exeter automobile receivables trust 2020-1 · exeter's performance has been stronger primarily...

Presale:

Exeter Automobile Receivables Trust 2020-1January 9, 2020

Preliminary Ratings

Class Preliminay rating Type Interest rate(i)Preliminary amount (mil.

$)Legal final maturitydate

A AAA (sf) Senior Fixed 355.87 June 15, 2023

B AA (sf) Subordinate Fixed 107.72 Apr. 15, 2024

C A (sf) Subordinate Fixed 117.30 Jan. 15, 2025

D BBB (sf) Subordinate Fixed 129.26 Dec. 15, 2025

E BB (sf) Subordinate Fixed 59.85 Jan. 15, 2027

Note: This presale report is based on information as of Jan. 9, 2020. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The interest rates of thesetranches will be determined on the pricing date.

Profile

Expected closing date Jan. 23, 2020.

Collateral Subprime auto loan receivables.

Originator, servicer, custodian, andsponsor

Exeter Finance LLC.

Sellers Third-party unaffiliated entities.

Depositor EFCAR LLC, a Delaware limited liability company and a wholly owned special-purposesubsidiary of Exeter Finance LLC.

Structuring agent Wells Fargo Securities LLC.

Issuer Exeter Automobile Receivables Trust 2020-1.

Indenture trustee and backupservicer

Wells Fargo Bank N.A. (A+/Stable/A-1).

Owner trustee Wilmington Trust Co.

Presale:

Exeter Automobile Receivables Trust 2020-1January 9, 2020

PRIMARY CREDIT ANALYST

Jason L McCauley

Centennial

(1) 303-721-4336

[email protected]

SECONDARY CONTACT

Steve D Martinez

New York

(1) 212-438-2881

[email protected]

www.standardandpoors.com January 9, 2020 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]




Credit Enhancement Summary

EART2020-1

EART2019-4

EART2019-3

EART2019-2

EART2019-1

EART2018-4

EART2018-3

EART2018-2

Subordination (% of the initial collateral balance)(i)

'AAA' rated class 51.90 51.90 51.75 51.75 51.25 50.95 53.00 50.95

'AA' rated class 38.40 38.40 38.25 38.25 38.25 37.70 39.75 37.70

'A' rated class 23.70 23.70 23.75 23.75 24.25 23.45 25.50 23.45

'BBB' rated class 7.50 7.50 7.75 7.75 8.80 7.45 10.00 7.45

'BB' rated class 0.00 0.00 0.00 0.00 0.00 0.00 2.75 0.00

'B' rated class N/A N/A N/A N/A N/A N/A 0.00 N/A

Overcollateralization

Initial (% of theinitial collateralbalance)

3.50 3.50 4.00 4.00 5.00 5.30 3.00 5.30

Target (% of thecurrent collateralbalance)(ii)

13.25 14.20 15.00 15.00 16.00 15.60 9.25 14.25

Floor (% of the initialcollateral balance)

0.50 0.50 0.50 0.50 0.50 0.50 0.50 0.50

Reserve fund

Initial (% of theinitial collateralbalance)

2.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

Target (% of theinitial collateralbalance)

2.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

Floor (% of the initialcollateral balance)

2.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

Total initial hard credit enhancement (% of the initial collateral balance)

'AAA' rated class 57.40 57.40 57.75 57.75 58.25 58.25 58.00 58.25

'AA' rated class 43.90 43.90 44.25 44.25 45.25 45.00 44.75 45.00

'A' rated class 29.20 29.20 29.75 29.75 31.25 30.75 30.50 30.75

'BBB' rated class 13.00 13.00 13.75 13.75 15.80 14.75 15.00 14.75

'BB' rated class 5.50 5.50 6.00 6.00 7.00 7.30 7.75 7.30

'B' rated class N/A N/A N/A N/A N/A N/A 5.00 N/A

Excess spread per year(estimated %)(iii)

15.49 15.92 15.88 15.07 14.60 14.30 14.33 14.63

(i)Principal on the preliminary rated notes will be paid sequentially. (ii)Target overcollateralization steps up to 18.00%, 18.00%, 19.50%,19.10%, and 12.75% upon a cumulative net loss trigger breach for 2019-3, 2019-2, 2019-1, 2018-4, and 2018-3, respectively. Targetovercollateralization steps up to 17.75% upon a cumulative net loss trigger breach for 2018-2. (iii)Includes the 3.0% servicing fee. Post-pricingfor all series other than 2020-1. EART--Exeter Automobile Receivables Trust. N/A--Not applicable.



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Presale: Exeter Automobile Receivables Trust 2020-1

Rationale

The preliminary ratings assigned to Exeter Automobile Receivables Trust 2020-1's (EART 2020-1)automobile receivables-backed notes reflect:

- The availability of approximately 60.30%,53.70%, 44.80%, 34.90% and 28.50% credit supportfor the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios(including excess spread). This credit support provides coverage of approximately 2.85x, 2.50x,2.05x, 1.55x, and 1.27x our 20.50%-21.50% expected cumulative net loss (CNL) range. Thesebreak-even scenarios withstand cumulative gross losses (CGLs) of approximately 92.80%,82.60%, 71.70%, 55.90%, and 45.60% respectively.

