Losses Fell Month Over Month

Prime annualized net losses fell marginally month over month to 0.74% in November 2024 from 0.76% in October 2024, but they remained above the 0.67% in November 2023 and the 0.67% in November 2019. Of the 27 issuers that had outstanding transactions with at least four months of performance in both November 2023 and November 2024, 21 reported higher weighted average losses and six reported lower weighted average losses. The top four contributors to higher year-over-year losses in the composite were Chase Auto Owner Trust (Chase), SFS Auto Receivables Securitization Trust (Stellantis Finance), Citizens Auto Receivables Trust (Citizens), and GM Financial Consumer Automobile Receivables Trust (GM Financial). For Chase and Citizens, the primary reasons for higher losses was an increase in the number of transactions outstanding and the fact that these securitizations are in the their peak loss periods. For GM Financial, its losses are normalizing from abnormally low levels.

Annualized subprime losses also decreased month over month to 9.14% in November 2024 from 9.50% in October 2024, and remained above the 8.82% in November 2023 and the 8.80% in November 2019. Of the 17 issuers that had outstanding transactions with at least four months of performance as of November 2023 and November 2024, 11 reported higher losses and six reported lower weighted average losses. The top three contributors were Santander Drive Auto Receivables Trust (SDART), Prestige Auto Receivables Trust, and Drive Auto Receivables Trust (DRIVE). For SDART and DRIVE, the higher losses were primarily due to a normalization in performance.

Table 1

Net loss rate composite(i)
	Nov-10	Nov-15	Nov-16	Nov-17	Nov-18	Nov-19	Nov-20	Nov-21	Nov-22	Nov-23	Oct-24	Nov-24
Prime (%)	0.85	0.51	0.64	0.65	0.58	0.67	0.40	0.33	0.45	0.67	0.76	0.74
Subprime (%)	6.58	8.78	9.70	8.84	9.34	8.80	4.88	4.57	8.37	8.82	9.50	9.14
(i)Represents monthly annualized losses.

Prime And Subprime Recoveries Decreased Month Over Month

Prime sector recoveries decreased month over month to 52.40% in November 2024 compared with 54.92% in October 2024. However, although recoveries improved year over year compared with 49.30% in November 2023, they are still lower than the 53.52% in November 2019.

Subprime recoveries also decreased month over month to 35.08% in November 2024 from 36.37% in October 2024, and they remained lower than the 36.75% in November 2023 and 38.81% in November 2019.

Table 2

Recovery rate composite(i)
	Nov-10	Nov-15	Nov-16	Nov-17	Nov-18	Nov-19	Nov-20	Nov-21	Nov-22	Nov-23	Oct-24	Nov-24
Prime (%)	58.33	60.13	55.14	51.16	56.56	53.52	69.32	72.41	66.05	49.30	54.92	52.40
Subprime (%)	40.75	37.77	37.39	37.38	37.86	38.81	49.00	50.07	39.13	36.75	36.37	35.08
(i)Represents monthly annualized losses.

60-Plus-Day Delinquencies Rose Slightly Month Over Month

Prime sector 60- and 30-plus-day delinquencies rose marginally month over month to 0.58% and 1.89% in November 2024 from 0.56% and 1.86%, respectively. However, they decreased slightly year over year from 0.60% and 1.96%, respectively.

Subprime sector 60-plus-day delinquencies also rose month over month to 6.01% in November 2024 from 5.87% in October 2024, and declined marginally year over year from 6.03% in November 2023. Subprime 30-plus-day delinquencies increased month over month to 15.91% in November 2024 from 15.79% in October 2024, but decreased year over year from 16.13% in November 2023.

Table 3

60-plus-day delinquency rate composite(i)
	Nov-10	Nov-15	Nov-16	Nov-17	Nov-18	Nov-19	Nov-20	Nov-21	Nov-22	Nov-23	Oct-24	Nov-24
Prime (%)	0.59	0.48	0.48	0.45	0.42	0.45	0.36	0.40	0.51	0.60	0.56	0.58
Subprime (%)	3.58	4.93	5.40	5.23	5.49	5.41	4.04	4.41	5.76	6.03	5.87	6.01
(i)Represents 60-plus-day delinquencies.

