Post on 18-Oct-2015
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U.S. Auto Loan ABS Tracker: January2014
Primary Credit Analysts:
Mark M Risi, New York (1) 212-438-2588; mark.risi@standardandpoors.com
Rahel Avigdor, New York (1) 212-438-4067; rahel.avigdor@standardandpoors.com
Secondary Contact:
Amy S Martin, New York (1) 212-438-2538; amy.martin@standardandpoors.com
ABS Term Surveillance:
Gary P Kochubka, Analytical Manager, New York (1) 212-438-2514;
gary.kochubka@standardandpoors.com
ABS Term New Issuance:
M. Scott S Sehnert, Analytical Manager, New York (1) 212-438-2603;
m.scott.sehnert@standardandpoors.com
Research Contributor:
Naveen B Jathan, Mumbai; naveen.jathan@standardandpoors.com
Table Of Contents
Average Net Loss Rates Increased In Both The Prime And Subprime
Sectors In 2013, Marking A Reversal From The Prior Three Years
Recovery Rates Fell To Their Lowest Levels In The Past Three Years For
Both Prime And Subprime Sectors
Sixty-Plus-Day Delinquencies Increased For Both Prime And Subprime
Sectors
Auto Loan ABS New Issuance Summary
Recent ABS Auto Loan Rating Activity
U.S. ABS Auto Loan Historical Ratings
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Table Of Contents (cont.)
Auto Loan Static Index And Collateral Trends Data
Issuer-Specific Cumulative Net Loss Index Data
Auto Loan Static Index Performance Data
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U.S. Auto Loan ABS Tracker: January 2014
U.S. auto loan asset backed securities(ABS) performance weakened in December 2013. Net losses for the overall
portfolio increased to 2.57% in December, up from 2.28% in November. Losses had not been this high since January
2010, when the rate was 2.70%.
In addition to December's increase in losses, recovery rates fell to 48.16%, from 51.62% in November. Delinquencies
increased to 1.53%, up from 1.37% in November. (See table 1.)
Table 1
Auto Loan ABS Performance
Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Nov-13 Dec-13
Net loss rate (%) 3.21 3.93 2.90 1.76 1.63 1.74 2.28 2.57
Recoveries (%) 41.81 35.40 45.60 55.88 60.60 51.98 51.62 48.16
Delinquency 60+ (%) 1.63 1.71 1.34 1.02 1.02 1.16 1.37 1.53
ABS--Asset-backed securities.
In addition to the increase in losses in December month over month, both the prime and subprime segments saw
losses worsen for 2013 year over year. We believe the increase in losses is mainly attributable to a normalization of
lending standards following a period of extreme tightening.
Overview
Average net losses increased in 2013 for both the prime and subprime sectors compared to 2012, the trough
for each sector.
December losses, delinquencies, and recovery rates worsened in both the prime and subprime sectors when
compared to November.
We rated five new auto loan ABS transactions that closed in January 2014.
Average Net Loss Rates Increased In Both The Prime And Subprime Sectors In2013, Marking A Reversal From The Prior Three Years
Annualized net losses in the subprime sector have worsened in 2013: The 2013 average increased to 4.93%, up from
4.15% average for 2012, the lowest historical average net loss recorded. This reverses the trend observed since 2009:
The annual weighted average net loss rate had consistently improved over the past three years. From its peak of 9.39%
in 2009, the rate dropped to 5.80% in 2010, to 4.65% in 2011, and to 4.15% in 2012.
We saw a similar pattern emerge in the prime sector: Average annualized net losses increased in 2013 to 0.36%, up
from 0.32% in 2012, after average losses had decreased each year since 2009. Losses peaked at 1.52% in 2009 and
decreased to 0.85% in 2010, to 0.55% in 2011, and to a historical low of 0.32% in 2012. (See table 2 and chart 1.) (Also
see "Under The Hood: Captive Finance Companies And Banks Fueled Strong U.S. Prime Auto Loan ABS Performance
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In 2013; Similar To Slightly Worse Performance Expected For 2014," published Feb. 11, 2014).
