Methodology & Data Quality

This page documents the data sources, definitions, and quality considerations behind every chart and table in the Auto Loan and Auto Lease ABS Data Explorers. It is written for practitioners who need to evaluate whether the numbers meet their standard of care before citing them.

Sections tagged Auto Loan or Auto Lease apply to that explorer only. Everything else applies to both.

1. Data Source

All content is derived from SEC ABS-EE asset-level filings submitted to EDGAR under Regulation AB II. Securitization trusts are legally required to file these monthly XML disclosures on a defined schedule. Our pipeline fetches the XML, parses it into per-issuer DuckDB files, deduplicates across filings, and aggregates the results served here. Typical latency from a new SEC filing to the explorer is under 24 hours.

Auto Loan coverage Auto Loan

Approximately 100 fields per loan per reporting period.

• Issuers covered: 24 active auto-loan securitizers (Ally, Ameri­Credit, Bridgecrest, BMW, CarMax, Capital One Prime, Carvana (P), Carvana (N), Exeter, Fifth Third, Ford, GM Financial, Honda, Hyundai, Mercedes‑Benz, Nissan, Santander (SDART), Santander (DRIVE), Toyota, Volkswagen, World Omni, and CarMax Select, Exeter Select, World Omni Select). Carvana’s single shelf is shown as two programs — P (prime) and N (non-prime) — which carry distinct collateral and report on different days of the month; blending them would distort both. Retired trusts (California Republic, USAA) remain available for historical access.
• Time coverage: Issuance vintages begin in 2017, though individual loans in seasoned pools can extend back to ~2010.

Auto Lease coverage Auto Lease

Approximately 70 fields per lease per reporting period.

• 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).

2. Active Pool & Delinquency

Both explorers report count-weighted, mutually exclusive DPD buckets: the 30–59 bucket, the 60+ bucket and the current (<30) bucket sum to the total active count and do not overlap.

• 60+ DPD rate: active assets with currentDelinquencyStatus ≥ 60, divided by total active assets.
• 30–59 DPD rate: active assets with 30 ≤ currentDelinquencyStatus ≤ 59, same denominator.
• 30+ DPD rate: the two combined.
• Current rate: active assets with dpd < 30 (or null).

A note on weighting

Delinquency is count-weighted: every active loan or lease counts once, regardless of size, so the rate answers what share of borrowers are behind. Loss is balance-weighted: it is a ratio of dollars, so it answers what share of the pool’s money was lost. Both are ratios of sums rather than averages of deal-level rates, so a small deal with an extreme rate cannot distort the issuer figure.

The two conventions are standard for their respective metrics, but they are not the same question — on a book where large loans behave differently from small ones, delinquency and loss will diverge for reasons of construction alone. Each chart names its denominator on the y-axis.

What counts as “active”

The two explorers apply different active tests, and this is the main place their definitions diverge:

• Auto Loan balance > $10.
• Auto Lease reportingPeriodEndingActualBalanceAmount > $10 and zeroBalanceCode is not an ABS-EE termination code (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, so excluding only the termination codes accommodates both conventions.

Auto Loan DPD values are capped at 999 in the pipeline. Some issuers use sentinel values (SDART uses 2577, DRIVE uses 1699) for already-charged-off loans; these are excluded from the DPD bucket counts.

3. Reconciliation Against Issuer Filings Auto Lease

The lease 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 the lease numerator diverges 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.

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

4. Loss Metrics Auto Loan

Loss figures come from monthly 10-D servicer distribution reports (EDGAR), not from the ABS-EE loan tape. The servicer states each deal’s losses directly, which is the authoritative pool-level figure. The Losses tab offers two views of that data.

Cumulative Net Loss, by vintage or series

• Cumulative Net Loss Rate: cumulative net losses (charge‑offs net of recoveries, per the servicer) ÷ original pool balance, indexed by months since issuance. Note this denominator differs from the annualized measure below, which divides by the average outstanding balance.
• View: selectable — By Vintage (pool‑weighted across deals of the same issuance year) or By Series (individual deals).

Annualized Net Loss, by calendar month

CNL is cumulative and indexed by loan age, so it cannot be placed on a calendar axis: averaging it across an issuer’s deals in a given month produces a figure driven by pool age mix rather than credit. The annualized net loss rate is a point-in-time flow, so it can be aggregated per issuer over calendar time the way the delinquency rate is.

• Formula: 12 × net losses for the period ÷ average outstanding pool balance (the mean of beginning and ending balance), summed across an issuer’s deals in each distribution month.
• Basis: the All pools / Seasoned (>6 mo) toggle mirrors the Delinquency tab. A young deal books almost no losses, so an issuer writing new deals looks better than it is on the all-pools basis.
• Below zero is a net gain, not a negative loss. The 10-D line item is literally “Principal Net Loss / (Gain)”: a month whose recoveries on previously charged-off receivables exceed its gross charge-offs books a gain, which the filings print in accounting parentheses. Prime shelves cross below zero routinely.