Table 4

30-plus-day delinquency rate composite(i)
	Nov-19	Nov-20	Nov-21	Nov-22	Nov-23	Oct-24	Nov-24
Prime (%)	1.52	1.25	1.36	1.60	1.96	1.86	1.89
Subprime (%)	14.50	11.46	12.25	15.34	16.13	15.79	15.91
(i)Represents 30-plus-day delinquencies.

Extensions: Prime And Subprime Extensions Decreased Month Over Month But Remain Higher Year Over Year

Prime extensions

The weighted average prime extension rate decreased month over month to 0.70% in November from 0.89% in October, but it rose substantially from 0.53% in November 2023.

Seventeen (81%) of the 21 prime issuers saw a decline in month-over-month extensions:

• The three highest reported declines were GTE Federal Credit Union (fell 74 basis points [bps] to 0.18% from 0.92%), World Omni (60 bps to 0.76% from 1.36%), and CarMax Auto Owner Trust (CarMax; 49 bps to 1.51% from 1.99%).
• Only one issuer reported materially higher month-over-month extensions: Veridian Credit Union (rose 14 bps to 0.96% from 0.82%).

Of the 15 issuers with at least four months of data for both November 2023 and November 2024, 12 (80%) reported higher extensions year over year:

• The three highest reported year-over-year increases were CarMax (rose 49 bps to 1.51% from 1.02%), Mercedes-Benz Auto Receivables Trust (MBART; 42 bps to 1.29% from 0.87%), and Carvana Prime (38 bps to 0.82% from 0.44%).
• The two highest reported absolute extension levels in November 2024 were CarMax (1.51%) and Mercedes-Benz (1.29%).

We believe the increase in year-over-year extensions is due to consumers taking on more debt at higher interest rates and facing affordability issues. For instance, vehicle payments and other basic living expenses, such as auto and home insurance premiums, have risen significantly since before the COVID-19 pandemic. The increase in extensions is also related to certain lenders adopting more accommodating extension policies. For example, CarMax Auto Finance noted in its third-quarter earnings call that it is testing an enhancement to its extension policy that would allow delinquent customers to take greater advantage of a payment extension. While the company has indicated that early performance results are encouraging, it also recognizes that some customers will eventually return to delinquency, which would result in charge-offs, and has reserved accordingly. Other lenders are also providing more accommodating extension policies for obligors who are experiencing temporary hardship.

