westlake automobile receivables trust 2021-3

Presale:

Westlake Automobile Receivables Trust 2021-3November 4, 2021

Preliminary Ratings

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

$)Legal final maturitydate

A-1 A-1+ (sf) Senior Fixed 228.00 Nov. 15, 2022

A-2 AAA (sf) Senior Fixed 496.14 Sept. 16, 2024

A-3 AAA (sf) Senior Fixed 222.59 June 16, 2025

B AA (sf) Subordinate Fixed 121.36 Jan. 15, 2027

C A (sf) Subordinate Fixed 168.09 Jan. 15, 2027

D BBB (sf) Subordinate Fixed 135.68 Jan. 15, 2027

E BB (sf) Subordinate Fixed 50.50 April 15, 2027

F B (sf) Subordinate Fixed 77.64 June 15, 2028

Note: This presale report is based on information as of Nov. 4, 2021. 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 rate for each classwill be determined on the pricing date.

Profile

Expected closing date Nov. 18, 2021.

Collateral Subprime auto loan receivables.

Issuer Westlake Automobile Receivables Trust 2021-3.

Originator, sponsor, servicer, and custodian Westlake Services LLC.

Originator Westlake Portfolio Services Inc., a Texas corporation.

Depositors Westlake Funding IV LLC and WPS IV LLC.

Indenture trustee and backup servicer Wells Fargo Bank N.A. (A+/Stable/A-1).

Owner trustee Wilmington Trust N.A. (A/Negative/A-1).

Lead underwriter Wells Fargo Securities LLC.

Presale:

Westlake Automobile Receivables Trust 2021-3November 4, 2021

PRIMARY CREDIT ANALYST

Kenneth D Martens

New York

+ 1 (212) 438 7327

[email protected]

SECONDARY CONTACT

Steve D Martinez

New York

+ 1 (212) 438 2881

[email protected]

RESEARCH ASSISTANT

Jack Zivitofsky

New York

www.standardandpoors.com November 4, 2021 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

Westlake2021-3

Westlake2021-2

Westlake2021-1

Westlake2020-3

Westlake2020-2

Westlake2020-1

Westlake2019-3

Westlake2019-2

Westlake2019-1

Subordination (% of the initial receivables)(i)

Class A 36.70 38.65 38.65 35.75 33.25 38.85 40.15 39.25 39.75

Class B 28.65 29.65 29.65 27.25 25.00 30.35 31.40 30.65 31.15

Class C 17.50 18.05 18.05 16.35 14.75 17.95 20.00 19.75 20.25

Class D 8.50 9.35 9.35 8.00 6.25 8.45 9.80 9.55 10.05

Class E 5.15 5.70 5.70 4.00 0.00 4.30 5.35 5.10 5.75

Class F 0.00 0.00 0.00 0.00 N/A 0.00 0.00 0.00 0.00

Overcollateralization

Initial (% ofthe initialreceivables)

0.50 0.50 0.50 4.00 8.00 0.60 1.50 2.50 2.50

Target(ii) 2.25 2.25 2.25 7.00 12.00 3.60 5.50 6.50 6.50

Floor (% ofthe initialreceivables)

1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00

Reserve fund (% of initial receivables)

Initial 1.00 1.00 1.00 1.00 1.50 1.00 1.00 1.00 1.00

Target 1.00 1.00 1.00 1.00 1.50 1.00 1.00 1.00 1.00

Floor 1.00 1.00 1.00 1.00 1.50 1.00 1.00 1.00 1.00

Total initial hard credit enhancement (% of the initial receivables)

Class A 38.20 40.15 40.15 40.75 42.75 40.45 42.65 42.75 43.25

Class B 30.15 31.15 31.15 32.25 34.50 31.95 33.90 34.15 34.65

Class C 19.00 19.55 19.55 21.35 24.25 19.55 22.50 23.25 23.75

Class D 10.00 10.85 10.85 13.00 15.75 10.05 12.30 13.05 13.55

Class E 6.65 7.20 7.20 9.00 9.50 5.90 7.85 8.60 9.25

Class F 1.50 1.50 1.50 5.00 N/A 1.60 2.50 3.50 3.50

Estimatedexcess spreadper year (%)(iii)

12.82 13.44 14.01 13.57 13.50 13.78 12.84 11.95 11.25

(i)Principal will be paid sequentially on the notes. (ii)The overcollateralization target is a percentage of the current receivables balance.Target overcollateralization for series 2019-1, 2019-2, 2019-3, 2020-1, 2020-2, 2020-3, 2021-1, and 2021-2 will step down once the class A-2notes are paid in full, to 5.50%, 5.50%, 4.50%, 2.60%, 10.50%, 6.00%, 1.25%, and 1.25%, respectively. (iii)Excess spread is post-pricing forthe 2019-1 through 2021-2. transactions. Westlake--Westlake Automobile Receivables Trust. N/A--Not applicable.

