U.S. auto loan asset-backed securities (ABS) composite performance weakened in June 2023, with annualized losses increasing in the prime and subprime segments month over month and year over year. Prime losses returned to June 2019's levels, while subprime losses were just shy of their June 2019 pre-pandemic levels. The return to historical loss levels reflects consumers having spent much of their COVID-19-related savings, inflationary pressures, growth in lending from 2021 through first-quarter 2022, and lower recoveries, albeit they remain slightly above June 2019's levels. Of particular concern is that the modified subprime composite, which excludes the three large deep subprime securitizers (Exeter, Santander's Drive platform, and American Credit Acceptance (ACA)), reported higher average losses in June 2023 than June 2019. This demonstrates that the deterioration in subprime performance isn't confined to only the deep subprime issuers; other below-prime lenders are also struggling with mounting losses. Further, 60-plus-day delinquencies haven risen above pre-pandemic levels for both prime and subprime.

On a static pool cumulative net loss (CNL) basis, approximately half of the 2022 prime pools are reporting slightly higher than historical loss levels, with most of the weakness being confined to pools with a higher-than-average concentration of used vehicles. The subprime segment is showing more deterioration, with average losses on the 2022 vintage exceeding those of 2008. While some of the weakness can be explained by the greater concentration of deep subprime collateral, even after netting out three large deep subprime issuers who entered the ABS market in 2011 or later, losses for this vintage are in line with 2008. In this report, we illustrate the static pool performance of 30 frequent issuers (from prime to subprime). Within the subprime segment, eight out of 11 issuers that securitized in both 2016 and 2022 are reporting higher CNLs on the 2022 vintage than for 2016; this was the last vintage that did not benefit from COVID-19-related pandemic aid. In addition, half of the prime issuers are reporting higher-than-2016 losses on one or more of their 2022 ABS.

Losses Climb To Pre-Pandemic Levels, Exhibiting Month-Over-Month And Year-Over-Year Increases

Prime annualized net losses increased month over month to 0.48% in June 2023 from 0.32% in May 2023. The month-to-month uptick is consistent with expected seasonal trends in auto loan ABS performance, given that losses tend to rise the further we move away from tax-refund season. June 2023's losses were, however, 65% higher than a year earlier (0.29%) and had normalized to June 2019's level of 0.48%. Prime losses increased month over month for three-quarters of the issuers.

Similarly, subprime annualized net losses increased month over month by 99 basis points (bps) to 6.87% in June 2023 from 5.88% in May 2023. On a year-over-year basis, losses rose approximately 33% to 6.87% from 5.16% in June 2022. June 2023's 6.87% loss level nearly matched June 2019's and June 2018's pre-pandemic levels of 6.92% and 6.86%, respectively. Losses for almost all of the subprime issuers increased month over month, with Santander Drive Auto Receivables Trust (SDART), Westlake Automobile Receivables Trust, and Drive Auto Receivables Trust (Drive) being the major contributors, accounting for 48% of the subprime index in June 2023.

After netting out the three large deep subprime issuers, modified subprime annualized losses increased to 6.01% in June 2023 from 5.33% in May 2023 and 3.97% in June 2022. More concerning was that the modified subprime composite reported higher average losses in June 2023 than June 2019. This demonstrates that the deterioration in subprime performance isn't confined to only the deep subprime issuers; other subprime lenders are also struggling with higher-than-pre-pandemic loss levels. We attribute this performance degradation to the negative effects that inflation is having on lower-income consumers, the loss of pandemic-related support programs, the tremendous growth in originations in 2021 through first-quarter 2022, and lower recoveries. Some lenders have also pointed to what they refer as "credit score inflation" as contributing to higher losses.

Table 1

Net loss rate composite(i)
	Jun-09	Jun-14	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	May-23	Jun-23
Prime (%)	1.63	0.38	0.42	0.45	0.53	0.52	0.48	0.48	0.06	0.29	0.32	0.48
Subprime (%) (ii)	8.03	5.25	5.58	6.86	6.96	6.86	6.92	4.18	2.15	5.16	5.88	6.87
Subprime modified (%)	N/A	4.81	4.98	5.58	5.76	5.43	5.47	4.04	1.85	3.97	5.33	6.01
(i)Represents monthly annualized losses. (ii)Three large deep subprime issuers-- American Credit Acceptance, Exeter, and DRIVE--are excluded. N/A--Not applicable.

Recoveries Moderated And Continued To Normalize To Pre-Pandemic Levels

Prime and subprime recoveries declined month over month as well as year over year. For prime, the recovery rate decreased to 63.29% in June 2023 from 68.32% in May 2023 and 67.80% in June 2022. For subprime, the recovery rate decreased to 47.40% from 54.53% in May 2023 and 50.45% in June 2022. Despite these declines, recoveries remained slightly higher than June 2019's levels of 60.18% and 44.16% for prime and subprime, respectively.

June's decline in recovery rates is consistent with normal seasonality patterns, and we would expect them to continue to decline as the year progresses.

Table 2

Recovery rate composite(i)
	Jun-09	Jun-14	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	May-23	Jun-23
Prime (%)	52.39	68.14	63.89	65.88	62.34	58.64	60.18	56.54	98.79	67.80	68.32	63.29
Subprime (%)	43.65	48.60	48.39	45.69	45.14	44.68	44.16	50.39	65.71	50.45	54.53	47.40
Subprime modified (%)(ii)	N/A	49.09	50.07	46.43	45.21	45.05	44.41	45.32	62.48	49.32	53.00	46.47
(i)Represents monthly recovery rates. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Delinquencies Weaken Further Reaching The Highest June Levels

The prime 60-plus-day delinquency rate inched up to 0.49% in June 2023 from 0.48% in May 2023 and 0.41% in June 2022. The subprime 60-plus-day delinquency rate also increased to 5.37% in June 2023 from 5.22% in May 2023 and 4.89% of June 2022. In addition, delinquencies remained higher than their June 2019 pre-pandemic levels of 0.39% for prime and 5.03% for subprime and were the highest ever June level since 2011 for prime and ever for subprime.

We attribute these rising delinquencies to consumers facing financial stress from inflationary pressures, the fading benefit of COVID-19-related support, and growth in originations that came at the expense of credit quality.

Table 3

60-plus-day delinquency rate composite(i)
	Jun-09	Jun-14	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	May-23	Jun-23
Prime (%)	0.66	0.38	0.39	0.44	0.41	0.38	0.39	0.33	0.25	0.41	0.48	0.49
Subprime (%)	4.58	3.73	4.13	4.61	4.70	4.60	5.03	3.36	3.00	4.89	5.22	5.37
Subprime modified (%)(ii)	N/A	3.34	3.53	3.56	3.39	3.28	3.60	2.64	1.91	3.31	4.15	4.33
(i)Represents 60-plus delinquencies. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Extension Rates Rose Month Over Month And Year Over Year, But Continue To Remain Below Pre-Pandemic Levels

Both prime and subprime issuers saw a rise in extension rates month over month and year over year. Prime extensions increased to 0.48% in June 2023 from 0.42% in May 2023 and 0.37% in June 2022. Similarly, extensions for subprime public and 144a transactions in aggregate increased to 3.37% in June 2023 from 3.23% in May 2023 and 3.26% in June 2022 (see chart 4).

Prime extension rates

Of the 15 prime issuers listed in table 4A, 14 reported a month-over-month uptick in extensions, and one had a stable level (Carvana at 0.28%). In addition:

• CarMax Auto Owner Trust (CarMax) reported the highest extensions for the month at 1.01%, increasing from 0.85% in the prior month and 0.56% a year earlier. CarMax's month-to-month 16 bps increase was also the largest increase in the prime segment. Ford Credit Auto Owner Trust (Ford Credit) had the second-highest extension rate in June 2023 at 0.96%, which was higher than May 2023's 0.84%, but similar to June 2022's rate of 0.95%.

Table 4A

Prime issuer shelf extension (% of balance)
Shelf name	Feb-20	Mar-20	Apr-20	Jun-21	Jun-22	May-23	Jun-23
Ally Auto Receivables Trust	0.37	12.01	7.49	0.46	0.59	0.57	0.60
BMW Vehicle Owner Trust	0.17	2.00	7.58	0.24	0.11	0.16	0.18
Capital One Prime Auto Receivables Trust	0.01	0.82	1.94	0.07	0.08	0.04	0.05
CarMax Auto Owner Trust	0.38	3.33	7.33	0.35	0.56	0.85	1.01
Carvana Prime	N/A	N/A	N/A	0.08	0.27	0.28	0.28
Ford Credit Auto Owner Trust	0.75	6.30	6.35	0.81	0.95	0.84	0.96
GM Financial Consumer Automobile Receivables Trust	0.32	0.81	2.27	0.29	0.33	0.33	0.36
Harley-Davidson Motorcycle Trust	0.20	1.85	4.01	0.33	0.29	0.37	0.45
Honda Auto Receivables Owner Trust	0.11	2.03	4.51	0.11	0.11	0.13	0.16
Hyundai Auto Receivables Trust	0.25	2.03	4.22	0.34	0.37	0.35	0.38
Mercedes-Benz Auto Receivables Trust	0.15	4.62	7.21	0.32	0.35	0.60	0.70
Nissan Auto Receivables Owner Trust	0.44	4.19	5.57	0.43	0.39	0.26	0.28
Toyota Auto Receivables Owner Trust	0.28	2.79	6.24	0.26	0.25	0.28	0.31
Volkswagen Auto Loan Enhanced Trust	0.21	0.60	5.81	0.15	0.11	0.16	0.19
World Omni Auto Receivables Trust	0.38	5.85	8.82	0.29	0.41	0.45	0.54
Prime average	0.32	3.75	5.76	0.34	0.37	0.42	0.48
N/A--Not applicable.

