Pent-up demand for auto vehicles drove retail sales up 13% year over year to 15.5 million units in 2023 and catapulted U.S. auto loan asset-backed securities (ABS) issuance volume approximately 33% to a record $120 billion (see chart 1). The previous record was $103 billion in 2005. The captive segment saw the most accelerated issuance volume, followed by the bank and credit union segment. However, collateral performance weakened in 2023, with the degree of deterioration diverging between prime and subprime pools. In the prime segment, losses rose though cumulative net losses (CNLs) on the 2022 pools generally remained in line or were lower than those on the 2016-2017 pools (the most recent vintages that were at most slightly affected by government COVID-19-related stimulus payments). In contrast, subprime losses on the 2022 vintage reached record highs, and the level of degradation in some subprime transactions led to either negative rating actions or the sponsors providing additional credit enhancement to support the transactions.

We expect 2024 to be a challenging year for collateral performance. Although many issuers tightened their credit standards in 2023, following the underperformance of select 2022 vintages, those actions could be offset by prevailing economic headwinds affecting consumers and the normalization of prices and recoveries in the auto market. In addition, the prime segment, which has demonstrated tremendous resilience, is starting to show early signs of stress. CNLs for the 2023 quarterly vintages (though early in their lifecycles) are trending higher than 2022. Cumulative recovery rates (CRRs) and delinquencies on these quarterly vintages are also trending worse than historically. So far, most of this deterioration seems isolated to a few issuers, but headwinds abound.

Slowing economic growth this year could cause unemployment levels to rise, which would likely lead to higher defaults. Further, as new vehicle supply imbalances continue to ease, prices will likely fall, putting downward pressure on already low recovery rates. Other potential challenges include mounting consumer debt levels, the growing amount of unsecured debt (including buy-now-pay-later arrangements, which often aren't reported to the bureaus), and the resumption of student loan payments. However, we believe consumers will continue to place a high priority on making their auto payments, especially to the extent that the underlying vehicle is a necessity. Additionally, the subprime lenders' tighter underwriting standards, which were adopted in the second half of 2022 through 2023, and the lower losses on the still young 2023 quarterly vintages (relative to 2022), offer a ray of hope.

We expect stable to positive ratings performance on prime auto loan ABS this year and stable to negative rating performance for subprime issuances. The more pessimistic outlook for subprime auto ABS stems from the segments' greater performance deterioration (relative to prime) and higher concentration of speculative-grade classes (very few prime transactions issue speculative-grade debt, while many subprime transactions do). These classes are the most vulnerable to downgrades due to their lower levels of credit enhancement and the limited positive impact from deleveraging.

We also expect 2024 to be another active year with auto loan ABS volume growing 4%-5% to $125 million. We forecast stable new unit vehicle sales and believe the average new vehicle transaction price will drop slightly relative to 2023 due to declining used vehicle prices and the product mix changing to lower trim levels and more entry-level vehicles. Although these factors could negatively affect issuance, we believe continued growth in bank and credit union ABS activity will offset these factors. Several banks that haven't issued in years are poised to return, and more credit unions are expected to tap the ABS market for the first time this year.

Growth In The Captive, Bank, And Credit Union Segments Drove 2023 Issuance

Domestic and foreign captives issued a combined $49.4 billion in U.S. auto loan ABS last year (see chart 2). This represented 41.3% of total issuance and a $18.0 billion increase from 2022. The top contributors to this growth were:

• GM Financial and Ford Credit, which each completed two revolving transactions in 2023 (in addition to their term deals) compared to one each in 2022;
• Stellantis Financial Services (SFS) and Tesla Finance LLC, which both came to market with their inaugural auto loan transactions,
• Porsche and VW, which both returned to the market. Porsche had two transactions after being absent since 2014, and VW issued one transaction after sitting out 2022, and
• Honda and Mercedes, which also increased their auto loan ABS activity.

Banks and credit unions became more prolific issuers last year. Their combined issuances increased $9.5 billion to $19.3 billion in 2023, representing 16.1% of the total U.S. auto ABS volume. On the bank front:

• Bayview Asset Management sold three term transactions ($4.6 billion) that consisted of collateral originated by U.S. Bank N.A.,
• Citizens Bank completed its first two term transactions ( $3 billion) that were undertaken as part of its exit strategy from indirect auto loans,
• Bank of America N.A. returned to the market with a $2.4 billion transaction after an 11-year absence, and
• Fifth Third Bank N.A. returned to the market with a $1.6 billion transaction after being gone since 2019.

Synthetic structures also became more popular with both U.S. Bank N.A. and Santander Bank N.A. issuing credit-linked notes. These transactions' performance is linked to a reference pool of auto installment contracts with prime quality borrowers. Bank issuance growth was fueled by shrinking deposits and the increased capital requirements under the new Basel III Endgame regulations, which are expected to become effective in 2025 and make holding these assets on bank balance sheet more expensive.

Five credit unions made their issuance debut last year: Veridian Credit Union, GE Credit Union, ENT Federal Credit Union (ENT), Space Coast Credit Union (SCCU), and Valley Strong Credit Union (VStrong). Two returning credit unions also issued new transactions in 2023: GTE Financial (its first transaction was in 2019) and Oregon Community Credit Union (first transaction in 2022). Credit unions have been attracted to the funding diversity that the ABS market offers, especially given the lenders' recent loan growth, the volatility of deposits, and the unreliability of funding auto loans via participations (see "Credit Unions Make a Splash in 2023, Almost Tripling 2022's Auto Loan ABS Issuance," published Feb. 9, 2024). The increased activity from banks and credit unions more than offset Capital One N.A.'s and Ally's reduced securitization volume due to lower originations.

Nonprime/subprime

Nonprime and subprime combined auto ABS issuances increased to $39.05 billion (32.7% of total issuance) in 2023 from $36.96 billion (41.1% of total issuance) in 2022. However, the growth came from nonprime issuance, which increased to $2.7 billion from $0.3 billion in 2022. For instance, nonprime issuer Driveway (Lithia Motors Inc.'s finance company) completed four transactions last year, compared to one in 2022. Nonprime issuers are those with an S&P Global Ratings expected CNL (ECNL) of approximately 3.1%-7.5%.

Subprime issuances declined slightly to $36.3 million in 2023 from $36.6 million in 2022, despite five issuers increasing their issuance by more than $500 million. The five issuers were Westlake ($1.6 billion increase), GLS ($784 million), Credit Acceptance ($754 million), Carvana ($735 million), and Pagaya ($720 million). In addition, three issuers significantly reduced their term ABS issuance activity last year: Santander ($4.1 billion reduction), Exeter ($769 million; including the sale to VStrong), and Flagship ($645 million). Three subprime issuers also carved out special niches for themselves in originating and selling better quality loans: Westlake issued Westlake Automobile Receivables Trust 2023-P1, which for now we've included in the prime segment; Exeter sold a portion of its higher quality loans to VStrong, which is included in subprime segment; and GLS came to market with a new higher quality subprime shelf, GLS Auto Select Receivables Trust.

Other prime remained at approximately $12 billion (9.9% of total issuance) in 2023. The slight increases in issuance from CarMax and World Omni Select, coupled with Westlake's prime deal, more than offset Carvana's lower ($465 million) issuance amount.

Overall, last year's total U.S. auto loan ABS volume of $120 billion represented 17.5% of the $684.8 billion in auto loans originated (origination data sourced from the New York Fed's Consumer Credit Panel). Because independent subprime auto finance companies are typically more dependent on the ABS market to fund loans, approximately 34% of last year's subprime loans were securitized.

Auto Tracker Performance Methodology

Our U.S. auto loan tracker examines performance in two ways: on a portfolio-basis, where we aggregate the statistics across all the deals outstanding every month regardless of when the deals closed, and on a static pool vintage basis, where losses (or other metrics) are assigned to the vintage year or quarter in which the pool was securitized.

