Methodology & Definitions

This explorer surfaces lease-level delinquency performance from SEC ABS-EE filings, presented in the same visual idiom as the companion Auto Loan ABS Explorer. The current release focuses on a single performance dimension — delinquency by DPD bucket — with additional panels (residual realization, disposition mix, cumulative net loss) deferred until the underlying data has been independently corroborated.

1. Data Source

All content is derived from SEC ABS-EE asset-level filings submitted under Regulation AB II. Each auto-lease securitization trust files monthly XML disclosures (~70 fields per lease per reporting period) on EDGAR. Our pipeline fetches the XML, parses into per-issuer DuckDB files, deduplicates across filings, and aggregates here.

• Issuers covered (SEC-registered, public ABS-EE filers): BMW Vehicle Lease (BMWLT), Ford Credit (FCALT), GM Financial (GMALT), Mercedes-Benz (MBALT), Nissan (NALT), Porsche (PILOT), Volkswagen (VWALT), World Omni (WOALT).
• Excluded: Toyota Lease (TMCLT), American Honda (AHALT), and Hyundai (HALST) — no ongoing public ABS-EE (Rule 144A private placements; Hyundai filed a single public deal in 2021).
• Update cadence: Pipeline runs daily (6 AM and 6 PM ET). Typical latency from a new SEC filing to this explorer is under 24 hours.

2. Delinquency Methodology

• 60+ DPD rate: Active leases with currentDelinquencyStatus ≥ 60, divided by total active leases.
• 30–59 DPD rate: Active leases with 30 ≤ currentDelinquencyStatus ≤ 59, same denominator.
• 30+ DPD rate: Combined 30–59 and 60+ buckets.

Count-weighted, exclusive buckets. The 30–59 bucket and the 60+ bucket sum (with the <30 / current bucket) to the total active count; they do not overlap. Charts are unit-count weighted, mirroring the auto-loan explorer's convention.

3. Active-Pool Definition

A lease counts as active at a given reporting period if both:

• reportingPeriodEndingActualBalanceAmount > $10, and
• zeroBalanceCode is not one of the ABS-EE termination codes (1=prepaid/matured, 2=liquidated, 3=charged-off, 4=servicer repurchase, 5=substituted, 6=defaulted).

Most filers leave zeroBalanceCode empty for active leases; BMW uses '99' as their active marker. Excluding only the termination codes accommodates both conventions.

Reconciliation against issuer-filed Form 10-D

The active-pool definition was validated against Ford Credit Auto Lease Trust 2023-A's Monthly Investor Report (Form 10-D) for the December 2024 collection period. The 10-D's reported end-of-period pool count and securitization value reproduce exactly under our definition:

Where our numerator will diverge from issuer reports

Even with matched denominators, our 30+ DPD count typically runs 10–20% above the corresponding figure in monthly investor reports. Two structural reasons:

• Payment extensions. When a lessee receives a payment extension during a collection period, the issuer treats the lease as cured for reporting purposes. Our ABS-EE snapshot still carries the lease at its pre-extension DPD until the following month's filing.
• Charge-off-pending exclusions. Issuers typically remove leases flagged for default/repossession (ABS-EE terminationIndicator = '3') from the delinquency table and report them separately. Our snapshot still includes those leases in the 60+ bucket while they retain a non-zero balance.

The trends and relative comparisons across issuers remain meaningful. For deal-level absolute counts, consult the issuer's Form 10-D.

4. Vintage Curves vs Time Series

• Vintage Curves plot DPD rate as a function of months since deal issuance, one line per deal series. Useful for comparing the seasoning behavior of different vintages within the same issuer.
• Time Series aggregates each issuer's deals into a single calendar-time curve, one line per issuer. Useful for cross-issuer trend comparisons.

5. Scope & Known Limitations

• Delinquency only (MVP). Residual-value realization, disposition mix, and cumulative net loss metrics are computed by the pipeline but are not yet surfaced on this page pending independent corroboration.
• Entity-name aliasing. A handful of issuers (notably Ford) file under both their trust name and depositor name (e.g., "Ford Credit Auto Lease Two LLC"); these may appear as separate series in the legend with identical numbers.
• No deal-specific triggers. Pool-level performance vs deal-specific covenants (delinquency triggers, residual loss triggers) requires prospectus-level data not included in ABS-EE.