- Our expectation for timely interest and principal payments on the notes, based on stressedcash flow modeling scenarios, which, in our view, are appropriate for the assigned preliminaryratings.

- The expectations that under a moderate ('BBB') stress scenario (1.55x our expected loss level),all else being equal, our rating on the class A notes will remain at the assigned preliminary 'AAA(sf)' rating; our ratings on the class B and C notes will remain within one rating category of theassigned preliminary 'AA (sf)' and 'A (sf)' ratings, respectively, for the deal's life; and our ratingon the class D notes will remain within two rating categories of the assigned preliminary 'BBB(sf)' rating over the deal's life. We expect the class E notes to remain within two ratingcategories of the assigned preliminary 'BB (sf)' rating over the first year, but we expect them toeventually default under this stress scenario. These rating movements are within the limitsspecified by our credit stability criteria (see "Methodology: Credit Stability Criteria," publishedMay 3, 2010).

- The collateral characteristics of the subprime automobile loans securitized in this transaction.

- The transaction's payment, credit enhancement, and legal structures.

Changes From The EART 2019-4 Transaction

Structural changes from the EART 2019-4 transaction include the following:

- The target overcollateralization (O/C) decreased to 13.25% from 14.20%, respectively.

- An additional unaffiliated entity previously purchased a pool of loan contracts from Exeter. Thethird-party purchaser will sell the loan contracts to the depositor with Exeter retaining servicingof the sold loans.

The collateral changes from the EART 2019-4 transaction include the following:

- The portion of loans backed by new vehicles increased to approximately 13.79% from 12.81%;

- The weighted average FICO increased to 563 from 560. The weighted average proprietary scoredecreased to 232 from 233;

- The percentage of loans with a FICO greater than 600 (excluding zero FICO loans) increased to23.26% from 22.52%;

- The percentage of loans with an original term greater than 60 months decreased to 85.60%from 85.97%;

- The portion of loans with no FICO score increased to 8.87% from 8.54%;



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- The weighted average loan-to-value ratio increased to 114.34% from 114.00%; and

- The weighted average seasoning decreased to approximately 1.43 months from 3.50 months.

Overall, in our view, the collateral characteristics for this pool are broadly in line with those of theseries 2019-4 pool. While this pool has a slightly higher new vehicle mix in the pool, and FICOscore, it also has a slightly higher LTV and lower seasoning. Based on the pool characteristicscombined with the recent stable securitization performance, we maintained our expected CNLrange for this transaction at 20.50%-21.50%.

Key Rating Considerations

Based on our review of Exeter Finance LLC's (Exeter) operations, we considered the followingstrengths in rating the transaction:

- The company is led by a seasoned management team with many years of experience in thesubprime auto finance industry (see the Exeter Executive Management Team section below formore details).

- The company reported a positive profit trend for net income of $94.3 million, $45.3 million, and$29.5 million for 2018, 2017, and 2016, respectively, compared with $(17.4 million) and $(36million) for 2015 and 2014. Exeter's performance has been stronger primarily because yieldshave improved and credit performance has stabilized since 2016.

- Blackstone Group L.P. is the majority owner in Exeter, with a 91% ownership interest.Blackstone has demonstrated an ongoing ability and willingness to support the business, whichshows a strong equity commitment. It initially invested $50 million in 2011 and has continuallycontributed capital, with its last equity contribution of $25 million in 2015. Blackstone's totalinvested amount is $472 million to date.

- The company's origination static pool CNL performance has improved for the 2016 and 2017vintages from the 2015 vintage, which shows a stabilized performance trend. Performance forthe last half of 2015 was one of the company's weakest, as both the series 2015-2 and 2015-3transactions breached CNL performance triggers. Both series have since cured. The 2016 and2017 series are projecting 21.00% CNLs, compared with approximately 23.00% for series2015-3.

- The company has multiyear committed funding via a multiyear line of credit totaling $1.755billion, which is provided by four banks (Wells Fargo Bank N.A., Deutsche Bank AG, CitibankN.A., and Barclays Bank PLC).

- The company's quarterly static pool data include more than nine years of performance. Thedata also include static pool performance for the CarMax Operating Cos. origination channel.

- The company has centralized underwriting and collections, and uses automated proprietarycredit scoring.

- The transaction has a backup servicer. Wells Fargo Bank N.A. (A+/Stable/A-1), as the backupservicer and indenture trustee, will data map to Exeter's servicing system, which we believe willfacilitate a smoother servicing transfer, if necessary.

- The transaction maintains a lockbox account. The collections from the loans in the pool areremitted to a lockbox account at Wells Fargo Bank N.A. and then transferred within two days toa collection account at Citibank N.A. The lockbox account and the collection account are thetrust's property and are held on the noteholders' behalf.



