Whereas 2021 was an exceptionally strong year for U.S. auto loan asset-backed securities (ABS), as reflected by growth in auto sales, higher loan and securitization volumes, and record low loss levels, 2022 proved to be nearly the opposite. Auto loan ABS issuance declined 7.5% to $91.0 billion from $98.4 billion in 2021, as the market saw an 8.0% dip in retail auto sales to approximately 13.7 million units, which was driven by continued supply constraints (see chart 1). Lower securitization levels were also the result of substantially higher funding costs (benchmark rates rose and spreads widened) with several securitizers seeing their cost of debt tripling during the year. Moreover, 2022 marked a turning point for credit performance, which had been buoyed by COVID-19-related government assistance and record recovery rates. In 2022, recovery rates fell and delinquencies rose--the subprime segment reported record delinquency levels as of year-end 2022. Losses also trended upwards, with the subprime 2022 vintages being the most greatly affected. Despite low levels of unemployment, some of these issuers are reporting higher-than-historical loss levels early in these deals' lives (the issuer-specific static pool performance section illustrates this). Some are addressing this by tightening their credit standards, as shown by higher FICOs in the collateral trends section. In the prime sector, losses continued to normalize, but delinquencies rose to usually high levels.

Volume Declined In Most Segments In 2022

Due to unfavorable market conditions, issuance declined in most segments. Subprime weathered the greatest decline, with issuance decreasing to $37.3 billion (41.0% of overall issuance) from $43.8 billion in 2021 (44.6%). While higher funding costs and diminished investor demand put a dent in ABS activity, several lenders deliberately reduced their origination volumes toward the back half of the year by focusing on higher-quality obligors. These steps were taken in response to higher-than-anticipated collateral losses as well as to better position the companies for a possible economic downturn. Captive issuance (domestic and foreign combined) declined to $31.2 billion (from $33.27 billion) and represented 34.4% of issuance (33.8% in 2021) (see chart 2).

A bright spot in the auto loan ABS market in 2022 was issuer diversification, with an uptick in issuance from bank and credit unions. Pentagon Federal Credit Union and Oregon Community Credit Union were two new issuers in this space last year.

S&P Global Ratings is currently forecasting issuance growth of approximately 7% to $97 billion this year, due to higher retail auto sales (14.7 million units) stemming from continued pent-up demand. We also expect growth from the emergence of new issuers, including more credit unions.

Auto Tracker Performance Methodology

This year-end auto tracker examines performance in two ways: 1) on a revolving basis (i.e., a portfolio-based approach), wherein we aggregate the statistics across all deals outstanding every month regardless of when the deals closed; and 2) on a static pool basis, wherein losses (or other metrics) are assigned to the vintage year or quarter in which the pool was securitized. The revolving index provides a quick snapshot of performance trends, both on a monthly basis through December 2022 and on an annual average basis from 2013-2022. For comparison purposes, we've also added 2009, the year in which average annual losses peaked. The second approach, vintage analysis, allows one to better identify which cohorts are showing improvement or deterioration and is the method we rely on when rating transactions. Given the pivotal turning point in performance as we approached year-end 2022, we have expanded our normal static pool section to drill down and show static pool cumulative net losses by issuer. These are shown in the Appendix I: Issuer's CNL Performance Charts section.

Annual Portfolio-Based Performance

Prime auto loan ABS: annual performance started to normalize

In 2022, performance in the prime sector started to normalize, coming off record-low losses and delinquencies and all-time high recoveries in 2021. Specifically:

• Average losses increased to 0.34% from 0.19%, but remained below those from 2013-2020.
• Recoveries, at an average of 67%, were the second-highest in history (although they came down as year-end approached).
• Delinquencies, while up (0.43%), remained lower than in 2016 and 2017.
• Extensions increased slightly to 0.37% from 0.36% the prior year (for more on extension data, see the Extension section).

Subprime auto loan ABS: annual performance weakened, and delinquencies approached record levels

After two years of strengthening recovery rates and lower losses, performance started to revert to more normal levels last year. However, 60+ day delinquencies rose to near record levels. Specifically:

• Average losses increased to 6.18% from 3.59%, but remained below recent peak levels in 2017 and 2018 of 8.32% and 8.31%, respectively. Excluding the three large deep subprime lenders, Drive, ACA, and Exeter, average losses for the modified subprime composite were lower at 4.88%, but still up from the prior two years.
• Recoveries declined to an average of 49.21% but this remained the 2nd highest recovery rate since 2013.
• 60+ day delinquencies rose to 4.96%, and nearly reached the peak levels reported in 2018 and 2019 of 5.04% and 5.08%, respectively. Excluding the three entities noted above delinquencies for the modified subprime composite were 3.54%, and slightly below the recent peaks in 2018 and 2019.
• More extensions were granted in 2022 than in 2021 due to the termination of COVID-related stimulus and other support programs. (For more extension data, see the Extension section).

Monthly Portfolio-Based Performance: December

Losses: seasonal trends re-emerged, with losses reaching highest December level since 2019

Seasonal trends re-emerged in December 2022, with annualized losses increasing month over month from November. Prime and subprime losses increased to 0.53% and 8.49%, respectively, the highest for December since 2019.

Table 1

Net Loss Rate Composite(i)
	Dec-08	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Nov-22	Dec-22
Prime (%)	1.99	0.59	0.49	0.58	0.69	0.78	0.62	0.65	0.38	0.31	0.45	0.53
Subprime (%)	11.13	7.46	7.51	8.59	9.62	9.58	10.15	9.30	5.51	5.16	8.29	8.49
Subprime modified (%)(ii)	N/A	4.39	6.85	7.58	7.59	7.62	8.03	7.23	4.12	3.85	6.79	7.03
(i)Represents monthly recovery rates. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Since the composite includes all deals outstanding as of Dec. 31, 2022, it masks the recent deterioration we've observed for subprime 2022 securitizations. As the 2019-2021 pools roll off, we would expect losses to continue to rise given the greater weight of the higher-loss 2022 pools, all else equal (see subprime static pool performance). Also, higher unemployment levels and continued declines in recovery rates could lead to higher losses.

Recoveries: recoveries normalized after record high levels two years in a row

On a year-over-year basis, recoveries declined from December 2021's record levels, which exceeded the prior peak in December 2020. Prime recoveries slid to 51.64% from 65.84% in November 2022 and the peak level of 75.37% in December 2021. At 51.64%, prime recoveries stood slightly below the seven-year December average from 2013-2019 of 53.22%. Subprime recoveries inched up to 39.75% in December from 39.28% in November, but were down from December 2021's record of 50.33%. At 39.75%, December's recovery rate was in line with the seven-year December average from 2013 to 2019 of 39.29%.

Table 2

Recovery Rate Composite(i)
	Dec-08	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Nov-22	Dec-22
Prime (%)	37.84	51.67	60.45	53.74	53.85	45.70	51.94	55.19	68.87	75.37	65.84	51.64
Subprime (%)	31.84	40.93	42.89	40.74	40.10	36.28	36.28	37.79	44.72	50.33	39.28	39.75
Subprime modified (%)(ii)	N/A	53.26	43.08	41.62	40.21	36.35	36.54	38.69	45.24	51.50	38.39	39.56
(i)Represents monthly recovery rates. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

The year-over-year rate of decline in recovery rates exceeded the approximate 15% decline in the Manheim Used Vehicle Value Index (see chart 6). In hindsight, we believe this was largely due to loans that were underwritten in 2021 and early 2022 utilizing abnormally high vehicle valuations. These values were temporarily inflated due to outsized demand caused by new vehicle supply constraints and consumers have excess cash due to COVID-19-related stimulus. During this time, vehicles, which typically depreciate the moment they are driven off of dealers' lots, were appreciating. However, when vehicles financed during this frenzied period later defaulted, valuations had come down off of peak levels, and thus, so did recovery rates.

We also credit some of the decline in recovery rates to some lenders taking full-balance charge-offs and giving certain delinquent obligors more time to make their payments, especially with tax refunds just around the corner. As result, some of the delinquent loans would have hit the charge-off proviso in transaction documents (generally when any of the following occur: the account is 90-120 days delinquent, the vehicle has been repossessed and liquidated, and the vehicle has been repossessed and in inventory for 90 days). Since the vehicles underlying these contracts would not have been repossessed and liquidated at such time, there would be no recoveries with which to offset the charge-off, thus giving rise to a full-balance charge-offs and a zero recovery on those loans. Lower recovery rates, according to certain lenders, are also due to a lack of repossession agents; this has lengthened the time to repossess a vehicle, giving rising to more full-balance charge-offs. Others have also indicated that repossession expenses have risen significantly, further contributing to lower recovery rates, net of expenses.

