Index www.fitchratings.com July 27, 2017 U.S.A. 2Q17 Auto ABS Index: In the Auto ABS Driver ’ s Seat At a Glance: Prime Auto Loan ABS Measure (%) 22Q17 2Q16 1Q17 60+ Days Delinquencies 0.37 0.42 0.36 Annualized Net Loss 0.54 0.47 0.69 At a Glance: Subprime Auto Loans ABS Measure (%) 2Q17 2Q16 1Q17 60+ Days Delinquencies 4.55 4.07 4.82 Annualized Net Loss 7.42 6.32 9.05 Contacts Hylton N. Heard +1 212 908-0214 [email protected]John Bella, Jr. +1 212 908-0243 [email protected]Related Research Fitch Fundamentals Index — U.S. (October 2016) Auto ABS Index — U.S.A. 2Q17 Related Ratings (July 2017) What Investors Want to Know: U.S. Autos (June 2017) Prime Performance Improved: Seasonal patterns kicked in during 2Q17 and both delinquencies and losses declined. Subprime Losses Remain at High Levels: Subprime ANL increased to 9.1% in June, 16.4% higher YOY. Weaker collateral from the 2014–2015 vintages was the main driver of higher frequency while the wholesale market has affected severity. Used Vehicle Values Pressured: Compact, mid-size and full-size sedans fell further in 2Q17, along with new vehicle sales of these models. Trucks and SUVs continued to prop up wholesale values given low gas prices. Subprime Recoveries Down: Fitch’s subprime recovery rate index, which included older used vehicles securitized, declined to 42.5% in June versus 45.2% a year earlier. Prime recoveries were stable in 2Q17. Lease Residuals Lower; Black Book Retention Index Declining: Fitch’s Residual Value Index came down in 1H17, in tandem with Black Book’s (BB) index, which dropped to 112.3 in June, down 5.6% YOY to the lowest level since December 2010 (111.8). Large Banks Continued to Pull Back Lending: In a positive sign, Wells Fargo, JPMorgan and several large captive lenders cut back auto lending in 1H17 in response to higher losses. Incentives at Peak: Cash on the hood incentives have risen over the past year-and-a- half and are approximately $3,500/vehicle. This is a negative trend for used vehicle values. 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 Prime (LHS) Subprime (RHS) Auto Loan ABS 60+ Days Delinquency Index Source: Fitch. (%) (%) 0 2 4 6 8 10 12 14 0.0 0.5 1.0 1.5 2.0 2.5 Prime (LHS) Subprime (RHS) Auto Loan ABS Annualized Net Loss Index (%) Source: Fitch. (%)
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Index
www.fitchratings.com July 27, 2017
U.S.A.
2Q17
Auto ABS Index: In the Auto ABS Driver’s Seat
At a Glance: Prime Auto Loan ABS Measure (%) 22Q17 2Q16 1Q17
60+ Days Delinquencies 0.37 0.42 0.36
Annualized Net Loss 0.54 0.47 0.69
At a Glance: Subprime Auto Loans ABS Measure (%) 2Q17 2Q16 1Q17
Related Research Fitch Fundamentals Index — U.S. (October 2016)
Auto ABS Index — U.S.A. 2Q17 Related Ratings (July 2017)
What Investors Want to Know: U.S. Autos (June 2017)
Prime Performance Improved: Seasonal
patterns kicked in during 2Q17 and both delinquencies and losses declined.
Subprime Losses Remain at High Levels:
Subprime ANL increased to 9.1% in June, 16.4% higher YOY. Weaker collateral from the 2014–2015 vintages was the main driver of higher frequency while the wholesale market has affected severity.
Used Vehicle Values Pressured: Compact,
mid-size and full-size sedans fell further in 2Q17, along with new vehicle sales of these models. Trucks and SUVs continued to prop up wholesale values given low gas prices.
Subprime Recoveries Down: Fitch’s
subprime recovery rate index, which included older used vehicles securitized, declined to 42.5% in June versus 45.2% a year earlier. Prime recoveries were stable in 2Q17.
Lease Residuals Lower; Black Book Retention Index Declining: Fitch’s Residual
Value Index came down in 1H17, in tandem with Black Book’s (BB) index, which dropped to 112.3 in June, down 5.6% YOY to the lowest level since December 2010 (111.8).