Annual Portfolio-Based Performance

Prime auto loan ABS: losses continued to normalize, delinquencies reached an 11-year high

Annualized losses continued to normalize in 2023 from the record-low levels reached in 2021 as recovery rates continued to recede (see chart 3). Even so, average annualized losses remained below 2019's pre-COVID-19 levels. Average 60-plus-day delinquencies rose to an unusually high level in 2023. More specifically, prime auto loan ABS saw the following year over year changes:

• Average annualized losses increased to 0.52% from 0.34% but remained slightly below the average levels from 2016 to 2019.
• The average recovery rate declined to 58.60% from 67.10% but was still slightly higher than the average rates in 2017-2019.
• Sixty-plus-day delinquencies reached an 11-year high, rising to an average of 0.52% from 0.43%.
• Extensions averaged 0.48%, up from 0.37% in 2022 and 0.42% in 2019.

Subprime auto loan ABS: performance weakened with losses climbing and delinquencies reaching an all-time high

Subprime performance weakened, with losses and delinquencies increasing and recoveries declining (see chart 4). Sixty-plus-day delinquencies also spiked to a record high. Specifically, in 2023:

• Average annualized losses increased 162 basis points (bps) to 7.86% from 6.24% but remained below the 8.17% average in 2019. Excluding the three large deep subprime lenders (Drive, ACA, and Exeter), average losses for the modified subprime composite increased 197 bps to a record high of 6.81% from 4.84% in 2022, indicating that deterioration in the subprime segment was not confined to the higher-loss deep subprime originators.
• Recoveries, which declined to an average of 43.72% from 48.97%, remained slightly above 2016-2019 levels.
• Sixty-plus-day delinquencies rose to 5.63% from 4.96%, crossing the 5.04% and 5.08% peak levels reported in 2018 and 2019, respectively. Similarly, excluding the three large deep subprime lenders, delinquencies for the modified subprime composite reached a record-high 4.55%.
• Extensions averaged 3.52%, up from 3.04% in 2022 and 2.96% in 2019.

Monthly Portfolio-Based Performance: December 2023

Losses: the worst December for prime and subprime losses since 2017 and 2019, respectively

Prime annualized net losses increased to 0.72% in December 2023 from 0.67% in November 2023 and 0.52% a year earlier. December's losses of 0.72% were the highest December level since 2017, which had 0.78%. Prime losses rose year-over-year for approximately 85% of the issuers.

Subprime annualized net losses increased to 8.98% in December from 8.82% in November and 8.54% a year earlier. But they improved from the post-pandemic peak of 9.30% in October 2023 and remained below the December 2019 and 2020 levels of 9.33% and 10.15%, respectively. We believe this improvement, relative to December 2019 and 2020, is at least partially due to deep subprime declining to 16.7% of the total issuances in 2023 from 20% in 2022, 27% in 2020, and nearly 40% each in 2018 and 2019. Approximately 75% of the issuers in our subprime composite reported higher year-over-year losses.

Modified subprime losses rose to 7.70% in December from 7.64% the prior month and 6.91% a year earlier, and remained above the 7.23% pre-pandemic level in 2019. This clearly indicates that the deterioration in subprime isn't exclusive to deep subprime issuers as other subprime lenders are also struggling with losses above pre-pandemic levels.

Table 1 and chart 5 show net losses for the prime, subprime, and modified subprime segments from 2009 through 2023.

Table 1

Net loss rate composite(i)
	Dec-09	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Dec-22	Nov-23	Dec-23
Prime (%)	1.67	0.49	0.58	0.69	0.78	0.62	0.65	0.38	0.31	0.52	0.67	0.72
Subprime (%) (ii)	10.43	7.51	8.59	9.62	9.58	10.15	9.33	5.51	5.24	8.54	8.82	8.98
Subprime modified (%)	N/A	6.85	7.58	7.59	7.62	8.03	7.23	4.12	3.92	6.91	7.64	7.70
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Recoveries: prime and subprime recoveries decline to near record-low levels

Prime and subprime recoveries both continued to decline month over month and year over year. Prime recoveries fell to 46.61% in December from 49.26% the previous month and 52.20% a year earlier, while subprime recoveries decreased to 35.32% from 36.75% in November and from 39.58% in December 2022. The prime and subprime recovery rates were both the lowest December levels reached since 2017 and 2008, respectively.

The approximate 11% year-over-year decline in the prime and subprime recovery rates outpaced the 7% decline in the Manheim Used Vehicle Value Index. We attribute the rapid decline in recovery rates to defaults from the 2022 and early 2023 pools, whose underlying vehicles were purchased when new and used vehicle prices peaked due to insufficient supply and market-based pricing. Thus, when used prices start to normalize, vehicles purchased during this period had the farthest the fall. For instance, in its December investor earnings presentation, America's Car-Mart (ACM) showed that used vehicles financed in early 2022 and repossessed 40 weeks later in 2023 incurred an effective depreciation rate of 26 points, while used vehicles financed in early 2018 and sold 40 weeks later in 2019 had a depreciation rate of only 9 points. The lack of repossession agents is another contributing factor, which has lengthened the time to repossess and liquidate defaulted loans, causing many issuers to incur more full balance charge-offs than in the past.

Table 2 and chart 6 show recovery rates for the prime, subprime, and modified subprime segments from 2009 through 2023. Chart 6 also shows the Manheim Used Vehicle Value Index.

Table 2

Recovery rate composite(i)
	Dec-09	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Dec-22	Nov-23	Dec-23
Prime (%)	48.32	60.45	53.74	53.85	45.70	51.94	55.19	68.87	75.37	52.20	49.26	46.61
Subprime (%)	39.35	42.89	40.74	40.10	36.28	36.25	37.78	44.76	50.29	39.58	36.75	35.32
Subprime modified (%)(ii)	N/A	43.08	41.62	40.21	36.35	36.54	38.69	45.24	51.49	39.55	36.79	35.97
(i)Represents monthly recovery rate. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

60-plus-day delinquencies: prime reports highest level since January 2010 and subprime posts highest ever

Prime 60-plus-day delinquencies rose to 0.64% in December--the highest level since 0.74% in January 2010--from 0.60% a month earlier and 0.51% a year earlier. At the same time, subprime 60-plus-day delinquencies rose to 6.27%--the highest-ever level in our composite's history--from 6.03% a month earlier and 6.08% a year earlier. Meanwhile, the modified subprime composite recorded its highest-ever 60-plus-day delinquency level of 5.22%.

We believe the rising delinquency levels is partly due to consumers taking on additional credit in the aftermath of COVID-19 pandemic. Many individuals had improved their credit profiles in 2020 and 2021 as they spent less money, paid down debt, and obtained forbearance and other credit concessions, which generally weren't reported to the credit bureaus. As a result, many qualified for new debt, including auto loans, that had substantially higher monthly payments than previously. The average new vehicle loan payment increased to $726 a month in third-quarter 2023 from $568 in the second-quarter 2020.

These high payments, coupled with elevated rent and insurance expenses, as well growth in consumer spending, have exhausted consumers' COVID-19-related savings, leading to more late payments. In addition, in the subprime segment, 12 million additional consumers who didn't have a credit card obtained access to one during the two years ended June 2023, according to Transunion. Another factor to consider is that many took out new car loans during the three-year period during which their student loan payments were suspended, and they now have to resume those payments. Given that delinquencies are generally a precursor to defaults, we expect higher losses this year.

Table 3 and chart 7 show 60-plus-day delinquency rates for the prime, subprime, and modified subprime segments from 2009 through 2023.

Table 3

60-plus-day delinquency rate composite(i)
	Dec-09	Dec-14	Dec-15	Dec-16	Dec-17	Dec-18	Dec-19	Dec-20	Dec-21	Dec-22	Nov-23	Dec-23
Prime (%)	0.72	0.46	0.49	0.49	0.48	0.47	0.47	0.38	0.42	0.51	0.60	0.64
Subprime (%)	5.22	4.63	5.22	5.56	5.53	5.91	5.81	4.20	4.71	6.08	6.03	6.27
Subprime modified (%)(ii)	N/A	4.00	4.35	4.21	4.03	4.18	4.20	2.96	3.13	4.62	5.05	5.22
(i)Represents 60-plus day delinquencies. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Extensions: extension rates reached their highest levels since December 2020

Prime extensions rose to a weighted average of 0.66% in December 2023, which--while expectedly greater than November's 0.57%--was shockingly the highest level since December 2020 (0.73%). Prime extensions were also approximately 15 bps higher year over year and relative to December 2019. Extensions for subprime public and 144a transactions combined jumped to a weighted average of 4.29% in December 2023, marking their peak level since December 2020 as well. Overall, subprime public and 144a transaction extensions increased approximately 40 bps from November 2023, 60 bps from December 2022, and 100 bps from December 2019 (see chart 8).

