Credit Acceptance Auto Loan Trust

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1 Presale Report Analysts Lain Gutierrez Chris O Connell Credit Acceptance Auto Rating Debt Class Size Coupon Rating Rating Action Class A $153,000,000 [TBD%] AAA (sf) Provisional Rating New Class B $44,800,000 [TBD%] AA (sf) Provisional Rating New Transaction Participants and Relevant Dates Kathleen Tillwitz Issuer: Credit Acceptance Auto Seller: Credit Acceptance Funding LLC Originator: Credit Acceptance Corporation ( CAC ) Servicer: Credit Acceptance Corporation Backup Servicer: Wells Fargo Bank, N.A. (Rated: AA (high)/r-1 (high) / Stable trend) Indenture Trustee: Wells Fargo Bank, N.A. (Rated: AA (high)/r-1 (high) / Stable trend) Owner Trustee: U.S. Bank Trust National Association (Parent: U.S. Bank National Association rated: AA(high)/R-1(high) Stable trend) DBRS Rating Methodology: Rating U.S. Retail Auto Loan Securitizations Collateral Description: The collateral consists of $220 million of Dealer Advances (defined below) and $29.5 million of purchased consumer loans. Interest Distribution Monthly (15 th of the month) Dates: First Interest Distribution Date: November 15, 2013 Commencement of Amortization Period: October 15, 2015 Class A Final Scheduled Distribution Date: [April 15, 2021] Class B Final Scheduled Distribution Date: [October 15, 2021] Table of Contents Rating... 1 Transaction Participants and Relevant Dates... 1 Table of Contents... 1 Executive Summary... 2 Rating Rationale... 3 Credit Acceptance Corporation... 3 Underwriting and Servicing... 4 Collateral... 5 Transaction Structure... 7 Credit Enhancement... 8 Cash Flow Analysis... 8 Representations & Warranties Structured Finance: ABS Auto Loans

2 Executive Summary DBRS, Inc. (DBRS) has assigned ratings to the Credit Acceptance Auto (CAALT ) transaction as listed on page one. The CAALT transaction represents the 22 nd securitization by Credit Acceptance Corporation ( Credit Acceptance, CAC or the Company ) since To date, CAC has issued 21 securitizations (nine ABCP facilities and twelve term ABS securitizations). Since 1972, Credit Acceptance has provided automobile loans to consumers, regardless of their credit history, indirectly through automobile dealers. The Company operates a unique business model in that it does not acquire consumer notes directly from dealers as indirect lenders typically do. Instead, the Company provides financing to franchise and independent dealers in the form of dealer advances (a Dealer Advance ). The Dealer Advance is secured by pools of consumer notes. CAC also purchases consumer notes on a limited basis. The Dealer Advance amount is a function of the credit quality of the underlying consumer note and the dealer. CAC services the loans for a 20% (of collections) fee and the dealer s 80% share of collections is applied as repayment of the Dealer Advance. Once the Dealer Advance has been repaid, the dealer collects the remaining 80% share of collections. This upside to the dealer is known as the Dealer Holdback. The collateral consists of Dealer Advances (87%) 1 as well as purchased consumer notes (13%). The consumer notes supporting Dealer Advances and purchased consumer notes are underwritten and scored in the same manner. Therefore, for the purpose of our analysis, we did not distinguish between the two. The collateral also includes defaulted loans totaling 18% of the total consumer notes. The defaulted loans represent loans that are part of the pools supporting Dealer Advances that have defaulted since the Dealer Advance was originated. For purposes of cash flow modeling, we included only recoveries on the defaulted balance as available funds for the waterfall. DBRS analyzed the transaction in a manner consistent with other retail subprime auto loan securitizations we have rated. We analyzed the performance of the underlying consumer notes, rather than the performance of the Dealer Advances. We also assumed 100% of the underlying consumer notes collections, after giving effect to stress assumptions, were available to pay the CAALT bonds. Although there is some leakage of collections back to dealers due to the Dealer Holdback, in high net loss stress scenarios we assumed the dealers do not collect their Dealer Holdback. Using the economics for a typical Dealer Advance provided by the Company, we determined the breakeven net loss at which the Dealer Holdback reduces to zero is well below the stressed net loss in our AAA (sf) and AA (sf) scenarios. Thus, it is appropriate to assume no holdback is paid to dealers and 100% of consumer note collections are available to the CAALT bonds. Proposed Class A credit enhancement as a percentage of outstanding consumer notes principal balance consists of overcollateralization (51.9%), subordination (11.3%) and a reserve account (1.0%). Proposed Class B credit enhancement as a percentage of outstanding consumer notes principal balance consists of overcollateralization (51.9%), subordination (0.6%) and a reserve account (1.0%). The reserve account is 2.0% of Class A and Class B bonds and fully funded at closing. The reserve account is available to pay periodic interest and principal only on the final scheduled distribution date. Like previous CAC transactions, CAALT includes a 24 month reinvestment period with the first principal payment expected to be made on November 16, 2015, unless an Early Amortization Event occurs before that date. The Issuer will not make any principal payments on the bonds during the reinvestment period. During this period, principal collections will be used to acquire new collateral. 1 Percentages of collateral throughout this report are calculated on principal only collateral balances. See Collateral below. 2 Structured Finance: ABS Auto Loans