Rationale

The preliminary ratings assigned to Westlake Automobile Receivables Trust 2021-3's (Westlake2021-3) $1.500 billion automobile receivables-backed notes series 2021-3 reflect:

- The availability of approximately 45.32%, 39.09%, 30.57%, 23.71%, 20.74%, and 17.15% creditsupport for the class A-1, A-2, A-3 (collectively, class A), B, C, D, E, and F notes, respectively,



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Presale: Westlake Automobile Receivables Trust 2021-3

based on stressed cash flow scenarios (including excess spread). These provide approximately3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and 1.10x, respectively, of our 12.50%-13.00% expectedcumulative net loss (CNL) range.

- The transaction's ability to make timely interest and principal payments under stressed cashflow modeling scenarios appropriate for the assigned preliminary ratings.

- The expectation that under a moderate ('BBB') stress scenario (1.75x our expected loss level),all else being equal, our ratings will be within the credit stability limits specified by section A.4of the Appendix contained in "S&P Global Ratings Definitions," published Jan. 5, 2021. Thecollateral characteristics of the securitized pool of subprime automobile loans.

- The originator/servicer's long history in the subprime/specialty auto finance business.

- Our analysis of approximately 16 years (2006-2021) of static pool data on the company'slending programs.

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

Environmental, Social, And Governance (ESG) Factors

Our rating analysis considers a transaction's potential exposure to ESG credit factors. For the autoABS sector, we view the exposure to environmental credit factors as above average, social creditfactors as average, and governance credit factors as below average (see "ESG Industry ReportCard: Auto Asset-Backed Securities," published March 31, 2021).

In our view, the transaction's environmental and governmental credit factors are in line with oursector benchmark. Environmental credit factors are generally viewed as above average given thatthe collateral pool primarily comprise vehicles with internal combustion engines (ICE), which emitpollutants that contribute to climate transition risks. While the adoption of electric vehicles andfuture regulation could in time lower ICE vehicle values, we believe that our current approach toevaluating recovery values adequately accounts for vehicle values over the relatively shortexpected life of the transaction. As a result, we have not separately identified this as a materialESG credit factor in our analysis.

In our view, the transaction has relatively higher exposure to social credit factors than our sectorbenchmark due to the transactions' pool of subprime obligors versus the benchmark's pool ofprime obligors, which, given the elevated interest rate and affordability considerations for thesesubprime borrowers, could increase legal and regulatory risks if the validity of the contracts or theservicer's collection practices are challenged. We believe this risk is mitigated by representationsmade by the issuer that each loan when originated complied with all laws. In addition, the issuerhas a compliance department that manages its adherence to all applicable laws.

Significant Changes From Westlake 2021-2

This is the company's third ABS transaction in 2021 and 26th overall. The 2021-3senior-subordinated structure comprises eight classes.

Credit enhancement changes from the Westlake 2021-2 transaction include:

- Subordination for the class A, B, C, D, and E notes decreased to 36.70%, 28.65%, 17.50%,8.50%, and 5.15%, respectively, from 38.65%, 29.65%, 18.05%, 9.35%, and 5.70%,respectively, for the 2021-2 transaction



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- Initial and target overcollateralization remain at 0.50% and 2.25%; however, it doesn't stepdown to 1.25% once the A-2 class pays off as is the case with the 2021-2 transaction,respectively.

- The non-amortizing reserve account is unchanged at 1.00% of the initial pool balance.

- Total initial hard credit enhancement for the class A, B, C, D, and E notes decreased to 38.20%,30.15%, 19.00%, 10.00%, and 6.65%, respectively, from 40.15%, 31.15%, 19.55%, 10.85%, and7.20%, respectively, for the 2021-2 transaction.

Collateral characteristic changes

Significant collateral changes from the Westlake 2021-2 transaction include:

- The percentage of the pool in the Platinum and Standard program decreased to 1.50% and61.52%, respectively, from 3.00% and 66.80%, while the Gold program concentration increasedto 36.98% from 30.20%;

- The percentage of loans with an original term of 61-72 months decreased to 41.11% from53.48%;

- The weighted average non-zero credit score increase to 602 from 600;

- The weighted average loan-to-value (LTV) ratio decreased slightly to 110.21% from 113.26%;

- The loans from franchised dealers decreased to 33.69% from 43.77%;

- The percentage of new vehicles decreased slightly to 2.57% from 4.27%; and

- The weighted average annual percentage rate (APR) decreased to 18.52% from 18.63%.