The growth in extensions beyond the December 2019 levels (just before the onset of the pandemic), reflects both the increased difficulty obligors are having with paying all of their financial obligations on time and the lenders greater willingness to grant deferrals.

Of the 14 prime issuers with both December 2023 and December 2022 data, 12 reported year-over-year increases in extensions (see chart 9). Those reporting the highest year-over-year increases were Mercedes (38 bps higher to 1.00%), CarMax (34 bps to 1.20%), and Ford Credit (32 bps to 1.40%).

Of the 16 rated subprime issuers with both December 2023 and December 2022 extension data, nine reported a year-over-year increase in extension rates (see chart 10). The three largest reported increases were Prestige (68 bps to 5.18%), Flagship (54 bps to 5.59%), and CPS (44 bps to 5.16%).

Of the 15 rated issuers with December 2019 and December 2023 extension data, nine reported an increase. The largest increases were observed for Prestige (262 bps to 5.18% from 2.56%), Flagship (202 bps to 5.59% from 3.57%), and Exeter (162 bps; to 6.21% from 4.59%).

The three issuers with the highest extension rates in December 2023 were ACM (9.41%; a weighted average of ACM 2023-1 and 2023-2), Westlake (7.26%), and Exeter (6.21%). However, ACM's and Westlake's 60-plus-day delinquencies across their outstanding transactions were only 0.98% and 1.53%, respectively, as of December 2023, while Exeter had 10.32%.

Collateral Characteristics: Loan Terms Continued To Lengthen As Credit Scores Improved

Prime

Before assessing vintage static pool performance, let's examine how collateral credit quality changed among auto loan pools securitized last year. FICO scores generally improved after declining slightly in 2021 and 2022 relative to 2020, and loan terms continued to lengthen (see charts 11 and 12). The significant changes in 2023 compared with 2022 include:

• The weighted average FICO score increased to 760 (the highest since we started tracking this statistic) from 754.
• Loans with original maturities of 73-84 months increased to 15.92% from 13.22% due to the 76-84 month portion growing to 6.80% from 2.77%.
• The weighted average annual percentage rate (APR) increased to 5.64% (the highest level since 2009) from 4.41%.
• Used vehicles as a percent of originations decreased to 33.78% from 35.13%.
• The weighted average loan-to-value (LTV) ratio inched up to 97.26% from 95.95%.

The overall weighted average original maturity has also expanded to 67.52 months from 67.17 months due to the growing popularity of 76-84 month or longer loans, especially among the newer issuers. Nine sponsors had 25% or more of 76-84 month loans in one of their securitized pools last year: ENT (64%), OCCU (60%), GTE (57%), Veridian (49%), SFS (40%), GECU (39%), SCCU (36%), and Citizens and Ally (25%). GMF and Ford Credit also included these longer-term loans in their pools but to a lesser extent (18%-22% for GMF and 11%-13% for Ford Credit). Two credit unions also securitized loans with original terms of 85-87 months: GECU (34.05%) and OCCU (5.95%).

We believe longer-term loans are supporting the growth in new and used vehicle financing, especially since higher interest rates and elevated vehicle prices are driving up monthly payments. However, they pose a credit risk to the transactions because upon repossession their severity of loss is higher than shorter-term loans, all else equal.

Subprime

The collateral characteristics for subprime transactions issued in 2023 showed an increase in longer-term loans and higher FICO scores (see charts 13 and 14). Notable observations relative to 2022 include:

• The percentage of loans with original terms of 73-84 months ballooned to 17.96% from 14.87%. The 73-75 month portion rose to 14.79% from 12.60%, while the 76-84 portion inched up to 3.17% from 2.27%.
• The weighted average FICO score improved to 598 from 593.
• The weighted average APR surged to approximately 18.96% from 16.69% because most lenders increased their APRs, given the higher borrowing costs.
• The percentage of used vehicle financing increased to 85.41% from 84.75%.
• The weighted average LTV ratio weakened to 112.70% from 110.30%. This is a negative trend, even though used vehicles generally have higher financed LTV ratios than new vehicles.

Seven sponsors had 73-84 month loans represent 25% or more of one of their securitized pools last year: VStrong (88%; Exeter's better-quality subprime loans), GLS (68%; GLS Select 2023-2)), Exeter (38%-42%), AmeriCredit (35%-38%), Foursight (26%-35%), CPS (20%-27%), and Carvana (23%-25%). Santander's SDART transactions included these longer-term loans but to a lesser extent (16%-20%).

We note that the subprime collateral statistics in tables charts 13-14 do not fully capture the extent to which lenders may have improved their securitized loan compositions in 2023 relative to 2022 because the statistics do not track the issuers' proprietary scores or other important statistics. For example, loan composition seemingly improved for four issuers in 2023: Flagship (which reduced the percentage of its three lowest tiers), Exeter (which reduced the percentage of its two lowest proprietary score buckets), Prestige (which expanded the percentage of loans to individuals with a prior bankruptcy, which performs better than non-bankruptcy loans for the company), and ACA (which reduced the weighted average payment-to-income ratio [PTI] to 14.7%-14.9% for its 2023 pools from approximately 16.0%-17.0% for its first three transactions in 2022).

Static Pool Performance And Auto Loan Static Index (ALSI)

Prime: the 2022 vintage's CNLs remain below pre-pandemic levels, but the second-quarter 2023 vintage is showing signs of stress

Although the 2022 prime vintage is experiencing higher losses than the 2020 and 2021 cohorts at the same number of months outstanding, 2022's CNLs remain below the 2016-2019 pre-pandemic levels (see chart 15). This is entirely due to lower cumulative gross losses because the 2022 vintage's CRR of 46.71% remains well below all historical vintages except 2008 (see charts 16 and 17).

Strong CNL performance continued for the first-quarter 2023 vintage (month 10) as its losses are in line with the 2016-2019 vintages. The second-quarter 2023 vintage with 0.22% CNL at month 7 is trending slightly higher than the 0.18%-0.19% for the 2016-2019 vintages, but so far this seems attributable to just a few issuers. VW and CarMax are reporting higher CNLs on their second-quarter 2023 securitizations compared with their prior transactions, and SFS's 2023-1 transaction has already incurred CNL of 0.56% through month 7 (see charts 39 and 25).

Of special note is the second-quarter 2023 vintage's low CRR of 36.08% at month 7. By comparison, the CRR levels for the 2022 vintage and the 2016-2019 pre-pandemic vintages were 38.35% and approximately 44%-48%, respectively, at the same month.

Seven sponsors reported CRRs below 40% on their second-quarter 2023 transactions: Honda (37%), Toyota (35%), Citizens Bank (29%), SFS (29%), CarMax (28%), Carvana (26%), and Hyundai (24%). However, GMF, Ford Credit, and World Omni continued to post higher-than-average CRRs of approximately 55%, 47%, and 58%, respectively.

The second-quarter 2023 vintage is also showing weakness on the delinquency front, reporting the highest ever 60-plus-day delinquencies at month 7 (see chart 18). This vintage is not alone because delinquencies for the 2021 vintage are closing in on the 2008 vintage's level at month 25, the 2022 vintage's delinquencies at month 13 are tied with 2008, and the first- and third-quarter 2023 vintages are off to a poor start.