While we hope that recovery rates enjoy their normal spring bounce this year due to tax refunds driving consumers to dealers' lots, we are hearing from issuers that they expect used vehicle values to decline this year, as much as 15% or more. Even if that were to decline 15%, used vehicle values, as per the Manheim Used Vehicle Value Index, would still be about 5%-6% higher than December 2020. We assume lower used vehicle values in our rating approach by generally assuming that future gross defaults will experience modestly lower cumulative recovery rates than experienced on the 2019-2021 pools.

60+ day delinquencies: subprime delinquencies reached a record level

Despite unemployment being around 3.4%, the consumer, especially the subprime one, appears to be having greater difficulty making their car payment on time. Subprime 60+ day delinquencies inched up to 6.05% for December 2022 from 5.72% in November 2022 and were the highest-ever December level in our composite's history. Delinquencies were significantly lower for the modified composite, which excludes three deep subprime lenders, and which started to represent a meaningful percentage of the subprime index in about 2016/2017.

Prime 60+ day delinquencies, while stable month to month at 0.51%, reached their highest December level since 2011 (see chart 7). While elevated, we saw similar prime delinquency levels in January 2016 and January 2018. Further, prime late payments remain significantly below recessionary levels from 2008 and 2009.

Table 3

60-Plus-Day Delinquency Rate Composite (%)(i)
	Dec-08	Dec-13	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Nov-22	Dec-22
Prime	0.71	0.43	0.46	0.49	0.49	0.48	0.47	0.47	0.38	0.42	0.51	0.51
Subprime	5.66	4.27	4.63	5.22	5.56	5.53	5.89	5.76	4.18	4.62	5.72	6.05
Subprime modified(ii)	N/A	2.35	4.00	4.35	4.21	4.03	4.18	4.20	2.96	3.07	4.35	4.70
(i)Represents 60-plus delinquencies. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

We believe the growth in late payments are due to a confluence of factors: stoppage of COVID-19-related aid, including expanded child tax credit payments, which ended December 2021; growth in lending in 2021 and first-quarter 2022, which often comes at the expense of credit quality; inflationary effects on the consumer; reduced savings; and higher debt levels. Total household debt balances increased $351 billion in the third quarter of 2022, their largest nominal increase since 2007. Credit card debt balances also grew 15% on a year-over-year basis, the largest increase since 2012. Further, according to the New York Fed Consumer Credit Panel, the lowest-income borrowers have increased their average credit card balances beyond December 2019's levels, which is partly explained by higher cost of goods and services.

Static Pool Performance, Auto Loan Static Index (ALSI)

Prime: low cumulative net losses (CNLs), but higher delinquencies (DQs) and lower recoveries on 2021 and 2022 vintages could hasten the return to pre-pandemic loss levels

Although we're seeing a slight increase in losses on the 2021 vintage relative to the record low levels for 2020 and a slight uptick for first-quarter 2022 relative to 2020 and 2021, we would categorize this as normalization. Even with the small increases, the 2021 and 2022 indexes are on average reporting lower losses than those from 2016-2019 (chart 8). Additionally of the 15 prime issuers whose vintage CNLs we've included in the appendix, only CarMax and BMW are experiencing higher losses on one or more of their 2022 securitizations (with at least eight months of performance) compared to the average of their pre-pandemic vintages (2019 and earlier) at the same seasoning point.

We credit the strong performance to very low gross default rates (chart 9) and very strong recovery rates (chart 10). However, cumulative recovery rates for the 2021 vintage seem to have plateaued, and are sequentially lower for the first-, second-, and third-quarter 2022 vintages. To the extent recoveries weaken further, losses will likely rise at an increasing rate and possibly return to pre-pandemic levels, which were still relatively low. The growth in 60+ day delinquencies for the 2021 and first-quarter 2022 vintages also portends higher potential losses for these vintages (chart 11). The second- and third-quarter 2022 vintages are, however, reporting lower delinquencies, perhaps due to the lenders tightening their credit standards.

Subprime: quarterly 2022 vintages are reporting record high DQs and losses

Loss rates on the 2021 and 2022 vintages have increased significantly compared to the unsustainably record low levels of 2020. Of concern, however, is the elevated CNL for first-quarter 2022 (3.89% at month 10) and record-high CNL for second-quarter 2022 (2.93% at month seven, see chart 12). Most of the degradation is concentrated among the deep subprime lenders (American Credit Acceptance (ACA), Exeter, and UAC). If we focus instead on the modified index, which excludes ACA, Exeter, and Santander's Drive Auto Receivables Trust (DART) transactions, the deterioration is less pronounced, but CNLs for the modified second-quarter 2022 (3.25%) still remain at a peak level.

Worsening CNL performance for the 2021 and 2022 cohorts is attributable to both higher gross losses (see chart 14) and lower cumulative recovery rates (CRRs) (see chart 15). Like prime, stagnating recovery rates for the 2021 vintage and sequentially lower CRRs on the 2022 cohorts have had a particularly deleterious impact. The 60+ day delinquencies for the 2021 and 2022 vintages are at all-time highs (see chart 15). If we focus instead on the modified index, which excludes two large deep subprime lenders who have transactions currently on credit watch negative, 2021's 60+ day delinquencies of 3.39% at month 13 are more in line with 2016's modified index (3.12%). However, the 2022 modified quarterly vintages would still be higher than all prior years on a comparable modified basis and are trending worse than the 2007 and 2008 recessionary pools. Perhaps lenders have become more comfortable operating at higher DQ levels and are hoping for a strong tax refund season. In any event, the current trend in recoveries and delinquencies doesn't bode well for future performance, especially if we do experience a recession with higher levels of unemployment.

Extensions: Subprime Extensions Exceed Pre-Pandemic Levels

While prime and subprime extensions rose month over month, which is expected due to seasonal factors, the subprime segment's extensions rose above December 2019's pre-pandemic levels (see chart 16). Prime extensions increased to 0.50% in December 2022 from 0.42% in November 2022 and 0.46% in December 2021, but were down from 0.73% in December 2020 and in line with 0.51% in December 2019.

Extensions for subprime public and 144a transactions combined increased to 3.68% in December 2022 from 3.16% in November 2022 and 3.20% in December 2021. While they were down from December 2020's 4.90%, they remained higher than December 2019's 3.26%.

On a more granular basis, the 144a issuers reported a greater level of deterioration with their extensions increasing to 5.12% for Dec 2022 from 4.59% the prior month, 4.24% in December 2021, 4.94% in December 2020 and 4.46% in December 2019. The higher delinquencies in subprime auto, coupled with elevated extensions going into 2023, could lead to even weaker performance in this sector in 2023, unless tax refunds are exceptionally generous.

Prime issuer extensions

Of the 16 prime issuers in chart 17 that had transactions outstanding as of Dec. 31, 2022, 10 reported a year-over-year increase in extensions, three reported decreases, and threewere unchanged. Of the 15 that had deals outstanding as of Dec. 31, 2019, and 2022, only six reported increases in extension levels compared to pre-COVID-19 pandemic levels as of December 2019, and two of those had increases of only 1-2 basis points (bps).

Ford Motor Credit, CarMax Auto Owner Trust, Ally Auto Receivables Trust, and World Omni Auto Receivables Trust had the highest extension rates of 1.07%, 0.85%, 0.74%, and 0.73%, respectively, in December 2022.

Subprime issuer extensions

Of the 17 subprime issuers whose transactions we rate, 16 issuers reported a year-over-year increase in extensions, while only Tidewater reported a decline. In addition, of the 16 that have been doing S&P Global ratings-rated deals since December 2019, 11 reported higher extension levels compared to pre-COVID-19 pandemic levels of December 2019.

Westlake Automobiles Receivables Trust, Exeter Automobile Receivables Trust, and United Auto Credit Securitization Trust had the highest extension rates of 7.22%, 6.14%, and 6.06%, respectively, in December 2022. We would expect to see these decline in early 2023 due to the collection of tax refunds.

Collateral Characteristics: Longer-Term Loans Are The New Normal

Prime

The collateral characteristics for prime transactions that were issued in 2022 didn't change significantly when compared to 2021, except that the loan terms continued to lengthen (see charts 19 A and 19B). Specifically:

• The weighted average FICO remained 754, but this was lower than 2020s average of 757 when lending standards tightened due to COVID-19.
• The weighted average loan-to-value (LTV) ratio was nearly unchanged at 95.95%, compared to 96.16%.
• The weighted average annual percentage rate (APR) inched up to 4.41% from 4.29% due to higher ABS funding costs.
• The dollar amount of used vehicle financing decreased slightly to 35.13% for the year (second-highest level) from 36.40% as CarMax and Carvana, which focus entirely on used vehicle financing, reduced their share of issuance in 2022.
• Loans with original maturities greater than 60 months increased significantly to 66.87% for 2022 from 63.06% in 2021. Further, loans with original maturities of 73-75 months rose to 10.45% from 8.46% for 2021 and maturities of 76-84 months doubled to 2.77% from 1.04% for 2021. As a result, the weighted average original maturity increased to 67.17 months from 66.73 months.

