U.S. auto loan asset-backed securities (ABS) monthly prime and subprime performance statistics weakened in June 2024 relative to May 2024. Annualized losses and delinquencies also increased relative to the June 2023 and the June 2019 (pre-COVID-19) levels. The prime 2023 quarterly vintages are showing deterioration relative to 2022. However, the subprime 2023 vintage static pool losses are trending lower than the 2022 levels on an aggregate basis.

Losses Rose Month Over Month And Year Over Year

After hovering around at 0.55% for the previous two months, prime losses spiked to 0.63% in June--well above the June 2023 and the pre-pandemic June 2019 (both 0.48%) levels. Annualized subprime losses rose to 7.95% in June from 7.23% in May and remained above the June 2023 (6.87%) and the June 2019 (6.92%) levels.

Some of the major contributors to the year-over-year increase in prime losses were CarMax Auto Owner Trust (CarMax), Toyota Auto Receivables Owner Trust (Toyota), Carvana Auto Receivables Trust (CRVNA) prime issuances, and the inclusion of Stellantis Financial Services' 2023-1 and 2024-1 transactions. The top four contributors to the year-over-year increase in subprime net losses were Santander Drive Auto Receivables Trust (SDART), Westlake Automobile Receivables Trust (Westlake), CRVNA subprime, and Prestige Auto Receivables Trust.

Table 1

Net loss rate composite(i)
	Jun-10	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	Jun-23	May-24	Jun-24
Prime (%)	0.78	0.42	0.45	0.53	0.52	0.48	0.48	0.06	0.29	0.48	0.55	0.63
Subprime (%)	4.82	5.58	6.86	6.96	6.86	6.92	4.18	2.15	5.16	6.87	7.23	7.95
Subprime modified (%)(ii)	0.00	4.98	5.58	5.76	5.43	5.47	4.04	1.85	3.97	6.01	6.45	7.10
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Recoveries Declined Month Over Month And Year Over Year

Prime recoveries declined significantly month over month to 56.02% in June from 63.37% in May and are below the June 2023 (63.15%) and June 2019 (60.18%) levels. Likewise, subprime recoveries declined to 36.52% in June from 44.61% in May and remained below the June 2023 (47.40%) and June 2019 (44.16%) levels.

Table 2

Recovery rate composite(i)
	Jun-10	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	Jun-23	May-24	Jun-24
Prime (%)	61.78	63.89	65.88	62.34	58.64	60.18	56.54	98.79	67.80	63.15	63.37	56.02
Subprime (%)	41.53	48.39	45.69	45.14	44.68	44.16	50.39	65.71	50.45	47.40	44.61	36.52
Subprime modified (%) (ii)	0.00	50.07	46.43	45.21	45.05	44.41	45.32	62.48	49.32	46.47	46.24	36.98
(i)Represents monthly annualized losses. (ii)Excludes three large deep subprime issuers: American Credit Acceptance, Exeter, and DRIVE. N/A--Not applicable.

Delinquencies Increased Month Over Month And Year Over Year

Prime and subprime delinquencies increased in June, with both remaining above the June 2023 and June 2019 levels. Prime delinquencies rose to 0.59% from 0.53% in May 2024 and were above the June 2023 (0.49%) and June 2019 (0.39%) levels. Subprime delinquencies also increased month over month to 5.82% in June from 5.32% in May and remained well above the June 2023 (5.37%) and June 2019 (5.03%) levels.

Table 3

60-plus-day delinquency rate composite(i)
	Jun-10	Jun-15	Jun-16	Jun-17	Jun-18	Jun-19	Jun-20	Jun-21	Jun-22	Jun-23	May-24	Jun-24
Prime (%)	0.55	0.39	0.44	0.41	0.38	0.39	0.33	0.25	0.41	0.49	0.53	0.59
Subprime (%)	3.62	4.13	4.61	4.70	4.60	5.03	3.36	3.00	4.89	5.37	5.32	5.82
Subprime modified (%) (ii)	0.00	3.53	3.56	3.39	3.28	3.60	2.64	1.91	3.31	4.33	4.68	5.09
(i)Represents 60+ day delinquencies. (ii)Three large deep subprime issuers--American Credit Acceptance, Exeter, and DRIVE--are excluded. N/A--Not applicable.