Based on the change in collateral characteristics, we believe the 2021-3 pool is marginallystronger relative to the 2021-2 transaction. While the transaction has a stronger program mix dueto the increase in the Gold program, it is largely offset by the decrease in franchise loans. Due toour view of the latest economic developments, including our most recent macroeconomic outlookthat incorporates a baseline forecast for U.S. GDP and unemployment, the issuer's stableperformance throughout the pandemic, and Westlake's strong historical securitizationperformance, we expect the Westlake 2021-3 transaction to experience CNLs in the12.50%-13.00% range, compared with 13.50%-14.00% for Westlake 2021-2.

In terms of Westlake's securitization performance, we noted continued improvement for the 2018,2019, 2020, and early 2021 transactions (see the Surveillance section).

Transaction And Legal Overview

The series 2021-3 deal is Westlake's 26th term ABS transaction. The transaction is structured as atrue sale of the receivables from Westlake Services LLC and Westlake Portfolio Services Inc. toWestlake Funding IV LLC and WPS IV LLC (the depositors), respectively, both special-purposeDelaware limited liability companies. The depositors will then sell the receivables to Westlake2021-3, the issuing entity, which is a newly formed special-purpose Delaware statutory trust.Westlake 2021-3 will pledge its interest in the receivables and its security interests in the vehiclesto the trust collateral agent for the indenture trustee's benefit on the noteholders' behalf (seechart 1).



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Chart 1

In rating this transaction, S&P Global Ratings will review the legal matters that it believes arerelevant to its analysis as outlined in its criteria.

Transaction Structure

Westlake 201-3 will employ a sequential principal payment structure among the preliminary ratedclass A, B, C, D, E, and F notes: the class A notes will be paid in full before the class B notes receiveprincipal distributions; the class B notes will be paid in full before the class C notes receiveprincipal distributions; and so forth. The transaction's structure incorporates a 1.00%non-declining reserve account and an initial overcollateralization amount of 0.50% that will buildto a target of 2.25% of the current receivables pool balance. The transaction has anovercollateralization floor of 1.00% of the initial receivables pool balance and approximately12.82% excess spread per year.



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Payment Structure

Payment distributions

The class A, B, C, D, E, and F notes will total $1.5 billion. Interest and principal payments arescheduled on the 15th day, or the next business day of each month, beginning Dec. 15, 2021. Oneach payment date, distributions will be made from available funds according to the paymentpriority (see table 1).

Table 1

Payment Waterfall

Priority Payment

1 To the servicer, the 4.00% annual servicing fee and to any successor servicer, the transition fees (up to$200,000 in aggregate).

2 To the trustees, the backup servicer, and the lockbox bank, any accrued and unpaid fees, expenses, andindemnities, subject to an annual aggregate limit of $100,000 (the owner trustee) and $200,000 (the lockboxbank, the indenture trustee, and the backup servicer, collectively).

3 Class A interest to the class A noteholders.

4 The first-priority principal payment to the class A noteholders.

5 Class B interest to the class B noteholders.

6 The second-priority principal payment to the senior-most class outstanding.

7 Class C interest to the class C noteholders.

8 The third-priority principal payment to the senior-most class outstanding.

9 Class D interest to the class D noteholders.

10 The fourth-priority principal payment to the senior-most class outstanding.

11 Class E interest to the class E noteholders.

12 The fifth-priority principal payment to the senior-most class outstanding.

13 Class F interest to the class F noteholders.

14 The sixth-priority principal payment to the senior-most class outstanding.

15 To the reserve account, the amount required to restore the reserve account to its required level.

16 The regular principal payment on the senior-most class outstanding, which builds overcollateralization to thetarget.

17 To the indenture trustee, owner trustee, backup servicer, lockbox bank, and successor servicer, any fees andexpenses that exceed the related cap or annual limit specified in items 1 and 2 above.

18 All remaining amounts to the certificateholders.

Events Of Default

Under the indenture, the following occurrences constitute an event of default:

- A default in the interest payment on any of the controlling class' notes when due and payablethat continues for five or more business days;

- A default in the principal payment on any note on the final scheduled payment or redemption



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date;

- The issuer breaching certain representations, warranties, and covenants;

- The issuer filing for bankruptcy; and

- The issuer becoming taxable as an association or becoming a publicly traded partnership thatis taxable as a corporation for federal or state income tax purposes.