Subprime

Subprime collateral credit quality ostensibly improved in 2022 relative to 2021 as reflected by the higher weighted average FICO. However, FICOs are not always the best predictor of performance in this space. On the negative front, LTVs increased, the proportion of used vehicle financing rose, and similar to prime, loan terms lengthened. Specifically:

• The weighted average FICO score improved marginally to 593 from 590 for 2021.
• The weighted average APR declined to 16.69% from 17.07%. While this could indicate better credit quality loans, it may also reflect the highly competitive conditions in the market and lenders reluctance to raise pricing. However, by February 2023, after several months of rising funding costs, lenders have started to increase their APRs.
• While loans with original maturities greater than 60 months decreased to 85.64% from 86.30% in 2021, loans with original terms of 73-75 months increased to 12.60% from 8.56% in 2021 and loans with an original term of 76-84 months rose to 2.27% from 1.46%. As a result, the weighted average original term increased to 69.75 months from 69.68 months.
• The percentage of used vehicle financing increased to 84.75% from 78.65% for full-year 2021.
• The weighted average LTV increased to 110.30% from 109.80% in 2021.
• AmeriCredit Automobile Receivables Trust (AmeriCredit), CPS Auto Receivables Trust, Exeter, and Santander (SDART shelf) were among the largest issuers of 73- to 75-month loans, issuing 16.55%, 23.12%, 29.34%, and 15.10%, respectively, on an average basis. AmeriCredit has also been including 76- to 84-month loans in its pools (16.90% in 2022-2), and Exeter has started to include 76- to78-month loans in its pools (10.43% in 2022-4).

Given the substantial increase in vehicle prices since early 2020, wage growth being offset by inflationary pressures, and higher borrowing costs, we expect 84-month loans to continue to grow in 2023 as well.

Auto Loan ABS Rating Activity/Revised Loss Expectations

Our 2022 surveillance reviews resulted in 419 upgrades and six downgrades across U.S. auto loan ABS (see table 4). The upgrades resulted largely from transactions in 2021 and earlier, performing better than originally expected as well as the deleveraging that typically occurs in auto loan ABS. The downgrades (on Flagship 2020-4 and 2021-3) resulted from an error correction wherein we had previously upgraded certain Flagship classes to a larger extent than we should have (see "Various Ratings Actions Taken, Including Actions Due To Error Correction, On 16 Flagship Credit Auto Trust Transactions," published Sept. 13, 2022) due to an input error. These transactions continue to perform in line with our most recent revised expected cumulative net losses (ECNLs).

Table 4

Historical Ratings Activity--U.S. ABS Auto Loans
Period	Upgrades	Downgrades
2015	177	0
2016	357	0
2017	322	0
2018	335	2
2019	432	5
2020	332	8
2021	579	0
2022(i)	419	6
2023(ii)	3	0
Total	2,956	21
(i)The downgrades resulted from an error correction. The previous upgrades were too high due to an input error and, therefore, the degree of upgrade was reduced with the error correction. (ii)As of Jan. 31 2023.

Table 5

Historical Ratings Activity--Canadian ABS Auto Loans
Period	Upgrades	Downgrades
2021	8	0
2022	3	0
2023(i)	0	0
Total	11	0
(i)As of Jan. 31.

We also took the following rating actions from the fourth quarter of 2022 through Jan. 31, 2023:

• In October, we placed the class E and F ratings on American Credit Acceptance's 2022-1 and 2022-2 classes on CreditWatch negative. These classes carry non-IG ratings. The transactions are performing worse than our original expectations, and at the time we placed them on CreditWatch negative, their overcollateralization (O/C) levels had been falling further below their required levels. The sponsor, ACA, subsequently decided to forego their servicing fee on these transactions until the O/C builds to their required levels. We extended the CreditWatch placements on these classes in January 2023 (see "American Credit Acceptance Receivables Trust 2022-1 and 2022-2 Class E and F Ratings Remain On CreditWatch Negative," published Jan. 21, 2023).
• In December, we placed four class E ratings (all 'BB (sf)') from Exeter's 2022-1, 2022-2, 2022-3, and 2022-4 transactions on CreditWatch negative due to worse-than-expected performance.
• In January 2023, we placed the class E notes from United Auto Credit Securitization Trust 2022-2 on CreditWatch negative following worse-than-expected performance and declines in the transaction's O/C amounts (see "United Auto Credit Securitization Trust 2022-2 Class E Rating Placed On CreditWatch Negative," published Jan. 18, 2023).
• As a result of the above action, as of February 15, we have nine non-IG classes across seven subprime transactions issued in 2022 on CreditWatch negative.
• In January 2023, we revised our loss expectations on three Hyundai transactions. This review resulted in our raising three and affirming 12 ratings on three Hyundai Auto Receivables Trust transactions (see "Three Ratings Raised And 12 Affirmed On Three Hyundai Auto Receivables Trust Transactions," published Jan. 12, 2023). These were the only rating changes so far this year.

Table 6

Hyundai Auto Receivables Trust Transactions
Series	Initial expected net loss range (%)	Revised/maintained expected lifetime CNL (revised Jan. 2023)(%)
2021-A	1.55-1.75	1.00
2021-B	1.55-1.75	1.30
2021-C	1.55-1.75	1.40
CNL exp.--Cumulative net loss expectation.

Summary

Overall, 2022 proved to be an inflection point, especially with respect to subprime auto loan ABS collateral performance. The removal of COVID-19-related assistance programs, including the expanded child tax credit payments (which in some cases amounted to $600 a month per family (basically a car payment)), coupled with inflationary pressures, reduced savings, and higher debt levels, negatively affected certain consumers' ability to make their vehicle payments. This was further exacerbated by affordability issues as elevated vehicle prices and higher auto loan financing costs increased monthly payment amounts, even as the average term lengthened. 2022 also saw used vehicle values behave as they should—depreciate over time—as opposed to appreciate. This led to lower used vehicle values relative to record levels in 2021 and a significant decline in recovery rates. All of these factors, combined with aggressive lending and growth fueled by low interest rates and COVID-stimulus, led to weaker loss performance with the prime segment's losses starting to normalize and the subprime segment reporting record high vintage losses for certain 2022 quarterly vintages.

2023 Outlook: Mixed Signals, But Generally Positive Ratings Performance

As we look forward to the rest of 2023, we see mixed signals. On one hand, we entered the year with very high delinquencies: prime 60+ day DQs on the 2021 and first-quarter 2022 vintages were poised to exceed those from the 2007 and 2008 cohorts, and the subprime segment's delinquencies were already at record high levels. Barring a strong tax refund reason, we're likely to see continued weakness and higher losses in these vintages. If recovery rates continue to decline (as we expect) and unemployment levels increase (we're forecasting unemployment to rise to 5.6% in the fourth quarter of this this year), losses, especially on 2021 and certain quarterly 2022 vintages, will likely worsen.

On the other hand, many lenders tightened their credit standards during the second half of 2022 and into 2023 and have ostensibly improved the credit quality of their first-quarter 2023 pools. At the same time, our expected loss levels for several issuers have increased (particularly in the subprime space), and this has resulted in more credit enhancement for their 2023 deals. Unfortunately, this added credit enhancement can't be shared with the poorly performing 2022 transactions. However, certain of those issuers that have transactions on CreditWatch negative have taken steps to support their transactions. Also, the only classes we have on CreditWatch negative, at this time, are certain non-IG classes for 2022, which haven't had time to de-lever. Other positives include a strong labor market, as evidenced by unemployment at a 50-year low of 3.4% and average weekly hours growing; healthy used vehicle values (albeit lower than 2021 but still higher than 2020); and decreasing rates of inflation.

Overall, our ratings outlook for 2023 is generally positive. We are not seeing performance deterioration at this time that would threaten the investment-grade ratings on the outstanding transactions. We see the greatest downgrade risk being on non-IG classes, which are concentrated in the subprime space, and these represent approximately 2% of the $127 billion in outstanding auto loan ABS rated by S&P Global Ratings as of Jan 31, 2022. In addition, our subprime hypothetical scenario analysis, which we published in December, found that even if losses increased 30% above our expectations, all else equal, upgrades would continue to exceed downgrades for IG classes, the only 'AAAs' that might come under some rating pressure were those that had pro-rata structures (only 3% of the 'AAAs'), 95% of the 'BBB' ratings would remain within that category, and 40% of the 'BB' ratings would be downgraded into the next category or lower.