Static Pool Performance And Auto Loan Static Index (ALSI)

Certain factors that have been driving the subprime 2022 vintages' poor performance have been spreading to the prime 2023 and first-quarter 2024 vintages. These include borrowers having spent their pandemic savings; higher consumer debt expenses due to rising debt levels and interest rates; and elevated living expenses, including higher monthly auto insurance premiums. In addition, some lenders' loan performance was affected by reduced subvented financing or expansion into new lending markets. However, many subprime lenders have tightened their credit standards, which has resulted in slightly lower cumulative net losses (CNLs) for their 2023 vintage.

Prime

The prime first-quarter 2024 vintage is showing early signs of weakness at month four, with net losses currently higher than the 2023 quarterly vintages and the 2016 annual vintage (which was the last vintage unaffected by COVID-19 stimulus). The prime first-quarter 2024 vintage's cumulative recovery rates (CRRs) and 60-plus-day delinquency levels are performing in line with the 2023 quarterly vintages, which are showing deterioration relative to the 2022 vintage.

The prime 2023 quarterly vintages are still reporting significantly higher cumulative gross losses (CGLs) and CNLs than the 2022 annual vintage. The losses on the 2023 vintage are also trending slightly worse than those on the 2016 vintage. Cumulative recovery rates (CRRs) for the 2023 vintage (except first-quarter 2023) have trended lower than historically and are below the pre-pandemic levels. For example, the 40.10% month 9 CRR for the 2023 vintage is significantly less than the 46.85% CRR for the 2016 vintage at the same point. (For prime issuer-specific CNL performance, see charts 12-32.)

The 60-plus-day delinquency rates for the 2023 quarterly vintages are trending in-line with 2022, but those rates are higher than the pre-pandemic levels.

The pools with the most deterioration and for which we've raised our expected CNLs (ECNLs) were CarMax series 2023-1 and 2023-2, Mercedes-Benz series 2022-1 and 2023-1, Carvana 2023-P1 and 2023-P2, and Volkswagen 2023-1. However, the ratings were all affirmed despite the increase in the ECNL.

The 2022 prime annual vintage continued to normalize with higher losses than the 2020 and 2021 vintages due to higher gross defaults and lower CRRs. The 49.64% CRR in month 19 for the prime 2022 vintage is significantly lower than the 2016-2021 levels (but remains slightly higher than the 2008 level of 49.10% at the same seasoning point).

The 2022 vintage's CNL now stands at 0.51% and has exceeded those of the 2019-2021 vintages. Given the lower recoveries and the increase in delinquencies, we believe losses on the 2022 vintage will likely exceed those for 2018, and possibly 2017, depending on the issuer and economic conditions.

Subprime

The subprime index continued to report improvement in the 2023 quarterly vintages relative to 2022. For example, the fourth-quarter 2023 vintage has a CNL of 2.49% at month 8, compared with 3.26% for 2022 at the same point. Similarly, the third-quarter 2023 vintage experienced CNL of 3.60% at month 10, compared with 4.39% for 2022 at the same month. Even the second-quarter 2023 vintage has CNL of 5.77% at month 13, compared with 5.95% for 2022 at the same month. The lower CGLs on the 2023 vintage are responsible for the improvement as CRRs remain in line with 2022 vintage's depressed levels. We believe the lower defaults stem from certain issuers tightening their credit standards by reducing or eliminating lending to their lowest credit tiers. Issuers contributing to the improvement in the 2023 vintage's losses include American Credit Acceptance and Exeter. (For subprime issuer-specific CNL performance, see charts 33-50.)