Table 4

Prime index composition (% of assets)
	2019	2020	2021	2022	2023
Prime issuer
Ally	8.8			6.1	2.8
Bank of the West	1.5
BMW Vehicle	2.7	2.5		3.1	2.3
Capital One	5.3	3.2	3.0	7.7	3.8
CarMax	11.7	13.4	13.8	11.1	8.5
Carvana		1.0	7.3	3.8	2.2
Citizens					4.8
Ent					0.4
Fifth Third	2.8				2.4
Ford Credit	8.6	11.0	3.1	10.5	6.9
GECU					0.5
GM Financial	9.3	12.9	12.4	10.3	9.5
GTE	0.4				0.3
Honda	11.9	12.3	14.4	5.1	9.9
Hyundai	4.5	9.0	9.6	9.1	7.8
Mercedes-Benz	3.2	2.7	3.7	4.0	5.0
Nissan	8.2	6.0	2.5	5.0	4.1
OCCU				0.6	0.4
PenFed				1.0
Porsche Financial					3.1
Space Coast Credit Union					0.6
SFS					1.5
Toyota	14.0	15.4	15.1	13.4	10.1
UNIFY			0.7
USAA	1.0			1.0	1.7
Veridian					0.4
Volkswagen		3.1	4.2		4.4
Westlake					0.3
World Omni	6.2	7.4	10.3	8.2	6.4
Bank	19.4	3.2	3.0	14.8	15.6
Credit union	0.4	0.0	0.7	1.5	2.6
Used car retailers	11.7	14.3	21.1	14.9	10.7
Captives and quasi captives	68.6	82.4	75.2	68.7	70.9
Other prime					0.3

Subprime: the 2022 vintage represents "the worst of times," but the first- and second-quarter 2023 vintages are off to a better start

The 2022 subprime vintage is reporting worse-than-historical loss levels, with CNLs of 5.95% through month 13, compared with 5.73% for 2008 and 5.28% for 2017 (see chart 19a). The higher CNLs are attributable to both an increase in defaults and a precipitous drop in recoveries (see charts 20 and 21).

We believe the higher defaults are primarily due to the following factors:

• Inflation having a disproportion impact on subprime obligors, who spend a greater share of their incomes on basic living expenses (including higher auto loan and insurance payments).
• The tremendous growth in subprime lending from mid-2021 to mid-2022, which, given the competitive nature of the auto industry, came at the expense of credit quality.
• COVID-19-related stimulus and forbearance allowances resulted in a credit migration that made certain obligors look like better credit risks than they actually were. These consumers took out larger loans and incurred more debt as a result. With COVID-19-related savings spent and expanded child tax credit payments ending December 2021, many couldn't afford the vehicles they bought.

The first-quarter 2023 subprime vintage, which had CNLs of 3.72% at month 10, is performing noticeably better than the 2022 vintage (4.39%) at the same month and is in line with 2016 and 2017. The second-quarter 2023 vintage, which had CNLs of 2.41% at month 7, is also posting lower losses than the 2022 vintage (2.63%) at the same month, though they remain higher than the 2008, 2016, and 2017 losses at the same month.

CRRs for the 2022 and subsequent 2023 quarterly vintages have hit successive record low levels. While some issuers attribute the lower recovery rates to more full-balance charge-offs because it's taking longer to find and repossess vehicles, falling used vehicle prices in the secondary market are also contributing to the decline (see Manheim Used Vehicle Value Index in chart 6).

Sixty-plus-day delinquencies for the 2021, 2022, and second-quarter 2023 vintages are at record high levels for months 25, 13, and 7, respectively (see charts 22a and 22b). However, the first-quarter 2023 vintage is showing an improvement with 60-plus-day delinquencies averaging 3.64% at month 10, down from 5.02% for the 2022 vintage at the same month.

Although some recent vintages, beginning with 2022, are reporting higher CNLs than for the 2008 recessionary cohort, the subprime ABS market has changed since then, with more issuers (especially since 2015) now focusing on deep subprime lending (see table 5). Therefore, we've created the modified subprime index, which excludes the three largest deep subprime lenders. On this modified basis, CNLs for the 2022 annual vintage and quarterly 2023 vintages are trending lower than for the 2008 vintage (see chart 19b). However, these recent vintages on a modified basis are still performing worse than the 2017 modified vintage, whose first 26-38 months were unaffected by COVID-19-related stimulus.

Table 5

Subprime index composition (% of assets)
	2007(i)	2008	2016	2017	2018	2019	2020	2021	2022	2023
Subprime issuers
AmeriCredit	32.2	87.7	23.9	11.9	8.4	12.0	12.8	9.7	7.8	9.4
Avid					0.4	0.7
Capital One	26.5
Carvana NP								4.4	1.1	4.0
CPS	5.4	12.3	4.6	4.3	2.7	3.3	3.0	2.8	4.0	4.3
First Investors			1.9	3.0	1.3	1.6	0.9	1.4	1.8	0.8
Flagship Credit Acceptance			7.5	5.0	3.3	4.8	4.5	3.5	5.7	4.0
Foursight			1.0						0.7	1.3
GLS				1.1	3.5	5.6	5.5	5.4	4.8	5.2
GLS Select										2.4
Honor			0.5
HSBC	6.8
Prestige	2.1		3.5	1.8	1.6	1.6	1.6	0.9	1.2	1.8
SDART (Santander)			18.0	18.7	22.9	13.7	26.6	24.7	38.2	27.6
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	1.0
Vstrong										1.0
Westlake			7.7	7.9	11.8	14.2	13.6	13.7	13.1	20.5
WOSAT					2.3	3.0	3.4
Deep subprime issuers
American Credit Acceptance			4.5	5.0	4.0	4.2	7.6	5.9	5.1	6.0
Exeter			5.3	7.2	8.5	12.2	9.4	12.5	14.9	10.8
DRIVE (Santander Deep SP)	15.2		18.8	33.3	27.1	22.3	9.9	14.6
Deep subprime total	15.2		28.5	45.5	39.7	38.7	27.0	33.0	20.0	16.7
(i)Original amount

Issuer-Specific CNL Performance

Performance between the prime and subprime segments has become a "Tale of Two Cities" with most prime shelves continuing to report CNLs on their 2022 and 2023 pools that are similar to or lower than those from 2016-2017 (these vintages were relatively unaffected by COVID-19-related stimulus). Meanwhile, most of subprime sponsors are experiencing higher losses on their 2022-2023 pools than their 2016-2017 issuances. Vintage static pool performance data shown below is through Dec. 31, 2023.

Prime

Approximately two-thirds of prime issuers continue to report lower-than-historical CNLs (see charts 23-43). We noted the following:

• Of the 13 issuers who issued securitizations in 2022 and in 2016 or 2017, nine are reporting stable or lower losses on their 2022 securitizations relative to their pre-pandemic securitizations: Ally, BMW, Ford Credit, GM Financial, Honda, Hyundai, Nissan, Toyota, and World Omni.
• Four issuers are posting higher losses for their 2022 vintage relative to pre-pandemic pools: CarMax, Harley, Mercedes, and USAA. Interestingly, it wasn't until month 12 that Harley's 2022 vintage started to trend worse than its 2016 vintage.
• Ten issuers are posting stable to better performance and five (CarMax, Mercedes, USAA, Toyota, and VW) are reporting higher losses on their quarterly 2023 vintages relative to the pre-pandemic 2016-2017 pools.

Nonprime and subprime

Most subprime issuers are reporting higher CNLs on their 2022 and 2023 pools than for their 2016-2017 ones (see charts 44-61). We noted the following:

• Of the 13 issuers that issued securitizations in 2022 and 2016 or 2017, nine are reporting higher losses relative to 2016- 2017 pre-pandemic pools: ACA, CPS, Exeter, Flagship, Foursight, GLS, Prestige, SDART, and UAC.
• Four issuers are reporting stable to lower losses for the 2022 vintage relative to pre-pandemic pools: AmeriCredit, DriveTime, First Investors, and Westlake.
• Of the 12 issuers that issued securitizations 2023 and 2016 or 2017, eight are incurring higher average losses on their 2023 pools relative to the 2016 - 2017 pools: CPS, Exeter, Flagship, Foursight, GLS, Prestige, SDART, and UAC. However, for most of them the average losses on their 2023 securitizations are trending slightly below their 2022 securitizations, indicating that their tighter credit standards seem to be paying off for now.
• Three issuers are reporting generally stable to lower losses on their 2023 vintages compared with 2016 or 2017: AmeriCredit, ACA, DriveTime, and Westlake.

Prime trusts

Subprime trusts

Auto Loan ABS Rating Activity/Revised Loss Expectations

Our 2023 surveillance reviews resulted in 396 upgrades and six downgrades across U.S. auto loan ABS (see table 7). The downgrades were confined to subprime speculative-grade (rated 'BB+' and below) classes issued in 2022. There would have been more downgrades, including more extensive ones, if certain issuers had not supported their transactions by putting cash into the transactions or forego paying themselves a servicing fee for one or more months (see "Seniority Has Its Privileges: Some 2022 Subprime Auto ABS Senior Classes Upgraded Despite Weaker Collateral Performance," published July 12, 2023).