Subprime extension rates

The SEC-publicly registered subprime transactions (Reg AB II issuers in chart 4 and table 4B) had a weighted average extension rate of 2.40% for June 2023, a slight increase from May 2023 (2.22%) and June 2022 (2.30%). These larger issuers, however, continued to report lower extensions than their 144a peers, which as a group logged a weighted average extension rate of 4.69%, down slightly from the prior month (4.75%) and up from the year earlier (4.43%). The improvement month to month was largely due to two large issuers reporting significant drops. Most notably, Flagship's extensions declined 187 bps (to 2.74% from 4.61%) and GLS declined 22 bps (to 2.96% from 3.18%). These two issuers represented approximately 23% of the outstanding 144a transactions in our subprime database. These declines offset the slight increases reported by the other 144a subprime issuers.

Of the 17 subprime issuers whose transactions we rate and for which we have extension data for both May 2023 and June 2023, only five reported a month-over-month decrease in extension rates: Flagship, GLS, Prestige, Carvana, and Avid. The remaining 12 reported higher levels from the previous month. On a year-over-year basis, eight issuers reported improved extension rates, but most of these were only slight declines, with the exception of Flagship whose extensions declined 156 bps year over year (to 2.74% from 4.30%). (Flagship's 60-plus-day delinquencies, however, increased to 9.14% as of June 30, 2023 from 6.51% a year earlier). Other noteworthy observations include:

• Issuers with the largest month-over-month increase were CPS Auto Receivables Trust (86 bps to 5.59% from 4.73%), AmeriCredit Automobile Receivables Trust (48 bps to 3.25% from 2.77%), and United Auto Credit Securitization Trust (56 bps to 5.51% from 4.95%).
• Westlake Automobiles Receivables Trust (Westlake) and CPS Auto Receivables Trust (CPS) had the highest extensions in June 2023, at 5.81% and 5.59%, respectively, followed by Exeter at 5.45%. Although Westlake has relatively high extension rates, its average 60-plus-day delinquency rate across transactions with at least four months of performance data was only 1.23% as of June 30, 2023, while rates for CPS and Exeter were 6.65% and 8.65%, respectively.

Table 4B

Subprime issuer shelf extension (% of balance)
Shelf name	Feb-20	Mar-20	Apr-20	Jun-21	Jun-22	May-23	Jun-23
American Credit Acceptance	2.84	3.66	5.15	1.75	2.85	4.16	4.43
AmeriCredit Automobile Receivables Trust(i)	2.48	4.11	6.93	2.28	2.91	2.77	3.25
Avid Automobile Receivables Trust	2.88	3.43	2.82	3.54	3.39	3.99	3.79
Carvana Subprime	N/A	N/A	N/A	N/A	1.77	1.74	1.63
CPS Auto Receivables Trust	3.71	6.18	10.21	3.30	4.75	4.73	5.59
Drive Auto Receivables	1.14	8.14	20.64	1.94	1.81	1.53	1.63
DriveTime Automotive Group Inc.(ii)	2.53	3.06	8.88	3.03	2.58	3.14	3.55
Exeter Automobile Receivables Trust	3.02	4.34	11.80	3.81	5.34	5.25	5.45
First Investors Auto Owner Trust	2.79	4.38	3.94	2.43	2.91	3.13	3.16
Flagship Credit Auto Trust	2.01	9.26	18.81	2.81	4.30	4.61	2.74
Foursight Capital Automobile Receivables Trust	N/A	N/A	N/A	N/A	N/A	N/A	2.73
GLS Auto Receivables Issuer Trust	2.80	4.92	11.39	2.06	3.34	3.18	2.96
Prestige Auto Receivables Trust	2.69	2.85	6.24	2.63	4.60	5.14	4.88
Santander Drive Auto Receivables Trust	1.07	7.04	17.28	1.41	1.39	1.24	1.33
Tidewater Auto Receivables Trust	0.96	1.59	8.36	2.25	1.77	1.63	1.65
United Auto Credit Securitization Trust	4.75	7.54	6.02	2.11	4.29	4.95	5.51
Westlake Automobiles Receivables Trust	4.85	11.73	7.41	4.50	6.04	5.74	5.81
World Omni Select	1.58	14.72	19.58	1.24	1.53	1.07	1.24
World Omni Select (non-prime)	N/A	N/A	N/A	N/A	N/A	N/A	0.02
Subprime average	2.35	6.62	12.75	2.57	3.26	3.23	3.37
(i)June 2021 and June 2022 includes only AmeriCredit's S&P Global Ratings-rated deals. (ii)Extension rate for DriveTime Automotive Group Inc. for May and June 2023 includes only the 2021-3 through 2023-1 deals. These are the only deals with at least four months of performance in which the servicing reports provide extension info on a dollar basis (as opposed to account-based). The company previously provided dollar-based extensions through Dec. 31, 2021, for all of its o/s deals from August 2019 through Dec. 31, 2021. N/A--Not applicable. N/A--Not applicable.

Auto Loan Static Indexes (ALSI)

Prime: vintage CNLs continue to rise, but track lower than pre-pandemic levels

While the end of pandemic-related assistance programs, declining used vehicle values, and inflationary pressures are causing prime CNLs to escalate, on an aggregate basis, they have not returned to 2016-2019's levels (chart 5). For example, CNLs for the 2022 vintage at month seven are 0.14%, which is considerably lower than the 0.18%-0.19% for the 2016-2019 vintages at the same month (albeit higher than 0.13% and 0.11% for 2020 and 2021, respectively, at the same month). For issuer-specific CNL performance, see charts 15-45.

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

Cumulative recoveries on the 2022 vintage are trending much lower than the record level set for the 2020 cohort (at approximately 64% at month 31) and near record level for the 2021 cohort (55% at month 19) (chart 7). The 2022 vintage has gotten off to a weak start, with cumulative recoveries inching up to only 38% through month seven (versus a usual rate of 42% to 48%). The initial weakness is likely due to the drop in used vehicle values (they started to decline in early 2022), especially if the repossessed units were new vehicles purchased from mid-2021 to 2022 that were priced above MSRP. This "market-based" pricing is gradually being eliminated, causing recently purchased vehicles to experience greater declines in value. The 2021 and 2022 vintages are also showing weakness on the delinquency front, reporting higher 60-plus-day delinquencies compared with the 2016-2020 vintages at the same months outstanding (see chart 8).

Subprime: 2022 vintage CNLs are tracking higher than historical levels

We expected subprime CNLs to rise from the unsustainably low levels on the 2019-2021 vintages, but rather unexpectedly (given low unemployment levels), the 2022 vintage is reporting worse-than-historical loss levels with 2.60% in CNL as of month seven compared to 1.99% for 2008 and 2.02% for 2016 at the same month (see chart 9). The deterioration started with the 2022 second-quarter cohort. At month 13, its CNLs are 6.03%, which exceeds the 5.73% for 2008 and 5.21% and 5.28% for 2016 and 2017, respectively, at the same month. The subsequent 2022 quarterly vintages are also showing deterioration relative to historical levels, but not to the same extent. Higher CNLs have been due to greater defaults (chart 11), a precipitous drop in recoveries (chart 12), and, in our opinion, either a liberalization of credit standards among some lenders and/or the inability of their underwriting methods to account for pandemic-related "inflated" credit bureau scores.

On a positive note, the deterioration that we've been observing on the second-quarter 2022 vintage relative to 2008 has ameliorated in the last few months. For example, as of month eight, the variance was 107 bps (3.61% for second-quarter 2022 versus 2.54% for 2008), but as of month 13, it has narrowed to only 30 bps. Perhaps there is some validity to issuers' claims that they're taking their losses earlier due to a high volume of full-balance charge-offs as they were encountering repossession delays last year and earlier this year.

Since market participants often ask us whether the greater concentration of deep subprime issuers in recent years is driving up subprime's CNLs, we maintain a modified subprime index wherein three large deep subprime lenders are excluded (Santander's Drive platform, Exeter, and ACA). And yes, as evidenced in table 5, deep subprime issuance has grown relative to 2008, when it was zero due to limited issuance that year. However, for 2022, the portion of deep subprime collateral securitized relative to total subprime collateral declined to 20%, which was down significantly from the range in 2017 to 2021 (45.5% to 33.0%, respectively), due to Santander reducing its origination and securitization volume of deep subprime loans. In fact, their Drive platform did not issue ABS in 2022.

Table 5

Composition of subprime index
Issuer	% of 2007 original amount	% of 2008	% of 2016	% of 2017	% of 2018	% of 2019	% of 2020	% of 2021	% of 2022
AmeriCredit	32.2	87.7	23.9	11.9	8.4	12.0	12.8	9.7	7.8
Avid					0.4	0.7
Capital One	26.5
Carvana NP								4.4	1.1
CPS	5.4	12.3	4.6	4.3	2.7	3.3	3.0	2.8	4.0
First Investors			1.9	3.0	1.3	1.6	0.9	1.4	1.8
Flagship Credit Acceptance			7.5	5.0	3.3	4.8	4.5	3.5	5.7
Foursight			1.0						0.7
GLS				1.1	3.5	5.6	5.5	5.4	4.8
Honor			0.5
HSBC	6.8
Prestige	2.1		3.5	1.8	1.6	1.6	1.6	0.9	1.2
SDART (Santander)			18.0	18.7	22.9	13.7	26.6	24.7	38.2
Sierra			0.7
Tidewater			0.8		0.7		0.8
Triad	8.8
United Auto Credit	3.1		1.6	0.8	1.4	0.9	1.0	0.7	1.8
Westlake			7.7	7.9	11.8	14.2	13.6	13.7	13.1
WOSAT					2.3	3.0	3.4
Large deep subprime issuers
American Credit Acceptance			4.5	5.0	4.0	4.2	7.6	5.9	5.1
Exeter			5.3	7.2	8.5	12.2	9.4	12.5	14.9
DRIVE (Santander Deep SP)	15.2		18.8	33.3	27.1	22.3	9.9	14.6
Deep subprime total	15.2	0.0	28.5	45.5	39.7	38.7	27.0	33.0	20.0

Even after accounting for the exclusion of these deep subprime players, the 2022 modified subprime index is reporting CNL of 2.00% at month seven (60 bps lower than subprime index's 2.60%), which is in line with 2008's 1.99% level at the same month (chart 10). It is an ominous sign that, even as deep subprime declined to only 20% last year from a peak of approximately 46% in 2017, that the overall subprime and even the modified subprime indexes are trending so high. For issuer-specific CNL performance, see charts 15-45.