Payment Priority After An Event Of Default

On each payment date after an event of default due to a breach of representations, warranties,and covenants, the payment priority will remain the same as in table 1 except the fees andexpenses to the trustee, backup servicer, and lockbox bank will be unlimited and the regularprincipal payment amount (item 16 in table 1) will include a sufficient amount to retire the notes infull before any funds can be used to pay items 17 (fees above the capped amount) and 18 (releasesto the certificateholders).

On each payment date after an event of default other than an event of default due to a breach ofrepresentations, warranties, and covenants, available funds will be distributed in the priorityshown in table 2.

Table 2

Payment Waterfall After An Event Of Default(i)

Priority Payment

1 To the servicer, the lockbox bank, the owner trustee, the indenture trustee, and the backupservicer, accrued and unpaid fees not subject to any caps.

2 Class A interest to the class A noteholders.

3 Class A-1 principal to the class A-1 noteholders until the notes have been reduced to zero.

4 Class A-2 principal to the class A-2 noteholders and class A-3 principal to the class A-3noteholders, pro-rata, until the notes have been reduced to zero.

5 Class B interest to the class B noteholders.

6 Class B principal to the class B noteholders until the notes have been reduced to zero.

7 Class C interest to the class C noteholders.

8 Class C principal to the class C noteholders until the notes have been reduced to zero.

9 Class D interest to the class D noteholders.

10 Class D principal to the class D noteholders until the notes have been reduced to zero.

11 Class E interest to the class E noteholders.

12 Class E principal to the class E noteholders until the notes have been reduced to zero.

13 Class F interest to the class F noteholders.

14 Class F principal to the class F noteholders until the notes have been reduced to zero.

15 All remaining amounts to the certificateholders.

(i)Excluding an event of default due to a breach in representations, warranties, and covenants.



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Securitization Performance/Surveillance Update

On Oct. 14, 2021, we raised our ratings on 24 classes and affirmed ratings on eight classes fromoutstanding Westlake transactions that closed in 2018 through 2020, as shown in table 3. Werevised our loss expectations on series 2018-2, 2018-3, 2019-1, 2019-2, 2019-3, 2020-1, and2020-2 given better-than-previously-expected performance during the pandemic (see "24 RatingsRaised, Eight Affirmed On Seven Westlake Automobile Receivables Trust Transactions").

When comparing the 2014, 2015, 2016, 2017, 2018, 2019, 2020 and 2021 vintages' CNLs relativeto the pool factors (see chart 4) at the same pool factor (50.00%, for example), the CNLs for the2016 vintages are trending higher than any other vintage. The vintages for 2017, 2018, 2019, 2020and 2021 appear to be trending better than the 2016 vintages and in line with or better than ourinitial expected CNLs.

We will continue to monitor performance of all outstanding transactions and take rating actions asappropriate.

Table 3

Performance Data For Outstanding Westlake Automobile Receivables TrustTransactions(i)

Series Month

Poolfactor

(%)CNL(%)

CurrentCRR (%)

60-plus daydelinquency

(%)Extensions

(%)

Initiallifetime CNL

exp. (%)Prior lifetimeCNL exp. (%)

Revisedlifetime

CNL exp.(%)(iii)

2018-2 42 13.21 10.09 38.76 0.81 6.84 13.00-13.50 12.00-12.50(i) Up to 10.35

2018-3 38 18.62 9.38 39.33 0.71 6.24 13.00-13.50 13.00-13.50(ii) 9.75-10.25

2019-1 32 24.87 7.63 38.63 0.88 5.80 13.00-13.50 10.50-11.00(i) 9.25-9.75

2019-2 28 32.81 6.71 40.14 0.76 6.01 13.00-13.50 13.75-14.25(ii) 9.00-9.50

2019-3 24 38.98 5.48 41.56 0.76 5.73 13.00-13.50 13.75-14.25(ii) 8.75-9.25

2020-1 19 49.55 3.91 42.29 0.87 5.80 13.00-13.50 12.00-12.50(i) 8.75-9.25

2020-2 16 53.35 2.57 41.64 0.66 4.88 14.75-15.25 N/A 8.50-9.00

2020-3 12 65.85 1.82 40.37 0.68 4.69 14.75-15.25 N/A N/A

2021-1 7 79.44 0.84 36.49 0.53 3.79 13.50-14.00 N/A N/A

2021-2 4 89.99 0.31 28.56 0.46 3.29 13.50-14.00 N/A N/A

(i)As of the May 2021 distribution date. (ii)Revised in November 2020. (iii)Revised in October 2021. CNL--Cumulative net loss. CRR--Cumulativerecovery rate. N/A–-Not applicable.