3 Rating Rationale The ratings are based upon a review by DBRS of the following analytical considerations: Transaction capital structure, ratings and form and sufficiency of available credit enhancement. o Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss assumption under various stress scenarios. Please see Cash Flow Analysis below for more details. o The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date. o The transaction includes triggers which act to mitigate deterioration in the performance of the collateral during the reinvestment period and would result in an early amortization of the bonds (see Transaction Structure - Early Amortization Events below). The transaction parties capabilities with regards to originations, underwriting and servicing. o Credit Acceptance has a long and successful track record of achieving consistent loan performance in varying economic and competitive environments. The senior management team has also spent a significant amount of time with Credit Acceptance. o Wells Fargo Bank (Rated: AA (high)/r-1 (high) Stable trend), is an experienced auto loan servicer, is backup servicer on this transaction. Wells Fargo receives a monthly data file and reconciles the data with the servicing certificate in order to maintain the accuracy of the servicing reports. Review of the legal structure and presence of legal opinions (to be provided) which will address the true sale of the assets to the issuer, the non-consolidation of the special purpose vehicle with CAC, and that the trust has a valid first priority security interest in the collateral and the consistency with the DBRS Legal Criteria for U.S. Structured Finance Transactions methodology. Credit Acceptance Corporation Since 1972, Credit Acceptance has provided automobile loans to consumers, regardless of their credit history, indirectly through automobile dealers. The Company operates a unique business model in that it does not acquire consumer notes directly from dealers as indirect lenders typically do. Instead, the Company provides financing to franchise and independent dealers in the form of dealer advances (a Dealer Advance ). The Dealer Advance is secured by pools of consumer notes. CAC also purchases consumer notes on a limited basis. The Dealer Advance amount is a function of the credit quality of the underlying consumer note and the dealer. CAC services the loans for a 20% (of collections) fee and the dealer s 80% share of collections is applied as repayment of the Dealer Advance. Once the Dealer Advance has been repaid, the dealer collects the remaining 80% share of collections. This upside to the dealer is known as the Dealer Holdback. Credit Acceptance offers two programs to its dealers: The Portfolio Program (94% of originations) and the Loan Purchase Program (6% of originations). 1. Portfolio Program: This program accounts for 87% of CAALT collateral and is the program under which Dealer Advances are funded. Under the Portfolio Program, consumer notes are grouped in discrete pools of not less than 100 notes securing each Dealer Advance. The consumer notes within each pool are cross collateralized with respect to the Dealer Advance. 2. Loan Purchase Program: This program accounts for 13% of CAALT collateral and represents a traditional discount program offered to dealers which results in incremental volume at high returns. 3 Structured Finance: ABS Auto Loans