Large Banks Continued to Pull Back Lending: In a positive sign, Wells Fargo,
JPMorgan and several large captive lenders cut back auto lending in 1H17 in response to higher losses.
Incentives at Peak: Cash on the hood
incentives have risen over the past year-and-a-half and are approximately $3,500/vehicle. This is a negative trend for used vehicle values.
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 2
July 27, 2017
U.S. Auto Loan ABS
2017 Outlooks Prime Asset Performance: Stable
Prime Rating Performance: Positive
Subprime Asset Performance: Stable
Subprime Rating Performance: Positive
Related Criteria
U.S. Auto Loan ABS Rating Criteria (March 2017)
U.S. Auto Lease ABS Rating Criteria (March 2017)
Global Rating Criteria for Dealer Floorplan ABS (January 2017)
Global Rating Criteria for Rental Fleet ABS (August 2016)
Global Structured Finance Rating Criteria (May 2017)
Loan Terms Closing in on 70 months:
Average loan terms moved up to over 69 months on average in 1H17. Lenders have offered higher terms in response to lower new vehicle sales and rising vehicle transaction prices, supporting consumers in purchasing a vehicle.
Stable Credit Metrics in ABS Pools: The
overall credit quality in securitized auto pools was stable or slightly improved during the first six months of the year. FICO scores in certain prime ABS platforms have improved, while LTVs were steady. Overall, APRs have risen in tandem with higher benchmark rates.
Outstanding Auto ABS Crossed Milestone:
Outstanding prime and subprime auto loan ABS hit $102.2 billion through 1H17, the highest level recorded in over 14 years.
Canadian Auto ABS Issuance Active:
Issuance has been buoyant in 2017, with prime loan deals brought to market by BMW and Mercedes-Benz (lease), Scotiabank and Ford Credit Canada Co. (FCC). The first auto dealer floorplan transaction since 2013 was also issued in July by FCC.
Highlights from U.S. Auto Report: Fitch’s
Corporate team released “What Investors Want to Know: U.S. Autos” in late June that reported:
Outlook stable despite weaker conditions.
Auto sales forecast at 17.0 units in 2017.
With strong trucks/SUV demand, OEMs have demonstrated a measure of supply discipline by curtailing production of smaller vehicles.
Disruption risks rising from migration to electric vehicles and accelerating pace of autonomous vehicle research.
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Prime ANL (LHS) Subprime ANL (RHS) Unemployment Rate (RHS)
Auto Loan ABS ANL Indices Versus Unemployment Rate
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 3
July 27, 2017
U.S. Prime Auto Loan ABS
2Q17 Followed Seasonal Patterns: Prime auto loan
performance stabilized in 2Q17, in line with seasonal trends; however, 12-month averages continued to climb.
Delinquencies Higher for 2017: Prime 60+ day
delinquencies declined to 0.37% versus 0.42% at 1Q17 but are in line with 0.36% from the year prior. Despite the improvement, the trailing 12-month average has reached 0.42%, the highest level in five years.
ANL Falls for 2Q17 but up YOY: Similarly, prime ANL
decreased to 0.54% in 2Q17 from 0.69% at 1Q17 but were up 15% from 2Q16. The 12-month average increased to 0.66% compared to 0.62% in the prior quarter, continuing the upward direction observed in recent years.
Stable ABS Credit: Prime loan ABS credit quality
continues to be stable to improving as a result of tighter underwriting from a FICO perspective. This is in direct response to elevated loss levels, particularly for lower FICO borrowers, and is a positive for asset performance.
Affordability Driving Loan Terms: Average contract
balances continues to increase driven by increasing sales of utility vehicles and higher MSRPs overall. The term continues to be extended in an effort to keep payments manageable for borrowers, but asset performance for extended term loans is generally weaker and has been a driver of weaker recovery rates observed recently. This dynamic will continue to affect loss severity, particularly for early-stage defaults.
Softer WVM for Near Term: The wholesale vehicle
market (WVM) continues to soften from high supply and the shift toward larger vehicles, resulting in higher volumes of cars remaining in auction lanes, depressing values. Trucks, CUVs and SUVs have outperformed cars over the past year, supported by low gas prices and improving fuel economy. Fitch expects this pressure to continue over the next one to two years, particularly due to expected high off-lease volumes, resulting from increased lease penetration.