Table 2
Net Loss Rate--Annual Average
2006 2007 2008 2009 2010 2011 2012 2013
Prime (%) 0.55 0.69 1.22 1.52 0.85 0.55 0.32 0.36
Subprime (%) 4.58 5.95 8.71 9.39 5.80 4.65 4.15 4.93
Chart 1
Net loss rates in both the prime and subprime sectors also increased in December from November. This is consistent
with historical trends: Typically, losses are higher in December and January.
The net loss rate in the prime sector peaked at 0.57% in December, up by approximately 19% from November (0.48%).
This is the highest loss rate observed in the prime sector since December 2011, when the rate was 0.60%.
The net loss rate in the subprime sector rose to 7.19% in December, up by approximately 10% from November
(6.51%). This is the highest loss rate in the subprime sector since March 2010, when the rate was 6.76%. (See table 3
and chart 2.)
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U.S. Auto Loan ABS Tracker: January 2014
Table 3
Net Loss Rates
Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Nov-13 Dec-13
Prime (%) 0.98 1.92 1.50 0.86 0.60 0.43 0.48 0.57
Subprime (%) 8.63 10.63 10.33 5.44 5.11 5.30 6.51 7.19
Chart 2
We calculate the net loss rate as a percentage of the collateral balance at the beginning of the month, which we then
annualize.
We generally categorize prime ABS transactions as those backed by loan pools with initial expected cumulative net
losses of 3% or less, average FICO scores of 680 or higher, and annual percentage rates (APRs) of 0% to 5%. We
generally expect loan pools backing subprime ABS transactions to have cumulative net losses of at least 7.5%, average
FICO scores of less than 620, and APRs exceeding 14%.
Recovery Rates Fell To Their Lowest Levels In The Past Three Years For BothPrime And Subprime Sectors
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U.S. Auto Loan ABS Tracker: January 2014
Recovery rates fell in both the prime and subprime sectors. (We calculate the recovery rate as the percentage of a
defaulted loan's total value that is recovered through liquidation of the collateral or post-disposition.)
The average recovery rate in 2013 for the prime sector was 62.85%. While the average recovery rate has been
decreasing since its peak of 68.46% in 2011 and the 2012 level of 66.90%, it remains higher than the averages for 2006
through 2010, which ranged from 47.65% in 2008 to 57.89% in 2010.
The average recovery rate in 2013 for the subprime sector was 48.54%, up from 47.09% in 2012. The average recovery
rate has been improving since 2008, when the average was 39.07%. The average increased to 41.78% in 2009, 44.82%
in 2010, 46.91% in 2011, and 47.09% in 2012. (See table 4 and chart 3.)
Table 4
Recovery Rates--Annual Average
2006 2007 2008 2009 2010 2011 2012 2013
Prime (%) 53.47 53.55 47.65 50.16 57.89 68.46 66.90 62.85
Subprime (%) 46.41 43.08 39.07 41.78 44.82 46.91 47.09 48.54
Chart 3
In December, the recovery rate was 50.71% for the prime sector, down by approximately 9% from November's
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U.S. Auto Loan ABS Tracker: January 2014
55.67%. The prime sector hasn't seen a level of recovery this low since January 2010, when it was 47.36%.
Recoveries also decreased in the subprime sector, to 40.52% in December, down 3% from the 41.76% in November.
December's recovery rate is the lowest since November 2010, when it was at 29.22%. (See table 5 and chart 4.)
Table 5
Recovery Rates
Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Nov-13 Dec-13
Prime (%) 44.77 36.49 47.08 58.63 65.12 55.58 55.67 50.71
Subprime (%) 35.07 30.90 39.18 41.88 44.63 41.64 41.76 40.52
Chart 4
Sixty-Plus-Day Delinquencies Increased For Both Prime And Subprime Sectors
The delinquency rate continued to worsen in both the prime and subprime sectors.
The average delinquency rate for 2013 was 0.32% in the prime sector. This is comparable to the average delinquency
rate for 2012 and continues the downward trend started after the peak of 0.60% in 2009. The average delinquency rate
dropped to 0.52% in 2010, to 0.47% in 2011, and to 0.34% in 2012.
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U.S. Auto Loan ABS Tracker: January 2014
In the subprime sector, the average delinquency rate for 2013 was 2.98%, up from 2.53% in 2012. The average
delinquency rate reached 4.62% in 2009, and dropped to 3.23% in 2010 and 2.49% in 2011. (See table 6 and chart 5.)