Appendix I: Issuer's CNL Performance Charts

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

Appendix II: ALSI Performance Data

The tables in this section show ALSI performance data.

Table 7

Prime Cumulative Net Losses (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	31	37	26	28	20	31	23	32	21	29	33	35	39	31	33	9	8	11
Initial collateral balance (bil. $)	48.40	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	45.09	12.12	10.96	14.32
Month
1	0.00	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	0.00	0.00
2	0.01	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	0.01	0.01
3	0.04	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	0.02	0.02
4	0.09	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	0.04	0.04	0.03	0.05
5	0.15	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	0.06	0.06	0.04
6	0.22	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	0.09	0.09	0.06
7	0.29	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	0.11	0.12	0.07
8	0.35	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	0.13	0.15
9	0.42	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	0.15	0.18
10	0.50	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	0.17	0.21
11	0.58	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	0.19
12	0.67	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	0.21
13	0.75	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	0.23
14	0.84	0.98	0.51	0.34	0.29	0.26	0.33	0.32	0.38	0.45	0.42	0.39	0.39	0.22
15	0.93	1.07	0.54	0.36	0.31	0.28	0.36	0.34	0.41	0.48	0.45	0.42	0.41	0.23
16	1.02	1.14	0.58	0.38	0.33	0.30	0.38	0.37	0.43	0.51	0.48	0.45	0.43	0.24
17	1.12	1.22	0.61	0.40	0.35	0.32	0.40	0.39	0.46	0.54	0.50	0.48	0.45	0.25
18	1.21	1.29	0.64	0.42	0.37	0.33	0.43	0.42	0.48	0.57	0.53	0.50	0.46	0.26
19	1.30	1.36	0.67	0.44	0.39	0.35	0.45	0.44	0.51	0.60	0.55	0.53	0.48	0.27
20	1.39	1.43	0.69	0.46	0.41	0.37	0.47	0.46	0.53	0.62	0.58	0.55	0.49	0.28
21	1.47	1.49	0.72	0.47	0.43	0.38	0.49	0.48	0.55	0.65	0.60	0.58	0.50	0.29
22	1.56	1.55	0.74	0.49	0.44	0.40	0.50	0.50	0.57	0.67	0.62	0.60	0.51	0.30
23	1.63	1.60	0.76	0.50	0.46	0.41	0.52	0.52	0.60	0.70	0.64	0.61	0.51	0.30
24	1.71	1.65	0.77	0.51	0.47	0.43	0.54	0.54	0.62	0.72	0.66	0.63	0.52	0.31
25	1.78	1.69	0.79	0.53	0.49	0.44	0.55	0.55	0.64	0.74	0.68	0.64	0.52	0.32
26	1.84	1.73	0.80	0.54	0.50	0.45	0.57	0.57	0.65	0.76	0.70	0.65	0.53
27	1.91	1.76	0.82	0.55	0.52	0.46	0.58	0.58	0.67	0.78	0.71	0.67	0.53
28	1.97	1.79	0.83	0.56	0.53	0.47	0.59	0.60	0.69	0.80	0.73	0.68	0.54
29	2.02	1.82	0.84	0.57	0.54	0.48	0.61	0.62	0.70	0.81	0.74	0.68	0.54
30	2.07	1.85	0.85	0.57	0.55	0.49	0.62	0.63	0.72	0.83	0.76	0.69	0.54
31	2.11	1.88	0.86	0.58	0.56	0.50	0.63	0.65	0.73	0.84	0.78	0.69	0.55
32	2.15	1.91	0.87	0.59	0.57	0.50	0.64	0.66	0.74	0.85	0.79	0.69	0.55
33	2.18	1.95	0.89	0.52	0.58	0.51	0.65	0.67	0.75	0.86	0.81	0.70	0.55
34	2.21	1.97	0.90	0.53	0.59	0.52	0.66	0.68	0.76	0.87	0.82	0.70	0.56
35	2.24	1.98	0.91	0.53	0.60	0.52	0.66	0.70	0.77	0.88	0.83	0.70	0.56
36	2.27	2.01	0.92	0.54	0.61	0.53	0.67	0.71	0.77	0.89	0.84	0.70	0.56
37	2.30	2.16					0.68	0.71	0.78	0.90	0.85	0.70	0.57
38	2.32	2.17					0.68	0.72	0.79	0.92	0.86	0.70
39	2.34	2.19					0.69	0.73	0.79	0.93	0.86	0.70
(i)We 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)Beginning in 2016, we included data from transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 8

Subprime Cumulative Net Losses (%)
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	42	12	9	10
Initial collateral balance (bil. $)	16.18	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	39.39	10.31	9.16	9.01
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	0.00	0.00
2	0.03	0.04	0.07	0.05	0.03	0.03	0.03	0.03	0.03	0.06	0.06	0.03	0.03	0.02	0.03	0.03	0.02	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	0.13	0.15	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	0.29	0.41	0.43	0.66	0.53
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	0.77	0.88	1.40
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	1.18	1.48	2.19
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	1.61	2.13	2.93
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	1.98	2.75
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	2.33	3.33
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	2.69	3.89
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	3.03
12	4.47	5.16	3.69	2.91	2.36	3.25	3.28	3.92	4.68	4.71	4.77	4.40	4.20	2.33	3.38
13	4.95	5.73	4.05	3.19	2.63	3.64	3.68	4.35	5.16	5.21	5.28	4.85	4.54	2.55	3.74
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	2.77
15	5.87	6.89	4.75	3.85	3.21	4.38	4.40	5.16	6.07	6.20	6.22	5.75	5.15	2.96
16	6.38	7.44	5.11	4.17	3.47	4.72	4.77	5.54	6.57	6.66	6.67	6.20	5.44	3.16
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	3.34
18	7.39	8.52	5.77	4.79	3.93	5.45	5.53	6.34	7.54	7.50	7.53	7.06	5.87	3.52
19	7.91	8.90	6.06	5.06	4.14	5.79	5.88	6.70	8.00	7.89	7.96	7.45	6.06	3.68
20	8.39	9.34	6.24	5.33	4.35	6.11	6.20	7.06	8.42	8.28	8.35	7.80	6.22	3.85
21	8.86	9.80	6.53	5.57	4.59	6.42	6.52	7.41	8.82	8.66	8.73	8.11	6.37	4.02
22	9.32	10.23	6.71	5.77	4.80	6.70	6.81	7.72	9.19	9.04	9.07	8.40	6.51	4.18
23	9.76	10.69	6.92	5.97	5.01	6.98	7.08	8.04	9.55	9.39	9.41	8.63	6.65	4.32
24	10.19	11.08	7.10	6.17	5.22	7.27	7.34	8.33	9.88	9.73	9.74	8.83	6.79	4.47
25	10.54	11.41	7.28	6.38	5.43	7.49	7.56	8.63	10.19	10.06	10.06	9.04	6.91	4.63
26	10.90	11.75	7.49	6.61	5.65	7.76	7.80	8.93	10.48	10.38	10.35	9.21	7.02
27	11.21	12.07	7.69	6.80	5.86	7.99	8.06	9.20	10.77	10.70	10.64	9.38	7.13
28	11.54	12.43	7.91	7.01	6.06	8.14	8.29	9.44	11.06	10.99	10.92	9.53	7.23
29	11.88	12.73	8.07	7.21	6.08	8.36	8.53	9.56	11.35	11.28	11.19	9.66	7.33
30	12.19	13.04	8.24	7.37	6.22	8.35	8.79	9.81	11.51	11.46	11.45	9.77	7.44
31	12.50	13.28	8.41	7.58	6.36	8.57	8.93	10.04	11.77	11.56	11.64	9.86	7.54
32	12.77	13.52	8.55	7.72	6.49	8.77	9.16	10.24	12.03	11.82	11.87	9.95	7.64
33	12.96	13.75	8.71	7.78	6.61	8.95	9.38	10.46	12.26	12.08	12.09	9.89	7.74
34	13.19	13.98	8.82	7.95	6.58	8.61	9.60	10.67	12.48	12.33	12.28	9.95	7.73
35	13.38	14.22	8.88	8.10	6.71	8.77	9.80	10.92	12.70	12.56	12.44	10.01	7.81
36	13.59	14.42	8.97	8.25	6.84	8.92	9.98	11.13	12.91	12.78	12.60	10.06	7.90
37	13.76	14.61	9.05	8.38	6.99	9.07	10.16	11.31	13.10	12.99	12.72	10.12	8.00
38	13.92	14.78	9.13	8.54	7.11	9.21	10.32	11.50	13.31	13.19	12.83	10.17	8.09
39	14.08	14.96	9.22	8.67	7.24	9.36	10.50	11.67	13.49	13.38	12.93	10.22
40	14.23	15.12	9.33	8.78	7.37	9.50	10.66	11.60	13.70	13.56	13.03	10.27
41	14.39	15.27	9.44	8.92	7.44	9.64	10.82	11.10	13.90	13.75	13.10	10.32
42	14.53	15.39	9.50	9.05	7.53	9.77	10.98	11.21	14.10	13.93	13.18	10.36
(i)CNL declined in month 34 because two transactions with relatively high losses paid off in month 33. (ii)CNL declined in months 40 and 41 because some high loss transactions paid off in months 39 and 40. (iii)Beginning in 2016, includes AmeriCredit and SDART transactions that are not rated by S&P Global Ratings. CNL--Cumulative net loss. Source: S&P Global Ratings.