Surveillance

On Jan. 25, 2024, we extended our CreditWatch negative placement on Prestige's series 2022-1 class E notes (rated 'BB-') due to the transaction's collateral performance trending worse than expected (see "Prestige Auto Receivables Trust 2022-1 Class E Rating To Remain On CreditWatch Negative"). On Jan. 16, 2024, we issued a bulletin noting that the capital contribution on ACM 2023-2 had no rating impact on the transaction (see "Bulletin: No Rating Actions Taken On ACM Auto Trust 2023-2 Following Capital Contribution").

Revised ECNLs

We recently completed an analysis of the 37 nonrevolving subprime transactions we rated in 2022. Based on this analysis, we revised and raised our ECNLs on 24 (80%) transactions. The average increase was approximately 20%. However, the range was wide from a low of less than 5% for certain SDART transactions to approximately 50% for Prestige 2022-1 (as of October 2023) and 33% to 69% for Flagship's 2022-1 through 2022-3 transactions, respectively.

Flagship's transactions not only suffered from the inclusion of weaker-than-historical collateral, which the company has since restricted further, but they were also negatively affected by the company's servicing conversion in June 2023. Based on normal loss curve analysis and giving a modicum of credit to these transactions possibly incurring a more front-loaded loss curve than historically (due to more full balance charge-offs), we revised our ECNLs to 15.25% for the Flagship 2022-1 transaction and to 19.50% for the Flagship 2022-2 and 2022-3 (see "Various Rating Actions Taken On Six Flagship Credit Auto Trust Transactions," published Feb. 5, 2024).

Table 6

Historical ratings activity--U.S. auto loan ABS
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	416	6
2023	396	6
2024(i)	0	0
Total	3,346	27
(ii)As of Jan. 31. ABS--Asset-backed securities.

Table 7

Historical ratings activity--Canadian auto loan ABS
Period	Upgrades	Downgrades
2021	8	0
2022	3	0
2023	2	0
2024(i)	0	0
Total	13	0
(i)As of Jan. 31. ABS--Asset-backed securities.

Appendix I

Table 8 - Prime cumulative net losses (%)(i)

Table 9

Subprime cumulative net losses (%)
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.63	22.32	20.46	27.26	25.41	25.92	38.36	34.06	8.52	5.66	9.56
Month
1	0.00	0.00	0.01	0.02	0.01	0.01	0.01	0.00	0.01	0.01	0.01	0.01	0.00	0.00	0.01	0.00	0.00	0.00	0.01
2	0.03	0.04	0.07	0.05	0.03	0.03	0.03	0.03	0.03	0.06	0.06	0.03	0.03	0.02	0.03	0.03	0.03	0.02	0.04
3	0.11	0.14	0.31	0.15	0.12	0.12	0.11	0.13	0.13	0.20	0.19	0.13	0.12	0.09	0.12	0.14	0.13	0.09	0.13
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	0.60	0.46	0.47	0.47
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	0.79	1.22	0.91	1.03
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	1.20	1.93	1.44	1.69
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	1.64	2.63	2.00	2.41
8	2.43	2.54	2.42	1.65	1.32	1.72	1.70	2.13	2.52	2.57	2.72	2.48	2.53	1.41	2.02	3.26	2.60
9	2.96	3.20	2.82	2.01	1.57	2.07	2.07	2.60	3.06	3.11	3.24	2.99	3.01	1.64	2.37	3.84	3.16
10	3.47	3.82	3.10	2.32	1.82	2.45	2.45	3.04	3.61	3.66	3.74	3.46	3.45	1.87	2.75	4.39	3.72
11	3.97	4.49	3.40	2.62	2.08	2.84	2.85	3.49	4.17	4.19	4.25	3.94	3.87	2.11	3.09	4.90
12	4.47	5.16	3.69	2.91	2.36	3.25	3.28	3.92	4.68	4.71	4.77	4.39	4.21	2.33	3.44	5.44
13	4.95	5.73	4.05	3.19	2.63	3.64	3.68	4.35	5.16	5.21	5.28	4.84	4.55	2.55	3.81	5.95
14	5.39	6.28	4.39	3.52	2.91	4.02	4.04	4.75	5.61	5.70	5.76	5.29	4.87	2.77	4.16
15	5.87	6.89	4.75	3.85	3.21	4.38	4.40	5.16	6.07	6.20	6.22	5.74	5.16	2.96	4.52
16	6.38	7.44	5.11	4.17	3.47	4.72	4.77	5.54	6.57	6.66	6.67	6.19	5.45	3.16	4.87
17	6.89	8.00	5.43	4.50	3.71	5.10	5.14	5.96	7.08	7.08	7.10	6.62	5.69	3.34	5.20
18	7.39	8.52	5.77	4.79	3.93	5.45	5.53	6.34	7.54	7.50	7.53	7.05	5.88	3.52	5.53
19	7.91	8.90	6.06	5.06	4.14	5.79	5.88	6.70	8.00	7.89	7.96	7.44	6.07	3.68	5.82
20	8.39	9.34	6.24	5.33	4.35	6.11	6.20	7.06	8.42	8.28	8.35	7.79	6.23	3.85	6.09
21	8.86	9.80	6.53	5.57	4.59	6.42	6.52	7.41	8.82	8.66	8.72	8.10	6.38	4.02	6.35
22	9.32	10.23	6.71	5.77	4.80	6.70	6.81	7.72	9.19	9.04	9.07	8.39	6.52	4.18	6.60
23	9.76	10.69	6.92	5.97	5.01	6.98	7.08	8.04	9.55	9.39	9.41	8.62	6.66	4.32	6.84
24	10.19	11.08	7.10	6.17	5.22	7.27	7.34	8.33	9.88	9.73	9.74	8.82	6.79	4.47	7.08
25	10.54	11.41	7.28	6.38	5.43	7.49	7.56	8.63	10.19	10.06	10.06	9.03	6.92	4.63	7.31
26	10.90	11.75	7.49	6.61	5.65	7.76	7.80	8.93	10.48	10.38	10.35	9.20	7.03	4.79
27	11.21	12.07	7.69	6.80	5.86	7.99	8.06	9.20	10.77	10.70	10.64	9.37	7.13	4.93
28	11.54	12.43	7.91	7.01	6.06	8.14	8.29	9.44	11.06	10.99	10.92	9.52	7.24	5.01
29	11.88	12.73	8.07	7.21	6.08	8.36	8.53	9.56	11.35	11.28	11.20	9.65	7.33	5.15
30	12.19	13.04	8.24	7.37	6.22	8.35	8.79	9.81	11.51	11.46	11.45	9.76	7.45	5.30
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	7.55	5.41
32	12.77	13.52	8.55	7.72	6.49	8.77	9.16	10.24	12.03	11.82	11.88	9.94	7.64	5.53
33	12.96	13.75	8.71	7.78	6.61	8.95	9.38	10.46	12.26	12.08	12.09	9.88	7.75	5.63
34	13.19	13.98	8.82	7.95	6.58	8.61	9.60	10.67	12.48	12.33	12.29	9.94	7.73	5.73
35	13.38	14.22	8.88	8.10	6.71	8.77	9.80	10.92	12.70	12.56	12.45	10.00	7.82	5.83
36	13.59	14.42	8.97	8.25	6.84	8.92	9.98	11.13	12.91	12.78	12.60	10.05	7.91	5.93
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	8.01	6.03
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	8.10
39	14.08	14.96	9.22	8.67	7.24	9.36	10.50	11.67	13.49	13.38	12.94	10.21	8.17
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	8.26
41	14.39	15.27	9.44	8.92	7.44	9.64	10.82	11.10	13.90	13.75	13.10	10.31	8.36
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	8.44
(i)Cumulative net losses declined in month 34 because two transactions with relatively high losses paid off in month 33. (ii)Cumulative net losses 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. Source: S&P Global Ratings.