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In addition to these strengths, we considered the concern that in the past Exeter had receivedsubpoenas and civil investigative demands from various regulatory bodies requesting documentsrelated to its origination, underwriting, and securitization of auto loans. At this time, theseinquiries have not affected our ratings on the company's asset-backed securities.

Transaction Overview

EART 2020-1 is Exeter's first term asset-backed transaction of 2020. EART 2020-1 will issue $770million of securities backed by retail installment sales contracts for new and used automobilesand light-duty trucks.

The transaction is structured as a true sale of the receivables to EFCAR LLC (the depositor) fromExeter (the sponsor and servicer) and two third-party unaffiliated entities (the sellers). Thereceivables are then transferred to EART 2020-1 (the issuer) and then to Exeter Holdings Trust2020-1 (the holding trust). The holding trust, in turn, issues holding trust certificates to EART2020-1. The issuer has pledged its interest in the holding trust certificates, and the holding trusthas pledged its interest in the holding trust estate (including the receivables) to the indenturetrustee on the noteholders' behalf. The receivables sold by the third-party unaffiliated entities toEFCAR LLC are auto loan receivables originated by Exeter and previously purchased by thethird-party unaffiliated entities. In addition to acting as servicer, Exeter will act as the custodianfor series 2020-1. As custodian, Exeter may engage one or more sub-custodians to delegate itsduties with respect to maintaining loan files and contracts.

In rating this transaction, S&P Global Ratings reviewed the legal matters that it believes arerelevant to its analysis, as outlined in its criteria (see chart 1 for the transaction structure).



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Chart 1

Transaction Structure

The EART 2020-1 transaction incorporates the following structural features:

- A sequential-pay mechanism among the notes that increases credit enhancement as the poolamortizes.

- Initial O/C of 3.50% of the initial pool balance, which will build to a target of 13.25% of thecurrent pool balance by using excess spread after net losses to pay principal on theoutstanding notes. The O/C floor is set at 0.50% of the initial pool balance.

- A nonamortizing reserve account that will equal 2.00% of the initial pool balance and will befully funded at closing.

- Obligors will make payments directly into a lockbox account at Wells Fargo Bank N.A. in theindenture trustee's name, which mitigates comingling risk.



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Payment Structure

The class A through E notes will total $770 million and will carry fixed interest rates. Interest andprincipal are scheduled to be paid on each monthly distribution date on the 15th day of eachmonth or the next business day, beginning Feb. 18, 2020.

Payment distribution before an event of default

Before an event of default, distributions will be made from available funds, according to a specificpayment priority on each payment date (see table 1).

Table 1

Payment Waterfall

Priority Payment

1 To the servicer, the servicing fee (3.00%), any supplemental servicing fees, any reimbursements formistaken deposits, and any other related amounts. To any successor servicer, the transition fees up to thespecified cap.

2 To the indenture trustee, custodian, owner trustee, and backup servicer, any accrued and unpaid fees,expenses, and indemnities, each capped at an annual limit.

3 Class A note interest.

4 Principal to the extent necessary to reduce the class A notes' principal balance to the pool balance (theclass A principal parity amount).

5 The class A notes' remaining principal balance on the final scheduled distribution date.

6 Class B note interest.

7 Principal to the extent necessary, after paying items 4 and 5 above, to reduce the class A and B notes'combined principal balance to the pool balance (the class B principal parity amount).

8 The class B notes' remaining principal balance on the final scheduled distribution date.

9 Class C note interest.

10 Principal to the extent necessary, after paying items 4, 5, 7, and 8 above, to reduce the class A, B, and Cnotes' combined principal balance to the pool balance (the class C principal parity amount).

11 The class C notes' remaining principal balance on the final scheduled distribution date.

12 Class D note interest.

13 Principal to the extent necessary, after paying items 4, 5, 7, 8, 10, and 11 above, to reduce the class A, B, C,and D notes' combined principal balance to the pool balance (the class D principal parity amount).

14 The class D notes' remaining principal balance on the final scheduled distribution date.

15 Class E note interest.

16 Principal to the extent necessary, after paying items 4, 5, 7, 8, 10, 11, 13, and 14 above, to reduce the classA, B, C, D, and E notes' combined principal balance to the pool balance (the class E principal parity amount).

17 The class E notes' remaining principal balance on the final scheduled distribution date.

18 To the reserve account, the amount necessary to achieve the specified reserve account amount.

19 Principal to achieve the specified overcollateralization amount (the principal payment amount).

20 To the indenture trustee, owner trustee, custodian, backup servicer, and any successor servicer, any fees,expenses, and indemnities that exceed the related cap or annual limitation.

21 All remaining amounts to the certificateholders.



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Events of default

Any of the following will constitute an event of default:

- A default in the interest payment on the senior-most class of notes that remains uncured forfive days.

- A default in the principal payment on any class' final scheduled distribution date.

- The issuer's failure to observe or perform any of its material covenants or agreements, or if itsrepresentations or warranties are materially incorrect and not cured for 45 days (up to 90 daysin certain cases). This requires notice by the indenture trustee or the holders of at least 25.00%of the voting rights for the notes outstanding.