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Chart 2

Chart 3



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Chart 4

Pool Analysis

The Westlake 2021-3 transaction consists of a pool of motor vehicle loans. As of the Sept. 30,2021, statistical calculation date, the statistical pool consisted of $1.975 billion in loans. The finalpool will be a subset of the statistical pool presented and will depend on the final deal size, but thecharacteristics are not expected to differ materially from the overall pool. We compared theWestlake 2021-3 collateral pool with that of Westlake's previous securitization pools as shown intable 4. All loans were originated by Westlake.

Table 4

Collateral Composition

Westlake2021-3

Westlake2021-2

Westlake2021-1

Westlake2020-3

Westlake2020-2

Westlake2020-1

Westlake2019-3

Westlake2019-2

Westlake2019-1

Westlake2018-3

Westlake2018-2

Receivablesbalance (mil. $)

1,975.52 1,608.06 1,664.74 1,458.33 1,195.72 855,130.79 1,319.80 1230.80 1,025.64 1,131.11 1,030.97

No. ofreceivables

137,962 110,451 116,116 107,716 99,444 61,612 99,376 93,692 79,870 84,686 82,151

Averageprincipalbalance ($)

14,319 14,559 14,337 13,539 12,398 13,879 13,280 13,137 12,841 13,357 12,550

Weightedaverage APR (%)

18.52 18.63 19.22 19.10 19.44 20.10 19.92 19.13 19.00 19.33 19.26



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Table 4

Collateral Composition (cont.)

Westlake2021-3

Westlake2021-2

Westlake2021-1

Westlake2020-3

Westlake2020-2

Westlake2020-1

Westlake2019-3

Westlake2019-2

Westlake2019-1

Westlake2018-3

Westlake2018-2

Weightedaverage LTVratio (%)

110.21 113.26 113.15 111.80 112.96 113.38 113.71 112.12 110.94 108.77 108.39

Weightedaverage originalterm (mos.)

59.59 61.60 61.00 60.41 58.40 60.94 59.58 60.10 58.77 58.87 57.40

Weightedaverageremaining term(mos.)

56.17 58.74 57.63 56.53 53.16 56.88 56.46 56.80 54.90 56.79 54.25

Weightedaverageseasoning(mos.)

3.43 2.86 3.37 3.89 5.24 4.06 3.12 3.30 3.87 2.07 3.14

Original term49-60 mos. (%)

30.93 22.60 23.71 22.52 23.53 21.08 21.45 21.02 22.60 21.86 21.13

Original term61-72 mos. (%)

41.11 53.48 51.00 49.40 41.85 52.43 47.52 49.68 43.86 44.68 40.01

Average mileage 92,940 76,717 75.850 74,276 80,301 71,721 74,756 72,043 75,858 71,949 73,022

New vehicles(%)

2.57 4.27 4.76 4.66 4.27 6.37 6.13 6.08 5.97 7.06 5.84

Used vehicles(%)

97.43 95.73 95.24 95.34 95.73 93.63 93.87 93.92 94.03 92.94 94.16

WeightedaverageWestlakeproprietarycredit score(i)

3.46 3.26 3.22 3.20 3.32 3.24 3.10 3.11 3.05 2.94 2.84

Standard (%)(ii) 61.52 66.80 63.06 61.66 57.49 60.71 58.86 59.09 63.21 64.40 60.94

Gold (%)(ii) 36.98 30.20 34.93 35.34 32.86 36.84 38.64 38.33 34.29 32.35 35.23

Platinum (%)(ii) 1.50 3.00 2.00 3.00 9.64 2.45 2.50 2.58 2.50 3.25 3.83

Franchisedealers (%)

33.69 43.77 43.11 45.14 42.57 44.03 41.42 42.77 38.96 39.78 38.27

Independentdealers (%)

66.31 56.23 56.89 54.86 57.43 55.97 58.58 57.23 61.04 60.22 61.73

WeightedaverageFICO/creditscore(iii)

602 600 600 603 610 600 602 601 602 600 601

FICO/credit score distribution (%)(iii)

Less than540

10.71 9.32 10.37 10.81 11.84 12.17 11.42 12.74 10.69 12.07 13.65

540-599 21.69 23.06 23.52 23.50 21.26 26.54 25.69 24.05 18.84 20.29 19.73

600-659 26.77 23.92 26.37 26.12 23.76 26.75 28.10 28.16 24.66 23.33 25.54



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Table 4

Collateral Composition (cont.)