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Monthly Rolling 12 Months
Prime Auto Loan ABS 60+ Days Delinquency Index
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Source: Fitch.
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Monthly Rolling 12 Months
Prime Auto Loan ABS Annualized Net Loss Index
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Source: Fitch.
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Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 4
July 27, 2017
U.S. Prime Auto Loan ABS (continued)
2016 Projecting near 2005/2006 Levels: 2016 Vintage
ABS is projecting to CNL of 1.32%, falling between 2005 at 0.96% and 2006 at 1.71%. Many 2016 ABS pools include weaker credit quality, as lenders had not switched course towards stronger pools yet. Coupled with a softer WVM, this is affecting performance.
2013–2015 Vintage Losses Higher: 2013–2015 ABS
vintages are exhibiting higher loss rates versus the strong 2010–2012 vintages. Current loss projections show 2015 tracking at 1.15%, higher than the previous six years but these projections continued to be below historical peaks.
Fitch’s Proxy and Performance Moved in Tandem:
Fitch’s base case loss proxies have increased for the past three years, in response to softening asset performance and weaker collateral trends. CNL proxies for 2016 Fitch-rated transactions averaged 1.68% versus 1.49% in 2015 and 1.37% in 2014 on a weighted basis. This compares to current CNL projections of 1.32%, 1.15% and 0.85%, respectively.
Positive Rating Outlook: Despite recent weakness,
Fitch’s prime asset performance outlook is stable, as loss levels remained below historical peaks. Fitch’s ABS rating outlook is positive, as transactions benefit from rapid amortization and building enhancement, which continued to support overall performance in 2017.
Prime Auto Loan ABS Initial CNL Proxy Versus Current Projected CNL
(%)
CNL – Cumulative Net Losses.Source: Fitch.
(Vintage)
2005–2012 — Actual CNL through 48 Months2013–2016 — Projected CNL through 48 Months
Index
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 5
July 27, 2017
U.S. Subprime Auto Loan ABS
Performance Remained Weak Despite Seasonal Boost:
Both delinquencies and losses have come down from peaks levels experienced in prior months as consumers benefited from tax season during 2Q17. However, 60+ delinquencies finished 2Q17 at 4.55%, up 12% YOY. ANL finished the quarter at 7.42%, up 17.4% YOY.
Weak Wholesale Market Increasing Loss Severity: In
addition to higher loss frequency, recovery rates have continued to decline due to wholesale market weakness, further contributing to elevated loss levels.
Fitch-Rated Platforms Stable: Santander Consumer
USA’s SDART and GM Financial’s AMCAR ABS platforms continued to exhibit stable performance despite slightly higher delinquencies and losses. Loss levels for transactions from both platforms remained well within Fitch’s initial base case loss expectations.
Shifting Market Share Driving Trends: Non-
established ABS platforms continued to drive much of the weaker performance observed in the subprime ABS sector. Many of these platforms have limited experience and have issued ABS secured by loans with high LTVs and high term to deeper subprime borrowers. These non-established platforms now account for 50% of Fitch’s subprime index, well above historical levels.
Drop in Originations a Positive: Fitch observed a
notable pullback in origination volume from certain subprime lenders, particularly larger ones, in 2016, a trend that has continued in 1H17. Fitch views these pullbacks as a positive, and performance may improve should lenders employ stricter underwriting criteria.
Ratings Outlook Remains Positive: Fitch continued to
take upgrades on all outstanding subprime ABS subordinate notes issued by SDART and AMCAR due to positive enhancement build and losses extrapolating well within Fitch’s initial forecasts. Fitch has also taken positive rating actions to Ally Financial’s Capital Auto Receivables Trust (CARAT) platform, considered nonprime and not included in Fitch’s subprime index. Fitch has upgraded 32 subordinate notes thus far in 2017.
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Monthly Rolling 12 Months
Subprime Auto Loan ABS 60+ Days Delinquency Index
(%)
Source: Fitch.
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Monthly Rolling 12 Months
Subprime Auto Loan ABS Annualized Net Loss Index
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Source: Fitch.