CGLs and CNLs on the 2022 vintage continued to exceed those from 2016 and 2017. 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, and credit score inflation. Further, CNLs were also affected by lower recovery rates. At month 19, CRRs for the 2022 vintage were only 36.53%, compared with 38.60% and 39.49% for the 2016 and 2017 vintages, respectively.

Delinquency levels remain elevated for the 2021, 2022, and first-quarter 2023 vintage. The first-quarter 2024 vintage has only three months of performance data and is performing in line with 2022 yearly vintage.

Issuer-Specific CNL Performance:

Several prime issuers' 2023 securitizations are performing worse than pre-COVID-19 historical levels. In contrast, some subprime issuers who have been reporting their highest losses on their 2022 vintage are reporting improved results for their 2023 vintage. We believe this improved performance is likely due to the tightened credit standards the lenders implemented in 2022 and 2023.

Prime

• Of the 16 issuers that securitized in both 2022 and 2023, 14 (88%) are reporting higher losses on their 2023 vintage. However, the degree of deterioration varies by issuer. Many of these issuers are also experiencing similar performance on their first-quarter 2024 vintage.
• Five issuers (Ally, CarMax, Harley, Mercedes, and VW) are reporting significantly higher CNLs for their 2023 quarterly vintages relative to their 2016 historical levels. In addition, GTE Credit Union is reporting significantly higher losses on its series 2023-1 transaction relative to series 2019-1, and Carvana's losses on its first-half 2023 issuances are trending higher than for its 2020-2022 transactions.
• The higher losses on Ally's series 2023-A transaction, compared with its prior issuances (including series 2023-1), reflects the pool's much weaker collateral mix. Ally's series 2023-A transaction differs from series 2023-1 (and the prior series with a number suffix) by having a higher percentage of used vehicles (70% versus approximately 60%), a higher loan-to-value ratio (105% versus approximately 95%), and more 76-84 month loans (25% versus 6%). Our higher 2.15% ECNL for series 2023-A reflects the pool's weaker credit quality.
• Given the higher losses for certain 2023 issuances by CarMax, VW, and Mercedes, we revised and raised our ECNLs for the previously-mentioned transactions that had at least 12 months of performance data. Even so, the transactions still have sufficient credit enhancement to absorb the higher losses at the requisite multiple. As a result, there were no negative rating actions on these issuances.

Subprime

• Of the 14 issuers that securitized in 2023 and 2022, six (43%) are reporting lower CNLs on their 2023 quarterly vintages, compared with their 2022 vintage. Those reporting lower losses are ACA, Exeter, SDART, UACST, Prestige, and Westlake.
• Nine issuers are reporting higher CNLs on one or more of their 2023 quarterly vintages than their 2022 vintage: AmeriCredit, Carvana, CPS, DriveTime, First Investor, Flagship, Foursight, GLS, and Lendbuzz. With that said, several of these companies' second half 2023 securitizations are performing better than those issued in the first half of 2023 and 2022. For example, Carvana's fourth-quarter 2023 transaction has been performing better than its 2022 vintage. Similarly, GLS' series 2023-3 and 2023-4 issuances are reporting lower losses than the 2022 vintage.
• We recently reviewed and raised our ECNLs on Carvana's 2023-N1 series; Drivetime's 2021, 2022, and 2023 series; and GLS's series 2023-1 and 2023-2. These reviews resulted in upgrades and affirmations, and no downgrades.
• In addition, we raised our ECNL on Flagship's series 2022-2, which resulted in a downgrade on classes C, D, and E (see the Auto Loan ABS Rating Activity/Revised Loss Expectations below).

Auto Loan ABS Rating Activity/Revised Loss Expectations

In July, we reviewed 11 transactions. Of these, we revised our loss expectations on 10 (raised two and lowered eight) and maintained one. Overall, our reviews resulted in three upgrades, three downgrades, and 25 affirmations (for more details on the specific rating actions, see the Related Research list below).