- The issuer's insolvency.

Payment distribution after an event of default

On each payment date, following an event of default related to a breach of a covenant, agreement,representation, or warranty and the acceleration of the notes, available funds will be distributedas described in table 1. However, the payment in item 16 will include all available funds until thetotal note balance has been reduced to zero. In addition, the fees, expenses, and indemnities initems 1 and 2 will not be limited.

On each payment date following an event of default (other than an event of default solely from acovenant, agreement, representation, or warranty breach) and the acceleration of the notes, orupon the trust assets' liquidation, available funds will instead be distributed in the priority shownin table 2.

Table 2

Payment Waterfall Following An Event Of Default Other Than Covenant, Agreement, OrRepresentation And Warranty Breaches

Priority Payment

1 To the servicer, custodian, owner trustee, indenture trustee, and backupservicer, certain amounts due and owing to such entities without regard to anycaps or annual limitations.

2 Class A note interest.

3 Class A note principal until paid in full.

4 Class B note interest.

5 Class B note principal until paid in full.

6 Class C note interest.

7 Class C note principal until paid in full.

8 Class D note interest.

9 Class D notes until paid in full.

10 Class E note interest.

11 Class E notes until paid in full.

12 All remaining amounts to the certificateholders.



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Servicer termination events

Any of the following will constitute a servicing termination:

- The servicer fails to deliver any required payment to the indenture trustee, and it remainsunremedied for two business days (an additional 60-day grace period will apply if the delay iscaused by force majeure).

- The servicer fails to deliver the servicer's certificate by the first business day before thedistribution date or breaches its covenant not to merge, consolidate, or transfer all, orsubstantially all, of its assets unless the successor or surviving entity of the merger orconsolidation can fulfill the servicer's duties.

- The servicer fails to observe or perform any covenant or agreement materially and adverselyaffecting the noteholders' rights, and it remains unremedied for 45 days (an additional 60-daygrace period will apply if the delay is caused by force majeure).

- The servicer becomes insolvent.

- Any materially incorrect servicer representation, warranty, or statement remains unremediedfor 45 days (an additional 60-day grace period will apply if the delay is caused by forcemajeure).

If a servicer termination occurs, the indenture trustee or a majority of the noteholders holding thesenior-most class can terminate the servicer's rights and obligations.

Portfolio Performance

Exeter's portfolio grew by approximately 33.16% year-over-year, to $5.37 billion as of Sept. 30,2019, from $4.03 billion at Sept. 30, 2018 (see table 3).

Total delinquencies increased to 17.43% as of Sept. 30, 2019, compared with 17.19% a yearearlier. Net charge-offs decreased to 7.31% annualized from 7.92% annualized over the sameperiod. The decrease in charge-offs is due to tighter controls and stricter underwriting, which wereimplemented when the new management team joined and the company underwent its branchconsolidation (see the Exeter Executive Management Team and Branch Consolidation sectionsbelow).

Table 3

Managed Portfolio

As of Sept. 30 Year ended Dec. 31

2019 2018 2018 2017 2016 2015 2014 2013

Principal amountoutstanding end of period(mil. $)

5,366.02 4,029.89 4,263.88 3,419.95 3,085.53 3,174.74 2,869.94 1,933.23

Delinquencies (%)(i)

31-60 days 9.79 9.60 10.43 10.34 11.43 10.86 9.35 7.56

61-90 days 4.76 4.59 5.02 5.08 5.29 4.50 3.56 2.57

91-plus days 2.88 2.99 3.22 3.63 3.59 2.95 2.04 1.67



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Table 3

Managed Portfolio (cont.)

As of Sept. 30 Year ended Dec. 31

2019 2018 2018 2017 2016 2015 2014 2013

Total delinquencies asa % of principalamount outstanding

17.43 17.19 18.67 19.04 20.31 18.31 14.95 11.80

Net charge-offs(ii)

Average principalamount outstandingduring the period (mil.$)

4,909.08 3,736.63 3,850.03 3,307.54 3,110.00 3,100.37 2,462.89 1,412.72

Net charge-offs as a %of average principaloutstanding(iii)

7.31 7.92 7.67 9.07 10.00 7.59 6.59 5.40

(i)Exeter Finance LLC considers an automobile loan contract delinquent when more than 10.00% of a contractual payment remains unpaid bythe due date. (ii)Net charge-offs equal gross charge-offs minus recoveries. Gross charge-offs do not include unearned finance charges andother fees. Recoveries include repossession proceeds received from the sale of repossessed vehicles minus repossession expenses; refunds ofunearned premiums from credit life, credit accident, and health insurance and extended-service contract costs obtained and financed inconnection with the vehicle financing; and recoveries from obligors on deficiency balances. (iii)Annualized.

Securitization Performance/Surveillance Update

We currently maintain ratings on 16 EART transactions issued between 2015 and 2019 (see table 4for the series' pool information).