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Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 6
July 27, 2017
U.S. Subprime Auto Loan ABS (continued)
2015 Is the Weakest Vintage: Now seasoned 19 months,
the 2015 vintage is extrapolating to over 15% in CNL, higher than any vintage since 2005. The 2015 vintage has been prone to high loss severity from a weaker wholesale market and little-to-no equity in loan contracts at default due to extended-term lending, a trend that was not as apparent in the recessionary vintages.
2016 Vintage Shows Improvement: Although only
seasoned six months, the 2016 vintage is performing inside of the 2015 vintage. Loss extrapolations show losses reaching a range of 13%–14%, still in line with the worst-performing 2007 vintage but within the 2015 extrapolation.
2014–2016 Trending in Line with Recessionary Vintages: These vintages have elevated loss rates
consistent with recessionary vintage performance, the weakest observed vintages to date. 2009–2012 vintages produced losses of 8%–11%, and the 2013 vintage is extrapolating to approximately 11.50%. The 2014–2016 vintages are all extrapolating above 12%.
Issuance Slowing: ABS issuance has mirrored with
observed drop in originations from lenders, with subprime ABS volume down over 40% through 1H17 in comparison to 2017. In comparison to 1H15, 2017’s issuance was down over 80%.
Fitch Has a Conservative Approach to Sector: Fitch
only rates the AMCAR and SDART platforms. In the nonprime sector, Fitch rates Ally Financial’s CARAT platform. Click here to view Fitch’s report titled “Subprime Auto Lending Exposed to Domino Risk,” dated September 2014, for more information on the agency’s approach and opinion on the subprime auto sector.
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 7
July 27, 2017
U.S. Auto Lease ABS
At a Glance: Auto Lease ABS
Measure (%) 2Q17 2Q16 1Q17
Residual Value (Losses)/Gains 2.27 2.51 (0.06)
2017 Outlooks
Auto Lease Asset Performance: Stable
Auto Lease Rating Performance: Positive
Related Criteria U.S. Auto Lease ABS Rating Criteria (March 2017)
Residual Gains Return: Fitch’s Auto Residual
Value Lease Index reported the first quarterly gain in a year at 2.27% in 2Q17. While improved from losses of 0.06% in 1Q17, this is down slightly from gains of 2.51% in 2Q16.
Return Volumes to Remain High: Fitch’s
index saw $1.7 billion in returned residuals in 2Q17. This is down slightly from $1.9 billion in 1Q17. Projected securitized residual returns for each of the two remaining quarters in 2017 total over $2 billion.
Smaller Vehicle Value Declines Continued:
As a result of sustained low gas prices and increased fuel efficiency, pickups, vans and SUVs/CUVs continue to outperformed smaller cars. Auto lease ABS from issuers with heavier car portfolios has seen higher residual losses than their counterparts with portfolios heavier on bigger vehicles.
Luxury Segment Improvement Continues:
RV performance on luxury brands continues to improve YOY. In 2Q17, this segment recorded a residual gain of 5.12%, up from a gain of 0.19% in 2Q16. Conversely, mainline reported a gain of 0.56% in 2Q17 compared to a gain of 3.71% in 2Q16.
Fitch’s Auto Lease ABS Rating Outlook Stable: Despite declining residual values,
Fitch’s outlook remains stable, due in part to the delevering structures and ample credit enhancement levels.
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Residual Value Loss Index (LHS)Manheim Used Vehicle Value Index (RHS)Black Book Used Vehicle Retention Index (RHS)
Auto Lease ABS Residual Value Loss Index
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Source: Fitch, Manheim Consulting, Black Book USA.
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Auto Lease ABS Residual Value Maturities
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aTotal auto lease ABS residual value maturities coming due in a specific month.Source: Fitch.
Fitch’s Auto MPR Index averaged 37.38% in 2Q17, down 2% from 38.12% YOY. New vehicle sales have slowed in 2017 and dealer inventory aging has increased for U.S. dealers, leading to lower MPR experience.
Rising Rates May Pressure Dealer Profits: The
Federal Reserve increased benchmark rates by 0.25% in June, the second such increase of the year. Floorplan financing costs may affect dealer profitability if rate increases continue.