4 Economics of a Dealer Advance The following example illustrates a typical Dealer Advance. Basic Loan Interest Rate 21.50% Loan Term 50 mos. Wholesale Cost $8,007 Retail Selling Price $12,354 Down Payment ($2,324) Amount Financed $10,030 Dealer Advance Interest $ $5,242 Loan Amount = Amount Financed + Interest $15,272 Collections Forecast % 73.10% Advance To Dealer % 47.10% Advance To Dealer $7,193 Dealer Holdback Collections Forecast $ $11,164 80% of Collections Forecast $ $8,931 Advance To Dealer $ $7,193 Dealer Holdback (before fees) $1,738 Fees ($812) Dealer Holdback $ Basic Loan Dealer sells a car at a retail price of $12,354 (wholesale cost of $8,007 + mark-up of $4,347) 2. The consumer provides a down payment ($2,324) and finances the balance ($10,030) 3. Given a 21.5% APR and loan term of 50 months, the total interest over the life of the loan is $5,242. This interest amount is added to the loan amount ($10,030) to determine the Loan Amount ($15,272) as calculated by CAC. 4. Dealer Advance Using a collections forecast of 73.1% (based on the Company s internal consumer scorecard), CAC assumes that $11,164 of the $15,272 will be collected over the life of the loan i.e. CAC assumes an expected loss of 26.9% of principal plus interest. 5. CAC further haircuts the forecasted collections of $11,164 for consumer and dealer credit characteristics to determine the Dealer Advance. In this example, the Dealer Advance is 47.1% of the $15,272 Loan Amount, or $7, Once the Dealer Advance is repaid, the dealer begins to collect its holdback. The Dealer Holdback is equal to 80% of expected collections less the Dealer Advance less ancillary fees ($11,164 x 80% minus $7,193 minus $812 = $926). Underwriting and Servicing Dealers in the Credit Acceptance network submit applications for automobile loans to Credit Acceptance through its Credit Approval Processing System ( CAPS ). The CAPS system allows dealers to input credit applications and view the response from Credit Acceptance on-line. CAPS allows dealers to: (i) rapidly receive an approval for a potential consumer note; (ii) interact with Credit Acceptance s credit scoring system to improve the terms of the note prior to delivery and (iii) create and print contract documents. 4 Structured Finance: ABS Auto Loans