Table 6
60-Plus-Day Delinquency Rates--Annual Average
2006 2007 2008 2009 2010 2011 2012 2013
Prime (%) 0.38 0.43 0.49 0.60 0.52 0.47 0.34 0.32
Subprime (%) 2.24 3.02 4.18 4.62 3.23 2.49 2.53 2.98
Chart 5
For December, the delinquency rate in the prime sector was 0.41%, up by approximately 11% from 0.37% in
November. The delinquency rate has increased for the past two months after being relatively stable from June to
October.
The delinquency rate in the subprime sector increased to 4.13% in December, from 3.71% in November--up by
approximately 11%. The delinquency rate had been steadily increasing since May 2013. (See table 7 and chart 6.)
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Table 7
60-Plus-Day Delinquency Rates
Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Nov-13 Dec-13
Prime (%) 0.57 0.67 0.65 0.55 0.48 0.38 0.37 0.41
Subprime (%) 4.33 5.43 5.18 2.95 2.85 3.20 3.71 4.13
Chart 6
Auto Loan ABS New Issuance Summary
Standard & Poor's Ratings Services rated five new ABS auto loan transactions that closed in January:
American Credit Acceptance Receivables Trust 2014-1Table 8
American Credit Acceptance Receivables Trust 2014-1
Closing date Jan. 15, 2014
Originator American Credit Acceptance LLC
Collateral Subprime auto loan receivables
Initial expected loss range (%) 26.40 - 26.90
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Table 8
American Credit Acceptance Receivables Trust 2014-1 (cont.)
Class Rating Initial amount (mil. $) Coupon rate (%)
A AA (sf) 120.00 1.14
B A (sf) 39.50 2.39
C BBB (sf) 31.32 3.83
D BB (sf) 14.00 5.20
"Presale: American Credit Acceptance Receivables Trust 2014-1," published Jan. 6, 2014
Santander Drive Auto Receivables Trust 2014-1Table 9
Santander Drive Auto Receivables Trust 2014-1
Closing date Jan. 15, 2014
Originator Santander Consumer USA Inc.
Collateral Subprime auto loan receivables
Initial expected loss range (%) 13.00 - 14.00
Class Rating Initial amount (mil. $) Coupon rate (%)
A-1 A-1+ (sf) 334.00 0.27
A-2-A AAA (sf) 346.00 0.66
A-2-B AAA (sf) 160.00 LIB1M + 0.37
A-3 AAA (sf) 139.10 0.87
B AA (sf) 207.31 1.59
C A (sf) 209.93 2.36
D BBB+ (sf) 103.66 2.91
E BB+ (sf) 89.72 3.92
"Presale: Santander Drive Auto Receivables Trust 2014-1," published Jan. 6, 2014
Ford Credit Auto Owner Trust 2014-ATable 10
Ford Credit Auto Owner Trust 2014-A
Closing date Jan. 22, 2014
Originator Ford Motor Credit Co. LLC
Collateral Prime auto loan receivables
Initial expected loss range (%) 1.00 - 1.20
Class Rating Initial amount (mil. $) Coupon rate (%)
A-1 A-1+ (sf) 348.00 0.23
A-2 AAA (sf) 539.90 0.48
A-3 AAA (sf) 474.90 0.79
A-4 AAA (sf) 136.78 1.29
B AA+ (sf) 47.35 1.71
C AA (sf) 31.57 1.90
D NR 31.57 2.40
NR--Not rated.
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"Presale: Ford Credit Auto Owner Trust 2014-A," published Jan. 13, 2014
Capital Auto Receivables Asset Trust 2014-1Table 11
Capital Auto Receivables Asset Trust 2014-1
Closing date Jan. 22, 2014
Originator Ally Financial Inc.
Collateral Nonprime auto loan receivables
Initial receivable pool expected loss range (%) 3.80 - 4.20
Additional receivable pool expected loss range (%)(i) 6.50 - 6.90
Class Rating Initial amount (mil. $) Coupon rate (%)
A-1a AAA (sf) 171.00 0.68
A-1b AAA (sf) 171.00 LIB1M + 0.35
A-2 AAA (sf) 300.00 0.96
A-3 AAA (sf) 338.00 1.32
A-4 AAA (sf) 92.40 1.69
B AA (sf) 63.67 2.22
C A (sf) 60.32 2.84
D BBB (sf) 53.62 3.39
E NR 46.92 4.09
(i) This assumes the additional pool's quality is the worst possible under the pool composition limits. NR--Not rated.