Inventories Remain Elevated: New vehicle
supply hit 69 days through 2Q17. While improved from 73 days at 1Q17, this is up from 59 days at 2Q16.
Production Levels Still High: U.S. production
levels are down 3.5% through 1H17 compared to the same period a year earlier. Despite the drop, production remains elevated and consistent with 2015 and 2016 levels, years in which historically high sales supported the higher production levels from OEMs.
Fitch Rates Navistar Platform: Fitch rated its
first DFP series issued by Navistar Financial’s NAVMT II master trust, secured by dealer notes originated to finance Navistar’s medium-/heavy-duty truck and bus inventory at dealer lots. The $250 million 2017-1 series closed on June 28, 2017 and has a two-year expected maturity.
ABS Performance Remains Strong: Despite
the moderation of certain dealer metrics in 2017, overall DFP ABS performance remained strong, with minimal to no losses and solid dealer health. MPR levels remain above early amortization and CE step-up triggers.
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Auto DFP Index Diversified Equipment DFP Index Total DFP Index
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 9
July 27, 2017
U.S. Used Vehicle Market
Black Book Index Declined in 2Q17: The BB Used
Vehicle Retention Index declined to 112 at 2Q17 from 114 at 1Q17 and 119 at 2Q16, evidencing higher vehicle depreciation relative to recent years.
Recovery Rates Weaker in 2017: Fitch has noted that
auto loan ABS transactions have demonstrated lower recovery rates in recent vintages compared to the 2010–2013 periods. This trend has been more pronounced in pools with higher concentrations of used vehicles or extended term (greater than 60 months) loans.
CUVs and SUVs Continued to Lead the Market: Used
vehicle value retention of full-size crossovers and light duty trucks outperformed the market in 2Q17, according to BB.
Economic Conditions Support the Market: Low
unemployment rates and consumer confidence in 2017 are still supporting the wholesale vehicle market. While increasing inventories and used vehicle supply are denting wholesale values, consumers’ ability to purchase vehicles nevertheless remains intact.
recovery rates and RV realizations are driving losses up for recent auto ABS vintages, but remain within Fitch’s initial expectations. The transactions still remain well protected from losses due to the de-levering of most auto ABS structures.
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Source: Fitch, Manheim Consulting, Black Book USA.
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Source: Fitch, Manheim Consulting, Bloomberg.
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Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 10
July 27, 2017
U.S. New Vehicle Sales
First-Half Slowdown: While sales have come off peak
levels experiencing an 11.9% decline in 1H17 relative to 1H16. This was expected by Fitch as consumer demand has slowed and Fitch predicted 17.0 million units sold for 2017.
SUVs/CUVs Strong: The first-half 2017 sales figures
were skewed toward in-demand SUVs, CUVs and trucks, while car sales declined. Low fuel prices, combined with increased credit availability and high incentive spending, have continued to help support this trend this year.
Auto ABS Still Strong: Issuance continued to be
buoyant given strong demand for auto purchases, despite coming off recent peak sales figures. Fitch expects strong auto ABS issuance in 2017, in line but slightly off from 2016 levels.
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New Light Vehicle Sales Versus Auto ABS Issuance
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Source: Fitch, WardsAuto, Asset-Backed Alert.
