U.S. auto loan asset-backed securities (ABS) monthly prime and subprime performance statistics improved in March 2024 relative to February 2024 due to seasonal factors. Even with this seasonal bounce in performance, annualized losses and delinquencies increased relative to the March 2023 and March 2019 (pre-COVID-19) levels. In addition, S&P Global Ratings believes the same factors that have been contributing to higher static pool cumulative net losses (CNLs) in the subprime 2022 cohorts are now permeating the prime 2023 cohorts, including the effect of inflation on consumers (especially those buying used vehicles). The prime 2023 quarterly vintages are showing deterioration relative to 2022, with losses returning to, and in some transactions exceeding, pre-pandemic levels. However, subprime vintage static pool losses appear to have stabilized and are trending slightly lower than the 2022 levels on an aggregate basis.

Losses Fell Month Over Month, But Rose Year Over Year

Prime losses continued to improve month over month due to seasonal improvement in recovery rates, falling 5 basis points (bps) to 0.62% in March. However, losses were still above the March 2023 (0.35%) and the pre-pandemic March 2019 (0.54%) levels. Similarly, subprime annualized net losses dropped month over month to 7.55% from 8.04% due to higher recovery rates, but they remain higher than the March 2023 (5.97%) and March 2019 (7.13%) levels.

The top contributors to the month-over-month decline in subprime net losses were Westlake Automobile Receivables Trust (Westlake), Santander Drive Auto Receivables Trust (SDART), Flagship Credit Auto Trust (Flagship), Exeter Automobile Receivables Trust (Exeter), and American Credit Acceptance Receivables Trust (ACA).

Table 1

Net loss rate composite(i)
	Mar-10	Mar-15	Mar-16	Mar-17	Mar-18	Mar-19	Mar-20	Mar-21	Mar-22	Mar-23	Feb-24	Mar-24
Prime (%)	1.03	0.31	0.40	0.53	0.57	0.54	0.59	0.13	0.17	0.35	0.67	0.62
Subprime (%)	7.16	5.44	7.01	7.37	7.61	7.13	8.38	3.05	4.14	5.97	8.04	7.55
Subprime modified (%)(ii)	N/A	4.92	5.56	6.16	6.36	5.78	6.52	2.77	3.28	5.19	7.05	6.55
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Recoveries Improved For The Third Consecutive Month, Though Still Low

Prime recoveries increased month over month to 59.88% in March from 52.13% in February. But they were still lower than the March 2023 (69.34%) and March 2019 (60.91%) levels. Likewise, subprime recoveries improved to 44.64% in March from 39.45% in February, while remaining below the March 2023 (59.25%) and March 2019 (49.02%) levels.

February and March recovery rates likely benefitted from seasonal factors, including tax refunds. In addition, lenders that had been struggling with higher full balance charge-offs due to the lack of repossession agents have implemented strategies to move their vehicles to auction more quickly. To the extent those plans continue to payoff, they could partially offset the normal seasonal decline in used vehicle recovery rates we typically see as the year progresses.

Table 2

Recovery rate composite(i)
	Mar-10	Mar-15	Mar-16	Mar-17	Mar-18	Mar-19	Mar-20	Mar-21	Mar-22	Mar-23	Feb-24	Mar-24
Prime (%)	64.63	76.14	72.66	64.78	59.38	60.91	53.18	91.24	81.40	69.34	52.13	59.88
Subprime (%)	55.53	53.96	50.68	47.30	47.46	49.02	39.48	64.76	63.60	59.25	39.83	44.56
Subprime modified (%)(ii)	N/A	53.98	52.05	48.10	46.60	48.35	39.48	60.32	62.78	57.40	39.45	44.64
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Delinquencies See Churn Uptick, Despite Relative Improvement Month Over Month

Delinquencies improved marginally for both prime and subprime, but they are still above the March 2023 and March 2019 levels. Issuers have confirmed that delinquent consumers (especially those who have used vehicle loans) are finding it more difficult to become current after a financial hardship, given the much higher monthly payments they are carrying relative to previous years. Many of these consumers can resume their payments after a temporary setback, but they simply cannot pay multiple installments within one month (which is required to bring the loans current). As a result, lenders are seeing more customers who "churn" in delinquency status but don't default, at least for the time being.