"Presale: Capital Auto Receivables Asset Trust 2014-1," published Jan. 14, 2013
DT Auto Owner Trust 2014-1Table 12
DT Auto Owner Trust 2014-1
Closing date Jan. 23, 2014
Originator DriveTime Car Sales Co. LLC
Collateral Subprime auto loan receivables
Initial expected loss range (%) 27.00 - 29.00
Class Rating Initial amount (mil. $) Coupon rate (%)
A AAA (sf) 131.20 0.66
B AA (sf) 35.00 1.43
C A (sf) 48.00 2.64
D BBB (sf) 53.55 3.98
"Presale: DT Auto Owner Trust 2014-1," published Jan. 14, 2014
Recent ABS Auto Loan Rating Activity
In January 2014, we reviewed nine auto loan ABS transactions from one issuer. The review resulted in six upgrades
and 39 affirmations; we did not downgrade any deals. For more information, see: "Six Ratings Raised On Nine CarMax
Auto Owner Trusts Following Review; 39 Affirmed," published Jan. 27, 2014.
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U.S. ABS Auto Loan Historical Ratings
Since the start of 2001, upgrades of U.S. ABS auto loans outweigh downgrades by more than 28 to one. We have
upgraded six U.S. auto loan ABS classes year to date and downgraded none (see table 13).
Table 13
Historical Ratings Activity--U.S. ABS Auto Loans
Period Upgrades Downgrades
2001 56 0
2002 25 1
2003 32 22
2004 48 0
2005 87 0
2006 91 0
2007 116 2
2008 23 0
2009 95 7
2010 62 5
2011 144 2
2012 138 0
2013 185 0
2014 6 0
Total 1,108 39
ABS--Asset-backed securities.
Auto Loan Static Index And Collateral Trends Data
Standard & Poor's Auto Loan Static Index (ALSI) tracks the performance of most prime and subprime retail auto loan
ABS transactions that Standard & Poor's has rated since 2000 (see tables 16 to 19 below). The ALSI monitors the
credit performance of static pools, or securitizations that were originated in the same vintage or defined time period on
a weighted average. The number of months displayed for each vintage or cohort is determined by the last point in
which all securitizations have a data point.
In addition, Standard & Poor's aggregates the initial collateral characteristics of the transactions it rates (see table 14).
Table 14
Collateral Trends
WA APR (%) Used (%) WAOM > 60 (%) WA FICO WA LTV (%)
Prime
2002 5.73 20.26 8.96 707 N/A
2003 5.12 21.01 14.45 718 N/A
2004 5.18 28.42 30.02 720 N/A
2005 5.62 24.60 31.23 721 N/A
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Table 14
Collateral Trends (cont.)
2006 5.64 22.09 39.52 716 N/A
2007 6.25 21.63 39.49 706 101.69
2008 5.92 25.70 41.81 724 99.03
2009 5.62 28.08 41.58 741 95.74
2010 5.09 25.56 43.37 742 95.12
2011 4.45 17.78 43.40 735 97.48
2012 4.00 24.55 44.90 745 94.48
2013 3.94 28.68 46.95 740 96.72
Subprime
2002 17.28 69.41 35.89 579 N/A
2003 16.29 68.11 44.05 588 N/A
2004 16.07 62.39 47.98 590 N/A
2005 15.78 68.99 59.66 586 N/A
2006 15.78 72.72 69.46 587 N/A
2007 16.33 72.52 68.99 594 120.17
2008 16.66 76.73 80.65 594 121.33
2009 16.55 73.39 85.53 594 114.00
2010 17.76 76.24 73.57 574 111.94
2011 16.31 68.74 77.51 575 111.81
2012 17.01 72.11 76.90 573 113.15
2013 16.63 70.09 81.30 577 114.28
WA--Weighted average. APR--Annual percentage rate. WAOM--Weighted average original maturity. WA LTV--Weighted average loan-to-value.
YTD--Year to date. N/A--Not applicable.