Table 4

EART Outstanding Transaction Pool Information As Of The December 2019Distribution Month(i)

Transaction/seriesCurrent

monthPool

factor

60+days

delinq.(%) Extensions

CurrentCNL(%)

Initialexpected

lifetimeCNL (%)

Priorrevised

expectedlifetime

CNL (%)(ii)

Revised/maintainedexpected lifetime

CNL (%)(iii)

2015-2 55 10.81 18.70 3.69 21.17 17.50-18.50 21.50-22.50 21.00-21.50

2015-3 50 13.65 18.06 3.67 21.60 17.50-18.50 22.00-23.00 22.00-23.00

2016-1 46 16.70 15.35 4.31 20.09 18.50-19.50 20.50-21.50 20.50-21.50

2016-2 43 19.25 16.15 4.67 19.72 18.75-19.75 20.50-21.50 20.50-21.50

2016-3 38 24.59 13.59 5.08 16.63 18.50-19.50 20.50-21.50 20.50-21.50

2017-1 34 28.63 13.16 4.87 14.67 19.75-20.75 N/A No revision

2017-2 32 33.43 13.41 6.04 14.59 20.10-21.10 N/A No revision

2017-3 27 40.66 12.20 6.18 11.91 20.00-21.00 N/A No revision

2018-1 23 44.91 11.99 6.03 10.96 20.00-21.00 N/A No revision

2018-2 20 51.92 11.65 5.81 9.73 20.50-21.50 N/A No revision

2018-3 17 59.37 10.66 6.34 8.73 20.50-21.50 N/A N/A

2018-4 14 64.46 10.27 5.36 6.76 20.50-21.50 N/A N/A



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Table 4

EART Outstanding Transaction Pool Information As Of The December 2019Distribution Month(i) (cont.)

Transaction/seriesCurrent

monthPool

factor

60+days

delinq.(%) Extensions

CurrentCNL(%)

Initialexpected

lifetimeCNL (%)

Priorrevised

expectedlifetime

CNL (%)(ii)

Revised/maintainedexpected lifetime

CNL (%)(iii)

2019-1 11 73.29 7.52 5.00 5.28 20.50-21.50 N/A N/A

2019-2 8 81.35 7.99 8.49 4.05 20.50-21.50 N/A N/A

2019-3 5 89.78 6.58 3.25 1.78 20.50-21.50 N/A N/A

2019-4 2 96.63 2.30 0.60 0.03 20.50-21.50 N/A N/A

(i)CNLs reported don't include net liquidation proceeds, which include reasonable expenses incurred by the servicer in connection with thecollection of such receivable and repossession and disposition of the financed vehicle. (ii)As of May 2018. (iii)We revised/maintained ourexpected CNL for series 2015-1 through 2018-2 in May 2019. EART--Exeter Automobile Receivables Trust. ECNL--Expected cumulative netloss. N/A--Not applicable.

In May 2019, we revised our loss expectations for 11 EART series issued between 2015 and 2018.Series 2015-3, 2016-1, 2016-2, 2016-3, 2017-1, 2017-2, 2017-3, 2018-1, and 2018-2 were allperforming in line with our previous loss expectations, so we did not change them. The series2015-1 and 2015-2 transactions were performing better than our initial expectations; therefore,we reduced our expected CNL range for this transaction (see "Twenty Eight Ratings Raised And SixRatings Affirmed On 11 Exeter Automobile Receivables Trust Transactions," May 28, 2019)

Chart 2



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Pool Analysis

As of Dec. 31, 2019, the series 2020-1 final pool comprised approximately $797.93 million in autoloans (see table 5). The pool is seasoned approximately 1.43 months, 85.60% of its loans have anoriginal term of 61-72 months, and, as expected for a subprime pool, a large portion of the loansare backed by used vehicles (86.21%). The pool's collateral characteristics are broadly in line withthose of the 2019 and 2018 transactions.

Table 5

Collateral(i)

EART2020-1

EART2019-4

EART2019-3

EART2019-2

EART2019-1

EART2018-4

EART2018-3

EART2018-2

EART2018-1

EART2017-3

EART2017-2

Pool size(mil. $)

797.93 880.83 885.42 729.17 578.95 580.78 567.01 580.78 580.78 578.96 472.45

No. ofreceivables

45,520 53,086 53,726 44,745 33,055 35,482 31,498 36,686 35,802 34,346 28,146

CarMax (%of pool)

28.91 26.39 23.85 24.69 23.34 22.64 20.27 19.39 18.13 19.57 19.69

Avg.principalbalance ($)

17,529 16,592 16,480 16,296 17,515 16,368 18,001 15,831 16,222 16,857 16,786

WA APR (%) 21.68 21.54 21.93 21.96 21.66 21.63 21.54 21.73 21.89 21.89 21.22

WA originalterm (mos.)

70 70 69 69 69 70 70 69 70 70 70

WAremainingterm (mos.)

68 66 66 67 69 66 68 66 66 67 68

WAseasoning(mos.)