5 All responses include the amount of the Dealer Advance in the case of the Portfolio Program or cash payment in the case of the Loan Purchase Program, as well as any stipulations required for funding. The amount of the Dealer Advance or cash payment is determined using a computer model which takes into account a number of factors, including the cash flows expected on the consumer note and the Company s target return on capital. The expected consumer note cash flows are determined based upon a proprietary credit scoring system, which takes into account (i) information contained in the consumer s credit application and credit bureau report, (ii) the structure of the proposed transaction, (iii) vehicle information, (iv) Credit Acceptance s historical experience with the dealer as well as other factors, to calculate a composite credit score that corresponds to an expected collection rate. The accuracy of the credit scoring system is evaluated monthly by comparing projected to actual loan performance. Adjustments are made to the credit scoring system when necessary. Recently, the CAPS system was upgraded to account for many of the items previously incorporated in other systems at the company. CAPS now includes the application and controls, and provides the ability to process loan packages and compares loan data against information provided during the approval process and allows the funding analyst to check that all stipulations have been met prior to funding. Servicing and Collections After a consumer loan is originated, it is serviced by Credit Acceptance s collection team. Generally, collection calls are made daily to all obligors that are delinquent and have not made a promise to pay. Calls are made using predictive dialing technology. Predictive dialing efforts are supplemented by manual calling in situations where Credit Acceptance does not have a valid phone number, has not had recent contact with the customer or in other situations. Credit Acceptance has an incentive system to encourage collectors to collect the full amount due and eliminate the delinquency on pre-repossession accounts. Accounts are placed for repossession either based on an analytical model or through policy based criteria. When a loan is approved for repossession, the account is transferred to the repossession team. Repossession personnel continue to service the loan as it is being assigned to a third party repossession contractor, who works on a contingency fee basis. If sufficient collections are attained prior to the repossession of the vehicle, the repossession order is cancelled and the account is transferred back to the pre-repossession department. If a vehicle is repossessed, the obligor can negotiate a redemption with Credit Acceptance, whereby the vehicle is returned to the obligor in exchange for paying a negotiated amount, or where appropriate or required by law, the vehicle is returned to the obligor and the loan reinstated, in exchange for reducing or eliminating the past due balance. If the redemption process is not successful, the vehicle is typically sold at a wholesale auction. Prior to sale, the vehicle is usually inspected by Credit Acceptance s remarketing representatives or auction personnel who may authorize repair and reconditioning work in order to maximize the anticipated net sale proceeds at auction. If the vehicle sale proceeds are not sufficient to satisfy the balance owing on the related loan, the loan is assigned either to: (i) Credit Acceptance s internal collection team, in the event that the obligor is willing to make payments on the deficiency balance; or (ii) where permitted by law, Credit Acceptance s external collection team, if it is believed that legal action is required to collect the deficiency balance owing on the loan. The Servicer s external collection team assigns loans to third party collection attorneys who file claims and upon obtaining a judgment, garnish wages or other assets. Collateral The collateral consists of Dealer Advances (87%) as well as purchased consumer notes (13%). The consumer notes supporting Dealer Advances and the purchased consumer notes are underwritten and scored in the same manner. Therefore, DBRS did not distinguish between the two in its analysis. 5 Structured Finance: ABS Auto Loans

6 CAC accounts for the outstanding balance of the underlying consumer notes as total principal plus interest. 2 Thus, as seen in the table below, the $220 million of Dealer Advances net book value is secured by $486 million of consumer notes (P+I balance) and the Purchased Consumer Notes net book value represents $71 million of consumer notes (P+I balance). Net book value is net of loan loss provisions. DBRS analyzed the collateral on a principal only basis in the same manner as a traditional indirect retail subprime auto loan transaction. Thus for our analysis, the Dealer Advances are secured by $360 million of consumer notes (principal only balance) and the Purchased Consumer Notes represent $54 million on a principal only balance. Consumer Note Consumer Note % of Net Book Value P+I Balance Prin Balance Prin Balance Dealer Advance $220,663,609 $486,243,440 $360,986, % Purchased Consumer Notes $29,485,533 $71,822,834 $54,868, % Total $250,149,142 $558,066,274 $415,854, % The collateral also includes defaulted loans totaling 18% of the total consumer notes (see below). The defaulted loans represent loans that are part of the pools supporting Dealer Advances that have defaulted since the Dealer Advance was originated. For purposes of cash flow modeling, we included only recoveries on the defaulted balance as available funds for the waterfall (see Cash Flow Analysis below). Consumer Note Prin Balance Defaulted $75,773, % Performing $340,080, % Total $415,854, % The following is a summary of the collateral for the transaction: CAC Collateral Pool Balance $ 415,854,326 Avg Loan Balance $ 8,206 WA APR 21.20% WA FICO* 556 WA LTV* 188.4% WA Original Term 49.7 mos. WA Remaining Term 35.1 mos. WA Seasoning 14.6 mos. WA Down payment* 22.10% * for CAC portfolio as of Q For example, a $10,030 loan with 21.5% APR, 50 month term and $305 monthly payment is $15,268 in CAC s reporting. 6 Structured Finance: ABS Auto Loans