Westlake2021-3

Westlake2021-2

Westlake2021-1

Westlake2020-3

Westlake2020-2

Westlake2020-1

Westlake2019-3

Westlake2019-2

Westlake2019-1

Westlake2018-3

Westlake2018-2

660 andabove

11.71 9.28 10.57 12.22 18.75 12.54 13.04 12.75 12.12 12.27 13.52

None 29.12 34.32 29.17 27.35 24.40 22.00 21.75 22.33 33.67 32.03 27.56

Top three state concentrations (%)(iv)

TX=15.42 TX=17.77 TX=16.78 TX=18.60 TX=20.61 TX=21.81 CA=22.25 CA=23.96 CA=21.20 CA=20.78 CA=21.77

CA=14.02 CA=14.06 CA=16.59 CA=17.10 CA=18.64 CA=18.44 FL=13.53 FL=13.83 TX=15.94 TX=17.89 TX=19.61

FL=11.60 FL=11.03 FL=10.73 FL=11.08 FL=11.05 FL=12.42 TX=11.75 TX=12.82 FL=14.12 FL=15.04 FL=14.52

S&P GlobalRatings' originalCNL exp. (%)

12.50-13.00 13.50-14.00 13.50-14.00 14.75 –15.25

14.75 –15.25

13.00-13.50 13.00-13.50 13.00-13.50 13.00-13.50 13.00-13.50 13.00-13.50

S&P GlobalRatings'revised/updatedCNL exp. (%)

N/A N/A N/A N/A N/A 12.00-12.50 13.75-14.25 13.75-14.25 10.50-11.00 13.00-13.50 13.00-13.50

Current CNL (%) N/A 0.31 0.84 1.82 2.57 3.91 5.48 6.71 7.63 9.38 10.09

(i)Westlake Services LLC uses its proprietary credit score, which is scaled from zero to 10 (10 being the best credit quality), to support its credit approval and pricing process. (ii)Westlake ServicesLLC divides the collateral pool into three distinct underwriting channels: Standard, Gold, and Platinum. (iii)Westlake 2019-2 through 2020-2 and 2021-1 through 2021-2 use a blended creditscore, which incorporates both FICO and Vantage scores. Both prior to 2019-2 and for 2020-3 and after, the transactions use a 100% FICO-based score. (iv)As a percentage of the principalbalance. Westlake--Westlake Automobile Receivables Trust. APR--Annual percentage rate. LTV--Loan-to-value. CNL exp.--Cumulative net loss expectations. N/A--Not applicable.

Managed Portfolio

Westlake's managed portfolio grew approximately 30% as of Sept. 30, 2021, from a year earlier.Total delinquencies decreased to 2.57% from 2.93% during the same period a year earlier.Annualized losses (as percentage of average principal outstanding) decreased to 2.40% from2.69% for the same period in 2020. We believe the improved managed portfolio loss anddelinquency performance are due to overall better performance in their more recent vintages.

Table 5

Managed Portfolio

As of Sept. 30 As of Dec. 31

2021 2020 2020 2019 2018 2017 2016

Delinquency experience

Amount of receivables outstanding (mil. $) 11,210.14 8.563.34 8,985.90 7,442.83 5,492.27 3,967.27 3,176.02

Total delinquencies (% of principal amountof receivables outstanding)

2.57 2.93 3.51 4.20 4.11 4.50 5.59

Net loss experience

Avg. month-end amount outstanding (mil.$)

10,051.90 7,935.47 8,146.47 6,518.27 4,861.76 3,575.77 2,934.28

Net losses (% of the avg. month-endamount outstanding)(i)

2.40 4.69 4.38 5.23 5.65 7.36 8.95

(i)Annualized.



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S&P Global Ratings' Expected Loss: 12.50%-13.00%

Westlake's dealer loan programs are FICO-based and broken out as:

- Standard--less than 600;

- Gold--600 through 699; and

- Platinum--700 and greater.

For each loan program, Westlake provided static pool performance data by origination month,broken out by franchise (excluding CarMax, which we viewed separately) and independent dealerand loan program. While Westlake has focused predominantly on independent, non-franchisedealers historically, it has been steadily originating more contracts from franchise dealers. Theuptick in franchise loans has caused an increase in longer-term loan paper (greater than 60months) and higher LTV ratios, which is mitigated by a better-quality vehicle with lower mileage.Based on data provided by Westlake, its franchise loans typically perform better than independentloans. However, for this transaction we saw a significant decrease in franchise loans, and as aresult a decrease in the LTV and loans greater than 60 months. Additionally, we looked at thesedata broken out further by original terms of up to 60 months and greater than 60 months.