Cumulative recovery rates (CRRs) have weakened in the 2022 vintage. Through month seven, the quarterly vintages are reporting CRRs of 22.2%-29.0% for an average of 26.6%, which is substantially below the prior vintages (31.0%-36.0%). While some issuers attribute the lower recovery rates to more full-balance charge-offs because it's taking them longer to find and repossess vehicles, falling used vehicle prices in the secondary market are also contributing to the decline.

Sixty-plus-day delinquencies have ticked up beginning with the 2021 vintage, to 5.99% as of month 19, which is higher than the 2015-2020 vintages at the same seasoning month. The 2022 vintage is worse at 4.59% at only month seven (see chart 13). Even the modified subprime index is showing record 60-plus-day delinquencies: 3.84% versus a previous high of 2.82% for the 2007 vintage (see chart 14).

Issuer-specific CNL deterioration

The confluence of adverse factors affecting the consumer beginning last year has in many cases caused issuers' 2022 vintage pools to experience higher CNLs than their 2016 securitized pools. Given that we derive our base-case CNL levels on an issuer-specific basis, we think it is important to drill down and analyze performance at the issuer level.

Half of the prime issuers are reporting higher-than-2016 losses on their 2022 ABS 

In the prime segment of the 14 issuers highlighted below that completed securitizations last year, seven continue to report lower-than-historical loss levels: BMW, Ford Credit, GM Financial, Honda, Hyundai, World Omni, and Nissan. Of the 12 issuers that securitized in both 2016 and 2022 (GMF and Carvana did not), six are reporting higher losses on one or more of their 2022 transactions than on their 2016 pools, which was the last annual vintage that did not benefit from COVID-19-related pandemic stimulus and other forms of borrower support. These issuers are: Ally, Mercedes, CarMax, Harley, Toyota, and USAA.

The prime issuers that are posting a measurable increase in losses are generally those that have a greater percentage of used vehicles in their ABS. For example, used vehicles comprise 52% and 60% of Mercedes' 2022-1 and Ally's 2022-3 transactions, respectively. Meanwhile BMW's 2022-A transaction has only 31% in previously-owned vehicles and still has zero losses. BMW's deal also has a weighted average FICO of 788, the highest of any pool in 2022, a short weighted average original maturity of 64 months and robust seasoning of 14 months. Additionally, the CarMax and Carvana pools are exclusively used vehicles.

Eight of 11 subprime issuers have higher losses on their 2022 ABS than for 2016 

In the subprime segment, eight out of 11 issuers that securitized in both 2016 and 2022 are reporting higher CNLs on the 2022 vintage than for 2016. AmeriCredit, Westlake, and DriveTime standout for better than average performance. While all three of them are reporting higher losses on their 2022 transactions compared to those in 2020 and 2021, their losses have not returned to 2016's levels. We attribute their strength to originating better quality loans. For example, AmeriCredit's proprietary scores improved to a weighted average range of 249-254 for its 2022 transactions compared to 244-246 for those in 2016. Both AmeriCredit and Westlake also had stronger weighted average FICO scores and LTV ratios for the 2022 transactions relative to 2016. DriveTime's resilience appears related to lower LTVs, as they declined to 135%-138% for the 2022 transactions from 168%-171% in 2016. Also, their weighted average FICO improved to a range of 550-563 from 540-546.

Collateral Characteristics: Annual Percentage Rates Rise Along With Loan-To-Value Ratios

Prime

The collateral characteristics for prime transactions issued in first-half 2023 were generally comparable to first-half and full-year 2022. The higher weighted average FICO score and lower mix of used vehicles were positives, but loan terms lengthened and the loan to values (LTVs) rose (see table 6A).

Significant changes included:

• The weighted average FICO increased to 759 from 754 for 2022, and is the highest in recent history. In first-half 2022, the weighted average FICO was approximately 754.
• Used vehicles comprised 31.41% in first-half 2023, a decrease from 37.43% and 35.13% in first-half 2022 and full-year 2022, respectively. Given higher levels of new vehicle inventory, due to supply constraints easing, auto prices have declined and incentives have returned, thereby supporting growth in new vehicle sales.
• Loans with original maturities greater than 60 months increased to 67.93% in first-half 2023 from 66.87% for full-year 2022. In first-half 2023, loans with original maturities of 73-75 months decreased to 7.66% from 10.45%, but maturities of 76-84 months increased to 8.21% from 2.77% for year 2022. Longer-term loans are supporting the growth in new vehicle financing, especially given that higher interest rates are driving up monthly payments.
• The weighted average LTV increased modestly to 97.54% from 95.95% in 2022.
• With the Federal Reserve increasing interest rates, unsurprisingly, the weighted average annual percentage rate (APR) rose to 5.19% in first-half 2023 from 4.29% in the first-half 2022 and 4.41% last year 2022.

Table 6A

Prime collateral trends(i)
	WA APR (%)	Used (%)	Loans with original terms > 60 months (%)	Loans with original terms of 61-72 months (%)	Loans with original terms of 73-75 months (%)	Loans with original terms of 76-84 months (%)(ii)	Loans with original terms of 73-84 months (%)(ii)	WA original maturity	WA LTV ratio (%)	WA FICO score
2016	3.51	29.75	50.15	45.00	-	-		64.32	96.94	746
2017	3.59	28.38	55.92	48.16	-	-		65.52	95.94	749
2018	3.73	27.66	58.14	52.35	-	-		65.8	95.81	755
2019(ii)	4.50	29.66	60.51	52.54	7.01	0.95	7.96	66.16	95.64	754
2020	4.24	29.41	61.81	54.69	6.39	0.73	7.12	66.25	96.66	757
2021	4.29	36.40	63.06	52.97	8.48	1.61	10.09	66.73	96.16	754
2022	4.41	35.13	66.87	53.65	10.45	2.77	13.22	67.17	95.95	754
First-half 2022	4.29	37.43	66.03	53.45	10.49	2.09	12.58	67.23	95.08	754
First-half 2023	5.19	31.41	67.93	52.06	7.66	8.21	15.87	67.57	97.54	759
(i)The collateral characteristics of revolving transactions are not included because the collateral pools are dynamic. The 2016-2023 vintages include most term transaction not rated by S&P Global Ratings. (ii)Effective August 2019, we began reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value.

Subprime

The collateral characteristics for subprime transactions issued in first-half 2023 were ostensibly in line with first-half and full-year 2022 (table 6B). There were some slight changes, but most of these are explained by the increased concentration of used vehicle financing and higher interest rates.

Notable observations relative to 2022 include:

• The percentage of used vehicle financing increased to 87.21% for first-half 2023 from 84.75% for full-year 2022. Higher new vehicle prices, coupled with higher interest rates and more stringent underwriting, is steering more below-prime borrowers to used vehicles.
• The percentage of loans with original maturities greater than 60 months decreased to 83.87% from 85.64%, and loans with original terms of 73-75 months declined to 10.36% from 12.60%. Used vehicles typically carry shorter terms than new vehicles.
• The percentage of loans with original terms of 76-84 months remained relatively stable at 2.22%. AmeriCredit and CPS were the largest securitizers of these loans in first-half 2023, with 19.75% and 8.68%, respectively.
• The weighted average LTV increased to 112.86% from 110.30% as used vehicles typically carry higher LTVs than used vehicles.
• The weighted average APR surged to approximately 18.86% for first half 2023 from 16.69% in 2022. Most lenders have increased their APRs given higher ABS funding costs.
• The weighted average FICO score remained the same at 593.

The statistics in table 6B, however, do not capture the extent to which lenders have improved their mix of originations as they do not track the issuers' proprietary scores, which are often better predictors of performance than FICO only. We have noticed that several lenders' 2023 pools have migrated to a stronger composition of borrowers, and, in some cases, lenders have eliminated or greatly reduced certain high loss programs.

Table 6B

Subprime collateral trends(i)
	WA APR (%)	Used (%)	Loans with original terms > 60 months (%)	Loans with original terms of 61-72 months (%)	Loans with original terms of 73-75 months (%)	Loans with original terms of 76-84 months (%)(ii)	Loans with original terms of 73-84 months (%)(ii)	WA original maturity	WA LTV ratio (%)	WA FICO score
2016	16.85	68.25	83.27	79.56				68.52	112.55	575
2017	17.79	69.05	84.61	79.28				68.94	110.57	578
2018	17.97	66.53	83.03	74.55				68.65	110.28	587
2019(ii)	17.84	70.55	82.63	74.49	8.14			68.69	112.45	584
2020	17.21	72.42	83.04	73.15	9.48	0.43	9.91	68.98	111.87	588
2021	17.07	78.65	86.30	76.25	8.56	1.46	10.02	69.68	109.80	590
2022	16.69	84.75	85.64	70.13	12.60	2.27	14.87	69.75	110.30	593
First-half 2022	16.37	84.90	84.94	69.89	12.63	2.43	15.06	69.66	109.69	593
First-half 2023	18.86	87.21	83.87	69.03	12.45	2.39	14.84	69.35	112.86	593
(i)The collateral characteristics of revolving transactions are not included because the collateral pools are dynamic. The 2016-2020 vintages include most term transaction not rated by S&P Global Ratings. (ii)Effective August 2019, we began reporting loans with terms between 73-75 months and 76-84 months. WA--Weighted average. APR--Annual percentage rate. LTV--Loan to value.

Auto Loan ABS Rating Activity/Revised Loss Expectations

In July 2023, we revised our loss expectations and took a number of rating actions (see table 7).