Issuer-Specific Cumulative Net Loss Index Data
Table 15 tracks cumulative net losses by vintage for a number of issuers we rate.
Table 15
Cumulative Net Losses By Vintage (%)
2006 2007 2008 2009 2010 2011 2012
Month 36 Month 36 Month 36 Month 36 Month 36 Month 26 Month 13
Issuer
Prime 1.56 2.60 2.01 0.92 0.54 0.50 0.23
Ally N/A N/A N/A 0.42 0.26 0.26 0.13
Bank of America N/A N/A 0.98 0.78 0.39 N/A 0.10
Carmax 2.38 3.37 3.10 2.01 1.15 1.01 0.69
Ford 1.57 1.88 1.89 1.06 0.69 0.47 0.23
Honda 1.03 0.83 0.91 0.68 0.39 N/A 0.14
Huntington 5.00 2.86 2.51 1.91 N/A 0.33 0.20
Hyundai 2.63 3.43 2.35 1.29 0.77 0.58 0.41
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Table 15
Cumulative Net Losses By Vintage (%) (cont.)
Mercedes-Benz N/A N/A N/A 0.68 0.40 N/A 0.13
Mitsubishi N/A 2.82 1.93 1.89 1.93 1.56 0.78
Toyota N/A N/A N/A N/A 0.25 0.17 0.15
USAA 1.00 0.79 0.52 0.41 0.30 N/A 0.12
Volkswagen N/A 1.42 1.98 N/A 0.88 0.48 0.22
World Omni 1.66 2.59 3.43 1.24 0.51 0.77 0.49
Subprime 11.50 13.59 14.42 8.97 8.25 5.61 3.64
American Credit Acceptance N/A N/A N/A N/A N/A 16.36 13.00
AmeriCredit 12.91 14.63 14.23 9.22 4.79 4.20 2.14
CarNow (Byrider) N/A N/A N/A N/A N/A N/A 13.24
CPS 14.48 15.60 15.80 N/A 12.31 6.55 2.90
Drivetime 30.05 30.41 N/A N/A 19.01 20.29 15.19
Exeter N/A N/A N/A N/A N/A N/A 5.40
First Investors 5.67 N/A N/A N/A N/A 5.09 2.70
Flagship N/A N/A N/A N/A N/A N/A 3.63
Prestige 9.45 13.01 N/A 7.30 N/A 5.36 2.13
Santander 22.97 23.49 N/A N/A 9.98 7.24 3.61
SNAAC N/A N/A N/A N/A N/A N/A 4.51
Tidewater N/A N/A N/A N/A 5.85 N/A 3.33
UACC 12.2(i) 14.16(i) N/A N/A N/A N/A 7.59
Westlake N/A N/A N/A N/A 6.47 9.61 5.12
N/A--Not applicable, as there was no issuance rated by Standard & Poor's during the year. (i)In 2006 and 2007, UACC completed securitizations
under the UPFC name.
Auto Loan Static Index Performance Data
Table 16
Prime Cumulative Net Losses (%)
2005 2006 2007 2008 2009 2010 2011 2012 2013 (i)
No. of deals 46 34 32 37 26 28 20 31 15
Initial collateral balance (bil. $) 74.17 56.38 55.26 53.2 41.25 33.45 22.77 40.72 17.91
Month
1 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.00 0.00
2 0.01 0.01 0.04 0.01 0.01 0.01 0.01 0.01 0.01
3 0.02 0.03 0.07 0.05 0.05 0.03 0.02 0.02 0.02
4 0.05 0.07 0.13 0.11 0.09 0.06 0.05 0.04 0.05
5 0.09 0.11 0.22 0.19 0.14 0.09 0.07 0.06 0.07
6 0.12 0.15 0.31 0.27 0.18 0.12 0.09 0.08 0.10
7 0.16 0.20 0.39 0.35 0.23 0.15 0.12 0.10
8 0.20 0.25 0.48 0.44 0.28 0.18 0.15 0.12
9 0.23 0.29 0.57 0.53 0.33 0.21 0.17 0.14
10 0.27 0.34 0.66 0.63 0.37 0.24 0.19 0.17
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Table 16
Prime Cumulative Net Losses (%) (cont.)