2 4 3 3 2 4 1 4 4 3 2

Loans withoriginalterm of61-72 mos.(%)

85.60 85.97 84.12 83.98 81.98 83.93 84.05 82.60 82.66 82.48 83.42

Newvehicles (%)

13.79 12.81 11.54 13.212 17.53 23.07 26.70 23.72 26.78 20.78 19.37

Usedvehicles (%)

86.21 87.19 88.46 86.88 82.47 76.93 73.30 76.28 73.22 79.22 80.63

WA mileage 47,332 46,097 46,147 45,463 42,944 38,781 36,437 37,366 36,162 37,918 37,682

WA LTV (%) 114.34 114.00 114.78 113.23 113.62 112.99 112.02 111.46 110.58 111.86 110.61

WA creditbureauscore

563 560 558 556 565 568 568 565 567 566 573

No score (%) 8.87 8.54 8.92 9.06 7.46 6.42 6.95 8.65 7.28 7.85 8.11

Lessthan 540(%)

34.38 41.82 38.05 38.85 30.39 28.02 27.98 30.16 28.42 28.77 25.51



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Table 5

Collateral(i) (cont.)

EART2020-1

EART2019-4

EART2019-3

EART2019-2

EART2019-1

EART2018-4

EART2018-3

EART2018-2

EART2018-1

EART2017-3

EART2017-2

540–564(%)

16.82 15.49 16.96 16.80 15.79 17.07 16.91 17.59 18.27 18.45 16.55

565–599(%)

23.28 20.16 21.80 22.03 21.56 22.93 23.17 22.22 23.54 23.73 23.55

600–659(%)

20.38 18.71 19.26 18.56 20.67 21.48 20.91 17.97 18.70 17.90 20.84

660 andgreater(%)

5.15 3.81 3.93 3.76 4.13 4.08 4.08 3.41 3.79 3.30 5.43

WAproprietarycreditscore(ii)

232 233 232 230 233 232 233 227 228 230 224

Lessthan 201(%)

14.22 12.68 12.69 15.02 13.33 12.78 13.43 17.04 14.84 11.93 16.67

201–214(%)

14.24 14.82 15.36 16.08 15.64 17.26 16.64 20.07 19.82 19.15 21.99

215–224(%)

12.11 13.13 13.40 13.19 11.91 12.82 12.05 13.29 14.57 14.20 15.38

225–244(%)

26.15 27.44 27.22 25.77 24.87 25.16 23.29 22.63 24.33 25.42 26.11

245 andgreater(%)

33.28 31.92 31.32 29.94 34.24 31.98 34.59 26.96 26.44 29.30 19.86

Top three state concentrations (%)

TX=17.66 TX=17.97 TX=16.89 TX=16.22 TX=15.47 TX=14.39 TX=13.05 TX=11.44 TX=13.68 CA=9.85 TX=16.59

CA=10.51 CA=9.98 GA=10.28 GA=10.69 GA=10.51 GA=10.38 GA=10.87 GA=10.90 GA=10.12 TX=9.75 CA=9.33

GA=9.17 GA=9.62 CA=9.26 CA=9.14 CA=9.38 CA=10.29 CA=9.78 CA=9.49 CA=9.89 GA=9.46 GA=8.51

Initial ECNL(%)

20.50-21.50 20.50-21.50 20.50-21.50 20.50-21.50 20.50-21.50 20.50-21.50 20.50-21.50 20.50-21.50 20.00-21.00 20.00-21.00 20.10-21.10

RevisedECNL (%)

N/A N/A N/A N/A N/A N/A N/A 20.50-21.50 20.00-21.00 20.00-21.00 20.10-21.10

(i)All percentages are of the principal balance. (ii)The weighted average proprietary credit score is derived before loan funding. (iii)Series 2017-1 included the representation that all obligors madeat least one payment. EART--Exeter Automobile Receivables Trust. WA--Weighted average. APR--Annual percentage rate. LTV--Loan-to-value ratio. ECNL--Expected cumulative net loss.

S&P Global Ratings' Expected Loss: 20.50%-21.50%

To derive the transaction's base-case expected loss, we analyzed CNL and CGL performance onExeter's securitizations and origination data, focusing primarily on more recent performance. Welooked at the origination static pool performance on an aggregate basis, broken out by termbuckets and by CarMax and non-CarMax.

When analyzing the origination static pool data, we used the loss curves from the paid-off 2009,



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2010, and second-quarter 2013 vintages to project losses for the outstanding third-quarter 2013through third-quarter 2018 Exeter-originated collateral. For the CarMax and non-CarMaxanalysis, we developed a loss curve from second-quarter 2013 that represented the firstmeaningful period that Exeter originated CarMax loans. We then applied the pool compositionweights to the projected losses to determine a weighted average loss projection forExeter-originated collateral.

Based on our review of the origination static pool performance, securitization performance, andour expectation of continued weak recovery rates, we expect the EART 2020-1 transaction toexperience losses in the 20.50%-21.50% range--the same as series 2019-4.

Cash Flow Modeling: Break-Even Cash Flows

We modeled the transaction to simulate stress scenarios appropriate for the assigned preliminaryratings. For these stress scenarios, we applied front- and back-loaded loss curves (see table 7).