Table 7

Surveillance actions
		Rating action (by class)				Expected cumulative net losses (no. of transactions)
Issuer	Date	Transaction reviewed	Upgrades	Downgrades	Affirmations	Increased	Decreased	Maintained
Prime
HAROT	7/5/2023	6			14		6
WOART	7/14/2023	3			16		3
TAROT	7/28/2023	2			8			2
Subprime
CAALT	7/26/2023	4	6		5		4
DTAT	7/31/2023	9	20		6	1	5	3
Total		24	26	0	49	1	18	5
HAROT--Honda Auto Receivables Owner Trust. WOART--World Omni Auto Receivables Trust. TAROT--Toyota Auto Receivables Owner Trust. CAALT--Credit Acceptance Auto Loan Trust. DTAT--DT Auto Trust.

July's analysis resulted in 26 upgrades and 49 affirmations, bringing the total number of U.S. auto loan ABS-related upgrades, downgrades, and affirmations to 177, six, and 243, respectively.

For the 24 transactions we reviewed in July, we increased our CNLs on one, lowered them on 18, and maintained them on five.

Appendix I: Auto Tracker Frequently Asked Questions

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial ECNLs of 3.25% or less and average FICO scores of 700 or higher. We include CarMax and Carvana in this segment.

How do you define subprime auto loan ABS?

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

How do you calculate the monthly net loss rate?

The monthly net loss rate is annualized. It equals each transaction's net loss rate weighted by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

We only allow a transaction to enter the composite starting in its fourth month outstanding. Transactions usually have zero or low losses during their first three months, which dilutes the composite figures.

How do you calculate the monthly recovery rate?

We calculate recoveries by taking the recovery amount reported (which typically includes all recoveries, including disposition proceeds, post-disposition proceeds, and any other reported recoveries) over the gross loss amount for the current month. Then we weight each transaction's recovery percentage by the transaction's ending pool balance for the current month over the aggregate ending pool balance of all transactions included in the index.

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

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

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

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

What is the Auto Loan Static Index (ALSI)?

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

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

For a list of the transactions included in our prime and subprime composites and indices, see Appendix II. For a list of the transactions included in our prime and subprime composites and indices, see Appendix II. Transactions that indicate unrated or "NR" were not rated by us.