Table 10

Prime cumulative gross losses (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11
Initial collateral balance (bil. $)	49.02	53.20	41.25	33.45	22.77	40.72	27.93	31.22	24.03	36.23	41.35	44.25	50.99	41.74	45.08	52.87	13.47	19.38	18.95
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	0.01	0.02	0.01	0.01
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	0.03	0.03	0.02
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	0.04	0.07	0.06	0.06
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	0.07	0.12	0.12
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	0.20	0.14	0.11	0.12	0.17	0.20
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	0.17	0.23	0.27
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	0.23	0.29	0.35
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	0.29	0.37
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	0.35	0.45
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	0.40	0.53
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	0.46
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	0.53
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	0.59
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	0.51
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	0.56
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	0.60
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	0.65
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	0.69
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	0.74
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	0.78
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	0.82
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	0.86
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	0.90
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	0.94
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	0.98
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	0.81
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	0.83
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	0.85
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	0.87
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	0.89
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	0.91
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	1.33	0.93
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	0.95
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	1.36	0.96
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	0.98
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	0.99
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	1.41	1.01
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	1.42
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	1.45
(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 11

Subprime cumulative gross losses (%)
	2007	2008	2009	2010	2011	2012(i)	2013	2014(ii)	2015	2016(iii)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.63	22.32	20.46	27.26	25.41	25.92	38.36	34.06	8.52	5.66	9.56
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	0.01
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	0.04	0.05	0.03	0.05
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	0.21	0.14	0.20
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	0.58	0.77	0.64	0.61	0.63
5	1.32	1.24	1.85	1.21	1.03	1.27	1.25	1.23	1.29	1.39	1.36	1.19	1.24	0.77	1.11	1.58	1.25	1.32
6	2.19	2.09	2.49	1.65	1.45	1.81	1.73	1.89	2.10	2.15	2.18	1.97	2.02	1.21	1.73	2.54	1.96	2.20
7	3.03	2.98	3.28	2.15	1.90	2.40	2.36	2.64	2.99	2.97	3.13	2.93	2.92	1.70	2.43	3.56	2.75	3.15
8	3.79	3.79	3.92	2.69	2.33	3.01	3.01	3.40	3.89	3.85	4.01	3.88	3.79	2.17	3.11	4.53	3.59
9	4.67	4.81	4.66	3.27	2.77	3.62	3.67	4.19	4.79	4.70	4.85	4.76	4.59	2.62	3.79	5.45	4.43
10	5.44	5.79	5.21	3.85	3.22	4.27	4.36	4.98	5.74	5.58	5.69	5.61	5.33	3.09	4.49	6.36	5.27
11	6.32	6.85	5.75	4.42	3.68	4.94	5.09	5.76	6.70	6.46	6.55	6.43	6.03	3.66	5.16	7.22
12	7.15	7.91	6.28	4.95	4.21	5.66	5.85	6.52	7.61	7.31	7.40	7.28	6.69	4.12	5.84	8.10
13	7.96	8.84	6.85	5.47	4.73	6.36	6.60	7.29	8.49	8.14	8.28	8.10	7.33	4.59	6.54	8.96
14	8.70	9.70	7.44	6.06	5.25	7.07	7.31	8.03	9.32	8.98	9.12	8.92	7.94	5.06	7.21
15	9.48	10.71	8.06	6.64	5.79	7.74	8.00	8.77	10.17	9.81	9.94	9.74	8.51	5.51	7.88
16	10.27	11.62	8.73	7.24	6.29	8.39	8.70	9.49	11.03	10.58	10.74	10.54	9.06	5.97	8.54
17	11.07	12.58	9.29	7.81	6.80	9.07	9.39	10.22	11.90	11.34	11.52	11.32	9.58	6.40	9.18
18	11.86	13.46	9.87	8.36	7.25	9.75	10.10	10.90	12.72	12.04	12.29	12.06	10.07	6.83	9.81
19	12.67	14.10	10.37	8.90	7.67	10.40	10.77	11.57	13.52	12.73	13.04	12.73	10.55	7.24	10.40
20	13.43	14.82	10.72	9.42	8.10	11.01	11.41	12.22	14.28	13.41	13.76	13.36	10.99	7.64	10.96
21	14.15	15.58	11.29	9.92	8.54	11.60	12.03	12.83	15.00	14.06	14.45	13.93	11.41	8.04	11.49
22	14.86	16.28	11.68	10.38	8.97	12.15	12.62	13.42	15.67	14.70	15.10	14.46	11.82	8.44	12.01
23	15.57	17.08	12.04	10.81	9.41	12.70	13.17	13.99	16.31	15.31	15.73	14.93	12.21	8.81	12.50
24	16.26	17.74	12.38	11.23	9.83	13.24	13.71	14.53	16.92	15.92	16.34	15.36	12.58	9.17	12.97
25	16.86	18.32	12.73	11.65	10.25	13.84	14.26	15.06	17.50	16.49	16.92	15.77	12.94	9.54	13.42
26	17.48	18.90	13.11	12.09	10.66	14.36	14.77	15.59	18.04	17.05	17.47	16.15	13.27	9.89
27	18.03	19.46	13.52	12.51	11.06	14.82	15.26	16.09	18.56	17.59	18.02	16.51	13.60	10.24
28	18.58	20.05	13.88	12.93	11.45	15.18	15.73	16.55	19.08	18.11	18.53	16.85	13.91	10.48
29	19.14	20.58	14.20	13.32	11.56	15.60	16.19	16.84	19.59	18.60	19.02	17.17	14.21	10.80
30	19.67	21.14	14.51	13.69	11.86	15.72	16.64	17.29	19.97	19.00	19.48	17.49	14.51	11.11
31	20.19	21.55	14.82	14.13	12.18	16.14	16.96	17.70	20.43	19.29	19.86	17.77	14.80	11.39
32	20.56	21.97	15.11	14.48	12.47	16.53	17.41	18.10	20.87	19.75	20.27	18.04	15.08	11.66
33	20.95	22.35	15.42	14.74	12.71	16.91	17.80	18.50	21.28	20.18	20.64	18.19	15.35	11.92
34	21.35	22.75	15.64	15.09	12.96	16.50	18.20	18.87	21.68	20.58	20.99	18.42	15.51	12.16
35	21.70	23.19	15.82	15.39	13.23	16.83	18.57	19.34	22.06	20.98	21.29	18.65	15.76	12.39
36	22.09	23.56	15.98	15.68	13.50	17.14	18.92	19.70	22.50	21.36	21.59	18.86	16.00	12.62
37	22.41	23.90	16.15	15.95	13.77	17.43	19.25	20.03	22.85	21.71	21.84	19.07	16.24	12.84
38	22.73	24.21	16.32	16.23	14.02	17.74	19.55	20.34	23.21	22.05	22.08	19.26	16.46
39	23.02	24.52	16.49	16.51	14.26	18.02	19.88	20.64	23.54	22.39	22.30	19.44	16.69
40	23.21	24.81	16.69	16.76	14.52	18.31	20.17	20.59	23.96	22.69	22.50	19.63	16.90
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	17.11
42	23.75	25.35	17.02	17.26	14.91	18.82	20.74	20.12	24.70	23.41	23.01	19.97	17.31
(i)Cumulative gross losses declined in month 34 as two transactions with relatively high losses paid off in month 33. (ii)Cumulative gross losses 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. Source: S&P Global Ratings.