The three downgrades were on Flagship Credit Auto Trust 2022-2, which has experienced very high gross losses and low recovery rates. Over time, we've raised our ECNL on this transaction to 22.0% from 11.75% initially. Due to continued high loss levels, the overcollateralization, which was never at its target, was completely exhausted in May 2024. If the transaction continues to experience losses at its current levels, it risks exhausting its reserve account over the next few months; and the lowest rated notes, class E, which is currently rated 'CCC (sf)', will be exposed to a potential principal loss at final maturity (see "Three Flagship Credit Auto Trust 2022-2 Ratings Lowered And Two Affirmed," published July 1, 2024).

As of July 31, there have been 132 upgrades, eight downgrades, and 229 affirmations on U.S. auto loan ABS transactions year to date.

Table 4

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
7/1/2024	VART	1	2		4					1
7/9/2024	NAROT	4								4
7/31/2024	HART	2			12					2
7/31/2024	VALET	2			6				1		1
Subprime
7/1/2024	FCAT	1		3	2				1
7/12/2024	DART	1	1		1					1
Total		11	3	3	25				2	8	1
FCAT--Flagship Credit Auto Trust. VART--Veridian Auto Receivables Trust. DART--Drive Auto Receivables Trust. NAROT--Nissan Auto Receivables Owner Trust. HART--Hyundai Auto Receivables Trust. VALET--Volkswagen Auto Loan Enhanced Trust. ECNLs--Expected cumulative net losses.

Table 5

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)	132	8
Total	3,478	35
(i)As of July 31, 2024. ABS--Asset-backed securities.

Table 12

Volkswagen Auto Loan Enhanced Trust
Series	Original lifetime CNL exp.	Previous revised lifetime CNL exp.(i)	Current revised lifetime CNL exp.(ii)
2021-1	0.85-0.95	0.70	0.70
2023-1	0.95	N/A	2.00
(i)As of the May 2023 distribution date. (i)As of the July 2024 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable.

Appendix I: Tables

Table 13

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	Q1 2024
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15	14
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	20.05
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	0.00
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	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	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	0.10
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	0.14
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	0.18
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	0.21	0.23
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	0.25
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	0.29
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	0.41
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	0.45
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	0.49
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	0.46
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	0.49
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	0.52
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	0.45
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	0.48
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	0.51
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	0.52
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	0.54
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	0.55
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 14

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	Q1 2024
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	9.08
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	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	0.03
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	0.14
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	0.48
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	0.78	1.22	0.91	1.03	0.93	0.91
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	1.42
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	1.96
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	2.65	2.49
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	3.12
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	2.74	4.39	3.72	4.28	3.60
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	4.79
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	5.25
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	5.77
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	5.75
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	4.51	6.99	6.17
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	4.86	7.49	6.59
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	5.19	7.99
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	5.52	8.49
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	8.96
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	6.83
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	7.30
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	7.53
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	7.76
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	7.99
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	8.21
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	8.41
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	8.61
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	6.39
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	6.22
(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 15

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	Q1 2024
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15	14
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	20.05
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	0.01
2	0.02	0.03	0.03	0.02	0.02	0.01	0.02	0.02	0.02	0.02	0.02	0.04	0.03	0.02	0.02	0.01	0.03	0.03	0.02	0.05	0.04
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	0.08
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	0.16
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	0.25
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	0.33
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	0.31	0.42
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	0.38
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	0.45
10	0.96	1.14	0.75	0.52	0.53	0.39	0.47	0.46	0.49	0.56	0.54	0.54	0.52	0.36	0.33	0.40	0.53	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	0.69
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	0.78
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	0.86
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	0.88
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	0.96
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	1.03
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	0.84
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	0.90
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	0.96
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	1.13
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	1.16
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	1.19
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 16