Table 9

Prime Cumulative Gross Losses (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	31	37	26	28	20	31	23	32	21	29	33	35	39	31	33	9	8	11
Initial collateral balance (bil. $)	48.40	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	45.09	12.12	10.96	14.32
Month
1	0.00	0.00	0.01	0.00	0.01	0.00	0.00	0.00	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.00	0.00	0.00
2	0.02	0.03	0.03	0.02	0.02	0.01	0.02	0.02	0.02	0.02	0.02	0.04	0.03	0.02	0.02	0.01	0.01	0.01
3	0.07	0.09	0.08	0.05	0.06	0.04	0.05	0.05	0.05	0.06	0.06	0.08	0.07	0.05	0.04	0.03	0.03	0.03
4	0.18	0.20	0.16	0.10	0.12	0.08	0.10	0.10	0.11	0.12	0.12	0.14	0.13	0.09	0.07	0.06	0.05	0.07
5	0.29	0.33	0.25	0.17	0.18	0.13	0.16	0.15	0.16	0.18	0.19	0.21	0.19	0.14	0.11	0.10	0.08
6	0.41	0.48	0.35	0.24	0.25	0.18	0.22	0.21	0.23	0.26	0.26	0.27	0.26	0.18	0.16	0.14	0.11
7	0.54	0.63	0.45	0.31	0.32	0.23	0.28	0.27	0.29	0.34	0.33	0.34	0.33	0.23	0.20	0.19	0.13
8	0.68	0.79	0.55	0.38	0.38	0.29	0.34	0.33	0.36	0.41	0.40	0.41	0.40	0.27	0.24	0.25
9	0.81	0.96	0.65	0.45	0.45	0.34	0.41	0.40	0.42	0.48	0.47	0.47	0.46	0.32	0.29	0.30
10	0.96	1.14	0.75	0.52	0.53	0.39	0.47	0.46	0.49	0.56	0.54	0.54	0.52	0.36	0.33	0.35
11	1.13	1.33	0.85	0.59	0.60	0.45	0.53	0.52	0.56	0.63	0.61	0.60	0.58	0.39	0.37
12	1.28	1.50	0.94	0.66	0.67	0.50	0.60	0.57	0.62	0.71	0.68	0.67	0.64	0.43	0.42
13	1.44	1.69	1.03	0.73	0.73	0.56	0.66	0.63	0.68	0.78	0.76	0.73	0.70	0.47	0.46
14	1.60	1.88	1.11	0.79	0.80	0.62	0.71	0.69	0.75	0.86	0.82	0.80	0.75	0.50
15	1.76	2.06	1.20	0.86	0.87	0.67	0.77	0.75	0.81	0.93	0.89	0.86	0.80	0.53
16	1.93	2.24	1.29	0.92	0.93	0.72	0.83	0.81	0.87	1.00	0.95	0.92	0.85	0.56
17	2.11	2.40	1.37	0.98	0.99	0.77	0.89	0.86	0.92	1.06	1.01	0.98	0.90	0.59
18	2.28	2.57	1.45	1.04	1.05	0.82	0.94	0.92	0.98	1.13	1.07	1.04	0.95	0.62
19	2.45	2.73	1.53	1.09	1.11	0.87	0.99	0.97	1.04	1.19	1.13	1.09	0.99	0.64
20	2.63	2.88	1.60	1.14	1.17	0.91	1.04	1.02	1.09	1.25	1.18	1.15	1.03	0.67
21	2.81	3.02	1.67	1.19	1.22	0.95	1.09	1.07	1.14	1.30	1.23	1.20	1.06	0.70
22	2.98	3.16	1.74	1.24	1.27	0.99	1.13	1.12	1.19	1.36	1.28	1.24	1.10	0.72
23	3.14	3.30	1.80	1.29	1.32	1.03	1.18	1.16	1.24	1.41	1.33	1.28	1.13	0.75
24	3.30	3.41	1.86	1.33	1.37	1.07	1.22	1.21	1.28	1.46	1.38	1.32	1.16	0.77
25	3.44	3.52	1.91	1.37	1.42	1.11	1.26	1.25	1.33	1.51	1.42	1.36	1.19	0.79
26	3.58	3.62	1.96	1.41	1.46	1.14	1.29	1.29	1.37	1.55	1.46	1.39	1.21
27	3.72	3.72	2.02	1.44	1.50	1.17	1.33	1.33	1.41	1.60	1.51	1.42	1.24
28	3.85	3.80	2.07	1.48	1.54	1.20	1.36	1.37	1.45	1.64	1.55	1.46	1.27
29	3.98	3.89	2.11	1.51	1.58	1.23	1.40	1.40	1.49	1.67	1.58	1.49	1.28
30	4.10	3.97	2.15	1.54	1.61	1.26	1.43	1.44	1.52	1.71	1.62	1.51	1.30
31	4.20	4.05	2.19	1.57	1.66	1.28	1.46	1.47	1.56	1.75	1.65	1.54	1.32
32	4.29	4.12	2.23	1.59	1.69	1.30	1.49	1.50	1.59	1.78	1.68	1.56	1.34
33	4.38	4.21	2.30	1.49	1.72	1.33	1.52	1.53	1.61	1.81	1.72	1.58	1.35
34	4.46	4.28	2.34	1.51	1.75	1.35	1.55	1.56	1.64	1.84	1.74	1.60	1.37
35	4.54	4.33	2.37	1.53	1.78	1.37	1.57	1.60	1.67	1.87	1.77	1.61	1.38
36	4.61	4.39	2.40	1.55	1.80	1.39	1.59	1.63	1.69	1.89	1.79	1.63	1.40
37	4.68	4.72	2.42	1.57	1.83	1.42	1.62	1.65	1.72	1.92	1.83	1.64	1.42
38	4.74	4.77	2.45	1.59	1.85	1.43	1.64	1.67	1.74	1.96	1.85	1.66
39	4.80	4.82	2.55	1.63	1.87	1.49	1.66	1.70	1.76	1.99	1.88	1.67
(i)We 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)Beginning in 2016, we included data from transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 10