Table 5a

Prime issuer extensions (%)
Based on dollar balance
	Nov 2019	Nov 2020	Nov 2021	Nov 2022	Nov 2023	Oct 2024	Nov 2024
Ally	0.35	0.85	0.43	0.55	0.76	0.82	0.72
BMW	0.17	0.29	0.17	0.11	0.01	0.38	NA
Capital One	0.01	0.30	0.07	0.05	0.07	0.13	0.11
CarMax	0.45	0.63	0.36	0.67	1.02	1.99	1.51
Carvana Prime	N/A	N/A	0.12	0.28	0.44	1.02	0.82
Citizens	N/A	N/A	N/A	N/A	N/A	0.34	0.28
Ent Credit Union (ENT)	N/A	N/A	N/A	N/A	N/A	0.10	0.15
Ford Credit	0.85	1.30	0.75	0.98	1.04	1.48	1.28
General Electric Credit Union (GECU)	N/A	N/A	N/A	N/A	N/A	0.07	0.09
GM Financial	0.35	0.39	0.24	0.34	0.37	0.63	0.52
GTE Federal Credit Union	N/A	N/A	N/A	N/A	N/A	0.92	0.18
Harley-Davidson	0.26	0.55	0.27	0.49	0.48	0.73	0.55
Honda	0.15	0.32	0.08	0.13	0.18	0.31	0.20
Hyundai	0.34	0.38	0.25	0.42	0.49	0.68	0.59
Mercedes-Benz	0.16	0.49	0.25	0.48	0.87	1.30	1.29
Nissan	0.67	0.90	0.31	0.33	0.32	0.38	0.30
Oregon Community Credit Union (OCCU)	N/A	N/A	N/A	N/A	N/A	1.23	1.08
Space Coast Credit Union (SCCU)	N/A	N/A	N/A	N/A	N/A	0.66	0.25
Toyota	0.35	0.40	0.16	0.27	0.36	0.46	0.41
Veridian Credit Union	N/A	N/A	N/A	N/A	N/A	0.82	0.96
Volkswagen	0.16	0.12	0.11	0.14	0.20	0.42	0.36
World Omni	0.55	0.50	0.30	0.64	0.55	1.36	0.76
Prime average	0.40	0.55	0.37	0.42	0.53	0.89	0.70
Ally--Ally Auto Receivables Trust. CarMax--CarMax Auto Owner Trust. Carvana--Carvana Auto Receivables Trust. ENT--Ent Auto Receivables Trust. GECU--GECU Auto Receivables Trust. GM Financial--GM Financial Consumer Automobile Receivables Trust. GTE--GTE Auto Receivables Trust. Hyundai--Hyundai Auto Receivables Trust. Mercedes-Benz--Mercedes-Benz Auto Receivables Trust. OCCU--OCCU Auto Receivables Trust. SCCU--SCCU Auto Receivables Trust. Toyota--Toyota Auto Receivables Owner Trust. USAA--USAA Auto Owner Trust. Veridian--Veridian Auto Receivables Trust. Volkswagen--Volkswagen Auto Loan Enhanced Trust. World Omni--World Omni Auto Receivables Trust. NA--Not available. N/A--Not applicable.

Table 5b

Nonprime/subprime issuer extensions (%)
Based on dollar balance
	Nov 2019	Nov 2020	Nov 2021	Nov 2022	Nov 2023	Oct 2024	Nov 2024
American Credit Acceptance	3.83	3.17	2.28	2.82	3.32	3.45	3.04
ACM	N/A	N/A	N/A	N/A	7.74	6.45	6.48
AmeriCredit	2.87	2.77	2.30	3.00	3.07	4.13	3.39
Carvana subprime	N/A	N/A	1.04	2.37	2.71	3.85	3.36
CPS	4.81	4.13	3.55	3.68	5.31	5.40	4.73
Drive	1.71	5.26	1.48	2.02	1.76	3.15	2.50
DriveTime(i)/ Bridgecrest	2.12	2.07	2.68	3.26	3.30	4.08	4.24
Exeter	4.66	5.62	3.81	3.81	5.40	7.08	4.99
First Help Financial	N/A	N/A	N/A	N/A	N/A	0.24	0.13
First Investors	3.57	2.22	1.92	3.28	3.15	4.05	2.98
Flagship Credit	2.84	3.43	3.82	4.05	4.39	5.11	4.10
Foursight Capital	N/A	N/A	N/A	N/A	1.29	3.68	1.99
GLS	3.66	3.23	3.27	3.82	3.41	4.36	3.05
GLS Select	N/A	N/A	N/A	N/A	N/A	1.61	1.28
Driveway Finance (subsidiary of Lithia)	N/A	N/A	N/A	N/A	N/A	0.59	0.31
Lendbuzz	N/A	N/A	N/A	N/A	N/A	1.10	0.77
Prestige	2.35	2.66	2.97	4.07	4.73	4.14	4.07
SDART	1.38	3.93	1.23	1.53	1.35	2.80	2.18
Tidewater	2.23	2.43	2.38	1.66	1.23	0.92	N/A
United Auto Credit	4.59	5.60	4.03	4.48	5.30	4.28	3.50
Vstrong (Exeter)	N/A	N/A	N/A	N/A	N/A	4.48	2.94
Westlake	4.98	6.35	5.92	6.80	6.51	6.84	6.73
World Omni Select(ii)	1.29	1.73	1.21	1.89	1.92	3.99	2.19
Subprime average	2.96	4.16	2.81	3.19	3.50	4.15	3.52
(i)The October 2024 extension rate for DriveTime Automotive Group Inc. includes only series 2021-3 through 2023-3 and Bridgecrest Lending Auto Securitization Trust series 2023-1, 2024-1, 2024-2, and 2024-3. (ii)World Omni Select includes subprime and nonprime transactions. AmeriCredit--AmeriCredit Automobile Receivables Trust. Carvana--Carvana Auto Receivables Trust. CPS--CPS Auto Receivables Trust. DriveTime--DriveTime Automotive Group. Exeter--Exeter Automobile Receivables Trust. First Investors--First Investors Auto Owner Trust. Flagship Credit--Flagship Credit Auto Trust. Foursight Capital--Foursight Capital Automobile Receivables Trust. GLS--GLS Auto Receivables Issuer Trust. Lendbuzz--Lendbuzz Securitization Trust. Prestige--Prestige Auto Receivables Trust. SDART--Santander Drive Auto Receivables Trust. United Auto Credit--United Auto Credit Securitization Trust. Westlake--Westlake Automobile Receivables Trust. World Omni--World Omni Auto Receivables Trust. N/A--Not applicable.