Appendix II: Prime And Subprime Index Composition

Table 14

Prime Auto Loan Static Index composition
Issuer name	Yearly factor (%)	Original issuance amount ($)
Q1 2023 cohort
CarMax Auto Owner Trust 2023-1	11.07	1,491,002,574
Mercedes-Benz Auto Receivables Trust 2023-1	15.72	2,117,733,131
Toyota Auto Receivables 2023-A Owner Trust	13.47	1,813,667,858
GM Financial Consumer Automobile Receivables Trust 2023-1 (unrated)	12.76	1,719,195,780
World Omni Auto Receivables Trust 2023-A	8.29	1,116,806,264
Capital One Prime Auto Receivables Trust 2023-1	11.11	1,495,738,191
Carvana Auto Receivables Trust 2023-P1	2.70	363,247,959
Ford Credit Auto Owner Trust 2023-A	12.86	1,732,167,318
Honda Auto Receivables 2023-1 Owner Trust-(unrated)	12.02	1,619,423,907
Total: 9		13,468,982,981
Q2 2023 cohort
CarMax Auto Owner Trust 2023-2	7.90	1,530,612,496
Carvana Auto Receivables Trust 2023-P2	2.13	412,771,947
GM Financial Consumer Automobile Receivables Trust 2023-2	8.78	1,701,737,703
GTE Auto Receivables Trust 2023-1	1.11	215,920,880
Honda Auto Receivables 2023-2 Owner Trust	8.35	1,619,450,151
Hyundai Auto Receivables Trust 2023-A	9.44	1,829,751,291
Nissan Auto Receivables 2023-A Owner Trust-(unrated)	7.53	1,460,472,154
Toyota Auto Receivables 2023-B Owner Trust-(unrated)	9.27	1,795,999,450
Volkswagen Auto Loan Enhanced Trust 2023-1	8.81	1,707,916,114
World Omni Auto Receivables Trust 2023-B	6.00	1,162,826,061
Porsche Financial Auto Securitization Trust 2023-1	5.79	1,122,568,278
Veridian Auto Rexeivables Trust 2023-1	1.60	310,549,836
Ford Credit Auto Owner Trust 2023-B	8.87	1,719,380,848
SFS Auto Receivables Securitization Trust 2023-1	5.65	1,095,898,869
Citizens Auto Receivables Trust 2023-1	8.76	1,698,862,694
Total: 15		19,384,718,772
Year 2022 cohort
CarMax Auto Owner Trust 2022-1	3.03	1,604,011,099
Carvana Auto Receivables Trust 2022-P1	1.97	1,039,515,051
Ford Credit Auto Owner Trust 2022-A	2.17	1,146,189,073
GM Financial Consumer Automobile Receivables Trust 2022-1	2.35	1,244,538,359
Honda Auto Receivables 2022-1 Owner Trust	3.06	1,619,433,199
Hyundai Auto Receivables Trust 2022-A	2.99	1,583,031,004
Nissan Auto Receivables 2022-A Owner Trust	2.16	1,142,065,005
Toyota Auto Receivables 2022-A Owner Trust (unrated)	3.36	1,775,873,551
World Omni Auto Receivables Trust 2022-A	1.82	964,210,704
Ally Auto Receivables Trust 2022-1	2.05	1,084,569,771
BMW Vehicle Owner Trust 2022-A	3.13	1,652,928,130
Capital One Prime Auto Receivables Trust 2022-1	3.83	2,025,808,403
CarMax Auto Owner Trust 2022-2	2.71	1,432,225,072
Carvana Auto Receivables Trust 2022-P2	1.14	605,000,000
Ford Credit Auto Owner Trust 2022-B (unrated)	2.22	1,173,418,193
GM Financial Consumer Automobile Receivables Trust 2022-2	2.83	1,494,418,717
Toyota Auto Receivables 2022-B Owner Trust	3.47	1,836,639,190
World Omni Auto Receivables Trust 2022-B	2.05	1,083,969,918
Hyundai Auto Receivables Trust 2022-B	2.91	1,537,128,049
CarMax Auto Owner Trust 2022-3	2.69	1,421,320,054
World Omni Auto Receivables Trust 2022-C	2.12	1,123,484,105
Capital One Prime Auto Receivables Trust 2022-2	3.91	2,066,663,592
Toyota Auto Receivables 2022-C Owner Trust	3.14	1,661,936,433
Honda Auto Receivables 2022-2 Owner Trust	2.04	1,079,632,920
PenFed Auto Receivables Owner Trust 2022-A	0.98	519,815,802
Carvana Auto Receivables Trust 2022-P3	0.69	364,000,001
Nissan Auto Receivables 2022-B Owner Trust	2.80	1,477,843,167
Ford Credit Auto Owner Trust 2022-C	3.30	1,745,303,061
GM Financial Consumer Automobile Receivables Trust 2022-3 (unrated)	2.50	1,323,590,279
USAA Auto Owner Trust 2022-A	0.99	520,876,091
GM Financial Consumer Automobile Receivables Trust 2022-4	2.60	1,376,173,676
Ally Auto Receivables Trust 2022-2	2.10	1,112,887,614
OCCU Auto Receivables Trust 2022-1	0.56	298,507,816
CarMax Auto Owner Trust 2022-4	2.70	1,430,038,566
Toyota Auto Receivables 2022-D Owner Trust (unrated)	3.42	1,807,594,098
Hyundai Auto Receivables Trust 2022-C	3.23	1,706,688,348
World Omni Auto Receivables Trust 2022-D	2.19	1,156,658,990
Ford Credit Auto Owner Trust 2022-D (unrated)	2.78	1,471,280,949
Mercedes-Benz Auto Receivables Trust 2022-1	4.04	2,136,070,683
Ally Auto Receivables Trust 2022-3	1.95	1,028,968,867
Total: 40		52,874,307,600
Year 2021 cohort
Capital One Prime Auto Receivables Trust 2021-1	3.01	1,356,483,995
CarMax Auto Owner Trust 2021-1	3.34	1,505,270,561
CarMax Auto Owner Trust 2021-2	3.46	1,558,897,246
CarMax Auto Owner Trust 2021-3	3.89	1,754,385,995
CarMax Auto Owner Trust 2021-4	3.11	1,403,509,095
Carvana Auto Receivables Trust 2021-P1	0.92	415,000,001
Carvana Auto Receivables Trust 2021-P2	1.72	775,000,002
Carvana Auto Receivables Trust 2021-P3	2.30	1,035,000,000
Carvana Auto Receivables Trust 2021-P4	2.34	1,055,000,001
Ford Credit Auto Owner Trust 2021-A	3.14	1,415,499,059
GM Financial Consumer Automobile Receivables Trust 2021-1	3.68	1,658,343,698
GM Financial Consumer Automobile Receivables Trust 2021-2 (NR)	2.95	1,329,408,247
GM Financial Consumer Automobile Receivables Trust 2021-3	2.86	1,287,305,122
GM Financial Consumer Automobile Receivables Trust 2021-4	2.87	1,294,931,938
Honda Auto Receivables 2021 - 4 Owner Trust (NR)	3.59	1,619,491,677
Honda Auto Receivables 2021-1 Owner Trust (NR)	3.59	1,619,466,675
Honda Auto Receivables 2021-2 Owner Trust	3.59	1,619,437,929
Honda Auto Receivables 2021-3 Owner Trust	3.59	1,619,434,214
Hyundai Auto Receivables Trust 2021-A	3.00	1,352,165,787
Hyundai Auto Receivables Trust 2021-B	3.11	1,399,973,721
Hyundai Auto Receivables Trust 2021-C	3.50	1,577,990,687
Mercedes-Benz Auto Receivables Trust 2021-1	3.68	1,657,814,899
Nissan Auto Receivables 2021-A Owner Trust	2.47	1,113,826,202
Toyota Auto Receivables 2021-A Owner Trust (NR)	4.04	1,822,777,183
Toyota Auto Receivables 2021-B Owner Trust	3.70	1,666,956,330
Toyota Auto Receivables 2021-C Owner Trust	3.70	1,666,028,015
Toyota Auto Receivables 2021-D Owner Trust	3.70	1,667,553,463
UNIFY Auto Receivables Trust 2021-1	0.67	302,931,694
Volkswagen Auto Loan Enhanced Trust 2021-1	4.18	1,882,301,798
World Omni Auto Receivables Trust 2021 B-2021-B	2.45	1,102,919,763
World Omni Auto Receivables Trust 2021-A	2.57	1,157,521,165
World Omni Auto Receivables Trust 2021-C	2.67	1,202,898,752
World Omni Auto Receivables Trust 2021-D	2.63	1,183,996,580
Total: 33		45,079,521,493
Year 2020 cohort
BMW Vehicle Owner Trust 2020-A	2.53	1,054,601,017
Capital One Prime Auto Receivables Trust 2020-1	3.25	1,356,484,237
CarMax Auto Owner Trust 2020-1	3.72	1,553,875,032
CarMax Auto Owner Trust 2020-2	2.77	1,156,941,681
CarMax Auto Owner Trust 2020-3	3.25	1,358,148,894
CarMax Auto Owner Trust 2020-4	3.61	1,506,024,109
Carvana Auto Receivables Trust 2020-P1	0.97	405,000,000
Ford Credit Auto Owner Trust 2020-A (NR)	2.19	914,193,806
Ford Credit Auto Owner Trust 2020-B	5.40	2,254,021,430
Ford Credit Auto Owner Trust 2020-C	3.42	1,429,578,316
GM Financial Consumer Automobile Receivables Trust 2020-1	3.12	1,304,237,246
GM Financial Consumer Automobile Receivables Trust 2020-2	2.02	841,444,376
GM Financial Consumer Automobile Receivables Trust 2020-3 (NR)	4.01	1,673,619,561
GM Financial Consumer Automobile Receivables Trust 2020-4	3.77	1,574,013,675
Honda Auto Receivables 2020-1 Owner Trust (NR)	3.88	1,619,433,198
Honda Auto Receivables 2020-2 Owner Trust	3.23	1,349,527,667
Honda Auto Receivables 2020-3 Owner Trust	5.17	2,159,298,062
Hyundai Auto Receivables Trust 2020-C	3.17	1,324,207,677
Hyundai Auto Receivables Trust 2020-A	2.97	1,238,223,759
Hyundai Auto Receivables Trust 2020-B	2.86	1,194,414,188
Mercedes-Benz Auto Receivables Trust 2020-1	2.69	1,124,777,926
Nissan Auto Receivables 2020-A Owner Trust	2.68	1,119,632,941
Nissan Auto Receivables 2020-B Owner Trust	3.37	1,405,095,871
Toyota Auto Receivables 2020-A Owner Trust	4.45	1,855,904,868
Toyota Auto Receivables 2020-B Owner Trust	3.06	1,275,392,995
Toyota Auto Receivables 2020-C Owner Trust	3.98	1,659,837,859
Toyota Auto Receivables 2020-D Owner Trust	3.96	1,652,997,850
Volkswagen Auto Loan Enhanced Trust 2020-1 (NR)	3.09	1,290,803,106
World Omni Auto Receivables Trust 2020-A	2.09	874,456,598
World Omni Auto Receivables Trust 2020-B	2.15	895,761,839
World Omni Auto Receivables Trust 2020-C	3.16	1,318,405,815
Total: 31		41,740,355,601
Year 2019 cohort
Ally Auto Receivables Trust 2019-1 (NR)	2.22	1,119,999,920