Higher delinquencies don't bode well for future performance, especially if unemployment rises or the cost of food, rent, or insurance continues to squeeze the pocketbooks of many. However, we also note that those obligors who are homeowners and have locked in low mortgage rates are likely much more insulated from inflationary pressures than renters, all else equal.

The prime 60-plus-day delinquency rate slid to 0.51% in March from 0.54% in February, though it remained 17 bps higher than the March 2019 level of 0.34%. Similarly, the subprime 60-plus-day delinquency rate decreased to 5.19% in March from 5.49% in February, while remaining above the March 2019 (4.35%) and March 2023 (4.64%) levels.

Table 3

60-plus-day delinquency rate composite(i)
	Mar-10	Mar-15	Mar-16	Mar-17	Mar-18	Mar-19	Mar-20	Mar-21	Mar-22	Mar-23	Feb-24	Mar-24
Prime (%)	0.51	0.32	0.38	0.36	0.35	0.34	0.41	0.23	0.32	0.41	0.54	0.51
Subprime (%)	3.16	3.40	3.81	4.04	4.28	4.35	5.06	2.66	3.87	4.64	5.49	5.19
Subprime modified (%)(ii)	N/A	3.00	3.10	3.03	3.18	3.15	3.55	1.79	2.62	3.68	4.75	4.54
(i)Represents 60-plus-day delinquencies. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Extensions: Prime Rose Year Over Year While Subprime Dipped

The weighted average prime extension rate dipped marginally month over month to 0.45% in March from 0.47% in February, but it was still higher than the March 2023 (0.36%) level. In contrast, the weighted average extension rate for public subprime shelves decreased to 1.94% in March from 2.07% in February and from 2.11% in March 2023. The weighted average extension rate for 144a subprime shelves also declined year over year to 3.70% from 3.99%. Almost all prime and subprime issuers reported month-over-month declines in their extension rates.

Among subprime issuers, America's Car-Mart has the highest extension rates, but these are also inclusive of other types of modifications.

Collateral Characteristics: Longer-Term Loans And APRs Continued To Increase

Prime

Prime collateral characteristics were mixed in first-quarter 2024, compared with first-quarter 2023. On the positive side, the proportion of used vehicle loans declined, while the weighted average FICO score increased. However, the loan-to-value (LTV) ratio rose slightly, as did the percentage of loans with original terms of 73-84 months. We believe issuers--particularly banks and credit unions--will continue to expand their longer-term offerings as higher funding costs drive higher loan annual percentage rates (APRs).

As of first-quarter 2024, the year-over-year changes in the prime collateral include the following:

• The weighted average FICO score increased to 757 from 754, though it was lower than the 760 for full-year 2023.
• Used vehicles declined to 34.06% from 42.51% and were nearly on par with 33.78% in 2023.
• The weighted average LTV ratio increased to 98.55% from 97.13% and 97.26% in 2023.
• The weighted average APR rose to 6.89% (the highest level since 2001) from 5.37% and 5.64% in 2023.
• The overall weighted average maturity rose to 68.57 months from 67.42 months and 67.52 in 2023, and
• Loans with original maturities of 76-84 months rose to 11.49% of the total pool from 4.26%.

Loans with 76-84 months of maturity continued to increase. In the first quarter, three issuers had a substantial percentage of these loans in their transactions: Citizens Auto Receivables Trust (49.88%), SFS Auto Receivables Securitization Trust (40.88%), and GM Financial Consumer Automobile Receivables Trust (20.72%).