Because the two tabs read different filings, their as-of dates differ: ABS-EE delinquency data is a month-end snapshot, while 10-D loss data follows each deal’s mid-month distribution calendar. A shelf’s newest loss month can therefore sit one month behind its newest delinquency month. The loss chart states its as-of month in the subtitle. A shelf whose 10-D figures fail our internal reconciliation check is withheld from the annualized series rather than published unverified.

5. Repossessions (1st-Time Repo Rate) Auto Loan

1st-time repossession = the first reporting period in which a loan’s repossessedIndicator transitions to TRUE. Each loan is counted at most once, at its first-ever repo period.

• Numerator: count of loans whose first-ever repo period is the current reporting period, within the selected (issuer × credit-score band × new/used) filter.
• Denominator: count of all loans active in the current reporting period in the same filter bucket.
• Why 1st-time only: the raw repossessedIndicator can flip from TRUE back to FALSE (borrower redemption) and then to TRUE again. Counting every transition would double-count these edge cases; industry convention uses 1st-time only.

6. Credit Score Methodology Auto Loan

Analysis uses the consumer credit bureau score reported in SEC ABS-EE filings, filtered to the 300–900 range. Seven of twenty-five issuers explicitly identify this as a FICO score; the remaining eighteen report a generic “bureau score” label. Industry practice strongly favors FICO Auto Score for auto lending decisions, but we cannot independently verify the score model for all issuers. Loans without a reported score (~0–15% by issuer) are excluded from the analysis.

Commercial / dealer bureau scores (obligorCreditScoreType LIKE '%commercial%') are excluded because they use a different scoring scale than consumer scores and would contaminate the low-score bands of prime issuers.

Credit Score vs Default (Kaplan-Meier survival analysis)

• Event: loan charge-off (zeroBalanceCode = '4').
• Censoring: loans that paid off (zeroBalanceCode = '1') or remain active are treated as right-censored at their most recent observation.
• Duration: months between originationDate and event (or censor) date.
• Output: Kaplan-Meier cumulative default probability as a function of months-on-book, per credit score band.

7. Vintage Curves vs Time Series

• Vintage Curves plot the metric 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.

8. Scope & Boundary Notes

Auto Loan Issuers with commercial-auto exposure: for issuers that securitize both consumer and commercial auto loans (Ford, Ally), we exclude commercial-bureau-scored loans from our “Below Prime” bucket. Commercial bureau scores use a different scale than consumer FICO (typically 0–100), and including them would mix fleet and small-business loans with subprime consumer loans. For a consumer credit analysis, the stricter exclusion is more defensible. The SQL filter is: LOWER(obligorCreditScoreType) NOT LIKE '%commercial%'.

Auto Loan Score boundary: our “Below Prime” bucket is scores 300–659 inclusive, reflecting 10-point score bucketing. Definitions that treat 660 as below prime will show slightly higher counts; the difference is typically small (∼1–4% for small-volume issuers where a repo happens to land on exactly 660).

Auto Lease Delinquency only (MVP): residual-value realization, disposition mix, and cumulative net loss metrics are computed by the pipeline but are not yet surfaced, pending independent corroboration.

9. Known Limitations

• Auto Loan Repo indicator reporting lag: some issuers (notably Exeter during 2023–2024) updated repossessedIndicator with delay, producing apparent anomalies in monthly rates. The cumulative count is still correct; monthly timing may be shifted.
• Auto Loan Score model ambiguity: 18 of 25 issuers use a generic “bureau” label instead of explicitly naming FICO. A Vantage­Score 640 may not be risk-equivalent to a FICO 640.
• Auto Loan Vehicle valuation varies by issuer: vehicleValueAmount may reflect wholesale, retail, dealer purchase price, or another basis depending on the issuer’s servicing system. Cross-issuer LTV comparisons should be treated as directional, not precise.
• Auto Loan Commercial purpose loans: some consumer-bureau-scored loans may have commercial use (e.g., sole proprietors financing work vehicles). The loan tape does not distinguish these, but visible evidence of distortion is minimal.
• Auto Lease 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.
• Auto Lease No deal-specific triggers: pool-level performance against deal-specific covenants (delinquency triggers, residual loss triggers) requires prospectus-level data not included in ABS-EE.
• Non-disclosed fields: SEC ABS-EE does not require disclosure of down payment amount, borrower income (only payment-to-income), employment status, housing, or dealer identity. These variables affect default risk but cannot be analyzed from this dataset.

10. Update Schedule & Audit Trail

• Daily pipeline: runs twice daily (6 AM and 6 PM ET).
• Weekend behavior: the pipeline does not run on weekends; data is stable Saturday–Sunday.
• Build identifier: each generated page includes a build timestamp in its header (BUILD_ID).

This methodology page is regenerated with every pipeline run and is always in sync with the data currently served on both explorers.