Table 7

Cash Flow Assumptions And Results

Class

A B C D E

Front-loaded loss curve

Scenario (preliminary rating) AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf)

Loss timing input by monthsoutstanding(12/24/36/48/60) (%)

35/30/20/10/5 35/30/20/10/5 35/30/20/10/5 35/30/20/10/5 35/30/20/10/5

Loss timing output bymonths outstanding(12/24/36/48/60) (%)

92/8/0/0/0 49/41/10/0/0 38/32/21/8/0 35/30/20/10/5 35/30/20/10/5

Voluntary ABS (%) 0.85 0.85 0.85 0.85 0.85

Recoveries (%) 35.0 35.0 37.5 37.5 37.5

Recovery lag (mos.) 4 4 4 4 4

Servicing fee (%) 3.0 3.0 3.0 3.0 3.0

Approximate break-even netloss levels (%)(i)

60.3 53.7 44.8 34.9 30.6

Approximate break-evengross loss levels (%)(i)

92.8 82.6 71.7 55.9 49.0

Back-loaded loss curve

Scenario (preliminary rating) AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf)

Loss timing input by monthsoutstanding(12/24/36/48/60) (%)

20/30/25/15/10 20/30/25/15/10 20/30/25/15/10 20/30/25/15/10 20/30/25/15/10

Loss timing output bymonths outstanding(12/24/36/48/60) (%)

91/9/0/0/0 40/59/1/0/0 27/40/32/1/0 21/31/26/15/7 20/30/25/15/10

Voluntary ABS (%) 0.85 0.85 0.85 0.85 0.85

Recoveries (%) 35.0 35.0 37.5 37.5 37.5

Recovery lag (mos.) 4 4 4 4 4



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Table 7

Cash Flow Assumptions And Results (cont.)

Class

A B C D E

Servicing fee (%) 3.0 3.0 3.0 3.0 3.0

Approximate break-even netloss levels (%)(i)

60.3 53.8 45.3 36.3 28.5

Approximate break-evengross loss levels (%)(i)

92.8 82.8 72.5 58.2 45.6

(i)The maximum cumulative net losses on the pool that the transaction can withstand without a payment default on the relevant classes ofnotes. ABS--Absolute prepayment speed.

Using the 20.50%-21.50% expected CNL and applying the above stresses in our internal cash flowruns, the break-even results show that under both the front- and back-loaded loss curves, theclass A through E notes are enhanced to the degree necessary to withstand stressed net lossesthat are consistent with our preliminary ratings.

Sensitivity Analysis

In addition to analyzing break-even cash flows, we conducted a sensitivity analysis to see how thepreliminary ratings on all the notes could be affected by losses that are moderately higher thanwhat we currently expect. For these sensitivity scenarios, we also applied both front- andback-loaded loss curves (see table 9 and charts 3 and 4).

Table 9

Sensitivity Analysis Summary: Moderate 'BBB' Stress (1.55x Base Case)

CNL level (%) 32.55

Voluntary ABS (%) 0.85

Recoveries (%) 38.0

Recovery lag (mos.) 4

Servicing fee (%) 3.00

Front-loaded loss curve--loss timing by months outstanding(12/24/36/48/60) (%)

35/30/20/10/5

Back-loaded loss curve--loss timing by months outstanding(12/24/36/48/60) (%)

20/30/25/15/10

Potential rating decline

Class A ('AAA (sf)') No rating decline expected.

Class B ('AA (sf)') One rating category.

Class C ('A (sf)') One rating category.

Class D ('BBB (sf)') Two rating categories.

Class E ('BB (sf)') Two rating categories within the first year and willultimately default.

CNL--Cumulative net loss. ABS--Absolute prepayment speed.



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Chart 3

Chart 4

Legal Final Maturity

To test the legal final maturity dates set for classes A, B, C, and D, we determined when therespective notes would be amortized in a zero-loss zero-prepayment scenario and then addedthree months to that date. To test the class E legal final maturity date, which is the longest-datedsecurity, we determined the latest maturing loan's distribution date and added nine months to



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accommodate extensions. Furthermore, in the break-even scenario for each respective ratinglevel, we confirmed that there was sufficient credit enhancement to both cover losses and repaythe related notes in full by the legal final maturity.

Exeter Finance LLC

Exeter, a Delaware limited liability company, is a subprime auto finance company that wasfounded in April 2006.

In August 2011, three investment funds affiliated with Blackstone acquired an indirect majorityinterest in Exeter from Navigation Capital Partners and Goldman Sachs & Co. Blackstone hasinvested approximately $472 million in equity to date. As of Dec. 31, 2019, Blackstone, NavigationCapital Partners/Goldman Sachs & Co., and Exeter management own approximately 91.2%, 8.3%,and 0.5% of Exeter, respectively.

Upon receiving the initial capital from Blackstone, Exeter secured an aggregate $600 millionmultiyear line of credit from a bank consortium, which has since been renewed, and thecommitment is currently up to $1.755 billion.