When examining the risks these longer-term loans pose, we review the loans' other collateral characteristics, such as their weighted average LTV ratios, FICO scores, and seasoning, and the extent to which they are offered for used vehicles, which tend to have higher default rates. We also analyze issuer-provided static pool performance by loan term and determine loss proxies for the different term buckets.

Subprime

It is difficult to draw too many conclusions when comparing the first-quarter subprime data for 2024 to that of the same quarter a year earlier due to changes in pool composition. For example, first-quarter 2023 data included two pools from Westlake (represented 37% of our index that quarter), which had significantly lower percentages of loans with original maturities greater than 60 months than its peers, while the 2024 first quarter data has only one Westlake transaction (20% of our index for that quarter). Due to this change in composition, the percentage of loans with original terms greater than 60 months rose to a more normal 84.81% in first-quarter 2024 from an unusually low of 79.59% a year earlier.

However, an interesting observation based on the annual data is that the average loan term for subprime auto loans has lengthened only 1.24 months between 2016 and 2023 (68.52 months to 69.76 months), though it increased by 3.2 months (64.32 months to 68.57 months) for prime loans during the same period. Consumers are facing higher monthly payments because lenders are being cautious and are not extending original loan terms to the same extent that vehicle prices and interest rates have increased since 2019.

As of first-quarter 2024, the year-over-year changes in the subprime collateral include the following.

• The weighted average FICO score decreased to 597 from 607.
• The weighted average LTV ratio dipped to 110.64% from 112.03% and 112.70% in 2023. We noted inconsistencies in the reporting of LTV ratios in the data issuers have provided to us. For example, certain issuers (namely, Lendbuzz) provide LTV measured as the financed amount over the sales price of the vehicle, as opposed to the more standard approach of using a wholesale-based denominator for used vehicles and dealer invoice for new vehicles.
• The weighted average APR rose to 20.25% from 16.90%.
• The overall weighted average original maturity increased to 69.45 months from 68.73 months and 69.76 months in 2023.
• The proportion of loans with original terms of 76-84 months declined to 0.31% from 5.68% due to the absence of AmeriCredit in the first-quarter 2024. Of the subprime issuers, AmeriCredit has the highest percentage of 76-84 month loans in its pools (19.75% for its first-quarter 2023 pool). Even so, AmeriCredit tends to have lower CNLs than its peers.

Static Pool Performance And Auto Loan Static Index (ALSI)

The tide is changing. Prime pools are showing weakness in their 2023 cohorts, while certain subprime pools are reporting improved performance.

Prime

The 2023 prime quarterly vintages are reporting significantly higher cumulative gross and net losses than the 2022 annual cohorts. These losses are in line with or worse than the 2016 vintage, which was the last vintage largely unaffected by COVID-19 stimulus (see charts 11 and 12). The increase in losses is due to some frequent issuers incurring higher losses on these more recent transactions. As a result, we have revised and raised our expected CNL on certain CarMax (series 2023-1 and 2023-1) and Mercedes (series 2022-1 and 2023-1) transactions. All ratings were affirmed despite the revisions. The higher index losses are also attributable to newer entrants into the market, including some credit unions; Stellantis Financial Services (SFS), which is already reporting CNL of 1.01% at month 10 (compared with an original expected CNL of 3.0%; and Volkswagen (VW) 2023-1, which is reporting CNL of 0.84% at month 11 (compared with an original expected CNL of 0.95%). (For issuer-specific CNL performance, see charts 19-39.)

The 2023 quarterly vintages are also starting off with worse-than-usual cumulative recovery rates (CRRs) and 60-plus-day delinquency levels (see charts 13 and 14). The quarterly CRRs for the 2023 vintages are below the pre-pandemic levels. For example, the 40.24% CRR for month 10 for the second-quarter 2023 vintage is significantly below the 47.08%-50.24% CRR for the 2016-2019 vintages at the same point. Seven issuers reported CRRs below 40% at month 10 for this vintage: Toyota (37%), Nissan (36%), CarMax (33%), Citizens (33%), Hyundai (31%), Carvana (27%), and Veridian (26%). The 60-plus-day delinquency rates for the 2023 quarterly vintages are also trending higher than pre-pandemic levels.

