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Subprime Auto Loan ABS Update

Annual Non-Prime Auto Financing Conference NAF Association

Plano, Texas June 1, 2017

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

Copyright ? 2017 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 ? Deterioration In Subprime Auto Loan ABS Collateral Performance

(Vintage Analysis) ? Comparison of 18 Issuers To S&P's Subprime Auto Loan Static Index ? Subprime Auto Loan ABS Ratings Performance Remains Stable ? Outlook

2

Auto ABS Issuance 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

12

67

69 68 67 70

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

14.0 15.9 17.5 14.3 15.2 9.7 10.7

2

0

0

$ Billion

Auto Sales (Million Units)

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

Source: S&P Global Ra6ngs

3

Subprime Dollar Issuance

% Of Total Retail Auto ABS

$25 $21.6

$20 $16.3

$15

$10

$23.3 $23.1

$18.4

$17.6

$20.0

40.0% 35.0% 30.0%

25.0%

$11.6 $8.7

20.0% $7.9 15.0%

Billion $

$5

$2.2 $1.2

10.0% 5.0%

$0

0.0%

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

YTD

Issuance ($)

% of Total Dollar Issuance

Source: S&P Global Ra6ngs

4

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%

72.1%

79.2% 73.7%

70.0% 65.0% 60.0%

67.1%

65.3% 66.8% 57.6%

55.0%

50.0% 2006 2007 2008

1 Capital One AMCAR AMCAR

2 AMCAR Capital One CPS

2009 2010 2011 2012 2013 2014 2015 2016

AMCAR

Santander Santander Santander Santander Santander Santander Santander ($7.2 bn) ($9.8 bn) ($6.7bn)

DriveTime AMCAR

GM Financial

GM Financial

GM Financial

GM Financial ($4.2 bn)

GM Financial ($4.4 bn)

GM Financial ($4.9 bn)

3 HSBC

Drive

CAC

Santander

Pres6ge DriveTime DriveTime CPS

Exeter

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

Source: S&P Global Ra6ngs

5

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