We used a second-quarter 2006 through 2014 paid-off loss curve to project losses for theoutstanding collateral for 2014 through 2020 by dealer type and program. We then calculatedweighted average projected loss proxies for each of the 12 loan term/program/dealer types byweighting each outstanding vintage month's projected loss by the origination dollar volume for therespective vintage. Then we computed a weighted average projected loss for the pool by weightingthe loss proxies for each term/program/dealer type by the respective percentage of the currentpool balance for each program.

Based on our review of the pool's credit quality, the origination static pool performance,securitization performance, and our view of the latest economic developments, including our mostrecent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP andunemployment, we expect the Westlake 2021-3 transaction to experience CNLs in the12.50%-13.00% range.

Cash Flow Modeling

We modeled the transaction to simulate stress scenarios appropriate for the assigned preliminaryratings (see table 6). The cash flow results are based on a $1.500 billion note size.

Table 6

Break-Even Analysis Summary

Preliminary rating

Assumptions AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf) B (sf)

Multiple (x) 3.50 3.00 2.30 1.75 1.50 1.10

Front-loaded loss curve

Loss timing (12/24/36)input (%)

50/40/10 50/40/10 50/40/10 50/40/10 50/40/10 50/40/10

Loss timing (12/24/36)actual (%)

54/42/4 51/40/9 50/40/10 50/40/10 50/40/10 50/40/10



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Table 6

Break-Even Analysis Summary (cont.)

Preliminary rating

Assumptions AAA (sf) AA (sf) A (sf) BBB (sf) BB (sf) B (sf)

ABS voluntaryprepayments (%)

1.6 1.6 1.6 1.6 1.6 1.6

Recoveries (%) 35.0 35.0 35.0 35.0 35.0 35.0

Recovery lag (mos.) 3 3 3 3 3 3

Servicing fee and otherfees (%)

4.0 4.0 4.0 4.0 4.0 4.0

Approximate cumulativenet loss break-even levelsfor the floating-ratestructure (%)(i)

45.32 39.09 30.57 23.71 20.74 17.15

Approximate cumulativegross loss break-evenlevels for thefloating-rate structure(%)(i)

69.72 60.13 47.04 36.47 31.91 26.39

Back-loaded loss curve

Loss timing (12/24/36)input (%)

45/35/10/10 45/35/10/10 45/35/10/10 45/35/10/10 45/35/10/10 45/35/10/10

Loss timing (12/24/36)actual (%)

55/40/5 50/37/10/3 47/35/10/8 46/35/10/9 46/35/10/9 46/35/10/9

ABS voluntaryprepayments (%)

1.6 1.6 1.6 1.6 1.6 1.6

Recoveries (%) 35.0 35.0 35.0 35.0 35.0 35.0

Recovery lag (mos.) 3 3 3 3 3 3

Servicing fee and otherfees (%)

4.0 4.0 4.0 4.0 4.0 4.0

Approximate cumulativenet loss break-even levelsfor the floating-ratestructure (%)(i)

45.34 39.46 30.94 24.03 21.07 17.25

Approximate cumulativegross loss break-evenlevels for thefloating-rate structure(%)(i)

69.76 60.71 47.60 36.96 32.41 26.55

(i)The maximum cumulative net and gross losses on the pool, with 100% credit given to excess spread, that the transaction can withstandwithout triggering a payment default on the relevant classes of notes. ABS--Absolute prepayment speed.

We used our expected 12.50%-13.00% net loss range and applied the aforementioned stresses inour internal cash flows runs. The break-even results show that the class A, B, C, D, E, and F notesare enhanced to the degree necessary to withstand a stressed level of net losses that is consistentwith the assigned preliminary ratings. Because of a slower observed loss curve on the 2009 and2010 static pool vintages and more long-term receivables in the pool, we ran a back-loaded losscurve in addition to the front-loaded loss curve. We found the back-loaded loss curve to be slightlyless stressful for all classes of notes because the loss timing slows down significantly, thereby



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increasing the excess spread and resulting in almost no releases.

Sensitivity Analysis

In addition to analyzing break-even cash flows, we conducted a sensitivity analysis to determinewhether, under a moderate ('BBB') stress scenario, all else being equal, our ratings will be withinthe credit stability limits specified by section A.4 of the Appendix contained in "S&P Global RatingsDefinitions" published Jan. 5, 2021. For these sensitivity scenarios, we also applied both front-and back-loaded loss curves (see table 7).