11 0.31 0.38 0.77 0.72 0.41 0.26 0.22 0.19
12 0.34 0.42 0.87 0.81 0.45 0.29 0.24 0.21
13 0.38 0.47 0.96 0.90 0.48 0.31 0.27 0.23
14 0.41 0.52 1.06 0.98 0.51 0.34 0.29 0.25
15 0.45 0.57 1.16 1.07 0.54 0.36 0.31 0.27
16 0.48 0.62 1.27 1.14 0.58 0.38 0.33
17 0.51 0.67 1.38 1.22 0.61 0.40 0.35
18 0.54 0.72 1.48 1.29 0.64 0.42 0.37
19 0.57 0.77 1.58 1.36 0.67 0.44 0.39
20 0.60 0.82 1.68 1.43 0.69 0.46 0.41
21 0.62 0.87 1.79 1.49 0.72 0.47 0.43
22 0.65 0.92 1.88 1.55 0.74 0.49 0.44
23 0.68 0.97 1.96 1.60 0.76 0.50 0.46
24 0.70 1.02 2.03 1.65 0.77 0.51 0.47
25 0.72 1.08 2.11 1.69 0.79 0.53 0.49
26 0.75 1.13 2.17 1.73 0.80 0.54 0.50
27 0.77 1.18 2.23 1.76 0.82 0.55 0.52
28 0.80 1.23 2.30 1.79 0.83 0.56
29 0.82 1.28 2.36 1.82 0.84 0.57
30 0.84 1.33 2.41 1.85 0.85 0.57
31 0.86 1.37 2.45 1.88 0.86 0.58
32 0.88 1.42 2.48 1.91 0.87 0.59
33 0.91 1.46 2.52 1.95 0.89 0.52
34 0.93 1.50 2.55 1.97 0.90 0.53
35 0.95 1.53 2.58 1.98 0.91 0.53
36 0.96 1.56 2.60 2.01 0.92 0.54
(i) Deals issued in 2013 with at least six months of performance.
Table 17
Prime 60-Plus Day Delinquencies (%)
2005 2006 2007 2008 2009 2010 2011 2012 2013 (i)
No. of deals 46 34 32 37 26 28 20 31 15
Initial collateral balance (bil. $) 74.17 56.38 55.26 53.20 41.25 33.45 22.77 40.72 17.91
Month
1 0.02 0.04 0.08 0.06 0.04 0.02 0.02 0.02 0.03
2 0.07 0.11 0.21 0.15 0.12 0.07 0.07 0.06 0.07
3 0.21 0.15 0.31 0.20 0.18 0.10 0.09 0.09 0.11
4 0.17 0.19 0.36 0.25 0.21 0.13 0.12 0.12 0.15
5 0.19 0.20 0.38 0.30 0.24 0.15 0.13 0.14 0.19
6 0.20 0.23 0.39 0.33 0.25 0.16 0.16 0.15 0.22
7 0.23 0.25 0.38 0.35 0.26 0.18 0.17 0.18
8 0.29 0.26 0.41 0.41 0.29 0.18 0.19 0.19
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Table 17
Prime 60-Plus Day Delinquencies (%) (cont.)
9 0.30 0.30 0.43 0.43 0.31 0.20 0.19 0.21
10 0.31 0.32 0.44 0.43 0.32 0.21 0.23 0.23
11 0.34 0.35 0.48 0.45 0.33 0.22 0.26 0.26
12 0.35 0.36 0.53 0.50 0.33 0.25 0.26 0.27
13 0.38 0.38 0.54 0.52 0.37 0.26 0.26 0.28
14 0.40 0.43 0.59 0.54 0.39 0.26 0.26 0.29
15 0.39 0.44 0.65 0.57 0.40 0.28 0.28 0.32
16 0.40 0.44 0.69 0.60 0.43 0.31 0.30
17 0.40 0.44 0.72 0.62 0.44 0.31 0.33
18 0.43 0.47 0.74 0.64 0.46 0.32 0.33
19 0.44 0.50 0.78 0.66 0.48 0.33 0.35
20 0.48 0.53 0.82 0.70 0.50 0.35 0.37
21 0.50 0.55 0.86 0.66 0.52 0.35 0.38
22 0.51 0.59 0.87 0.65 0.55 0.38 0.42
23 0.53 0.64 0.86 0.66 0.55 0.40 0.44
24 0.56 0.64 0.91 0.69 0.55 0.42 0.46
25 0.60 0.67 0.91 0.71 0.58 0.43 0.46
26 0.63 0.70 0.95 0.71 0.60 0.44 0.46
27 0.61 0.70 0.99 0.75 0.64 0.48 0.48
28 0.66 0.75 1.02 0.76 0.66 0.49
29 0.67 0.77 1.03 0.80 0.66 0.51
30 0.69 0.78 0.98 0.83 0.69 0.52
31 0.72 0.85 1.00 0.86 0.73 0.55
32 0.74 0.90 1.03 0.89 0.63 0.53
33 0.83 0.92 1.05 0.91 0.69 0.57
34 0.84 0.95 1.06 0.89 0.70 0.59
35 0.82 1.04 1.05 0.92 0.72 0.63
36 0.88 1.03 1.12 0.87 0.72 0.67
(i) Deals issued in 2013 with at least six months of performance.