Subprime extensions

The weighted average extension rate for public subprime shelves decreased to 3.39% in November 2024 from 4.38% in October 2024. Nevertheless, extensions remained above the 2.48% in November 2023 and the 2.00% in November 2019.

The weighted average extension rate for 144a subprime shelves declined both month over month to 3.61% in November 2024 from 3.98% in October 2024, and year over year from 4.84% in November 2023 and 4.01% in November 2019. The combined (144a and public transactions) weighted average extension rate for subprime decreased to 3.52% from 4.15% for October 2024 and remained in line with the 3.50% in November 2023.

Twenty-one (91%) of the 23 subprime issuers reported lower month-over-month extensions:

• The three highest declines were World Omni Select (fell 179 bps to 2.19% from 3.99%); Foursight Capital Automobile Receivables Trust (169 bps to 1.99% from 3.68%); and VStrong Auto Receivables Trust 2023-A, which includes Exeter collateral (154 bps to 2.94% from 4.48%).

Of the 18 issuers with at least four months of data for November 2023 and November 2024, eight (44%) reported higher extensions year over year:

• The three highest increases were DT Auto Owner Trust- and Bridgecrest Acceptance Corp.-related trusts (rose 94 bps to 4.24% from 3.30%), SDART (84 bps to 2.18% from 1.35%), and DRIVE (74 bps to 2.50% from 1.76%).
• The two highest year-over-year decreases were United Auto Credit (fell 180 bps to 3.50% from 5.30%) and ACM Auto Trust (126 bps to 6.48% from 7.74%).
• The three highest absolute extension rates were Westlake (6.73%), ACM Auto Trust (6.48%), and Exeter (4.99%).

Auto Loan ABS Rating Activity/Revised Loss Expectations

In December, we reviewed 60 U.S. ABS auto loan transactions. Of these, we revised our loss expectations on 51 (raised 20 and lowered 31) and maintained seven. Overall, our reviews resulted in 49 upgrades, 169 affirmations, and no downgrades (for more details on the specific rating actions, see the Related Research list below).

In December 2024, we reviewed three Prestige transactions: series 2022-1, 2023-1, and 2023-2 (see "Three Ratings Raised And Ten Affirmed On Three Prestige Auto Receivables Trust Transactions," published Dec. 17, 2024). Given the decline in performance, Prestige supported the series 2022-1 and 2023-2 transactions with deposits totaling $4.5 million and $6.5 million, respectively, in the form of capital contributions, which prevented the series' class E notes from being downgraded.

In 2024, S&P Global Ratings completed 313 upgrades, 11 downgrades, and 691 affirmations on U.S. auto loan ABS transactions.