We believe the factors that have been contributing to higher losses in the subprime 2022 cohort have now found their way into the prime 2023 cohorts. These factors include the effect of inflation on consumers (especially those buying used vehicles), lower recovery rates, and lenders being more aggressive with lending standards either to help their parent manufacturer sell more vehicles or expand into new lending markets, which has been the case with certain credit unions.

The 2022 prime quarterly vintages continue to report higher losses than the 2020 and 2021 vintages due to higher gross defaults and lower CRRs. The CRR was 48.68% in month 16 and is lower than the 2016-2021 levels (but remains higher than the 2008 level of 47.66% at the same seasoning point). Still, the 2022 vintage's CNLs remain below those for the 2016-2019 vintages, at the least for the time being. Given the early bend in the 2018 and 2019 CNL curves due to COVID-19 stimulus, we believe losses on the 2022 vintage will likely exceed those from 2019 and possibly 2018, depending on the issuer and economic conditions.

Subprime

Unlike its prime counterpart, the subprime index is reporting improvement in its 2023 quarterly vintages relative to 2022. For example, the first-quarter 2023 vintage experienced CNL of 5.29% at month 13, compared with 5.95% for 2022 at the same month. Similarly, the second-quarter 2023 vintage has CNLs of 4.28% at month 10, compared with 4.39% for 2022 at the same month; and the third-quarter 2023 vintage has CNLs of 2.10% at month 7 versus 2.63% for 2022 at the same month. The fourth-quarter 2023 vintage has only three months of performance data, but it is also performing inside of 2022. The CNL improvement for the 2023 quarterly vintages is largely due to lower cumulative gross losses (CGLs) because recoveries remain depressed relative to the levels reported on the 2022 vintage (see charts 15a, 16, and 17). We believe the lower defaults stem from certain issuers tightening their credit standards by reducing or eliminating lending to their lowest credit tiers. (For issuer-specific CNL performance, see charts 40-57).

CNLs on the 2022 vintage have exceeded those from 2016 and 2017 (see chart 15a). Much of the weakness in the 2022 vintage's performance can be attributed to inflationary pressure on lower income consumers, lenders returning to pre-pandemic lending standards, credit score inflation, and lower recovery rates.

Delinquencies remain elevated on the 2021, 2022, and second-quarter 2023 vintages. Since seasonality may affect quarterly vintages, we also reviewed quarterly performance on a year-over-year basis. However, even on this basis, the second-quarter 2023 vintage is demonstrating higher 60-plus-day delinquencies, which rose to 5.60% at month 10 from 4.67% as of the second-quarter 2022. Three issuers reported higher 60-plus-day delinquencies on their second-quarter 2023 vintages relative to the second-quarter 2022: CPS, Flagship, and GLS. In contrast, ACA and Exeter have reported substantially lower late payments year over year for the second-quarter 2023 cohort. We believe the elevated delinquencies can be attributed to the increased churn rate of delinquent accounts.

Issuer-Specific CNL Performance:

The 2023 vintage is becoming a transitional one for the prime segment, with several issuers reporting higher-than-historical CNLs. It is also turning out to be a pivotal year for those subprime issuers that had the most egregious performance on their 2022 deals, which included having some of their subordinate classes from that vintage placed on CreditWatch with negative implications. Most of these issuers have since tightened their credit standards and are reporting improved performance on their 2023 issuances relative to 2022.