Table 18
Subprime Cumulative Net Losses (%)
2005 2006 2007 2008 2009 2010 2011 2012 2013 (i)
No. of deals 26 23 19 4 2 14 15 26 16
Initial collateral balance (bil. $) 23.27 25.00 17.35 2.52 1.10 10.83 6.82 14.03 9.65
Month
1 0.00 0.01 0.00 0.00 0.01 0.02 0.01 0.01 0.01
2 0.03 0.03 0.03 0.04 0.07 0.05 0.03 0.03 0.03
3 0.10 0.13 0.11 0.14 0.31 0.15 0.12 0.12 0.10
4 0.30 0.38 0.38 0.40 0.73 0.50 0.37 0.42 0.39
5 0.61 0.73 0.83 0.86 1.16 0.77 0.63 0.77 0.68
6 0.96 1.17 1.39 1.41 1.59 1.03 0.85 1.05 0.93
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Table 18
Subprime Cumulative Net Losses (%) (cont.)
7 1.31 1.61 1.91 1.99 2.07 1.34 1.09 1.38
8 1.66 1.98 2.43 2.54 2.42 1.65 1.32 1.75
9 1.99 2.37 2.96 3.20 2.82 2.01 1.57 2.07
10 2.31 2.71 3.47 3.82 3.10 2.32 1.82 2.45
11 2.59 3.05 3.97 4.49 3.40 2.62 2.08 2.84
12 2.89 3.43 4.47 5.16 3.69 2.91 2.36 3.25
13 3.17 3.83 4.95 5.73 4.05 3.19 2.63 3.64
14 3.51 4.26 5.39 6.28 4.39 3.52 2.91
15 3.82 4.68 5.87 6.89 4.75 3.85 3.21
16 4.15 5.13 6.38 7.44 5.11 4.17 3.47
17 4.45 5.56 6.89 8.00 5.43 4.50 3.71
18 4.76 5.99 7.39 8.52 5.77 4.79 3.93
19 5.07 6.39 7.91 8.90 6.06 5.06 4.14
20 5.34 6.77 8.39 9.34 6.24 5.33 4.35
21 5.59 7.12 8.86 9.80 6.53 5.57 4.59
22 5.85 7.45 9.32 10.23 6.71 5.77 4.80
23 6.11 7.77 9.76 10.69 6.92 5.97 5.01
24 6.32 8.09 10.19 11.08 7.10 6.17 5.22
25 6.55 8.41 10.54 11.41 7.28 6.38 5.43
26 6.79 8.77 10.90 11.75 7.49 6.61 5.61
27 7.03 9.11 11.21 12.07 7.69 6.80
28 7.26 9.43 11.54 12.43 7.91 7.01
29 7.46 9.74 11.88 12.73 8.07 7.21
30 7.67 10.05 12.19 13.04 8.24 7.37
31 7.88 10.35 12.50 13.28 8.41 7.58
32 8.07 10.63 12.77 13.52 8.55 7.72
33 8.26 10.88 12.96 13.75 8.71 7.78
34 8.44 11.10 13.19 13.98 8.82 7.95
35 8.59 11.30 13.38 14.22 8.88 8.10
36 8.75 11.50 13.59 14.42 8.97 8.25
37 8.90 11.71 13.76 14.61 9.05 8.38
38 9.05 11.91 13.92 14.78 9.13 8.41
39 9.22 12.10 14.08 14.96 9.22
40 9.35 12.28 14.23 15.12 9.33
41 9.48 12.44 14.39 15.27 9.44
42 9.60 12.59 14.53 15.39 9.50
43 9.74 12.73 14.67 15.48 9.85
(i) Deals issued in 2013 with at least 6 months of performance
Table 19
Subprime 60-Plus Day Delinquencies (%)
2005 2006 2007 2008 2009 2010 2011 2012 2013 (i)
No. of deals 26 23 19 4 2 14 15 26 16
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Table 19
Subprime 60-Plus Day Delinquencies (%) (cont.)