Ally Auto Receivables Trust 2019-2	2.22	1,120,998,038
Ally Auto Receivables Trust 2019-3	2.22	1,120,998,467
Ally Auto Receivables Trust 2019-4	2.08	1,050,522,784
Bank of the West Auto Trust 2019-1	1.53	769,857,130
BMW Vehicle Owner Trust 2019-A	2.68	1,350,116,131
Capital One Prime Auto Receivables Trust 2019-1	2.48	1,250,000,001
Capital One Prime Auto Receivables Trust 2019-2	2.80	1,410,746,434
CarMax Auto Owner Trust 2019-1	2.99	1,506,024,109
CarMax Auto Owner Trust 2019-2	2.71	1,368,421,078
CarMax Auto Owner Trust 2019-3	2.98	1,503,759,541
CarMax Auto Owner Trust 2019-4	2.98	1,503,750,004
Fifth Third Auto Trust 2019-1	2.84	1,433,531,135
Ford Credit Auto Owner Trust 2019-A (NR)	3.54	1,786,699,021
Ford Credit Auto Owner Trust 2019-B	2.26	1,142,066,659
Ford Credit Auto Owner Trust 2019-C	2.83	1,424,799,288
Gm Financial Consumer Automobile Receivables Trust 2019-1 (NR)	2.61	1,318,455,649
GM Financial Consumer Automobile Receivables Trust 2019-2	2.57	1,294,890,402
GM Financial Consumer Automobile Receivables Trust 2019-3	2.06	1,039,361,022
GM Financial Consumer Automobile Receivables Trust 2019-4 (NR)	2.06	1,039,585,663
GTE Auto Receivables Trust 2019-1	0.37	184,889,790
Honda Auto Receivables 2019-1 Owner Trust	2.78	1,400,006,655
Honda Auto Receivables 2019-2 Owner Trust (NR)	3.21	1,619,433,199
Honda Auto Receivables 2019-3 Owner Trust	2.68	1,349,537,391
Honda Auto Receivables 2019-4 Owner Trust	3.21	1,619,436,123
Hyundai Auto Receivables Trust 2019-A	2.18	1,101,337,157
Hyundai Auto Receivables Trust 2019-B	2.31	1,165,566,589
Mercedes-Benz Auto Receivables Trust 2019-1	3.20	1,615,006,230
Nissan Auto Receivables 2019-A Owner Trust (NR)	2.77	1,394,407,180
Nissan Auto Receivables 2019-B Owner Trust (NR)	2.73	1,378,201,976
Nissan Auto Receivables 2019-C Owner Trust	2.71	1,364,914,302
Toyota Auto Receivables 2019-A Owner Trust	3.83	1,930,929,363
Toyota Auto Receivables 2019-B Owner Trust	3.78	1,907,216,812
Toyota Auto Receivables 2019-C Owner Trust	2.67	1,344,769,910
Toyota Auto Receivables 2019-D Owner Trust	3.71	1,872,859,971
USAA Auto Owner Trust 2019-1	1.00	503,778,340
World Omni Auto Receivables Trust 2019-A	2.20	1,110,735,193
World Omni Auto Receivables Trust 2019-B	1.74	879,483,109
World Omni Auto Receivables Trust 2019-C	2.23	1,125,526,442
Total: 39		50,422,618,206
Year 2018 cohort
Ally Auto Receivables Trust 2018-1	2.47	1,119,773,433
Ally Auto Receivables Trust 2018-2 (NR)	2.47	1,118,470,195
Ally Auto Receivables Trust 2018-3	2.47	1,119,013,480
Bank of the West Auto Trust 2018-1	1.66	750,015,860
Bmw Vehicle Owner Trust 2018-A-(unrated)	3.14	1,422,530,959
CarMax Auto Owner Trust 2018-1	3.00	1,356,783,926
CarMax Auto Owner Trust 2018-2	2.95	1,336,359,078
CarMax Auto Owner Trust 2018-3	3.18	1,440,087,232
CarMax Auto Owner Trust 2018-4	3.33	1,507,545,086
Ford Credit Auto Owner Trust 2018-A	3.82	1,727,999,801
Ford Credit Auto Owner Trust 2018-B-(unrated)	2.57	1,161,498,793
GM Financial Consumer Automobile Receivables Trust 2018-1 (NR)	2.97	1,346,226,236
GM Financial Consumer Automobile Receivables Trust 2018-2	3.00	1,357,996,691
GM Financial Consumer Automobile Receivables Trust 2018-3	3.00	1,357,918,658
GM Financial Consumer Automobile Receivables Trust 2018-4	2.98	1,347,098,324
Honda Auto Receivables 2018-1 Owner Trust	2.98	1,349,538,462
Honda Auto Receivables 2018-2 Owner Trust	2.98	1,349,575,738
Honda Auto Receivables 2018-3 Owner Trust (NR)	2.98	1,349,529,325
Honda Auto Receivables 2018-4 Owner Trust	2.62	1,187,584,346
Hyundai Auto Receivables Trust 2018-A	2.17	980,222,709
Hyundai Auto Receivables Trust 2018-B	1.71	773,633,388
Mercedes-Benz Auto Receivables Trust 2018-1	3.33	1,508,391,985
Nissan Auto Receivables 2018-A Owner Trust	2.46	1,114,467,625
Nissan Auto Receivables 2018-B Owner Trust	2.49	1,128,824,647
Nissan Auto Receivables 2018-C Owner Trust	2.53	1,146,026,064
Toyota Auto Receivables 2018-A Owner Trust	4.23	1,914,792,887
Toyota Auto Receivables 2018-B Owner Trust	3.91	1,767,851,359
Toyota Auto Receivables 2018-C Owner Trust	4.64	2,101,423,566
Toyota Auto Receivables 2018-D Owner Trust	3.07	1,390,010,110
Volkswagen Auto Loan Enhanced Trust 2018-1	3.19	1,444,931,385
Volkswagen Auto Loan Enhanced Trust 2018-2	2.42	1,096,083,728
World Omni Auto Receivables Trust 2018-A	2.39	1,079,641,523
World Omni Auto Receivables Trust 2018-B	1.95	881,240,341
World Omni Auto Receivables Trust 2018-C	2.44	1,103,449,171
World Omni Auto Receivables Trust 2018-D	2.47	1,115,466,188
Total: 35		45,252,002,298
Year 2017 cohort
Ally Auto Receivables Trust 2017-1 (NR)	2.70	1,116,603,712
Ally Auto Receivables Trust 2017-2 (NR)	2.47	1,019,852,296
Ally Auto Receivables Trust 2017-3	2.56	1,057,998,088
Ally Auto Receivables Trust 2017-4	2.68	1,107,866,077
Ally Auto Receivables Trust 2017-5	1.35	559,999,920
Bank Of The West Auto Trust 2017-1	1.81	750,015,107
CarMax Auto Owner Trust 2017-1 (NR)	3.17	1,310,000,026
CarMax Auto Owner Trust 2017-2	2.42	1,000,000,008
CarMax Auto Owner Trust 2017-3	3.33	1,375,000,018
CarMax Auto Owner Trust 2017-4	3.10	1,280,000,021
Fifth Third Auto Trust 2017-1	2.56	1,058,536,342
Ford Credit Auto Owner Trust 2017-A (NR)	4.16	1,718,023,630
Ford Credit Auto Owner Trust 2017-B	3.41	1,410,368,511
Ford Credit Auto Owner Trust 2017-C	4.83	1,997,343,293
GM Financial Consumer Automobile Receivables Trust 2017-1-207-1	2.60	1,073,193,720
GM Financial Consumer Automobile Receivables Trust 2017-2	2.60	1,074,225,436
GM Financial Consumer Automobile Receivables Trust 2017-3	2.59	1,070,192,079
Honda Auto Receivables 2017-1 Owner Trust (NR)	3.10	1,282,051,282
Honda Auto Receivables 2017-2 Owner Trust	3.18	1,316,625,779
Honda Auto Receivables 2017-3 Owner Trust	2.42	1,000,000,001
Honda Auto Receivables 2017-4 Owner Trust (NR)	3.10	1,282,056,234
Hyundai Auto Receivables Trust 2017-A	3.14	1,297,276,907
Hyundai Auto Receivables Trust 2017-B	2.47	1,022,326,581
Nissan Automobile Receivables 2017-A Owner Trust (NR)	2.69	1,112,068,201
Nissan Automobile Receivables 2017-B Owner Trust (NR)	3.73	1,543,518,691
Nissan Automobile Receivables 2017-C Owner Trust (NR)	4.02	1,662,304,332
Toyota Auto Receivables 2017-A Owner Trust	3.90	1,610,505,282
Toyota Auto Receivables 2017-B Owner Trust	4.56	1,884,099,091
Toyota Auto Receivables 2017-C Owner Trust	4.57	1,889,438,548
Toyota Auto Receivables 2017-D Owner Trust	4.60	1,903,254,414
USAA Auto Owner Trust 2017-1	1.18	485,898,958
World Omni Auto Receivables Trust 2017-A	3.32	1,371,460,828
World Omni Auto Receivables Trust 2017-B	1.70	704,748,719
Total: 33		41,346,852,129
Year 2016 cohort
Ally Auto Receivables Trust 2016-1 (NR)	2.96	1,066,738,356
Ally Auto Receivables Trust 2016-2	2.87	1,034,838,477
Ally Auto Receivables Trust 2016-3	1.43	516,182,818
BMW Vehicle Owner Trust 2016-A (NR)	3.75	1,353,937,519
CarMax Auto Owner Trust 2016-1	3.16	1,140,000,000
CarMax Auto Owner Trust 2016-2	3.26	1,175,000,014
CarMax Auto Owner Trust 2016-3	3.46	1,250,000,036
CarMax Auto Owner Trust 2016-4 (NR)	3.60	1,300,000,032
Ford Credit Auto Owner Trust 2016-A	3.17	1,144,164,175
Ford Credit Auto Owner Trust 2016-B	3.94	1,420,298,372
Ford Credit Auto Owner Trust 2016-C (NR)	3.96	1,429,998,203
Honda Auto Receivables 2016-1 Owner Trust	2.84	1,025,648,881
Honda Auto Receivables 2016-2 Owner Trust (NR)	4.26	1,538,461,539
Honda Auto Receivables 2016-3 Owner Trust	4.26	1,538,461,650
Honda Auto Receivables 2016-4 Owner Trust	4.26	1,538,464,271
Huntington Auto Trust 2016-1	4.16	1,500,000,000
Hyundai Auto Receivables Trust 2016-A	2.83	1,019,892,645
Hyundai Auto Receivables Trust 2016-B	3.49	1,260,473,581
Mercedes-Benz Auto Receivables Trust 2016-1	4.41	1,591,275,988
Nissan Auto Receivables 2016-A Owner Trust (NR)	3.01	1,087,017,857
Nissan Automobile Receivables 2016-B Owner Trust (NR)	4.59	1,656,592,637
Nissan Automobile Receivables 2016-C Owner Trust (NR)	3.78	1,365,082,528
Toyota Auto Receivables 2016-A Owner Trust	3.69	1,331,797,103
Toyota Auto Receivables 2016-B Owner Trust	4.72	1,702,881,152
Toyota Auto Receivables 2016-C Owner Trust	3.68	1,327,630,185
Toyota Auto Receivables 2016-D Owner Trust	3.68	1,327,874,628
USAA Auto Owner Trust 2016-1	1.40	503,778,664
World Omni Auto Receivables Trust 2016-A	2.55	918,505,675
World Omni Auto Receivables Trust 2016-B	2.80	1,010,382,245
Total: 29		36,075,379,229
NR--Not rated.