As of Nov. 30, 2019, Exeter had approximately 1,300 employees, two buying centers, and twonational servicing centers. The company is licensed to operate in all states in which it is requiredto be licensed and has partnerships with approximately 12,000 automobile dealerships. Exeterservices a portfolio of approximately 371,000 auto loans, with an approximate $5.5 billionaggregate outstanding balance.

The company has had a partnership with CarMax since 2014. Approximately 25% of the company'scurrent origination volume year-to-date is sourced from CarMax, down from approximately 30% in2015.

Centralized originations

In 2014, Exeter started to transition to a fully centralized and automated originations platform,CALMS. According to management, conversion to this automated platform was completed by theend of second-quarter 2015, and credit and funding were centralized in two main offices in Irving,Texas and Clearfield, Utah.

Branch consolidation

In second-quarter 2015, the company closed its branch network. Exeter initially rolled out thebranch network to 46 markets to establish local name recognition and a national footprint. Theinitial originations system did not provide automated decision capability. As a result, the companyused local underwriting/credit decisions, which were based on a standard companywide creditpolicy. The branches began rationalization in 2014. As of April 2015, all branches were closed.Management believes that the automated underwriting platform and consolidation of itsbranches have resulted in tighter controls, efficiency gains, and lower origination costs.

Income verifications

Exeter applies a risk-based approach to income verification. The company verifies income on65.00%-75.00% of fundings. Exeter management said that applications for which income is notverified are for higher-credit-quality obligors. Exeter's data show that losses are lower for loans



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that did not have income verifications than for those that did.

Servicing

Exeter services its loans through servicing centers in Irving and Clearfield. Delinquencies (up to60-days past due) are serviced both by the company's collectors and by third-party collectioncompanies that operate in Toronto, Manila, Jamaica, and Colombia.

Exeter typically charges off a loan when it is more than 120-days past due at the end of the month,if the vehicle is not repossessed or in bankruptcy. If the company has repossessed the vehicle, itcharges off the loan once the company receives sale proceeds from the auction or has held thevehicle in its inventory for more than 60 days. Exeter generally assigns a vehicle to repossessionwhen a loan is 90 to 120 days past due and generally liquidates it within 30 days of repossession.

Dealer management and pricing

In 2016, Exeter created a dealer management department. The department segments dealers byrisk grade from high to low based on the dealers' overall historical loss performance. Dealers areproactively deactivated, if appropriate. Since the dealer risk-grade implementation, Exeter'sorigination mix in late 2016 shifted to consist of more low-risk dealerships. The new departmentalso allows Exeter to be more responsive with its dealer partners.

Since early 2014, the company has focused on improving the pricing of loans that it originates byintroducing price funding scores to achieve a more appropriate risk-adjusted return based on keydeal structure elements. These efforts have led to a steady increase in pricing for loans that thecompany has booked, to approximately 23.8% currently, from approximately 18.0% in 2014.

Exeter executive management team

- Jason Grubb was appointed as the CEO of Exeter in February 2016. His most recent experienceincludes 11 years at Santander Consumer USA, where he served in several leadership roles,including president and chief operating officer (COO) of originations, in addition to senior vicepresident of servicing.

- Steve Zemaitis serves as the president and chief credit officer for Exeter. He joined thecompany in February 2014 and has almost two decades of experience in the subprime autofinance industry. Prior to joining Exeter, he served as chief credit officer and executive vicepresident of pricing and analytics at Santander Consumer USA Holdings Inc.

- Brad Nall was appointed chief financial officer at Exeter in January 2017. He joined Exeter inJuly 2012 and has over 25 years of experience in the consumer finance industry. Before Exeter,Mr. Nall spent 12 years at Citi's auto finance and personal loan businesses in various financeroles.

- Brad Martin joined as COO of Exeter in February 2016. Prior to Exeter, he spent 10 years atSantander Consumer USA Holdings Inc., where he served as COO of servicing and executive vicepresident of business operations. His experience also includes five years at AmeriCredit as ateam leader within originations and collections.

- Stacie Trier joined as chief risk officer in October 2017. She has over 20 years of corporategovernance and risk management experience. Previously, as Capital One's senior director ofcompliance risk, she was responsible for designing, developing, and implementing the



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company's risk management program.

- Walter Evans serves as the chief legal officer for Exeter. He joined Exeter in November 2007 andhas held senior legal executive positions at public companies and top-tier law firms for morethan 26 years. Before joining Exeter, he was senior vice president and general counsel for ACECash Express.

Related Criteria

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015

- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- Criteria | Structured Finance | ABS: General Methodology And Assumptions For Rating U.S. AutoLoan Securitizations, Jan. 11, 2011

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- Twenty Eight Ratings Raised And Six Ratings Affirmed On 11 Exeter Automobile ReceivablesTrust Transactions, May 28 2019

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

In addition to the criteria specific to this type of security (listed above), the following criteriaarticles, which are generally applicable to all ratings, may have affected this rating action:"Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "Post-DefaultRatings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23,2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions,"Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D'And 'SD' Ratings," Oct. 24, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch AndOutlooks," Sept. 14, 2009.



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