Table 7

Sensitivity Analysis Summary

Moderate stress scenario

Assumptions Front-loaded loss curve Back-loaded loss curve

Cumulative net loss level (%) 22.31 22.31

Loss timing (12/24/36/48) (%)(i) 50/40/10/0 45/35/10

ABS voluntary prepayments (%) 1.60 1.60

Recoveries (%) 35.00 35.00

Recovery lag (mos.) 3 3

Servicing fee and other fees (%) 4.00 4.00

(i)Input and actual. ABS--Absolute prepayment speed.

Money Market Tranche Sizing

The proposed money market tranche (class A-1) has a legal final maturity date of Nov. 15, 2022. Totest whether the money market tranche can be repaid by its legal final maturity, we ran cash flowsusing assumptions to delay the principal collections. We assumed zero defaults and 0.50%prepayments for our cash flow analyses, and we checked that approximately 11 months ofprincipal collections would be sufficient to pay off the money market tranche, so there is aone-month lag between repayment and the 12-month legal final maturity date.

Legal Final Maturity

To test the legal final maturity dates set for classes A-2 through E, we determined when therespective notes would be fully amortized in a zero-loss and zero-prepayment scenario, and thenadded three months to that date. For the longest-dated security (class F), we added six months tothe tenor of the longest-dated receivable in the pool to accommodate extensions on thereceivables. Furthermore, in the break-even scenario for each respective rating level, weconfirmed that credit enhancement was sufficient to both cover losses and repay the relatednotes in full by the legal final maturity date.

Westlake

Westlake, an independent specialty auto finance company, was founded in 1978 by Don Hankeyand incorporated in California in 1988 as a subchapter S corporation. Westlake is owned 100% by



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Nowlake Technology LLC, which Mr. Hankey (the CEO) and family owns 69.8% of, Marubeni Corp.(Marubeni; a Japanese conglomerate) owns 21.8% of, and Westlake employees own 8.4% of.

As of Sept. 30, 2021, Westlake had:

- 2,529 employees;

- A network of more than 20,956 producing dealers nationwide for the last 12 months across all50 states from which it buys its auto loans;

- A portfolio of prime, nonprime, and subprime retail auto installment sales contracts of $11.55billion;

- Pretax income of $1,375 in 2021, $792 million in 2020, $564 million in 2019, $390 million in2018, $289 million in 2017, $235 million in 2016, $203 million in 2015, and $237 million in 2014;

- Equity of $2.33 billion as of Sept 30, 2021; and

- A 3.60x debt-to-equity ratio as of Sept. 30, 2021.

Westlake has a diversified funding base that includes:

- A $470 million corporate secured line of credit provided by a Wells Fargo Bank N.A.-led bankgroup, which matures in November 2023;

- Asset-backed warehouse lines of credit with Bank of Montreal ($500 million, maturing in March2023), Mitsubishi UFJ Financial Group/Mizuho Bank/Royal Bank of Canada ($150 million,maturing in June 2022), Wells Fargo Bank N.A. ($600 million, maturing in November 2022), J.P.Morgan Chase & Co./Deutsche Bank AG ($600 million, maturing in April 2022), Sumitomo MitsuiBanking Corp. ($150 million, maturing December 2021), and MG Leasing Corp. ($80 million,maturing December 2021); and

- The ABS markets through its auto loan securitizations.

In addition to the funding facilities above, additional capital has been provided by Marubeni. In2011, it acquired a 20.00% ownership stake in Westlake for $250 million and gained two seats onthe executive board. In November 2014, Marubeni further increased its equity stake by $100million and provided $100 million of convertible fixed-rate debt.

Related Criteria

- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10,2021

- Criteria | Structured Finance | General: Global Framework For Payment Structure And CashFlow Analysis Of Structured Finance Securities, Dec. 22, 2020

- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology AndAssumptions, March 8, 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

- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology,March 29, 2017

- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In



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Structured Finance Transactions, Oct. 9, 2014

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

- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011

- 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

- U.S. Auto Loan ABS Tracker: August 2021 Performance, Oct. 20, 2021

- 24 Ratings Raised, Eight Affirmed On Seven Westlake Automobile Receivables TrustTransactions, Oct. 14, 2021

- Credit Conditions North America Q4 2021: Risks Rise As Recovery Hits A Snag, Sept. 28, 2021

- Economic Outlook U.S. Q4 2021: The Rocket Is Leveling Off, Sept. 23, 2021

- Dwindling U.S. Government Stimulus Has Stopped The Downward Drift In Auto Loan ABSExtensions, Aug. 20, 2021

- Global Structured Finance Midyear Outlook 2021: Issuance Forecast Raised To $1.4 Trillion,July 20, 2021

- Auto Loan ABS COVID-19 Loss Adjustment Reassessed After Better-Than-ExpectedPerformance, July 8, 2021



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