Table 12

Prime 60-plus-day delinquencies (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11
Initial collateral balance (bil. $)	49.02	53.20	41.25	33.45	22.77	40.72	27.93	31.22	24.03	36.23	41.35	44.25	50.99	41.74	45.08	52.87	13.47	19.38	18.95
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	0.04	0.04	0.04	0.06
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	0.11	0.11	0.13	0.15
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	0.15	0.13	0.14	0.17	0.15	0.21	0.22
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	0.21	0.19	0.26
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	0.26	0.24	0.30
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	0.29	0.27	0.33
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	0.25	0.17	0.26	0.31	0.34	0.38
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	0.35	0.38
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	0.28	0.18	0.30	0.36	0.42
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	0.41	0.46
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	0.44
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	0.46
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	0.52
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	0.47
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	0.48
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	0.51
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	0.54
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	0.32	0.28	0.55
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	0.32	0.30	0.56
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	0.33	0.33	0.56
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	0.33	0.33	0.56
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	0.32	0.36	0.60
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	0.33	0.37	0.63
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	0.65
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	0.40	0.69
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	0.35	0.42
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	0.35	0.41
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	0.38	0.44
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	0.38	0.45
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	0.45
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	0.43	0.49
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	0.49
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	0.47	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	0.50	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	0.55
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	0.51	0.54
37	1.16	1.03					0.90	0.69	0.78	0.64	0.55	0.44	0.56	0.57
38	1.16	1.05					0.93	0.68	0.81	0.68	0.55	0.46	0.56
39	1.21	1.09					0.96	0.72	0.74	0.71	0.56	0.45	0.61
(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 13

Subprime 60-plus-day delinquencies (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.63	22.32	20.46	27.26	25.41	25.92	38.36	34.06	8.52	5.66	9.56
Month
1	0.04	0.06	0.05	0.10	0.05	0.04	0.04	0.11	0.06	0.10	0.16	0.11	0.10	0.12	0.19	0.15	0.08	0.10	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	1.03	0.84	0.69	0.96	1.35	0.64	1.12	0.87
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	2.02	2.88	1.48	2.72	2.05
4	2.09	1.82	1.51	1.86	1.25	1.97	2.08	2.29	2.97	2.63	3.43	3.29	2.83	1.93	2.67	3.77	2.01	3.85	2.90
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	3.25	1.99	3.04	4.27	2.40	4.42
6	2.61	1.87	1.68	2.10	1.24	2.37	2.58	2.87	3.24	3.03	3.67	3.66	3.53	2.10	3.34	4.59	2.78	4.76
7	2.82	2.24	2.07	2.38	1.32	2.24	2.47	3.03	3.36	3.29	3.60	3.76	3.62	2.18	3.58	4.64	3.13	5.26
8	2.97	2.60	1.35	2.58	1.50	2.38	2.59	3.27	3.61	3.48	3.68	3.84	3.59	2.29	3.84	4.67	3.26
9	3.03	2.79	1.04	2.61	1.72	2.62	2.92	3.46	3.99	3.78	3.90	3.94	3.59	2.45	4.10	4.80	3.46
10	3.13	2.75	1.24	2.54	1.93	2.98	3.26	3.60	4.24	4.01	4.19	4.13	3.61	2.55	4.27	5.02	3.64
11	3.25	2.57	1.52	2.50	2.04	3.34	3.45	3.83	4.37	4.01	4.58	4.32	3.72	2.72	4.52	5.24
12	3.32	2.45	1.76	2.75	2.14	3.47	3.58	4.01	4.30	4.16	4.90	4.54	3.75	2.93	4.85	5.50
13	3.34	2.55	1.75	3.05	2.40	3.43	3.66	4.19	4.45	4.42	4.97	4.86	3.79	3.11	5.12	5.64
14	3.65	2.57	2.40	3.30	2.41	3.52	3.79	4.27	4.78	4.43	4.98	5.09	3.79	3.29	5.39
15	4.00	2.84	1.75	3.52	2.56	3.71	3.94	4.58	5.14	4.49	5.17	5.16	3.81	3.43	5.65
16	4.15	2.82	1.74	3.58	2.58	3.88	4.30	4.75	5.44	4.79	5.33	5.29	3.74	3.55	5.78
17	4.37	2.30	1.86	3.64	2.49	4.14	4.53	4.79	5.54	4.70	5.48	5.37	3.63	3.70	5.83
18	4.45	2.25	1.88	3.73	2.35	4.13	4.52	4.85	5.57	4.78	5.61	5.35	3.52	3.87	6.01
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	3.57	4.03	6.00
20	4.47	2.64	1.56	4.04	2.57	4.19	4.47	4.89	5.54	4.94	5.82	5.14	3.63	4.21	6.04
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	3.62	4.33	6.11
22	4.74	2.53	1.26	3.92	3.00	4.46	4.62	5.03	5.74	5.28	5.88	4.79	3.64	4.38	6.09
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	3.67	4.54	6.17
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	3.76	4.80	6.30
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	4.93	6.46
26	4.54	2.33	2.16	4.94	3.32	4.62	4.98	5.38	5.74	5.41	6.16	4.37	3.97	5.07
27	4.62	2.60	1.72	5.00	3.43	4.64	5.00	5.50	6.13	5.39	6.21	4.36	4.09	5.15
28	4.77	2.70	1.70	5.10	3.29	4.84	5.26	5.55	6.31	5.40	6.31	4.29	4.35	5.25
29	4.93	2.04	2.00	5.29	3.21	4.90	5.53	5.80	6.26	5.38	6.40	4.12	4.55	5.22
30	4.80	1.99	1.96	5.40	2.90	5.05	5.58	5.84	6.44	5.27	6.48	4.02	4.65	5.40
31	4.82	2.20	2.69	5.56	2.84	5.18	5.63	5.87	6.31	5.66	6.59	3.98	4.85	5.38
32	4.73	2.41	1.60	5.66	3.14	5.24	5.70	6.18	6.24	5.83	6.41	4.05	5.05	5.34
33	4.69	2.83	1.25	5.65	3.48	4.98	5.96	6.24	6.32	6.12	6.17	4.09	5.16	5.43
34	4.73	2.48	1.30	5.57	3.66	5.23	5.92	6.27	6.52	6.09	5.93	4.04	5.32	5.39
35	4.49	2.26	1.68	5.67	3.64	5.31	5.96	6.51	6.51	6.05	5.72	4.13	5.50	5.55
36	4.41	2.12	1.81	5.99	3.73	5.47	5.86	6.56	6.50	6.05	5.53	4.18	5.62	5.76
37	4.34	2.29	2.02	6.46	3.77	5.55	6.17	6.57	6.51	6.22	5.21	4.31	5.82	5.79
38	4.30	2.31	2.90	6.67	3.79	5.74	6.36	6.62	6.60	6.32	5.17	4.53	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	4.72	6.06
40	4.52	2.80	2.17	6.76	4.03	5.90	6.89	6.61	7.23	6.41	4.83	4.98	6.33
41	4.71	1.97	2.24	7.10	4.04	6.12	7.16	7.14	7.57	6.66	4.65	5.02	6.36
42	4.62	2.03	2.09	6.96	3.62	6.23	7.30	7.01	7.22	6.68	4.67	5.18	6.40
43
(i)Beginning in 2016, includes AmeriCredit and SDART transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 14

Prime cumulative recoveries (%)(i)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(ii)	2017	2018	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11
Initial collateral balance (bil. $)	49.02	53.20	41.25	33.45	22.77	40.72	27.93	31.22	24.03	36.23	41.35	44.25	50.99	41.74	45.08	52.87	13.47	19.38	18.95
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	35.00	27.48	29.76	0.00	39.44	18.37	15.54
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	44.76	46.40	46.08	34.95	42.69	38.94	38.49
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	47.60	46.98	44.72	37.06	49.25	36.70	35.17
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	45.13	43.16	44.25	34.03	46.09	33.13
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	44.14	42.55	46.60	35.93	47.40	32.78
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	44.04	45.18	48.07	36.56	46.76	34.54
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	44.58	47.60	48.27	38.35	45.63	36.08
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	45.94	49.53	49.70	41.57	46.84
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	46.71	51.78	50.64	44.27	46.55
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	48.25	54.04	52.27	45.24	46.66
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	48.03	55.44	52.73	45.96
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	48.30	56.90	53.21	45.96
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	49.38	58.24	53.38	46.71
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	49.79	59.07	53.48
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	50.77	60.20	53.58
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	51.57	60.87	54.09
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	52.32	61.22	54.76
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	53.26	61.59	55.06
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	54.12	62.05	55.02
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	54.95	62.29	55.04
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	55.70	62.76	55.40
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	56.37	63.09	55.83
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	56.93	63.46	56.01
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	57.67	63.60	56.28
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	58.25	63.77	56.51
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	58.73	63.98
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	59.36	63.97
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	59.71	63.82
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	60.17	63.78
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	60.63	64.04
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	60.91	64.24
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	61.25	64.52
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	61.55	64.84
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	61.73	65.24
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	62.09	65.35
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	62.32	65.63
37	50.66	54.26					59.98	59.72	56.35	55.25	55.37	59.00	62.56	65.76
38	50.87	54.49					60.22	59.85	56.61	55.51	55.62	59.40	62.78
39	51.08	54.71					60.74	60.10	56.87	55.71	55.84	59.80	63.03
(i)Starting this m+A1:P46onth, 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 15