7 Transaction Structure Reinvestment Period The reinvestment period is 24 months unless there is an Early Amortization Event (defined below). The Issuer will not make any principal payments on the notes during the reinvestment period. During this period, the Issuer will use available funds to purchase additional collateral. Note Interest Interest on the Class A and Class B notes will be fixed rate, thus there is no need for a hedge. The Class C notes will be 100% retained by CAC and do not accrue interest. Principal Payments Following the reinvestment period, principal payments will be turbo and sequential. Priority of Payments Unless the notes have been accelerated, available funds will be allocated as follows: 1. Servicing fee, backup servicing fee and trustee fees and expenses; 2. Note interest paid sequentially; 3. To any successor servicer, an amount equal to reliening expenses; 4. To the reserve account, the amount needed to top up the reserve account to the required amount; 5. During the reinvestment period, the amount needed to maintain the borrowing base; 6. During the amortization period, principal paid turbo sequentially; 7. Backup servicer fee and trustee fees not paid in step 1 above; and 8. Any remaining available funds to the Issuer. Early Amortization Events The following are automatic Early Amortization Events: Draw on the reserve account; Servicer Default occurs; Indenture Event of Default occurs; Borrowing base deficiency which continues for two or more business days; Actual cumulative collections are less than 90.0% of forecasted cumulative collections for any three consecutive collection periods; After giving effect to all purchases of additional loans on such date, the amount on deposit in the principal collection account is greater than 5.0% of the adjusted collateral amount for two or more business days; Weighted average spread rate is less than 16.5%; The Issuer fails to make a payment or deposit when required. The following Early Amortization Events require note holder consent: Issuer fails to observe or perform in any material respect any covenants and that failure continues unremedied for 30 days; Breach of representations or warranties by the Issuer; Indenture Trustee does not have a valid and perfected first priority security interest in the trust property; Tax, PBGC or other lien is filed against CAC that could reasonably be expected to have a material adverse effect; Judgment entered in excess of $100,000, in the case of the seller, or $15,000,000, in the case of CAC, or Any of the transaction documents ceases for any reason to be in full force and effect. Upon the automatic occurrence or declaration of an Early Amortization Event by the indenture trustee, at the direction of the majority noteholders, the reinvestment period will terminate and the amortization period will commence. 7 Structured Finance: ABS Auto Loans

8 Priority of distribution after an acceleration of the notes After the notes are accelerated, available funds will be allocated as follows: 1. Servicing fee, backup servicing fee and trustee fees and expenses; 2. Note interest paid sequentially; 3. Principal paid turbo sequentially; and 4. Any remaining available funds revert to the issuer. Credit Enhancement Proposed Class A credit enhancement as a percentage of consumer notes principal only balance consists of overcollateralization (51.9%), subordination (11.3%) and a reserve account (1.0%). Proposed Class B credit enhancement as a percentage of consumer notes consists of overcollateralization (51.9%), subordination (0.6%) and a reserve account (1.0%). The reserve account is 2.0% of Class A and Class B notes and fully funded at closing. The reserve account is available to pay periodic interest and principal only on the legal final maturity date. Percent of Consumer Note Prin Only Collateral Series Dollar Amount Subordination O/C Cash Total CE Class A $153,000, % 51.9% 1.0% 64.2% Class B $44,800, % 51.9% 1.0% 53.4% Class C $2,300,000 Overcollateralization $215,754,327 Total Consumer Note Collateral $415,854,327 Reserve Account $3,956, % of Class A + Class B Cash Flow Analysis Loss Analysis CAC provided static charge off data by monthly vintages back to January as follows: (1) CAC s entire portfolio in aggregate, and (2) CAC s entire portfolio broken down by its internal score ( Borrower Node ). Based on the annual vintage data for CAC s entire portfolio plotted below, we see a familiar pattern of increasing net losses leading up to the financial crisis followed by a tightening in The post crisis vintages ( ) are trending well below 2002 to However, they also exhibit losses that are creeping up. Therefore, DBRS assumed 2005 loss levels as a proxy for recent originations for certain Borrower Nodes. 3 On a principal only basis. 8 Structured Finance: ABS Auto Loans