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	Q4 2023	Q1 2024
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	9.08
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	0.00	0.00
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	0.04	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	0.16	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	0.60
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	1.10	1.58	1.25	1.32	1.20	1.16
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	1.86
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	2.65
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	4.52	3.59	4.09	3.60	3.42
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	3.78	5.45	4.43	5.06	4.40
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	4.48	6.35	5.27	5.97	5.17
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	6.82
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	7.66
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	6.53	8.96	7.64	8.52
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	7.20	9.81	8.39
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	7.87	10.65	9.11
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	8.53	11.48	9.80
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	12.28
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	9.80	13.08
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	13.85
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	10.95
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	11.48
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	12.00
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	12.49
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	12.96
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	13.41
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	13.85
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	14.29
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	14.71
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	15.12
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	15.51
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	15.88
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	13.63
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	13.35
(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 17

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	Q1 2024
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15	14
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	20.05
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	0.10
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	0.17
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	0.21
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	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	0.24
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	0.28
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	0.41	0.31
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	0.38
9	0.33	0.43	0.31	0.20	0.19	0.21	0.27	0.25	0.30	0.31	0.28	0.26	0.28	0.18	0.30	0.36	0.42	0.44	0.39
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	0.43
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	0.43
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	0.46
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	0.53
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	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	0.56
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	0.60
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	0.60
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	0.62
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	0.81
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	0.81
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	0.82
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 18

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	Q1 2024
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	9.08
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	0.17
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	0.99
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	2.09
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	2.87
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	2.94
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	3.24
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	3.57	4.64	3.13	5.26	3.81	3.60
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	3.83	4.67	3.26	5.74	3.73	4.10
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	4.09	4.80	3.46	6.05	3.85
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	4.07
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	5.23	3.85	5.38
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	5.65
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	6.24
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	3.97
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	6.11	3.97
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	4.03
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	6.49
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	6.67
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	6.64
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	7.00
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	6.83
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	7.18
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	5.89
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	5.66
43
(i)Beginning in 2016, includes AmeriCredit and SDART transactions not rated by S&P Global Ratings. Source: S&P Global Ratings.

Table 19

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	Q4 2023	Q1 2024
No. of deals	31	37	26	28	20	31	23	29	21	29	33	35	40	31	33	40	9	8	11	15	14
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	20.05
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	26.89	2.13
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	28.28	37.74
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	32.05	34.55
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	32.29	34.97
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	36.56
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	41.39
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	37.31	41.90
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	38.08
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	40.10
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	42.07
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	44.00
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	45.42
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	48.81
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	50.00
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	50.52
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	48.94
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	49.27
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	49.64
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	57.51
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	57.89
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	58.11
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 20

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	Q1 2024
No. of deals	19	4	2	14	15	26	26	29	29	38	33	42	39	35	41	40	11	10	12	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	9.08
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	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	35.57	28.04	29.98	7.85	24.92	18.41	28.13
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	32.47	35.44	32.09	28.88	21.16	32.56
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	29.38	23.21	27.15	22.13	23.49	17.32
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	30.60	23.93	27.15	21.86	22.50	20.77
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	32.34	24.66	27.56	22.66	23.45	22.83
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	34.27	26.65	28.07	23.37	24.66	25.14
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	36.65	28.74	28.73	25.08	26.83	26.87
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	38.64	30.51	29.67	26.87	29.64
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	40.16	31.89	30.34	28.80	31.00
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	41.56	32.93	30.53	30.52
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	42.49	33.76	30.92	32.30
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	43.22	34.63	31.61	33.15
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	43.82	35.18	32.42
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	44.28	35.55	33.20
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	44.63	35.90	33.63
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	44.91	36.17
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	45.12	36.31
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	45.39	36.53
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	45.71
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	45.97
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	46.22
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	46.64
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	46.98
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	47.04
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	47.14
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	47.15
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	47.17
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	53.81
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	54.00
43											43.69	48.02	51.55	54.27
(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.

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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