Table 15

Subprime Auto Loan Static Index composition
Issuer name	Yearly factor (%)	Original issuance amount ($)
Q1 2023 cohort
American Credit Acceptance Receivables Trust 2023-1	16.51	340,000,043
AmeriCredit Automobile Receivables Trust 2023-1	4.26	1,362,938,923
CPS Auto Receivables Trust 2023-A	19.50	362,870,335
Exeter Automobile Receivables Trust 2023-1	3.83	610,572,063
Flagship Credit Auto Trust 2023-1	5.34	455,000,231
Foursight Capital Automobile Receivables Trust 2023-1	2.34	199,067,029
GLS Auto Receivables Issuer Trust 2023-1	3.99	327,709,134
Santander Drive Auto Receivables Trust 2023-1	7.17	1,406,385,310
United Auto Credit Securitization Trust 2023-1	17.21	326,371,152
Westlake Automobile Receivables Trust 2023-1	16.00	1,661,129,568
Westlake Automobile Receivables Trust 2023-2	3.85	1,465,668,776
Total: 11		8,517,712,563
Q2 2023 cohort
American Credit Acceptance Receivables Trust 2023-2	7.64	400,000,015
Carvana Auto Receivables Trust 2023-N1	9.88	517,052,275
Exeter Automobile Receivables Trust 2023-2	13.00	680,726,726
Exeter Automobile Receivables Trust 2023-3	12.14	635,832,252
Flagship Credit Auto Trust 2023-2	8.64	452,261,645
GLS Auto Receivables Issuer Trust 2023-2	6.27	328,399,758
Prestige Auto Receivables Trust 2023-1	5.97	312,535,002
Santander Drive Auto Receivables Trust 2023-2	29.39	1,538,981,921
CPS Auto Receivables Trust 2023-B (unrated)	7.06	369,872,782
Total: 9		5,235,662,375
Year 2022 cohort
American Credit Acceptance Receivables Trust 2022-1	1.70	575,000,155
American Credit Acceptance Receivables Trust 2022-2	1.12	454,545,509
American Credit Acceptance Receivables Trust 2022-3	0.72	310,000,114
American Credit Acceptance Receivables Trust 2022-4	0.88	380,000,007
AmeriCredit Automobile Receivables Trust 2022-1 (unrated)	3.46	1,167,282,895
AmeriCredit Automobile Receivables Trust 2022-2	4.25	1,434,938,755
Carvana Auto Receivables Trust 2022-N1	1.11	375,000,000
CPS Auto Receivables Trust 2022-A	0.98	329,999,989
CPS Auto Receivables Trust 2022-B (unrated)	0.85	285,833,626
CPS Auto Receivables Trust 2022-C	1.09	439,999,873
CPS Auto Receivables Trust 2022-D (unrated)	1.00	337,383,029
Exeter Automobile Receivables Trust 2022-1	2.58	871,804,507
Exeter Automobile Receivables Trust 2022-2	3.47	1,169,804,526
Exeter Automobile Receivables Trust 2022-3	3.18	1,073,768,792
Exeter Automobile Receivables Trust 2022-4	1.85	624,839,856
Exeter Automobile Receivables Trust 2022-5	1.91	643,116,434
Exeter Automobile Receivables Trust 2022-6 (unrated)	2.05	691,689,832
First Investors Auto Owner Trust 2022-1	0.92	311,648,350
First Investors Auto Owner Trust 2022-2	0.89	300,481,299
Flagship Credit Auto Trust 2022-1	1.04	351,596,117
Flagship Credit Auto Trust 2022-2	1.81	610,070,538
Flagship Credit Auto Trust 2022-3	1.62	547,667,597
Flagship Credit Auto Trust 2022-4	1.24	420,000,027
Foursight Capital Automobile Receivables Trust 2022-2	0.69	232,760,317
GLS Auto Receivables Issuer Trust 2022-1	1.55	524,535,883
GLS Auto Receivables Issuer Trust 2022-2	2.26	762,611,108
GLS Auto Receivables Issuer Trust 2022-3	1.00	338,804,753
Prestige Auto Receivables Trust 2022-1	1.23	415,676,794
Santander Drive Auto Receivables Trust 2022-1-(unrated)	5.37	1,813,527,877
Santander Drive Auto Receivables Trust 2022-2-(unrated)	6.39	2,154,769,220
Santander Drive Auto Receivables Trust 2022-3	5.24	1,767,557,012
Santander Drive Auto Receivables Trust 2022-4	5.81	1,960,768,027
Santander Drive Auto Receivables Trust 2022-5	6.56	2,214,921,523
Santander Drive Auto Receivables Trust 2022-6	6.09	2,056,725,409
Santander Drive Auto Receivables Trust 2022-7	3.12	1,052,512,968
United Auto Credit Securitization Trust 2022-1	0.94	318,464,461
United Auto Credit Securitization Trust 2022-2	0.84	285,000,000
Westlake Automobile Receivables Trust 2022-1	4.49	1,516,683,520
Westlake Automobile Receivables Trust 2022-2	4.88	1,645,246,584
Westlake Automobile Receivables Trust 2022-3	3.79	1,279,819,638
Total: 40		34,046,856,924
Year 2021 cohort
American Credit Acceptance Receivables Trust 2021-1	1.19	460,000,709
American Credit Acceptance Receivables Trust 2021-2	1.75	675,000,822
American Credit Acceptance Receivables Trust 2021-3	1.75	675,000,183
American Credit Acceptance Receivables Trust 2021-4	1.18	454,547,022
AmeriCredit Automobile Receivables Trust 2021-1	4.12	1,594,287,962
AmeriCredit Automobile Receivables Trust 2021-2	3.02	1,169,198,645
Americredit Automobile Receivables Trust 2021-3 (NR)	2.47	956,519,583
Carvana Auto Receivables Trust 2021-N1	1.03	400,000,003
Carvana Auto Receivables Trust 2021-N2	1.03	400,000,003
Carvana Auto Receivables Trust 2021-N3	1.09	420,000,002
Carvana Auto Receivables Trust 2021-N4	1.19	460,000,002
CPS Auto Receivables Trust 2021-A	0.63	244,999,995
CPS Auto Receivables Trust 2021-B (NR)	0.62	240,000,000
CPS Auto Receivables Trust 2021-C	0.78	299,999,962
CPS Auto Receivables Trust 2021-D (NR)	0.66	256,502,151
Drive Auto Receivables Trust 2021-1	5.01	1,934,846,855
Drive Auto Receivables Trust 2021-2	5.56	2,150,541,593
Drive Auto Receivables Trust 2021-3 (NR)	4.12	1,524,382,045
Exeter Automobile Receivables Trust 2021-1	3.05	1,179,763,578
Exeter Automobile Receivables Trust 2021-2	3.20	1,237,144,340
Exeter Automobile Receivables Trust 2021-3	3.46	1,336,895,223
Exeter Automobile Receivables Trust 2021-4	2.70	1,045,279,734
First Investors Auto Owner Trust 2021-1	0.60	226,782,204
First Investors Auto Owner Trust 2021-2	0.84	325,000,002
Flagship Credit Auto Trust 2021-1	0.71	275,324,691
Flagship Credit Auto Trust 2021-2	0.96	369,549,884
Flagship Credit Auto Trust 2021-3	0.98	379,883,819
Flagship Credit Auto Trust 2021-4	0.80	310,610,553
GLS Auto Receivables Issuer Trust 2021-2	1.49	577,821,252
GLS Auto Receivables Issuer Trust 2021-3	1.53	591,070,495
GLS Auto Receivables Issuer Trust 2021-4	1.47	568,590,584
GLS Auto Receivables Trust 2021-1	0.85	327,799,982
Prestige Auto Receivables Trust 2021-1	0.84	325,013,843
Santander Drive Auto Receivables Trust 2021-1 (NR)	6.27	2,215,048,852
Santander Drive Auto Receivables Trust 2021-2 (NR)	5.98	2,312,647,394
Santander Drive Auto Receivables Trust 2021-3-(unrated)	7.37	2,849,018,039
Santander Drive Auto Receivables Trust 2021-4 (NR)	5.43	2,098,958,578
United Auto Credit Securitization Trust 2021-1	0.67	260,000,000
Westlake Auto Receivables Trust 2021-3	5.11	1,975,517,689
Westlake Automobile Receivables Trust 2021-1	4.31	1,664,743,997
Westlake Automobile Receivables Trust 2021-2	4.16	1,608,064,987
Total: 42		38,376,357,256
Year 2020 cohort
American Credit Acceptance Receivables Trust 2020-1	1.51	390,000,755
American Credit Acceptance Receivables Trust 2020-2	1.42	366,667,145
American Credit Acceptance Receivables Trust 2020-3	2.25	582,525,272
American Credit Acceptance Receivables Trust 2020-4	2.41	624,790,279
Americredit Automobile Receivables Trust 2020-1 (NR)	3.78	979,421,115
AmeriCredit Automobile Receivables Trust 2020-2	4.27	1,105,208,590
Americredit Automobile Receivables Trust 2020-3 (NR)	4.63	1,199,940,245
CPS Auto Receivables Trust 2020-A (NR)	1.35	259,999,924
CPS Auto Receivables Trust 2020-B	0.86	221,867,556
CPS Auto Receivables Trust 2020-C (NR)	0.76	196,290,738
Drive Auto Receivables Trust 2020-1	5.02	1,298,944,569
Drive Auto Receivables Trust 2020-2	4.91	1,271,513,438
Exeter Automobile Receivables Trust 2020-1	3.08	797,927,461
Exeter Automobile Receivables Trust 2020-2	3.60	932,538,738
Exeter Automobile Receivables Trust 2020-3	2.74	708,603,517
First Investors Auto Owner Trust 2020-1	0.72	226,786,694
Flagship Credit Auto Trust 2020-1	1.38	356,784,868
Flagship Credit Auto Trust 2020-2	1.01	260,889,922
Flagship Credit Auto Trust 2020-3	0.87	225,000,036
Flagship Credit Auto Trust 2020-4	1.22	314,800,684
GLS Auto Receivables Issuer Trust 2020-1	1.75	452,356,021
GLS Auto Receivables Issuer Trust 2020-2	1.10	285,860,248
GLS Auto Receivables Issuer Trust 2020-3	1.37	354,650,004
GLS Auto Receivables Issuer Trust 2020-4	1.28	332,055,211
Prestige Auto Receivables Trust 2020-1	1.56	403,184,242
Santander Drive Auto Receivables Trust 2020-1	4.82	1,247,660,640
Santander Drive Auto Receivables Trust 2020-2 (NR)	6.47	1,676,630,557
Santander Drive Auto Receivables Trust 2020-3 (NR)	8.41	2,178,347,989
Santander Drive Auto Receivables Trust 2020-4 (NR)	6.79	1,759,547,956
Tidewater Auto Receivables Trust 2020-A	0.75	193,998,632
United Auto Credit Securitization Trust 2020-1	1.03	267,623,234
Westlake Automobile Receivables Trust 2020-1	3.30	855,130,786
Westlake Automobile Receivables Trust 2020-2	4.62	1,195,717,188
Westlake Automobile Receivables Trust 2020-3	5.63	1,458,333,895
World Omni Select Auto Trust 2020-A	3.34	865,949,697
Total: 35		25,847,547,848
Year 2019 cohort
American Credit Acceptance Receivables Trust 2019-1	1.10	280,000,453
American Credit Acceptance Receivables Trust 2019-2	0.92	234,000,021
American Credit Acceptance Receivables Trust 2019-3	1.30	330,033,247
American Credit Acceptance Receivables Trust 2019-4	1.06	269,100,010
AmeriCredit Automobile Receivables Trust 2019-1	5.10	1,295,278,089
AmeriCredit Automobile Receivables Trust 2019-2 (NR)	3.43	870,551,703
AmeriCredit Automobile Receivables Trust 2019-3	3.43	870,598,400
Avid Automobile Receivables Trust 2019-1	0.68	173,159,161
CPS Auto Receivables Trust 2019-A	1.04	264,999,934
CPS Auto Receivables Trust 2019-B	0.91	229,999,906
CPS Auto Receivables Trust 2019-C	0.96	244,124,069
CPS Auto Receivables Trust 2019-D	1.08	274,999,633
