DBRS Releases an Updated Figures on Automotive Securitization Tapes Report

DBRS, Inc. (DBRS) released the updated monthly Figures on Automotive Securitization Tapes (FAST) Report. The updated FAST Report includes auto loans from 95 qualifying transactions from 18 asset-backed security (ABS) shelves. The FAST database now includes tapes from 108 prime and subprime auto loan transactions.

The Data and Analytics report includes two separate sections: a macro section based on all the auto ABS transactions in the FAST Report and then a report for each auto ABS transaction. Although not identical, each section follows a similar reporting line: deal comparison or time stratification, selected metrics, selected metrics broken down by tenor, modification and delinquencies, charge-offs and additional characteristics.

The macro section includes charts that track charge-offs and modifications by prime and subprime issuer classifications. This classification largely addresses an issuer’s population of obligors since DBRS classifies the charge-off and recovery data by prime and subprime shelves. DBRS includes an aggregate charge-off and recovery chart and then breaks down those charts by credit tiers within each of those charts.

The selected metrics segment of the Data and Analytics section provides further coverage of loans by original term. The selected metrics portion of the report currently includes 100% of the monthly receivable balance. An additional selected metrics report breaks down each original term distribution by term bucket to further clarify the drivers of loan performance. The term buckets are as follows: less than or equal to 60 months, 61 to 72 months and greater than 72 months. The original term distribution is included in the time series section of the report.

The Definitions report covers definitions associated with each field in the tape. The definitions are filed concurrently with the data tapes to supplement the asset-level disclosures. They provide a summary that clarifies the codes and cross-references the relevant fields in a tape to relevant disclosures, if any, in the prospectus.

DBRS expects that the loan-level information will provide a unique view into the characteristics of various loan types but notes that reporting is an evolving landscape because of the limited reporting history. Both sections of the FAST Report are derived from the FAST database and are designed to demonstrate a sampling of the variables that can be analyzed.

DBRS believes that the monthly FAST Report will not only address relevant topics but, more importantly, will provide insight into the data tapes. While DBRS notes that other information may be desired by investors and market participants, DBRS believes the selected four metrics (i.e., credit score, annual percentage rate, loan-to-value ratio and payment-to-income ratio) are relevant from a credit perspective.

Please provide any feedback or suggestions on the FAST Report and any comments related to interest in a web-enabled interactive FAST database to FAST@DBRS.com.

Notes:
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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