Prime

As of March, we note the following:

• Of the 16 issuers that securitized in both 2022 and 2023, 88% (14) are reporting higher losses on their 2023 vintages. However, the degree of deterioration varies by issuer.
• Losses on the 2023 vintages for most of the captives and banks remain in line with or below those reported on their 2016 pre-pandemic vintages (or 2017 in the case of GM Financial--its first issuance year as a captive)
• Five issuers reported higher CNLs for their 2023 vintages relative to their 2016 historical levels: Ally, CarMax, Harley, Mercedes, and VW (relative to 2018 levels as it didn't issue in 2016). We recently revised and raised our expected CNL (ECNLs) for CarMax and Mercedes, and affirmed our ratings on the affected transactions (see Related Ratings list below).
• Ally's higher losses are due to changes in its pool mix. Its series 2023-1 transaction includes a higher percentage of used vehicles (about 60% versus only 30% for the 2016 issuances) and a slightly lower weighted average FICO score than its 2016 pools (730 versus 740). Ally also added a new, slightly lower credit quality shelf with a letter demarcation (series 2023-A), distinguishing it from its numbered deals (series 2016-1 to 2024-1). The series 2023-A transaction differs from series 2023-1 by having a higher percentage of used vehicles (70% versus approximately 60%), a slightly higher LTV ratio (105% versus approximately 95%), and more 76-84 month loans (25% versus 6%). The weaker credit quality of series 2023-A pool is evidenced in its higher CNLs, which was accounted for in our ECNL of 2.15% for the transaction.

Subprime

As of March, we note the following:

• Of the 15 issuers that securitized in both 2023 and 2022, six (40%) reported stable to lower CNLs on their 2023 quarterly vintages compared with their 2022 vintage. Four issuers reported lower losses: ACA, Exeter, Prestige, and UAC. These four issuers also had some subordinate classes from their 2022 issuances on CreditWatch negative (which resulted in some downgrades). Flagship, which also had some transactions on CreditWatch negative, is showing mixed results, with certain deals performing in line to better than 2022, except series 2023-2, which is performing worse.
• Even with the recent improvements in losses for those five companies noted above, they are still reporting higher CNLs on their 2023 vintages compared with those in 2016.
• Two issuers reported stable to slightly lower average losses relative to 2022: SDART and Westlake.
• Six issuers reported higher CNLs on their 2023 vintages than the 2022 vintages: AmeriCredit, Carvana, CPS, First Investor, Foursight, and Lendbuzz. In addition, DriveTime's and GLS' first-half 2023 vintages are performing worse than their 2022 vintages, but their second-half 2023 vintages are performing better than 2022 (though it is still early). Of the issuers reporting higher 2023 losses, AmeriCredit's and DriveTime's loss levels remained below their average for the 2016 vintages.

Auto Loan ABS Rating Activity/Revised Loss Expectations

In April 2024, we reviewed four transactions and raised our loss expectations on all four. Overall, our review resulted in one upgrade and 18 affirmations, as well one rating removed from CreditWatch. As of April 30, we have made 33 upgrades and five downgrades on U.S. auto loan ABS transactions year to date.

Table 6

Surveillance actions
		Rating action (by class)							ECNL (no. of transactions)
Date	Issuer	Transactions reviewed	Upgrades	Downgrades	Affirmations	CreditWatch	Removed from Credit Watch	CreditWatch extended	Increased	Decreased	Maintained
	Prime
4/29/2024	CarMax Auto Owner Trust	2			14				2
4/12/2024	Santander Consumer Auto Receivables Trust	1	1		3				1
	Subprime
4/26/2024	Prestige Auto Receivables Trust	1			1		1		1
Total		4	1	0	18	0	1	0	4	0	0
ECNLs--Expected cumulative net losses.

Table 7

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)	33	5
Total	3379	32
(i)As of April 30, 2024. ABS--Asset-backed securities.

Table 8

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 April 30, 2024. ABS--Asset-backed securities.

Table 9

Prestige Auto Receivables Trust
Series	Original lifetime CNL exp.	Previous revised lifetime CNL exp.(i)	Current revised lifetime CNL exp.(ii)
2022-1	16.00	24.00-25.00	29.00-30.00
(i)Revised in October 2023. (ii)As of the April 2024 distribution date. CNL exp.--Cumulative net loss expectation.