Drive Auto Receivables Trust 2019-1	5.06	1,284,910,630
Drive Auto Receivables Trust 2019-2	5.14	1,306,759,251
Drive Auto Receivables Trust 2019-3	6.10	1,550,251,005
Drive Auto Receivables Trust 2019-4	5.82	1,477,898,386
Exeter Automobile Receivables Trust 2019-1	2.28	578,947,371
Exeter Automobile Receivables Trust 2019-2	2.87	729,166,667
Exeter Automobile Receivables Trust 2019-3	3.48	885,416,667
Exeter Automobile Receivables Trust 2019-4	3.47	880,829,111
First Investors Auto Owner Trust 2019-1	0.92	233,589,034
First Investors Auto Owner Trust 2019-2	0.98	249,328,485
Flagship Credit Auto Trust 2019-1	0.68	172,681,607
Flagship Credit Auto Trust 2019-2	1.08	273,519,959
Flagship Credit Auto Trust 2019-3	1.06	269,266,808
Flagship Credit Auto Trust 2019-4	1.26	320,554,172
GLS Auto Receivables Issuer Trust 2019-1	1.15	291,000,014
GLS Auto Receivables Issuer Trust 2019-2	1.49	379,406,000
GLS Auto Receivables Issuer Trust 2019-3	1.57	400,000,002
GLS Auto Receivables Issuer Trust 2019-4	1.38	350,500,000
Prestige Auto Receivables Trust 2019-1	1.54	391,692,183
Santander Drive Auto Receivables Trust 2019-1	4.38	1,113,309,233
Santander Drive Auto Receivables Trust 2019-2 (NR)	4.59	1,166,174,584
Santander Drive Auto Receivables Trust 2019-3	4.60	1,169,220,162
United Auto Credit Securitization Trust 2019-1	1.09	278,225,806
Westlake Automobile Receivables Trust 2019-1	4.04	1,025,640,000
Westlake Automobile Receivables Trust 2019-2	4.84	1,230,800,000
Westlake Automobile Receivables Trust 2019-3	5.19	1,319,802,676
World Omni Select Auto Trust 2019-A	2.93	744,382,102
Total: 39		25,410,116,541
Year 2018 cohort
American Credit Acceptance Receivables Trust 2018-1	1.03	280,001,269
American Credit Acceptance Receivables Trust 2018-2	1.01	276,324,265
American Credit Acceptance Receivables Trust 2018-3	1.03	280,000,000
American Credit Acceptance Receivables Trust 2018-4	0.73	198,900,169
AmeriCredit Automobile Receivables Trust 2018-1	4.39	1,196,987,846
AmeriCredit Automobile Receivables Trust 2018-3 (NR)	4.00	1,088,999,608
Avid Automobile Receivables Trust 2018-1	0.44	120,041,897
CPS Auto Receivables Trust 2018-A	0.71	193,581,250
CPS Auto Receivables Trust 2018-B	0.75	204,999,947
CPS Auto Receivables Trust 2018-C	0.88	239,870,474
CPS Auto Receivables Trust 2018-D	0.90	245,002,288
Drive Auto Receivables Trust 2018-1	4.26	1,161,713,631
Drive Auto Receivables Trust 2018-2	5.96	1,625,505,005
Drive Auto Receivables Trust 2018-3	6.03	1,643,374,873
Drive Auto Receivables Trust 2018-4	5.94	1,617,751,847
Drive Auto Receivables Trust 2018-5	4.78	1,302,590,076
Exeter Automobile Receivables Trust 2018-1	2.13	580,781,427
Exeter Automobile Receivables Trust 2018-2	2.13	580,781,501
Exeter Automobile Receivables Trust 2018-3	2.08	567,010,608
Exeter Automobile Receivables Trust 2018-4	2.13	580,781,628
First Investors Auto Owner Trust 2018-1	0.60	163,519,432
First Investors Auto Owner Trust 2018-2	0.73	200,000,007
Flagship Credit Auto Trust 2018-1	0.45	121,705,459
Flagship Credit Auto Trust 2018-2	0.83	225,880,103
Flagship Credit Auto Trust 2018-3	1.10	301,048,040
Flagship Credit Auto Trust 2018-4	0.88	239,965,922
GLS Auto Receivables Issuer Trust 2018-2	1.20	327,199,011
GLS Auto Receivables Issuer Trust 2018-3	1.16	315,010,000
GLS Auto Receivables Trust 2018-1	1.09	297,718,941
Prestige Auto Receivables Trust 2018-1	1.60	437,349,827
Santander Drive Auto Receivables Trust 2018-1 (NR)	4.88	1,329,807,616
Santander Drive Auto Receivables Trust 2018-2 (NR)	4.37	1,189,966,410
Santander Drive Auto Receivables Trust 2018-3	4.78	1,303,839,445
Santander Drive Auto Receivables Trust 2018-4	4.17	1,137,912,495
Santander Drive Auto Receivables Trust 2018-5	4.62	1,260,396,693
Tidewater Auto Receivables Trust 2018-A	0.77	211,072,529
United Auto Credit Securitization Trust 2018-1	0.68	186,666,667
United Auto Credit Securitization Trust 2018-2	0.73	200,000,000
Westlake Automobile Receivables Trust 2018-1	3.78	1,030,927,835
Westlake Automobile Receivables Trust 2018-2	3.78	1,030,965,918
Westlake Automobile Receivables Trust 2018-3	4.15	1,131,109,303
World Omni Select Auto Trust 2018-1	2.31	629,617,794
Total: 42		27,256,679,056
Year 2017 cohort
American Credit Acceptance Receivables Trust 2017-1	1.22	248,810,951
American Credit Acceptance Receivables Trust 2017-2	1.28	262,820,749
American Credit Acceptance Receivables Trust 2017-3	1.34	274,641,215
American Credit Acceptance Receivables Trust 2017-4	1.15	235,988,206
AmeriCredit Automobile Receivables Trust 2017-1	4.95	1,011,969,929
AmeriCredit Automobile Receivables Trust 2017-4	6.92	1,414,654,756
CPS Auto Receivables Trust 2017-A	1.03	209,999,919
CPS Auto Receivables Trust 2017-B	1.12	229,999,997
CPS Auto Receivables Trust 2017-C	1.12	229,999,891
CPS Auto Receivables Trust 2017-D	0.98	199,999,966
Drive Auto Receivables Trust 2017-1	6.76	1,382,670,257
Drive Auto Receivables Trust 2017-2	5.77	1,180,452,151
Drive Auto Receivables Trust 2017-3	7.50	1,534,751,067
Drive Auto Receivables Trust 2017-A	6.56	1,342,298,460
Drive Auto Receivables Trust 2017-B	6.66	1,363,027,661
Exeter Automobile Receivables Trust 2017-1	2.07	423,282,215
Exeter Automobile Receivables Trust 2017-2	2.31	472,447,168
Exeter Automobile Receivables Trust 2017-3	2.83	578,958,061
First Investors Auto Owner Trust 2017-1	1.10	225,000,002
First Investors Auto Owner Trust 2017-2	1.11	226,937,569
First Investors Auto Owner Trust 2017-3	0.82	167,373,827
Flagship Credit Auto Trust 2017-1	1.53	313,266,352
Flagship Credit Auto Trust 2017-2	0.79	161,901,636
Flagship Credit Auto Trust 2017-3	1.14	232,757,923
Flagship Credit Auto Trust 2017-4	1.33	272,624,663
GLS Auto Receivables Trust 2017-1	1.14	233,902,181
Prestige Auto Receivables Trust 2017-1	2.10	430,238,035
Santander Drive Auto Receivables Trust 2017-1	5.98	1,224,015,127
Santander Drive Auto Receivables Trust 2017-2	7.35	1,503,674,884
Santander Drive Auto Receivables Trust 2017-3	5.33	1,091,197,679
United Auto Credit Securitization Trust 2017-1	0.81	166,666,667
Westlake Automobile Receivables Trust 2017-1	3.66	748,701,856
Westlake Automobile Receivables Trust 2017-2	4.21	860,215,054
Total: 33		20,455,246,071
Year 2016 cohort
American Credit Acceptance Receivables Trust 2016-1	0.99	220,503,617
American Credit Acceptance Receivables Trust 2016-2	1.15	257,703,200
American Credit Acceptance Receivables Trust 2016-3	1.21	269,233,437
American Credit Acceptance Receivables Trust 2016-4	1.12	250,001,003
AmeriCredit Automobile Receivables Trust 2016-1	5.82	1,298,698,994
AmeriCredit Automobile Receivables Trust 2016-2	5.85	1,305,762,931
AmeriCredit Automobile Receivables Trust 2016-3	6.34	1,414,581,983
AmeriCredit Automobile Receivables Trust 2016-4	5.85	1,305,999,471
CPS Auto Receivables Trust 2016-A	1.52	339,997,079
CPS Auto Receivables Trust 2016-B	1.52	339,999,991
CPS Auto Receivables Trust 2016-C	1.46	324,999,995
CPS Auto Receivables Trust 2016-D	0.94	209,999,959
Drive Auto Receivables Trust 2016-A	4.32	964,475,131
Drive Auto Receivables Trust 2016-B	7.10	1,584,988,186
Drive Auto Receivables Trust 2016-C	7.32	1,633,986,932
Exeter Automobile Receivables Trust 2016-1	1.69	376,749,329
Exeter Automobile Receivables Trust 2016-2	1.46	325,205,229
Exeter Automobile Receivables Trust 2016-3	2.11	471,206,346
First Investors Auto Owner Trust 2016-1	0.90	199,828,962
First Investors Auto Owner Trust 2016-2	1.03	230,000,013
Foursight Capital Automobile Receivables Trust 2016-1	2.06	459,183,895
Flagship Credit Auto Trust 2016-1	1.83	408,163,270
Flagship Credit Auto Trust 2016-2	1.39	311,185,919
Flagship Credit Auto Trust 2016-3	1.33	297,012,719
Flagship Credit Auto Trust 2016-4	1.02	228,297,917
Honor Automobile Trust Securitization 2016-1	0.50	112,359,550
Prestige Auto Receivables Trust 2016-1	1.46	326,790,103
Prestige Auto Receivables Trust 2016-2	1.99	443,353,651
Sierra Auto Receivables Securitization Trust 2016-1	5.27	1,177,234,998
Tidewater Auto Receivables Trust 2016-A	6.04	1,348,321,605
United Auto Credit Securitization Trust 2016-1	6.69	1,493,903,161
United Auto Credit Securitization Trust 2016-2	0.70	156,069,364
Westlake Automobile Receivables Trust 2016-1	0.78	174,178,461
Westlake Automobile Receivables Trust 2016-2	0.82	181,958,973
Westlake Automobile Receivables Trust 2016-3	0.74	164,848,455
SDART 2016-1 (NR)	2.10	468,750,000
SDART 2016-2 (NR)	2.59	578,952,799
SDART 2016-3 (NR)	2.98	664,897,326
Total: 38		22,319,383,955
NR--Not rated.

Related Research

• Ratings Affirmed On Eight Classes From Two Toyota Auto Receivables Owner Trust Transactions, July 31, 2023
• Ratings Affirmed On Eight Classes From Two Toyota Auto Receivables Owner Trust Transactions, July 28, 2023
• Six Ratings Raised And Five Affirmed From Four Credit Acceptance Auto Loan Trust Transactions, July 26, 2023
• Sixteen Ratings Affirmed From Three World Omni Auto Receivables Trust Transactions, July 14, 2023
• Fourteen Ratings Affirmed On Six Honda Auto Receivables Owner Trust Transactions, July 6, 2023
• Seniority Has Its Privileges: Some 2022 Subprime Auto ABS Senior Classes Upgraded Despite Weaker Collateral Performance, July 12, 2023
• Scenario Analysis: The Potential Impact Of A Recession On Prime Auto Loan ABS Ratings, April 12, 2023
• How The Next Downturn Could Affect U.S. Subprime Auto Loan ABS Ratings, Dec. 8, 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:	Manali Kithani, CRISIL Global Analytical Center, an S&P affiliate, Mumbai