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
12/9/2024	FCAOT	5	4		22					5
12/12/2024	AART	1	1		2				1
12/13/2024	WOART	10	11		30					10
12/16/2024	GECU	1			6						1
12/16/2024	SCCU	1			6					1
12/20/2024	HART	10	7		33					7	3
12/17/2024	TAOT	9							3	4	2
Subprime
12/3/2024	Westlake	2			9				1		1
12/11/2024	CRVNA SP	7	4		24				7
12/12/2024	CAALT	2			8
12/12/2024	GCAR	1	1		5				1
12/13/2024	EART	4	12		5				4
12/17/2024	PART	3	3		10				3
12/20/2024	AMCAR	4	6		9					4
Total		60	49	0	169	0	0	0	20	31	7
CPART--Canadian Pacer Auto Receivables Trust. HDMOT--Harley Davidson Motorcycle Trust. PAROT--PenFed Auto Receivables Owner Trust. AART--Ally Auto Receivables Trust. GSAR--GLS Auto Select Receivables Trust. FIAOT--First Investors Auto Owner Trust. DTAOT--DT Auto Owner Trust. ACAR--American Credit Acceptance Receivables Trust. ECNL--Expected cumulative net loss.

Table 21

Hyundai Auto Receivables Trust
Series	Original lifetime CNL exp.	Prior revised lifetime CNL exp.(i)	Revised lifetime CNL exp.(ii)
2020-C	1.80-2.00	0.95	Up to 0.85
2021-A	1.55-1.75	0.90	0.70
2021-B	1.40-1.60	1.10	0.90
2021-C	1.40-1.60	1.20	1.10
2022-A	1.30-1.50	1.20	1.10
2022-B	1.30-1.50	1.30	1.10
2022-C	1.40	1.30	1.15
2023-A	1.35	1.15	1.15
2023-B	1.35	1.30	1.30
2023-C	1.35	N/A	1.35
(i)Revised in November 2023 for series 2020-C through 2022-C. (ii)Revised in December 2024, except for series 2023-A and 2023-B, which were revised in July 2024. CNL exp.--Cumulative net loss expectations. N/A--not applicable.

Appendix I: Auto Tracker Frequently Asked Questions

How do you define prime auto loan ABS?

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

How do you define subprime auto loan ABS?

We generally categorize subprime auto loan ABS transactions as those backed by loan pools with initial ECNLs of at least 7.5%, average FICO scores of less than 620, and annual percentage rates 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 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/Bridgecrest 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

• Seven Ratings Raised And 33 Affirmed On 10 Hyundai Auto Receivables Trust Transactions, Dec. 20, 2024
• Six Ratings Raised And Nine Affirmed On Four AmeriCredit Automobile Receivables Trust Transactions, Dec. 20, 2024
• Expected Cumulative Losses Adjusted For Seven Toyota Auto Receivables Owner Trust Transactions Following Annual Review, Dec. 17, 2024
• Three Ratings Raised And Ten Affirmed On Three Prestige Auto Receivables Trust Transactions, Dec. 17, 2024
• Six GECU Auto Receivables Trust 2023-1 Ratings Affirmed, Dec. 16, 2024
• Six Ratings Affirmed On SCCU Auto Receivables Trust 2023-1, Dec. 16, 2024
• Eleven Ratings Raised And 30 Affirmed From 10 World Omni Auto Receivables Trust Transactions, Dec. 13, 2024
• Twelve Ratings Raised And Five Affirmed On Four Exeter Automobile Receivables Trust Transactions, Dec. 13, 2024
• Eight Ratings Affirmed On Credit Acceptance Auto Loan Trust 2022-1 And 2022-3, Dec. 12, 2024
• One Rating Raised And Two Affirmed On Ally Auto Receivables Trust 2023-A, Dec. 12, 2024
• Four Ratings Raised And Twenty-Four Affirmed From Seven Carvana Auto Receivables Trust Nonprime Auto ABS Transactions, Dec. 11, 2024
• Four Ratings Raised, 22 Affirmed On Five Ford Auto Owner Trust Transactions, Dec. 9, 2024
• One GLS Auto Receivables Issuer Trust 2023-4 Rating Raised And Five Affirmed, Dec. 3, 2024
• Nine Ratings Affirmed On Two Westlake Automobile Receivables Trust Transactions, Dec. 3, 2024
• Lessons on U.S. Subprime Auto Loan ABS Performance, Aug. 20, 2024
• Electric Shock: How Engine Technology Affects Auto ABS Risk, July 10, 2024

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