9 35.00% 30.00% CAC Cumulative Net Loss Summary & % % % 10.00% 5.00% 0.00% DBRS analyzed the charge off data by Borrower Node in order to determine a base case cumulative net loss rate ( CNL ) for the consumer note collateral supporting the transaction. Based on CAC s historical performance, DBRS estimated a base case CNL for each Borrower Node. DBRS then calculated a weighted average CNL for the pool weighted by the outstanding collateral balance of each node within the collateral pool. This weighted average is equal to 23.95%. Since there is a 24-month reinvestment period, DBRS has not applied any seasoning credit. Cash Flow Analysis DBRS analyzed the transaction in a manner consistent with other retail subprime auto loan securitizations we have rated. We assumed 100% of the underlying consumer note collections, after giving effect to stress assumptions, were available to pay the CAALT bonds. Although there is some leakage of collections back to dealers due to the Dealer Holdback, in high net loss stress scenarios we assumed the dealers do not collect their Dealer Holdback. Using the economics for a typical Dealer Advance provided by the Company, we determined the breakeven net loss at which the Dealer Holdback reduces to zero is well below the stressed net loss in our AAA (sf) and AA (sf) scenarios. Thus, it is appropriate to assume no holdback is paid to dealers and 100% of consumer note collections are available to the CAALT bonds. DBRS applied the CNL assumption of 23.95% to the performing collateral. For the defaulted collateral, we assumed only recovery proceeds based on a 30% recovery assumption. The cash flows for the transaction demonstrated that there is adequate credit enhancement to cover the stress case scenarios for each rating category. Representations & Warranties The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found at 9 Structured Finance: ABS Auto Loans

10 Note: All figures are in U.S. Dollars unless otherwise noted. This report is based on information as of October 2013, unless otherwise noted. Subsequent information may result in material changes to the rating assigned herein and/or the contents of this report. Copyright 2013, DBRS Limited, DBRS, Inc. and DBRS Ratings Limited (collectively, DBRS). All rights reserved. The information upon which DBRS ratings and reports are based is obtained by DBRS from sources DBRS believes to be accurate and reliable. DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances. DBRS ratings, reports and any other information provided by DBRS are provided as is and without representation or warranty of any kind. DBRS hereby disclaims any representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability, fitness for any particular purpose or non-infringement of any of such information. In no event shall DBRS or its directors, officers, employees, independent contractors, agents and representatives (collectively, DBRS Representatives) be liable (1) for any inaccuracy, delay, loss of data, interruption in service, error or omission or for any damages resulting therefrom, or (2) for any direct, indirect, incidental, special, compensatory or consequential damages arising from any use of ratings and rating reports or arising from any error (negligent or otherwise) or other circumstance or contingency within or outside the control of DBRS or any DBRS Representative, in connection with or related to obtaining, collecting, compiling, analyzing, interpreting, communicating, publishing or delivering any such information. Ratings and other opinions issued by DBRS are, and must be construed solely as, statements of opinion and not statements of fact as to credit worthiness or recommendations to purchase, sell or hold any securities. A report providing a DBRS rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. DBRS receives compensation for its rating activities from issuers, insurers, guarantors and/or underwriters of debt securities for assigning ratings and from subscribers to its website. DBRS is not responsible for the content or operation of third party websites accessed through hypertext or other computer links and DBRS shall have no liability to any person or entity for the use of such third party websites. This publication may not be reproduced, retransmitted or distributed in any form without the prior written consent of DBRS. ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AT ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES AND METHODOLOGIES, ARE AVAILABLE ON 10 Structured Finance: ABS Auto Loans

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