2021 Q1, month 9	2021 Q2, month 7
CARAT	4.00	2.78	N/A	N/A	N/A	N/A
Santander Prime (SPAIN)(i)(ii)	2.04	3.04	N/A	N/A	N/A	N/A
Santander Consumer (SCART)	N/A	N/A	N/A	0.59	N/A	N/A
(i)SPAIN for year 2018 includes one deal (2018-A) rated by S&P Global Ratings. (ii)SPAIN 2017 (2017-A) got retired at month 17.CNL--Cumulative net loss. N/A--Not applicable.

Auto Loan ABS Rating Activity/Revised Loss Expectations

Our 2021 surveillance reviews resulted in a record 579 upgrades and no downgrades across U.S. auto loan ABS (see table 7).

Performance was bolstered by unprecedented amounts of federal aid to consumers through the CARES Act in 2020 and American Rescue Plan Act in 2021, record levels of payment extensions, and extremely strong recovery rates due to vehicle shortages caused by manufacturing shutdowns and semiconductor shortages.

In January 2022, we revised our loss expectations and took the following rating actions:

• Raised 11 ratings and affirmed three ratings from four Prestige Auto Receivables Trust transactions (see "Eleven Ratings Raised And Three Affirmed On Four Prestige Auto Receivables Trust Transactions," published Jan. 20, 2022).
• Raised three ratings and affirmed 22 ratings from six Ford Credit Auto Owner Trust transactions (see "Ford Credit Auto Owner Trust Ratings Raised On Three Classes, Affirmed On 22 From Six Transactions," published Jan. 14, 2022).

These rating actions resulted in 14 upgrades and 25 affirmations in January 2022.

Table 6

Historical Ratings Activity--U.S. ABS Auto Loans
Period	Upgrades	Downgrades
2015	177	0
2016	357	0
2017	322	0
2018	335	2
2019	432	5
2020	332	8
2021	579	0
2022 (YTD 1/31/2022)	14	0
Total	2548	15
YTD--Year-to-date.

Table 7

Historical Ratings Activity--Canadian ABS Auto Loans
Period	Upgrades	Downgrades
2021	8	0
2022 (YTD 1/31/2022)	0	0
Total	8	0
YTD--Year-to-date.

Table 8

Prestige Auto Receivables Trust (%)
Series	Initial expected net loss range	Former expected lifetime CNL	Revised/maintained expected lifetime CNL(i)
2017-1	13.00-13.75	13.25-13.75	Up to 12.80
2018-1	13.00-13.75	14.25-14.75	12.75-13.25
2019-1	13.25-14.00	17.00-18.00	13.50-14.50
2020-1	18.25-19.25	N/A	13.50-14.50
(i)Revised in January 2022. CNL exp.--Cumulative net loss expectation. N/A–-Not applicable.

Table 9

Ford Credit Auto Owner Trust (%)
Series	Initial expected net loss range	Former expected lifetime CNL	Revised/maintained expected lifetime CNL(i)
2018-A	1.00-1.20	0.80-0.90	Up to 0.70
2019-B	1.00-1.20	0.90-1.10	0.60-0.80
2019-C	1.00-1.20	0.90-1.10	0.55-0.75
2020-B	1.30-1.50	N/A	0.55-0.75
2020-C	1.40-1.60	N/A	0.80-1.00
2021-A	1.25-1.45	N/A	0.90-1.10
(i)Revised in January 2022. CNL exp.--Cumulative net loss expectation. N/A–-Not applicable.