Initial collateral balance (bil. $) 23.27 25.00 17.35 2.52 1.10 10.83 6.82 14.03 9.65
Month
1 0.05 0.12 0.04 0.06 0.05 0.10 0.05 0.04 0.03
2 0.51 0.63 0.64 0.69 1.22 1.07 0.54 0.67 0.58
3 1.03 1.18 1.42 1.51 1.42 1.74 1.04 1.47 1.41
4 1.38 1.64 2.09 1.82 1.51 1.86 1.25 2.00 1.97
5 1.65 1.96 2.44 1.85 1.64 1.97 1.36 2.33 2.37
6 1.85 2.12 2.61 1.87 1.68 2.10 1.24 2.37 2.49
7 2.05 2.22 2.82 2.24 2.07 2.38 1.32 2.24
8 2.13 2.33 2.97 2.60 1.35 2.58 1.50 2.41
9 2.09 2.34 3.03 2.79 1.04 2.61 1.72 2.62
10 2.12 2.47 3.13 2.75 1.24 2.54 1.93 2.98
11 2.23 2.73 3.25 2.57 1.52 2.50 2.04 3.34
12 2.40 3.16 3.32 2.45 1.76 2.75 2.14 3.47
13 2.66 3.50 3.34 2.55 1.75 3.05 2.40 3.43
14 2.89 3.81 3.65 2.57 2.40 3.30 2.41
15 2.99 3.93 4.00 2.84 1.75 3.52 2.56
16 2.96 4.11 4.15 2.82 1.74 3.58 2.58
17 2.99 4.21 4.37 2.30 1.86 3.64 2.49
18 3.11 4.17 4.45 2.25 1.88 3.73 2.35
19 3.35 4.19 4.55 2.42 2.47 3.94 2.40
20 3.47 4.21 4.47 2.64 1.56 4.04 2.57
21 3.38 4.13 4.66 2.82 1.23 4.03 2.80
22 3.41 4.15 4.74 2.53 1.26 3.92 3.00
23 3.57 4.25 4.57 2.30 1.43 4.08 2.97
24 3.76 4.55 4.56 2.11 1.66 4.42 3.17
25 3.99 4.76 4.42 2.22 1.77 4.71 3.30
26 4.22 4.88 4.54 2.33 2.16 4.94 3.25
27 4.26 4.84 4.62 2.60 1.72 5.00
28 4.26 5.08 4.77 2.70 1.70 5.10
29 4.23 5.18 4.93 2.04 2.00 5.29
30 4.37 5.06 4.80 1.99 1.96 5.40
31 4.64 5.11 4.82 2.20 2.69 5.56
32 4.68 5.02 4.73 2.41 1.60 5.66
33 4.52 4.90 4.69 2.83 1.25 5.65
34 4.49 4.81 4.73 2.48 1.30 5.57
35 4.48 4.96 4.49 2.26 1.68 5.67
36 4.70 5.19 4.41 2.12 1.81 5.99
37 5.00 5.45 4.34 2.29 2.02 6.46
38 5.16 5.66 4.30 2.31 2.90 6.51
39 5.24 5.65 4.40 2.69 2.48
40 5.20 5.62 4.52 2.80 2.17
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U.S. Auto Loan ABS Tracker: January 2014
Table 19
Subprime 60-Plus Day Delinquencies (%) (cont.)
41 5.19 5.56 4.71 1.97 2.24
42 5.35 5.31 4.62 2.03 2.09
43 8.13 5.41 4.76 2.28 3.12
(i) Deals issued in 2013 with at least six months of performance.
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