Subprime Cumulative Gross Losses (%)
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	42	12	9	10
Initial collateral balance (bil. $)	16.18	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	39.39	10.31	9.16	9.01
Month
1	0.02	0.00	0.01	0.04	0.02	0.02	0.02	0.01	0.00	0.01	0.01	0.01	0.01	0.00	0.01	0.01	0.01	0.00
2	0.08	0.05	0.12	0.08	0.06	0.08	0.07	0.05	0.04	0.08	0.08	0.06	0.05	0.03	0.05	0.05	0.04	0.03
3	0.21	0.21	0.52	0.26	0.23	0.24	0.23	0.23	0.22	0.30	0.28	0.22	0.20	0.13	0.18	0.20	0.22	0.17
4	0.64	0.59	1.18	0.74	0.59	0.69	0.69	0.64	0.66	0.78	0.74	0.61	0.63	0.39	0.57	0.60	0.87	0.66
5	1.32	1.24	1.85	1.21	1.03	1.27	1.25	1.23	1.29	1.39	1.36	1.20	1.24	0.77	1.10	1.20	1.84
6	2.19	2.09	2.49	1.65	1.45	1.81	1.73	1.89	2.10	2.15	2.18	1.98	2.01	1.22	1.72	2.01	2.94
7	3.03	2.98	3.28	2.15	1.90	2.40	2.36	2.64	2.99	2.97	3.14	2.94	2.91	1.70	2.40	2.96	4.00
8	3.79	3.79	3.92	2.69	2.33	3.01	3.01	3.40	3.89	3.85	4.02	3.89	3.79	2.17	3.07	3.88
9	4.67	4.81	4.66	3.27	2.77	3.62	3.67	4.19	4.79	4.70	4.85	4.78	4.58	2.63	3.73	4.79
10	5.44	5.79	5.21	3.85	3.22	4.27	4.36	4.98	5.74	5.58	5.69	5.63	5.32	3.09	4.42	5.64
11	6.32	6.85	5.75	4.42	3.68	4.94	5.09	5.76	6.70	6.46	6.55	6.45	6.02	3.66	5.08
12	7.15	7.91	6.28	4.95	4.21	5.66	5.85	6.52	7.61	7.31	7.41	7.29	6.68	4.12	5.75
13	7.96	8.84	6.85	5.47	4.73	6.36	6.60	7.29	8.49	8.14	8.29	8.12	7.32	4.59	6.39
14	8.70	9.70	7.44	6.06	5.25	7.07	7.31	8.03	9.32	8.98	9.13	8.94	7.92	5.06
15	9.48	10.71	8.06	6.64	5.79	7.74	8.00	8.77	10.17	9.81	9.95	9.76	8.49	5.51
16	10.27	11.62	8.73	7.24	6.29	8.39	8.70	9.49	11.03	10.58	10.75	10.56	9.04	5.97
17	11.07	12.58	9.29	7.81	6.80	9.07	9.39	10.22	11.90	11.34	11.53	11.33	9.57	6.40
18	11.86	13.46	9.87	8.36	7.25	9.75	10.10	10.90	12.72	12.04	12.30	12.07	10.06	6.83
19	12.67	14.10	10.37	8.90	7.67	10.40	10.77	11.57	13.52	12.73	13.05	12.75	10.53	7.24
20	13.43	14.82	10.72	9.42	8.10	11.01	11.41	12.22	14.28	13.41	13.77	13.38	10.97	7.64
21	14.15	15.58	11.29	9.92	8.54	11.60	12.03	12.83	15.00	14.06	14.46	13.95	11.39	8.04
22	14.86	16.28	11.68	10.38	8.97	12.15	12.62	13.42	15.67	14.70	15.11	14.47	11.80	8.44
23	15.57	17.08	12.04	10.81	9.41	12.70	13.17	13.99	16.31	15.31	15.74	14.94	12.20	8.80
24	16.26	17.74	12.38	11.23	9.83	13.24	13.71	14.53	16.92	15.92	16.35	15.37	12.57	9.16
25	16.86	18.32	12.73	11.65	10.25	13.84	14.26	15.06	17.50	16.49	16.93	15.78	12.92	9.53
26	17.48	18.90	13.11	12.09	10.66	14.36	14.77	15.59	18.04	17.05	17.48	16.16	13.26
27	18.03	19.46	13.52	12.51	11.06	14.82	15.26	16.09	18.56	17.59	18.03	16.52	13.58
28	18.58	20.05	13.88	12.93	11.45	15.18	15.73	16.55	19.08	18.11	18.54	16.86	13.90
29	19.14	20.58	14.20	13.32	11.56	15.60	16.19	16.84	19.59	18.60	19.03	17.18	14.19
30	19.67	21.14	14.51	13.69	11.86	15.72	16.64	17.29	19.97	19.00	19.49	17.50	14.50
31	20.19	21.55	14.82	14.13	12.18	16.14	16.96	17.70	20.43	19.29	19.87	17.78	14.79
32	20.56	21.97	15.11	14.48	12.47	16.53	17.41	18.10	20.87	19.75	20.28	18.05	15.06
33	20.95	22.35	15.42	14.74	12.71	16.91	17.80	18.50	21.28	20.18	20.65	18.19	15.34
34	21.35	22.75	15.64	15.09	12.96	16.50	18.20	18.87	21.68	20.58	21.00	18.43	15.49
35	21.70	23.19	15.82	15.39	13.23	16.83	18.57	19.34	22.06	20.98	21.30	18.66	15.74
36	22.09	23.56	15.98	15.68	13.50	17.14	18.92	19.70	22.50	21.36	21.60	18.87	15.99
37	22.41	23.90	16.15	15.95	13.77	17.43	19.25	20.03	22.85	21.71	21.85	19.07	16.23
38	22.73	24.21	16.32	16.23	14.02	17.74	19.55	20.34	23.21	22.05	22.09	19.26	16.45
39	23.02	24.52	16.49	16.51	14.26	18.02	19.88	20.64	23.54	22.39	22.30	19.45
40	23.21	24.81	16.69	16.76	14.52	18.31	20.17	20.59	23.96	22.69	22.50	19.64
41	23.50	25.11	16.89	17.01	14.72	18.57	20.46	19.90	24.38	23.05	22.69	19.81
42	23.75	25.35	17.02	17.26	14.91	18.82	20.74	20.12	24.70	23.41	23.01	19.98
(i)CGL declined in month 34 as two transactions with relatively high losses paid off in month 33. (ii)CGL declined in months 40 and 41 as some high loss transactions paid off in months 39 and 40. (iii)Beginning in 2016, includes AmeriCredit and SDART transactions not rated by S&P Global Ratings. CGL--Cumulative gross loss. Source: S&P Global Ratings.

Table 11

Prime 60-Plus Day Delinquencies (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	31	37	26	28	20	31	23	32	21	29	33	35	39	31	33	9	8	11
Initial collateral balance (bil. $)	48.4	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	45.09	12.12	10.96	14.32
Month
1	0.04	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	0.03	0.03	0.04
2	0.18	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	0.09	0.06	0.12
3	0.26	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	0.14	0.13	0.09	0.16
4	0.31	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	0.17	0.18	0.11	0.20
5	0.32	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	0.20	0.22	0.15
6	0.31	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	0.23	0.28	0.16
7	0.30	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	0.26	0.30	0.18
8	0.31	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	0.28	0.34
9	0.33	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	0.30	0.38
10	0.36	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	0.35	0.45
11	0.41	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	0.38
12	0.47	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	0.42
13	0.48	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	0.44
14	0.50	0.54	0.39	0.26	0.26	0.29	0.38	0.32	0.37	0.37	0.37	0.36	0.33	0.24
15	0.57	0.57	0.40	0.28	0.28	0.32	0.40	0.35	0.38	0.39	0.38	0.37	0.33	0.25
16	0.60	0.60	0.43	0.31	0.30	0.34	0.42	0.38	0.42	0.41	0.39	0.37	0.32	0.26
17	0.61	0.62	0.44	0.31	0.33	0.35	0.46	0.37	0.44	0.44	0.41	0.38	0.32	0.28
18	0.63	0.64	0.46	0.32	0.33	0.35	0.45	0.39	0.44	0.44	0.42	0.42	0.33	0.30
19	0.66	0.66	0.48	0.33	0.35	0.37	0.46	0.40	0.45	0.44	0.42	0.42	0.33	0.30
20	0.69	0.70	0.50	0.35	0.37	0.37	0.50	0.44	0.49	0.45	0.42	0.41	0.34	0.33
21	0.72	0.66	0.52	0.35	0.38	0.41	0.49	0.45	0.51	0.45	0.43	0.43	0.34	0.33
22	0.76	0.65	0.55	0.38	0.42	0.45	0.51	0.43	0.52	0.49	0.45	0.40	0.33	0.36
23	0.79	0.66	0.55	0.40	0.44	0.47	0.56	0.45	0.55	0.51	0.46	0.40	0.34	0.39
24	0.85	0.69	0.55	0.42	0.46	0.47	0.58	0.45	0.55	0.50	0.46	0.41	0.34	0.38
25	0.86	0.71	0.58	0.43	0.46	0.46	0.60	0.48	0.55	0.50	0.47	0.40	0.35	0.42
26	0.88	0.71	0.60	0.44	0.46	0.48	0.62	0.49	0.59	0.51	0.48	0.42	0.36
27	0.93	0.75	0.64	0.48	0.47	0.51	0.65	0.52	0.60	0.52	0.48	0.43	0.36
28	0.94	0.76	0.66	0.49	0.51	0.54	0.73	0.55	0.67	0.56	0.51	0.40	0.39
29	0.96	0.80	0.66	0.51	0.52	0.54	0.74	0.56	0.68	0.58	0.53	0.41	0.39
30	0.91	0.83	0.69	0.52	0.48	0.55	0.72	0.57	0.66	0.56	0.55	0.40	0.40
31	0.91	0.86	0.73	0.55	0.55	0.56	0.77	0.58	0.68	0.57	0.55	0.40	0.44
32	0.95	0.89	0.63	0.53	0.58	0.57	0.78	0.59	0.70	0.58	0.55	0.42	0.46
33	0.97	0.91	0.69	0.57	0.62	0.62	0.79	0.62	0.72	0.60	0.56	0.39	0.48
34	1.02	0.89	0.70	0.59	0.66	0.64	0.80	0.63	0.75	0.64	0.55	0.40	0.51
35	1.06	0.92	0.72	0.63	0.68	0.67	0.86	0.63	0.77	0.64	0.54	0.42	0.50
36	1.13	0.87	0.72	0.67	0.65	0.66	0.87	0.65	0.78	0.64	0.55	0.41	0.52
37	1.16	1.03					0.90	0.69	0.78	0.64	0.55	0.44	0.57
38	1.16	1.05					0.93	0.68	0.81	0.68	0.55	0.46
39	1.21	1.09					0.96	0.72	0.74	0.71	0.56	0.45
(i)We 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)Beginning in 2016, we included data from transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 12

