Subprime Auto Amy Martin Lead Analyst Senior Director Auto ...

Subprime Auto Loan ABS Update

Annual Non-Prime Auto Financing Conference NAF Association

Fort Worth, Texas May 31, 2018

Amy Martin Lead Analyst ? Auto ABS Senior Director Structured Finance Ratings

Ines Beato Director Structured Finance Ratings

Copyright ? 2018 by S&P Global. All rights reserved.

Agenda

? Size Of The Auto Loan And Subprime Auto Loan ABS Markets ? Subprime Auto Finance Trends ? Collateral Characteristics Of Subprime Auto Loan ABS ? Subprime Auto Loan ABS Collateral Performance (Vintage Analysis) ? Comparison of Issuers To S&P's Subprime Auto Loan Static Index ? New Performance Metric ? Subprime Auto Loan ABS Ratings Performance ? Outlook

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$ Billion

Auto Sales (Million Units)

Auto ABS Issuance Generally Tracks Auto Sales

U.S. Auto Sales, Auto Lease ABS Issuance and Auto Loan ABS Issuance

Auto Lease ABS Issuance ($ Bil)

Auto Loan ABS Issuance ($ Bil)

Auto Sales (Million Units)

120

18

100

103

16

100

88

87

89

14

80

70

60

54

40 37

74

74

73 12

67

69 68 67

61

10

54

45 47 49

8

6

4

20

4.4

4.5

3.2

2.3

3.4

1.7

4.7

14.3 13.3

6.8

5.1

8.5

8.3

9.7 10.7 14.0 15.9 17.5 14.3 13.5

2

0

0

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Source: S&P Global Ratings

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Subprime Dollar Issuance

% Of Total Retail Auto ABS

$30

40.0%

Billion $

$25 $21.6

$20 $16.3

$15

$10

$25.4 $23.3 $23.1

$20.0 $18.4 $17.6

35.0% 30.0% 25.0%

$11.6 $8.7

$11.2 $11.6

20.0% 15.0%

10.0%

$5 $2.2 $1.2

5.0%

$0

0.0%

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2017 *Est.

YTD 2018

Issuance ($)

% of Total Dollar Issuance

YTD

Source: S&P Global Ratings

*YTD 2018 is estimated through May 31, 2018

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Top 3 Subprime Issuers As a % of Subprime Auto Loan ABS

100.0% 95.0% 90.0%

100.0% 90.6%

95.3%

89.7%

85.0% 80.0% 75.0% 70.0% 65.0% 60.0%

72.1% 67.1%

79.2% 73.7%

65.3% 66.8% 60.5%

57.6%

55.0%

50.0% 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

1 CapOne AMCAR AMCAR AMCAR Santander Santander Santander Santander Santander Santander Santander Santander ($7.2 bn) ($9.8 bn) ($6.7bn) ($8.8bn)

2 AMCAR Capital One

CPS DriveTime AMCAR GM

GM

GM

GM

GM

GM

GM

Financial Financial Financial Financial Financial Financial Financial

($4.2 bn) ($4.4 bn) ($4.9 bn) ($4.7 bn)

3 HSBC Drive CAC Prestige DriveTime DriveTime CPS Santander

Exeter Exeter Exeter Flagship DriveTime ($1.7 bn) ($1.4 bn) ($1.6 bn) ($1.9 bn)

Source: S&P Global Ratings

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