Table 10

CarMax Auto Owner Trust
Series	Original lifetime CNL exp.	Current revised lifetime CNL exp.(i)
2023-1	2.25-2.35	3.20
2023-2	2.25-2.35	3.20
(i)As of the April 2024 distribution date. CNL exp.--Cumulative net loss expectations.

Table 11

Santander Consumer Auto Receivables Trust
Series	Original lifetime CNL exp.	Previous revised lifetime CNL exp.(i)	Current revised lifetime CNL exp.(ii)
2020-B	5.00-6.00	1.00	up to 1.05
(i)Revised in August 2023. (ii)Revised April 2024. CNL exp.--Cumulative net loss expectations.

Appendix I

Table 12

Prime cumulative net 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	Q4 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15
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	19.35
Month
1	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.01	0.00	0.00	0.00	0.01	0.01	0.01
2	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.01	0.02	0.02	0.01	0.01	0.01	0.01	0.01	0.01	0.02
3	0.04	0.05	0.05	0.03	0.02	0.02	0.03	0.03	0.03	0.04	0.04	0.04	0.04	0.03	0.02	0.02	0.03	0.04	0.04	0.05
4	0.09	0.11	0.09	0.06	0.05	0.04	0.05	0.05	0.07	0.07	0.07	0.08	0.07	0.05	0.04	0.05	0.05	0.07	0.08	0.09
5	0.15	0.19	0.14	0.09	0.07	0.06	0.08	0.08	0.10	0.11	0.11	0.11	0.11	0.08	0.06	0.08	0.08	0.13	0.12
6	0.22	0.27	0.18	0.12	0.09	0.08	0.11	0.11	0.13	0.15	0.15	0.15	0.15	0.11	0.09	0.11	0.12	0.17	0.17
7	0.29	0.35	0.23	0.15	0.12	0.10	0.14	0.14	0.16	0.19	0.18	0.18	0.19	0.13	0.11	0.14	0.15	0.22
8	0.35	0.44	0.28	0.18	0.15	0.12	0.17	0.17	0.20	0.23	0.22	0.21	0.22	0.15	0.13	0.17	0.19	0.27
9	0.42	0.53	0.33	0.21	0.17	0.15	0.20	0.20	0.23	0.26	0.25	0.24	0.25	0.17	0.15	0.20	0.23	0.32
10	0.50	0.63	0.37	0.24	0.19	0.17	0.22	0.22	0.26	0.30	0.29	0.27	0.28	0.18	0.17	0.23	0.28	0.37
11	0.58	0.72	0.41	0.26	0.22	0.19	0.25	0.24	0.29	0.34	0.32	0.30	0.31	0.19	0.19	0.26	0.33
12	0.67	0.81	0.45	0.29	0.24	0.21	0.28	0.27	0.32	0.38	0.35	0.33	0.34	0.20	0.21	0.30	0.37
13	0.75	0.90	0.48	0.31	0.27	0.23	0.30	0.29	0.35	0.41	0.39	0.36	0.37	0.21	0.23	0.33	0.42
14	0.84	0.98	0.51	0.34	0.29	0.26	0.33	0.32	0.38	0.45	0.42	0.39	0.39	0.22	0.26	0.36
15	0.93	1.07	0.54	0.36	0.31	0.28	0.36	0.34	0.41	0.48	0.45	0.42	0.41	0.23	0.28	0.39
16	1.02	1.14	0.58	0.38	0.33	0.30	0.38	0.37	0.43	0.51	0.48	0.45	0.43	0.24	0.30	0.42
17	1.12	1.22	0.61	0.40	0.35	0.32	0.40	0.39	0.46	0.54	0.50	0.48	0.45	0.25	0.32
18	1.21	1.29	0.64	0.42	0.37	0.33	0.43	0.42	0.48	0.57	0.53	0.50	0.46	0.26	0.34
19	1.30	1.36	0.67	0.44	0.39	0.35	0.45	0.44	0.51	0.60	0.55	0.53	0.47	0.27	0.36
20	1.39	1.43	0.69	0.46	0.41	0.37	0.47	0.46	0.53	0.62	0.58	0.55	0.48	0.28	0.38
21	1.47	1.49	0.72	0.47	0.43	0.38	0.49	0.48	0.55	0.65	0.60	0.58	0.49	0.29	0.40
22	1.56	1.55	0.74	0.49	0.44	0.40	0.50	0.50	0.57	0.67	0.62	0.60	0.50	0.30	0.41
23	1.63	1.60	0.76	0.50	0.46	0.41	0.52	0.52	0.60	0.70	0.64	0.61	0.51	0.30	0.43