Subprime cumulative recoveries (%)
	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016(i)	2017	2018(ii)	2019	2020	2021	2022	Q1 2023	Q2 2023	Q3 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12
Initial collateral balance (bil. $)	17.35	2.52	1.13	10.83	6.82	14.03	13.68	14.53	18.63	22.32	20.46	27.26	25.41	25.92	38.36	34.06	8.52	5.66	9.56
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	7.21	0.00
2	52.67	16.20	33.03	40.00	48.39	49.13	50.63	44.56	42.02	31.09	27.69	35.86	37.57	29.60	35.62	28.05	29.98	7.85	24.92
3	46.95	29.34	37.37	41.47	47.18	52.07	55.86	45.53	43.70	36.42	33.07	40.27	39.40	31.98	34.67	32.48	35.44	32.09	28.88
4	38.89	27.91	35.33	35.15	42.05	42.02	42.71	38.13	37.37	33.71	29.27	36.51	33.91	25.98	29.36	23.22	27.15	22.13	23.49
5	36.34	28.40	35.45	37.94	42.98	41.06	42.01	37.93	36.74	33.13	30.05	37.49	34.15	28.40	30.58	23.93	27.15	21.86
6	35.89	31.83	34.81	38.97	44.45	43.35	45.07	38.11	36.19	33.07	31.05	37.06	34.20	31.03	32.32	24.67	27.56	22.66
7	36.19	32.88	35.59	39.61	45.43	44.30	45.17	38.54	36.08	33.38	31.32	36.04	33.26	34.06	34.25	26.65	28.07	23.37
8	36.63	32.92	36.98	40.39	45.82	44.39	45.00	39.35	36.71	34.22	32.71	36.03	33.66	36.85	36.63	28.74	28.73
9	36.59	33.43	38.30	40.34	45.82	44.24	44.87	40.07	37.59	34.88	33.84	37.17	34.80	39.39	38.62	30.51	29.67
10	37.35	33.91	39.23	41.16	45.64	44.21	44.88	40.84	38.47	35.43	34.90	38.34	35.66	41.55	40.15	31.90	30.34
11	37.65	34.37	39.72	42.06	45.70	43.96	45.01	41.31	39.06	36.08	35.76	39.06	36.41	41.82	41.55	32.93
12	37.83	34.69	40.13	42.55	45.90	43.85	44.95	41.62	39.64	36.53	36.37	39.88	37.50	43.18	42.47	33.75
13	38.19	35.11	39.93	42.96	46.14	44.19	45.17	42.03	40.32	36.89	37.01	40.16	38.38	44.38	43.21	34.62
14	38.40	35.30	40.10	43.14	46.16	44.42	45.56	42.36	40.82	37.29	37.55	40.57	39.05	45.58	43.81
15	38.47	35.64	40.15	43.33	46.12	44.69	45.88	42.70	41.22	37.59	38.09	40.98	39.66	46.54	44.27
16	38.35	35.95	40.70	43.63	46.41	45.00	46.05	42.98	41.28	37.78	38.52	41.20	40.15	47.24	44.62
17	38.27	36.44	40.81	43.76	46.81	45.04	46.08	43.02	41.35	38.13	38.96	41.38	40.97	48.10	44.90
18	38.16	36.70	40.95	44.05	47.14	45.32	46.09	43.18	41.54	38.34	39.25	41.39	41.95	48.79	45.11
19	37.99	36.91	40.97	44.45	47.36	45.45	46.14	43.34	41.59	38.60	39.49	41.44	42.85	49.49	45.38
20	37.93	37.02	41.29	44.79	47.45	45.62	46.34	43.41	41.72	38.78	39.83	41.53	43.68	50.07	45.70
21	37.81	37.20	41.68	45.16	47.46	45.73	46.46	43.46	41.88	38.89	40.13	41.70	44.44	50.57	45.96
22	37.72	37.29	42.01	45.63	47.53	45.84	46.65	43.59	41.96	38.98	40.44	41.86	45.18	51.05	46.21
23	37.74	37.47	42.00	45.90	47.68	45.98	46.82	43.67	42.06	39.14	40.65	42.12	45.82	51.51	46.46
24	37.70	37.64	42.24	46.11	47.83	46.01	47.01	43.72	42.17	39.25	40.81	42.37	46.37	51.85	46.63
25	37.87	37.79	42.37	46.21	47.84	46.95	47.64	43.78	42.27	39.33	40.97	42.59	46.91	52.08	46.84
26	38.04	37.90	42.49	46.36	47.84	47.04	47.83	43.73	42.40	39.42	41.16	42.88	47.42	52.22
27	38.23	38.01	42.68	46.60	47.82	47.13	47.84	43.79	42.45	39.48	41.33	43.12	47.86	52.34
28	38.31	38.06	42.66	46.73	47.85	47.36	47.97	43.89	42.46	39.57	41.42	43.33	48.28	52.61
29	38.38	38.21	42.78	46.80	47.99	47.41	47.92	44.03	42.48	39.60	41.47	43.66	48.69	52.71
30	38.49	38.38	42.85	47.11	48.18	47.67	47.85	44.04	42.68	39.81	41.52	44.02	48.96	52.77
31	38.58	38.45	42.90	47.40	48.31	47.63	47.93	44.06	42.67	40.09	41.67	44.37	49.29	52.96
32	38.79	38.54	43.03	47.68	48.44	47.66	47.90	44.24	42.66	40.13	41.67	44.73	49.63	53.08
33	38.98	38.59	43.16	48.11	48.52	47.76	47.84	44.23	42.67	40.15	41.68	45.39	49.84	53.33
34	39.07	38.62	43.26	48.17	49.68	48.08	47.76	44.21	42.67	40.21	41.71	45.73	50.30	53.48
35	39.20	38.75	43.50	48.19	49.72	48.18	47.73	44.40	42.67	40.27	41.80	46.07	50.56	53.58
36	39.33	38.86	43.59	48.22	49.72	48.23	47.74	44.33	42.87	40.29	41.88	46.40	50.75	53.65
37	39.49	38.94	43.69	48.27	49.68	48.24	47.73	44.33	42.91	40.30	42.01	46.65	50.87	53.70
38	39.63	39.01	43.77	48.22	49.70	48.34	47.72	44.26	42.92	40.30	42.14	46.91	50.99
39	39.74	39.06	43.81	48.29	49.70	48.28	47.68	44.24	43.09	40.31	42.23	47.17	51.20
40	39.95	39.14	43.85	48.39	49.72	48.38	47.04	44.33	43.11	40.34	42.33	47.39	51.28
41	40.04	39.24	43.88	48.38	49.85	48.37	47.60	44.58	43.29	40.46	42.48	47.63	51.34
42	40.13	39.35	43.95	48.38	49.90	48.37	47.53	44.68	43.25	40.64	43.01	47.83	51.43
43											43.69	48.02	51.55
(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 II: Auto Tracker Frequently Asked Questions

How do you define prime auto loan ABS?

We generally categorize prime auto loan ABS transactions as those backed by loan pools with initial ECNLs of 3.25% 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 annual percentage rates (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 cumulative net losses (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., DriveTime Automotive Group Inc., and America's Car-Mart 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 tables 4 and 5 above and "U.S. Auto Loan ABS Tracker: June 2023 Performance," published Aug. 15, 2023.

Related Research

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• Various Rating Actions Taken On Six Flagship Credit Auto Trust Transactions, Feb. 5, 2024
• Bulletin: No Rating Actions Taken On ACM Auto Trust 2023-2 Following Capital Contribution, Jan. 16, 2024
• Prestige Auto Receivables Trust 2022-1 Class E Rating To Remain On CreditWatch Negative, Jan. 25, 2024
• Economic Outlook U.S. Q1 2024: Cooling Off But Not Breaking, Nov. 27, 2023
• U.S. Auto Loan ABS Tracker: June 2023 Performance, Aug. 15, 2023
• Seniority Has Its Privileges: Some 2022 Subprime Auto ABS Senior Classes Upgraded Despite Weaker Collateral Performance, July 12, 2023

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