Appendix I: ALSI Performance Data

Table 10

Prime Cumulative Net Losses(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019(ii)	2020	Q1 2021	Q2 2021
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	39	31	8	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	41.75	9.90	10.52
Cumulative net losses by 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	0.01	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	0.01	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	0.02	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	0.05	0.03	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	0.08	0.04	0.05
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	0.11	0.05	0.07
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	0.13	0.07	0.10
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	0.15	0.08
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	0.17	0.09
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	0.18
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	0.19
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	0.20
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	0.21
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
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
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
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
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
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
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	0.51
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	0.52
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	0.52
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	0.70
36	2.60	2.01	0.92	0.54	0.61	0.53	0.67	0.71	0.77	0.89	0.84	0.70
37							0.68	0.71	0.78	0.90	0.85	0.70
38							0.68	0.72	0.79	0.92	0.86
39							0.69	0.73	0.79	0.93	0.86
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 11

Subprime Cumulative Net Losses
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018(iii)(iv)	2019	2020	Q1 2021	Q2 2021
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	11	10
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	25.14	8.56	10.52
Cumulative net losses by 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	0.01	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	0.04	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	0.09	0.12	0.14
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	0.29	0.28	0.41
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	0.57	0.49	0.73
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	0.86	0.72	1.13
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	1.15	0.98	1.53
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	1.41	1.22
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	1.64	1.47
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	1.87
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	2.11
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	2.33
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	2.55
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
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
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
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
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
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
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	6.79
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	6.91
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	10.01
36	13.59	14.42	8.97	8.25	6.84	8.92	9.98	11.13	12.91	12.77	12.60	10.06
37	13.76	14.61	9.05	8.38	6.99	9.07	10.16	11.31	13.10	12.97	12.72	10.12
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)Cumulative net losses declined in month 34 as two transactions with relatively high losses paid off in month 33. (ii)Cumulative net losses declined in months 40 and 41 as some high loss transactions paid off in months 39 and 40. (iii)Includes SDART deals not rated by S&P Global Ratings. (iv)Includes AmeriCredit deals not rated by S&P Global Ratings.

Table 12

Prime 60-Plus Day Delinquencies(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019(ii)	2020	Q1 2021	Q2 2021
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	39	31	8	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	41.75	9.90	10.52
60-plus day delinquencies by 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	0.03	0.02
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	0.06	0.07
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	0.13	0.08	0.12
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	0.14	0.08	0.15
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	0.16	0.10	0.19
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	0.17	0.13	0.22
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	0.17	0.15	0.28
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	0.19	0.18
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	0.18	0.21
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	0.19
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	0.20
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	0.20
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	0.22
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
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
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
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
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
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
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	0.34
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	0.34
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	0.35
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	0.40
35	1.05	0.92	0.72	0.63	0.68	0.67	0.86	0.63	0.77	0.64	0.54	0.42
36	1.12	0.87	0.72	0.67	0.65	0.66	0.87	0.65	0.78	0.64	0.55	0.41
37							0.90	0.69	0.78	0.64	0.55	0.44
38							0.93	0.68	0.81	0.68	0.55
39							0.96	0.72	0.74	0.71	0.56
(i)We have extended the reporting period for the prime 2013 and subsequent vintages to 39 months from 36 to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 13

Subprime 60-Plus Day Delinquencies
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018(ii)	2019	2020	Q1 2021	Q2 2021
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	11	10
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	25.14	8.56	10.52
60-plus day delinquencies by 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	0.12	0.26	0.24
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	0.69	0.60	0.94
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	1.47	0.96	1.81
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	1.93	1.26	2.47
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	2.00	1.63	2.90
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	2.10	1.90	3.28
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	2.18	2.14	3.66
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	2.29	2.44
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	2.44	2.81
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	2.54
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	2.72
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	2.93
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	3.10
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
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
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
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
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
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
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	3.75
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	3.78
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	4.12
36	4.41	2.12	1.81	5.99	3.73	5.47	5.86	6.56	6.50	6.05	5.54	4.17
37	4.34	2.29	2.02	6.46	3.77	5.55	6.17	6.57	6.51	6.22	5.22	4.30
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)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