24	1.71	1.65	0.77	0.51	0.47	0.43	0.54	0.54	0.62	0.72	0.66	0.63	0.51	0.31	0.45
25	1.78	1.69	0.79	0.53	0.49	0.44	0.55	0.55	0.64	0.74	0.68	0.64	0.52	0.32	0.47
26	1.84	1.73	0.80	0.54	0.50	0.45	0.57	0.57	0.65	0.76	0.70	0.65	0.53	0.32	0.48
27	1.91	1.76	0.82	0.55	0.52	0.46	0.58	0.58	0.67	0.78	0.71	0.67	0.53	0.33	0.50
28	1.97	1.79	0.83	0.56	0.53	0.47	0.59	0.60	0.69	0.80	0.73	0.68	0.54	0.34	0.51
29	2.02	1.82	0.84	0.57	0.54	0.48	0.61	0.62	0.70	0.81	0.74	0.68	0.54	0.35
30	2.07	1.85	0.85	0.57	0.55	0.49	0.62	0.63	0.72	0.83	0.76	0.69	0.54	0.35
31	2.11	1.88	0.86	0.58	0.56	0.50	0.63	0.65	0.73	0.84	0.78	0.69	0.54	0.36
32	2.15	1.91	0.87	0.59	0.57	0.50	0.64	0.66	0.74	0.85	0.79	0.69	0.55	0.37
33	2.18	1.95	0.89	0.52	0.58	0.51	0.65	0.67	0.75	0.86	0.81	0.70	0.55	0.37
34	2.21	1.97	0.90	0.53	0.59	0.52	0.66	0.68	0.76	0.87	0.82	0.70	0.55	0.37
35	2.24	1.98	0.91	0.53	0.60	0.52	0.66	0.70	0.77	0.88	0.83	0.70	0.56	0.38
36	2.27	2.01	0.92	0.54	0.61	0.53	0.67	0.71	0.77	0.89	0.84	0.70	0.56	0.38
37	2.30	2.16					0.68	0.71	0.78	0.90	0.85	0.70	0.56	0.39
38	2.32	2.17					0.68	0.72	0.79	0.92	0.86	0.70	0.56	0.39
39	2.34	2.19					0.69	0.73	0.79	0.93	0.86	0.70	0.57	0.39
(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 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	Q4 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	7.75
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	0.00
2	0.03	0.04	0.07	0.05	0.03	0.03	0.03	0.03	0.03	0.06	0.06	0.03	0.03	0.02	0.03	0.03	0.03	0.02	0.04	0.02
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	0.12
4	0.38	0.40	0.73	0.50	0.37	0.41	0.41	0.41	0.44	0.55	0.52	0.39	0.42	0.29	0.41	0.60	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	0.93
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	1.47
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	2.10
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	3.07
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	3.72
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	4.28
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	4.27
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	4.81
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	5.29
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	6.47
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	6.90
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	7.49
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	7.54
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	7.77
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	8.00
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	6.13
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	6.22
40	14.23	15.12	9.33	8.78	7.37	9.50	10.66	11.60	13.70	13.56	13.03	10.27	8.26	6.31
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 14