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Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 11
July 27, 2017
U.S. Auto ABS Rating Actions
U.S. Auto Loan Upgrades Transaction Class New Rating (Outlook) Previous Rating (Outlook)
AmeriCredit Automobile Receivables Trust 2013-2 D AAAsf (Stable) AAsf (Positive)
AmeriCredit Automobile Receivables Trust 2013-2 E AAsf (Positive) Asf (Positive)
AmeriCredit Automobile Receivables Trust 2013-3 D AAAsf (Stable) AAsf (Positive)
AmeriCredit Automobile Receivables Trust 2013-3 E AAsf (Positive) Asf (Positive)
AmeriCredit Automobile Receivables Trust 2014-4 D AAsf (Positive) Asf (Positive)
AmeriCredit Automobile Receivables Trust 2014-4 E Asf (Positive) BBBsf (Positive)
AmeriCredit Automobile Receivables Trust 2015-4 B AAAsf (Stable) AAsf (Positive)
AmeriCredit Automobile Receivables Trust 2015-4 C AAsf (Positive) Asf (Positive)
CarMax Auto Owner Trust 2013-3 D Asf (Stable) BBBsf (Positive)
CarMax Auto Owner Trust 2015-3 B AAAsf (Stable) AAsf (Positive)
CarMax Auto Owner Trust 2015-3 C AAsf (Stable) Asf (Positive)
Santander Drive Auto Receivables Trust 2013-3 D AAAsf (Stable) AAsf (Positive)
Santander Drive Auto Receivables Trust 2013-3 E Asf (Positive) BBBsf (Positive)
Santander Drive Auto Receivables Trust 2013-5 D AAAsf (Stable) AAsf (Positive)
Santander Drive Auto Receivables Trust 2013-5 E AAsf (Positive) Asf (Positive)
Santander Drive Auto Receivables Trust 2014-5 C AAAsf (Stable) AAsf (Positive)
Santander Drive Auto Receivables Trust 2014-5 D AAsf (Positive) Asf (Positive)
Santander Drive Auto Receivables Trust 2014-5 E Asf (Positive) BBBsf (Positive)
Santander Drive Auto Receivables Trust 2015-4 B AAAsf (Stable) AAsf (Positive)
Santander Drive Auto Receivables Trust 2015-4 C AAsf (Positive) Asf (Positive)
Santander Drive Auto Receivables Trust 2015-4 D Asf (Positive) BBBsf (Positive)
Santander Drive Auto Receivables Trust 2016-2 B AAAsf (Stable) AAsf (Stable)
Note: All data in this report are as of June 30, 2017.
Positive Actions Not Slowing: Despite softening in
performance with losses rising slowly in many prime platforms, Fitch expects the pace of upgrades to continue throughout 3Q17.
Subprime Upgrades Continued: Regardless of
concerns in this sector, Fitch expects positive rating actions throughout the rest of 2017 to be at or near levels issued in 2016.
Related Ratings: Click here for additional data on new
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 12
July 27, 2017
Index Methodology and Definitions
Auto Loans
Index Composition: Prime index comprises an outstanding balance of $59.7 billion, totaling 122 transactions. The subprime index comprises an outstanding balance of $42.5 billion,
totaling 160 transactions.
Delinquent Receivables: When the borrower fails to make a payment on its debt obligation by the specified due date, the outstanding debt obligation is considered delinquent.
Delinquency rates are important leading performance indicators for auto transactions, since a large portion of chargeoffs generally occurs through contractual delinquency. Fitch follows
delinquency rates on a regular basis to assess the future performance of the auto transactions.
60+ Day Delinquency Index: Measures the percentage of trust receivables associated with accounts that are 60 or more days delinquent, expressed as a non-annualized percentage of
total receivables outstanding.
Annualized Net Losses (ANL): Monthly gross losses less any recoveries expressed as an annualized percentage of the current receivables outstanding.
ANL Index: Measures the weighted average annualized monthly net losses for a set of prime/subprime Fitch-rated and non-Fitch-rated deals.
Cumulative Net Losses (CNL): Accumulated losses net of recoveries.
Month over Month (MOM): Comparison of data from previous month to current month.
Year over Year (YOY): Comparison of data from previous year to current year.
Auto Leases
Index Composition: Comprises outstanding notional balance of $28.0 billion, totaling 39 outstanding transactions.
Residual Value: The projected value of a fixed asset at maturity that is determined at lease inception.
Residual Value Loss Index: Measures monthly residual losses and gains among U.S. auto lease ABS pools originated by various domestic and foreign captive finance companies.
Periodic residual losses are calculated as the sum of all residual losses each month, divided by the securitized value of the forecast residuals returned that same month.
Residual Value Maturities: The frequency chart shows securitized residual value of returned vehicles in the index plotted against the residual value index. It also shows projected
residual lease maturities for all Fitch-rated lease transactions adjusted by each brand’s average turn-in rate.
Dealer Floorplan (DFP)
Index Composition: Comprises outstanding collateral balance of $29.6 billion from eight different master trusts.
Monthly Payment Rate (MPR): Includes monthly collections of principal paid; it is stated as a percentage of the outstanding balance as of the beginning of the month.
MPR Index: Measures the rolling three-month average MPR of a set of Fitch-rated deals.
Index
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 13
Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 14
July 27, 2017
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