Table 14

Prime Cumulative Recoveries(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017(ii)	2018(ii)	2019(ii)	2020	Q1 2021	Q2 2021
No. of deals	32	37	26	28	20	31	23	32	21	29	33	35	39	31	8	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	41.75	9.90	10.52
Cumulative recoveries by 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	27.48	16.33	31.19
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	46.40	42.75	33.59
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	46.98	41.36	46.36
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	43.16	54.25	47.08
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	42.55	60.93	46.82
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	45.18	60.36	46.20
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	47.60	60.27	43.27
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	49.53	60.20
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	51.78	61.04
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	54.04
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	55.44
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	56.90
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	58.24
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
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
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
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
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
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
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	56.62
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	57.37
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	57.93
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	58.28
36	50.73	54.56	61.61	66.11	66.85	63.12	59.85	59.52	56.00	55.03	55.15	58.62
37							59.98	59.72	56.35	55.25	55.31	59.00
38							60.22	59.85	56.61	55.51	55.56
39							60.74	60.10	56.87	55.71	55.78
(i)Starting this month, for the recent vintages (2013 onwards), we have extended the performance data to 39 months to account for the lengthening of loan terms. (ii)Includes deals not rated by S&P Global Ratings.

Table 15

Subprime Cumulative Recoveries
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018(ii)	2019	2020	Q1 2021	Q2 2021
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	11	10
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	25.14	8.56	10.52
Cumulative recoveries by 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)	(11.42)	3.60	19.85
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	29.67	36.85	38.30
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	32.00	40.66	32.54
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	25.97	38.98	30.99
5	36.34	28.40	35.45	37.94	42.98	41.06	42.01	37.93	36.74	33.14	30.12	37.61	34.14	28.38	38.47	32.34
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	37.33	39.67	33.51
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	37.83	40.43	35.49
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	39.66	42.00
9	36.59	33.43	38.30	40.34	45.82	44.24	44.87	40.07	37.59	34.93	33.89	37.20	34.78	41.60	43.03
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	43.40
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	43.30
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	44.40
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	45.44
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
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
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
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
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
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
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	46.35
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	46.89
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	46.05
36	39.33	38.86	43.59	48.22	49.72	48.23	47.74	44.33	42.87	40.33	41.92	46.38
37	39.49	38.94	43.69	48.27	49.68	48.24	47.73	44.33	42.91	40.34	42.05	46.63
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)Includes SDART deals not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit deals not rated by S&P Global Ratings.

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

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial ECNLs of 3% or less, average FICO scores of 700 or higher, and annual percentage rates (APRs) of 0%-5%.

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 lower delinquencies are reported, which dilutes the composite figures.

What is the ALSI?

Our ALSI monitors the credit performance of securitizations that were originated in the same year on a weighted average basis. The number of months displayed for each vintage is generally determined by the last point that all securitizations for that time period have a data point. We calculate the prime and subprime ALSI CNLs by taking the weighted average of the CNLs of the transactions that were completed in the same time period (generally a year). Each transaction's CNL is weighted by its initial pool balance over the aggregate initial pool balance of all the transactions included in the index for that period. In the subprime ALSI, transactions from Byrider Finance LLC (doing business as CarNow Acceptance Corp.), Credit Acceptance Corp., and DriveTime Automotive Group Inc. are excluded because they do not have the typical indirect auto loan business model.

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

For a list of the transactions included in our prime, subprime, and modified subprime composites and indices, see "U.S. Auto Loan ABS Tracker: March 2019," published May 23, 2019. However, note that we subsequently added S&P Global Ratings-rated transactions that have since closed, most prime transactions that closed and were not rated by S&P Global Ratings from 2016 through the present, and most Santander Drive Auto Receivables Trust and AmeriCredit Automobile Receivables Trust transactions not rated by S&P Global Ratings.

Related Research

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• Ford Credit Auto Owner Trust Ratings Raised On Three Classes, Affirmed On 22 From Six Transactions, Jan. 14, 2022
• Global Structured Finance 2022 Outlook, Jan. 12, 2022
• Comments Requested On Proposed Methodology And Assumptions For Rating Global Auto ABS, Nov. 30, 2021
• Economic Outlook U.S. Q1 2022: Cruising At A Lower Altitude, Nov. 29, 2021

Primary Credit Analyst:	Amy S Martin, New York + 1 (212) 438 2538; amy.martin@spglobal.com
Secondary Contacts:	Jennie P Lam, New York + 1 (212) 438 2524; jennie.lam@spglobal.com
	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:	Shantanu Mishra, CRISIL Global Analytical Center, an S&P affiliate, Mumbai