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	Q4 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15
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	19.35
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	0.03
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	0.05
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	0.10
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	0.11	0.17
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	0.17
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	0.24
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	0.43
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	0.52
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	0.61
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	0.62
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	0.71
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	0.80
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	0.65
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	0.71
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	0.78
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	1.02
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	1.06
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	1.09
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	1.02
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	1.04
(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 15

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	1.20
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	1.91
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	2.77
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	4.09
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	5.06
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	5.97
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	6.06
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	6.86
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	7.64
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	9.82
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	10.54
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	11.48
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	13.86
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	14.30
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	14.72
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	13.05
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	13.26
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	13.44
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 16

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	Q4 2023
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15
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	19.35
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	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	0.16
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	0.23
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	0.29	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	0.34
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	0.39
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	0.44
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	0.44
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	0.45
11	0.41	0.45	0.33	0.22	0.26	0.26	0.32	0.26	0.33	0.34	0.33	0.30	0.31	0.20	0.38	0.44	0.53
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	0.58
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	0.57
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	0.54
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	0.55
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	0.58
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	0.71
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	0.73
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	0.77
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	0.60
39	1.21	1.09					0.96	0.72	0.74	0.71	0.56	0.45	0.61	0.62
(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 17

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	Q4 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	7.75
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	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	0.95
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	2.33
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	3.43
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	3.87
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	3.81
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	5.74
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	6.05
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	5.60
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	3.85
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	4.05
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	3.93
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	5.81
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	6.06
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	6.31
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	6.62
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	6.86
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	6.94
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	5.86
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	5.83
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	5.90
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 18

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	15.71
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	38.62
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	35.33
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	32.44
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	34.83
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	36.72
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	37.12
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	38.27
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	40.24
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	46.73
12	46.96	45.26	51.66	57.02	63.29	57.98	54.79	55.30	48.51	48.28	49.22	51.41	48.30	56.90	53.21	45.96	47.63
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	48.25
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	47.65
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	48.18
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	48.68
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	56.72
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	56.91
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	57.08
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	65.96
39	51.08	54.71					60.74	60.10	56.87	55.71	55.84	59.80	63.03	66.16
(i)Starting this month, we have extended the performance data for the recent vintages (2013 onwards) to 39 months to account for the lengthening of loan terms. (ii)Beginning in 2016, we included data from transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 19

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	Q4 2023
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	7.75
Month
1	50.45	4.68	26.37	13.24	38.17	34.26	48.95	26.51	19.69	15.39	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
2	52.67	16.20	33.03	40.00	48.39	49.13	50.63	44.56	42.02	31.09	27.69	35.86	37.57	29.60	35.62	28.05	29.98	7.85	24.92	18.41
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	21.16
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	22.50
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	23.45
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	24.66
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	25.08
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	26.87
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	28.80
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	30.53
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	30.92
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	31.61
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	35.18
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	35.64
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	35.90
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	46.97
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	47.03
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	47.10
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	53.76
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	53.79
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	53.79
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 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 dilute 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, such as 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 America's Car-Mart, 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 detailing the weighting of issuers in our prime and subprime composites and indices, see "U.S. Auto Loan ABS Tracker: June 2023 Performance," published Aug. 15, 2023, and "U.S. Auto Loan ABS Tracker: Full-Year And December 2023 Performance," published Feb. 13, 2024.

Related Research

• Prestige Auto Receivables Trust 2022-1 Class E Rating Affirmed And Removed From CreditWatch Negative, April 26, 2024
• Fourteen Ratings Affirmed on Two CarMax Auto Owner Trust Transactions, April 29, 2024
• Santander Consumer Auto Receivables Trust 2020-B, April 15, 2024
• 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:	Siddhesh Pai, CRISIL Global Analytical Center, an S&P affiliate, Mumbai