Subprime 60-Plus Day Delinquencies (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	42	12	9	10
Initial collateral balance (bil. $)	16.18	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	39.39	10.31	9.16	9.01
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	0.20	0.15	0.14	0.10
2	0.64	0.69	1.22	1.07	0.54	0.67	0.61	0.89	1.07	1.09	1.30	1.04	0.84	0.69	0.95	0.85	1.41	1.62
3	1.42	1.51	1.42	1.74	1.04	1.47	1.47	1.78	2.29	2.05	2.72	2.52	2.06	1.47	1.99	1.87	3.12	3.36
4	2.09	1.82	1.51	1.86	1.25	1.97	2.08	2.29	2.97	2.63	3.44	3.30	2.83	1.93	2.62	2.75	4.02	4.35
5	2.44	1.85	1.64	1.97	1.36	2.33	2.49	2.59	3.20	2.90	3.70	3.52	3.24	2.00	2.98	3.48	4.44
6	2.61	1.87	1.68	2.10	1.24	2.37	2.58	2.87	3.24	3.03	3.68	3.67	3.52	2.10	3.28	4.01	4.66
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	3.50	4.15	4.78
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	3.76	4.17
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	4.01	4.31
10	3.13	2.75	1.24	2.54	1.93	2.98	3.26	3.60	4.24	4.01	4.19	4.12	3.59	2.54	4.19	4.74
11	3.25	2.57	1.52	2.50	2.04	3.34	3.45	3.83	4.37	4.01	4.58	4.31	3.70	2.72	4.44
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	4.77
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	5.02
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	3.29
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	3.43
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	3.55
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	3.70
18	4.45	2.25	1.88	3.73	2.35	4.13	4.52	4.85	5.57	4.78	5.62	5.35	3.52	3.87
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	4.02
20	4.47	2.64	1.56	4.04	2.57	4.19	4.47	4.89	5.54	4.94	5.82	5.15	3.62	4.20
21	4.66	2.82	1.23	4.03	2.80	4.28	4.57	5.00	5.69	5.10	5.83	4.99	3.61	4.33
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	4.37
23	4.57	2.30	1.43	4.08	2.97	4.58	4.57	5.15	5.71	5.23	5.97	4.66	3.65	4.53
24	4.56	2.11	1.66	4.42	3.17	4.63	4.62	5.34	5.56	5.24	6.06	4.49	3.75	4.78
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	4.92
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	3.97
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	4.08
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	4.35
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	4.55
30	4.80	1.99	1.96	5.40	2.90	5.05	5.58	5.84	6.44	5.27	6.48	4.03	4.64
31	4.82	2.20	2.69	5.56	2.84	5.18	5.63	5.87	6.31	5.66	6.60	3.98	4.85
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	5.04
33	4.69	2.83	1.25	5.65	3.48	4.98	5.96	6.24	6.32	6.12	6.18	4.09	5.14
34	4.73	2.48	1.30	5.57	3.66	5.23	5.92	6.27	6.52	6.09	5.94	4.03	5.31
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	5.48
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	5.62
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	5.81
38	4.30	2.31	2.90	6.67	3.79	5.74	6.36	6.62	6.60	6.32	5.18	4.52	5.97
39	4.40	2.69	2.48	6.70	3.97	5.99	6.57	6.69	6.81	6.35	5.17	4.71
40	4.52	2.80	2.17	6.76	4.03	5.90	6.89	6.61	7.23	6.41	4.83	4.96
41	4.71	1.97	2.24	7.10	4.04	6.12	7.16	7.14	7.57	6.66	4.65	5.00
42	4.62	2.03	2.09	6.96	3.62	6.23	7.30	7.01	7.22	6.68	4.67	5.17
43
(i)Beginning in 2016, includes AmeriCredit and SDART transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 13

Prime Cumulative Recoveries (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	31	37	26	28	20	31	23	32	21	29	33	35	39	31	33	9	8	11
Initial collateral balance (bil. $)	48.40	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	45.09	12.12	10.96	14.32
Month
1	27.98	0.00	23.32	19.68	21.47	20.28	18.61	31.98	26.35	25.57	16.46	26.76	34.52	27.48	29.76	0.00	35.15	0.00
2	49.69	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	46.07	28.87	40.77	25.47
3	47.75	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	44.72	46.41	35.41	30.21
4	44.53	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	44.24	40.26	35.05	30.78
5	44.98	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	46.60	40.10	37.25
6	45.67	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	48.07	40.91	34.32
7	46.28	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	48.27	42.54	36.89
8	47.28	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	49.70	46.28
9	47.46	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	50.63	46.11
10	47.34	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	52.27	46.48
11	47.05	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	52.73
12	46.96	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	53.21
13	46.94	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	53.38
14	46.85	46.48	52.97	58.10	64.16	58.60	54.94	56.21	50.05	49.64	49.98	52.11	49.43	59.07
15	46.62	47.11	53.61	58.77	64.35	58.85	55.21	56.22	50.34	50.27	50.61	52.42	50.42	60.20
16	46.56	47.66	54.07	59.25	64.55	59.19	55.55	56.48	50.95	50.25	50.96	52.44	51.24	60.87
17	46.43	48.18	54.70	59.83	64.73	59.23	55.70	56.73	51.38	50.66	51.49	52.67	51.99	61.22
18	46.44	48.71	55.17	60.24	64.53	59.45	55.73	56.79	51.70	50.62	51.90	52.88	52.93	61.59
19	46.57	49.10	55.65	60.93	64.42	59.81	55.97	56.84	51.84	51.04	52.24	52.95	53.79	62.05
20	46.78	49.47	56.09	61.35	64.75	59.98	56.51	56.96	52.19	51.48	52.66	53.00	54.65	62.29
21	46.89	49.90	56.45	61.72	65.07	60.09	56.81	57.03	52.26	51.77	52.87	53.06	55.35	62.76
22	47.13	50.36	56.99	61.92	65.23	60.42	57.17	57.22	52.61	52.00	53.09	53.06	56.03	63.09
23	47.23	50.69	57.43	62.29	65.24	60.56	57.23	57.44	52.70	52.19	53.24	53.50	56.62	63.46
24	47.49	51.11	58.01	62.61	65.43	60.57	57.45	57.63	52.86	52.32	53.41	53.66	57.37	63.60
25	47.77	51.48	58.47	62.81	65.61	60.77	57.42	58.02	53.21	52.60	53.54	54.01	57.93	62.51
26	48.04	51.86	58.82	63.14	65.61	60.97	57.66	58.23	53.48	52.77	53.76	54.30	58.41
27	48.24	52.25	59.11	63.35	65.67	61.26	58.02	58.47	53.52	53.09	54.01	54.63	59.05
28	48.46	52.56	59.44	63.71	65.84	61.47	58.17	58.64	53.80	53.27	54.25	54.94	59.40
29	48.71	52.83	59.74	63.90	66.03	61.69	58.18	58.74	53.95	53.46	54.48	55.38	59.88
30	48.93	53.12	60.09	64.11	66.12	61.88	58.38	58.84	54.20	53.69	54.58	55.96	60.34
31	49.23	53.39	60.47	64.33	66.38	62.19	58.55	58.95	54.34	53.88	54.61	56.54	60.62
32	49.51	53.67	60.84	64.40	66.49	62.39	58.87	59.14	54.63	54.21	54.67	57.03	60.97
33	49.79	53.80	61.06	65.35	66.55	62.71	59.05	59.18	54.91	54.47	54.70	57.43	61.27
34	50.05	54.07	61.23	65.65	66.71	62.79	59.50	59.20	55.25	54.70	54.76	57.83	61.46
35	50.26	54.34	61.51	65.95	66.75	62.96	59.61	59.29	55.66	54.83	54.89	58.28	61.81
36	50.46	54.56	61.61	66.11	66.85	63.12	59.85	59.52	56.00	55.03	55.14	58.62	62.05
37	50.66	54.26					59.98	59.72	56.35	55.25	55.37	59.00	62.28
38	50.87	54.49					60.22	59.85	56.61	55.51	55.62	59.40
39	51.08	54.71					60.74	60.10	56.87	55.71	55.84	59.80
(i)Starting this month, we have extended the performance data for the recent vintages (2013 onwards) to 39 months to account for the lengthening of loan terms. (ii)Beginning in 2016, we included data from transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 14

Subprime Cumulative Recoveries (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016 (i)	2017	2018 (ii)	2019	2020	2021	Q1 2022	Q2 2022	Q3 2022
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	42	12	9	10
Initial collateral balance (bil. $)	16.18	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	39.39	10.31	9.16	9.01
Month
1	50.45	4.68	26.37	13.24	38.17	34.26	48.95	26.51	19.69	15.39	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2	52.67	16.20	33.03	40.00	48.39	49.13	50.63	44.56	42.02	31.09	27.83	35.96	37.44	29.67	36.83	33.56	34.89	21.29
3	46.95	29.34	37.37	41.47	47.18	52.07	55.86	45.53	43.70	36.42	33.14	40.47	39.22	32.00	35.72	35.76	35.96	31.24
4	38.89	27.91	35.33	35.15	42.05	42.02	42.71	38.13	37.37	33.71	29.36	36.65	33.89	25.97	30.30	29.12	24.51	19.28
5	36.34	28.40	35.45	37.94	42.98	41.06	42.01	37.93	36.74	33.13	30.12	37.61	34.14	28.38	31.28	28.19	25.84
6	35.89	31.83	34.81	38.97	44.45	43.35	45.07	38.11	36.19	33.07	31.12	37.15	34.19	30.99	33.13	27.47	27.14
7	36.19	32.88	35.59	39.61	45.43	44.30	45.17	38.54	36.08	33.38	31.38	36.10	33.25	34.05	35.05	29.04	28.18
8	36.63	32.92	36.98	40.39	45.82	44.39	45.00	39.35	36.71	34.22	32.76	36.08	33.64	36.84	37.35	30.58
9	36.59	33.43	38.30	40.34	45.82	44.24	44.87	40.07	37.59	34.88	33.89	37.20	34.78	39.38	39.34	31.75
10	37.35	33.91	39.23	41.16	45.64	44.21	44.88	40.84	38.47	35.43	34.95	38.37	35.64	41.54	40.84	32.36
11	37.65	34.37	39.72	42.06	45.70	43.96	45.01	41.31	39.06	36.08	35.81	39.08	36.39	41.80	42.17
12	37.83	34.69	40.13	42.55	45.90	43.85	44.95	41.62	39.64	36.53	36.41	39.88	37.48	43.16	43.07
13	38.19	35.11	39.93	42.96	46.14	44.19	45.17	42.03	40.32	36.89	37.06	40.16	38.36	44.36	43.50
14	38.40	35.30	40.10	43.14	46.16	44.42	45.56	42.36	40.82	37.29	37.60	40.58	39.03	45.56
15	38.47	35.64	40.15	43.33	46.12	44.69	45.88	42.70	41.22	37.59	38.14	40.97	39.64	46.52
16	38.35	35.95	40.70	43.63	46.41	45.00	46.05	42.98	41.28	37.78	38.57	41.20	40.13	47.22
17	38.27	36.44	40.81	43.76	46.81	45.04	46.08	43.02	41.35	38.13	39.01	41.38	40.94	48.07
18	38.16	36.70	40.95	44.05	47.14	45.32	46.09	43.18	41.54	38.34	39.30	41.38	41.92	48.76
19	37.99	36.91	40.97	44.45	47.36	45.45	46.14	43.34	41.59	38.60	39.54	41.43	42.81	49.47
20	37.93	37.02	41.29	44.79	47.45	45.62	46.34	43.41	41.72	38.78	39.88	41.51	43.64	50.06
21	37.81	37.20	41.68	45.16	47.46	45.73	46.46	43.46	41.88	38.89	40.18	41.68	44.41	50.56
22	37.72	37.29	42.01	45.63	47.53	45.84	46.65	43.59	41.96	38.98	40.49	41.85	45.16	51.04
23	37.74	37.47	42.00	45.90	47.68	45.98	46.82	43.67	42.06	39.14	40.70	42.10	45.80	51.50
24	37.70	37.64	42.24	46.11	47.83	46.01	47.01	43.72	42.17	39.25	40.86	42.35	46.35	51.85
25	37.87	37.79	42.37	46.21	47.84	46.95	47.64	43.78	42.27	39.33	41.01	42.56	46.89	52.08
26	38.04	37.90	42.49	46.36	47.84	47.04	47.83	43.73	42.40	39.42	41.20	42.85	47.40
27	38.23	38.01	42.68	46.60	47.82	47.13	47.84	43.79	42.45	39.48	41.37	43.09	47.84
28	38.31	38.06	42.66	46.73	47.85	47.36	47.97	43.89	42.46	39.57	41.47	43.31	48.26
29	38.38	38.21	42.78	46.80	47.99	47.41	47.92	44.03	42.48	39.60	41.52	43.63	48.67
30	38.49	38.38	42.85	47.11	48.18	47.67	47.85	44.04	42.68	39.81	41.57	44.00	48.94
31	38.58	38.45	42.90	47.40	48.31	47.63	47.93	44.06	42.67	40.09	41.71	44.34	49.27
32	38.79	38.54	43.03	47.68	48.44	47.66	47.90	44.24	42.66	40.13	41.71	44.71	49.61
33	38.98	38.59	43.16	48.11	48.52	47.76	47.84	44.23	42.67	40.15	41.72	45.37	49.82
34	39.07	38.62	43.26	48.17	49.68	48.08	47.76	44.21	42.67	40.21	41.75	45.70	50.28
35	39.20	38.75	43.50	48.19	49.72	48.18	47.73	44.40	42.67	40.27	41.84	46.05	50.55
36	39.33	38.86	43.59	48.22	49.72	48.23	47.74	44.33	42.87	40.29	41.92	46.38	50.74
37	39.49	38.94	43.69	48.27	49.68	48.24	47.73	44.33	42.91	40.30	42.05	46.63	50.86
38	39.63	39.01	43.77	48.22	49.70	48.34	47.72	44.26	42.92	40.30	42.18	46.88	50.98
39	39.74	39.06	43.81	48.29	49.70	48.28	47.68	44.24	43.09	40.31	42.26	47.15
40	39.95	39.14	43.85	48.39	49.72	48.38	47.04	44.33	43.11	40.34	42.37	47.37
41	40.04	39.24	43.88	48.38	49.85	48.37	47.60	44.58	43.29	40.46	42.51	47.61
42	40.13	39.35	43.95	48.38	49.90	48.37	47.53	44.68	43.25	40.64	43.05	47.81
43
(i)Includes SDART transactions not rated by S&P Global Ratings. (ii)Includes SDART and AmeriCredit transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Appendix III: 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. Then we weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

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

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

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

We only allow a transaction to enter the composite starting in its fourth month outstanding. During the transaction's first three months, zero or fewer delinquencies are reported, which dilutes the composite figures.

What is the Auto Loan Static Index (ALSI)?

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

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

For a list of the transactions included in our prime and subprime composites and indices, see "U.S. Auto Loan ABS Tracker: June 2022 Performance," published Aug. 18, 2022. However, note that we subsequently added transactions that have since closed.

Related Research

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• United Auto Credit Securitization Trust 2022-2 Class E Rating Placed On CreditWatch Negative, Jan. 18, 2023
• Three Ratings Raised And 12 Affirmed On Three Hyundai Auto Receivables Trust Transactions, Jan. 12, 2023
• Exeter Automobile Receivables Trust 2022-1, 2022-2, 2022-3, And 2022-4 Class E Ratings Placed On CreditWatch Negative, Dec. 22, 2022
• Scenario Analysis: How The Next Downturn Could Affect U.S. Subprime Auto Loan ABS Ratings, Dec. 7, 2022
• Credit Conditions North America Q1 2023: Worse Before It Gets Better, Dec. 1, 2022
• Economic Outlook U.S. Q1 2023: Tipping Toward Recession, Nov. 28, 2022

Primary Credit Analyst:	Amy S Martin, New York + 1 (212) 438 2538; amy.martin@spglobal.com
Secondary Contacts:	Jennie P Lam, New York + 1 (212) 438 2524; jennie.lam@spglobal.com
	Steve D Martinez, New York + 1 (212) 438 2881; steve.martinez@spglobal.com
	Sanjay Narine, CFA, Toronto + 1 (416) 507 2548; sanjay.narine@spglobal.com
Research Contributor:	Kapil Sharma, CRISIL Global Analytical Center, an S&P affiliate, Mumbai