<PAGE>   1
                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549
                                   FORM 10-Q/A

(Mark One)

[X]      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

                  For the quarterly period ended  September 30, 1997

                                            OR

[  ]     TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
         EXCHANGE ACT OF 1934

                  For the transition period from ____________ to _____________


                         Commission file number 0-22067


                       NATIONAL AUTO FINANCE COMPANY, INC
              ----------------------------------------------------
             (Exact name of registrant as specified in its charter)

DELAWARE                                               65-0688619
------------------------------------------             ------------------------
(State or other jurisdiction of                        (IRS Employer
incorporation or organization)                         Identification No.)

621 N.W. 53rd Street, Suite 200, 
Boca Raton, Florida                                     33487
------------------------------------------              -----------------------
(Address of principal executive offices)                (Zip Code)

                                 (561) 997-2413
              ----------------------------------------------------
              (Registrant's telephone number, including area code)


                                    No change
              ----------------------------------------------------
              (Former name, former address and former fiscal year,
                         if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required
to be filed by section 13 or 15(d) of the Securities Exchange Act of 1934 during
the preceding 12 months (or for such shorter period that the registrant was
required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days. Yes [X] No [ ]


There were 7,126,000 shares of common stock, $.01 par value outstanding as of
November 25, 1997.



                                       1
<PAGE>   2

                       NATIONAL AUTO FINANCE COMPANY, INC

                               INDEX TO FORM 10-Q



<TABLE>
<S>  <C>                                                                                       <C>
PART I.  FINANCIAL INFORMATION

     Item 1.  Financial Statements (unaudited)...............................................   4

              Consolidated Balance Sheets:
                  September 30, 1997 and December 31, 1996...................................   4

              Consolidated Statements of Operations:
                  Three and Nine Months Ended September 30, 1997 and 1996....................   5

              Consolidated Statement of Stockholders' Equity as of September 30, 1997........   6

              Consolidated Statements of Cash Flows:
                  Nine Months Ended September 30, 1997 and 1996..............................   7

              Notes to Consolidated Financial Statements.....................................   9

     Item 2.  Management's Discussion and Analysis of Financial Condition
                  and Results of Operations..................................................  14

PART II.  OTHER INFORMATION

     Item 6.  Exhibits and Reports on Form 8-K...............................................  26

     SIGNATURE    ...........................................................................  27

     EXHIBIT INDEX...........................................................................  28

              Exhibit 11.  Computation of Earnings Per Common Share..........................  29

              Exhibit 27.  Financial Data Schedule...........................................  30
</TABLE>



                                       2
<PAGE>   3

FORWARD-LOOKING STATEMENTS

When used in this Quarterly Report on Form 10-Q or future filings by the Company
(as defined below) with the Securities and Exchange Commission (the
"Commission"), in the Company's press releases or other public or stockholder
communications, or in oral statements made with the approval of an authorized
executive officer, the words or phrases "will likely result," "are expected to,"
"will continue," "is anticipated," "estimate," "project" or similar expressions
are intended to identify "forward-looking statements" within the meaning of the
Private Securities Litigation Reform Act of 1995. The Company wishes to caution
readers not to place undue reliance on any such forward-looking statements,
which speak only as of the date made, and to advise readers that various
factors, including regional and national economic conditions, substantial
changes in levels of market interest rates, credit and other risks of lending
and investment activities and competitive and regulatory factors could affect
the Company's financial performance and could cause the Company's actual results
for future periods to differ materially from those anticipated or projected.

The Company does not undertake and specifically disclaims any obligation to
update any forward-looking statements to reflect the occurrence of anticipated
or unanticipated events or circumstances after the date of such statements.





                                       3
<PAGE>   4

--------------------------------------------------------------------------------
Part I.
--------------------------------------------------------------------------------

Item 1.  Financial Statements.

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Consolidated Balance Sheets (unaudited)
                    September 30, 1997 and December 31, 1996
                             (dollars in thousands)

<TABLE>
<CAPTION>
                                                        September 30,    December 31,
                                                             1997            1996
                                                        -------------    ------------
<S>                                                     <C>              <C>    
ASSETS:
Cash and cash equivalents                                  $    326         $ 5,066
Retained interest in securitizations                         23,077          23,404
Fixed assets, net                                             1,667             515
Deferred financing costs                                        925           1,849
Other assets                                                  2,246             367
                                                           --------         -------
     Total assets                                          $ 28,241         $31,201
                                                           ========         =======

LIABILITIES:

Accounts payable and accrued expenses                      $  1,982         $ 1,771
Due to National Auto Finance Corporation                       --               178
Deferred income taxes                                          --              --
Accrued interest payable--related parties                        40             144
Accrued interest payable--senior subordinated notes             200             339
Notes payable                                                   222            --
Junior subordinated notes--related parties                    2,007           7,218
Senior subordinated notes                                    12,000          12,000
                                                           --------         -------
     Total liabilities                                       16,451          21,650
                                                           --------         -------

Mandatorily redeemable preferred stock series A -
  $.01 par value, $1,000 stated value; 1,000,000
  shares authorized; 2,295 shares outstanding
  redeemable in January 2005, stated at
  redemption value                                            2,335            --

STOCKHOLDERS' EQUITY:
Common stock - $0.01 par value; 20,000,000
  shares authorized; 7,026,000 shares
  outstanding                                                    70            --
Paid in capital                                              19,166            --
Accumulated deficit                                          (9,781)           --
Equity of predecessor entity                                   --             9,551
                                                           --------         -------
     Total stockholders' equity                               9,455           9,551
                                                           --------         -------

Total liabilities, mandatorily redeemable
  preferred stock and stockholders' equity                 $ 28,241         $31,201
                                                           ========         =======

</TABLE>


See accompanying notes to the consolidated financial statements.



                                       4
<PAGE>   5

                       NATIONAL AUTO FINANCE COMPANY, INC.
                Consolidated Statements of Operations (unaudited)
         For the Three and Nine Months Ended September 30, 1997 and 1996
                  (dollars in thousands, except per share data)


<TABLE>
<CAPTION>
                                                       Three Months Ended       Nine Months Ended
                                                          September 30,           September 30,
                                                      --------------------    --------------------
                                                        1997        1996        1997        1996
                                                      --------    --------    --------    --------
<S>                                                   <C>         <C>         <C>         <C>     
REVENUE:
Securitization related income (loss)                  $ (9,693)   $  3,905    $ (3,522)   $  9,158
Servicing income                                           863         259       2,238         587
Interest income                                            168          51         537          57
Other income                                                42           6         176          54
                                                      --------    --------    --------    --------
     Total revenue                                      (8,620)      4,221        (571)      9,856
                                                      --------    --------    --------    --------

EXPENSES:
Interest expense                                           343         372       1,103         676
Salaries and employee benefits                           1,596       1,008       4,591       2,510
Direct loan acquisition expenses                           936         528       2,502       1,238
External servicing expenses                                903         298       2,278         778
Internal servicing expenses                                998        --           998        --
Depreciation and amortization                              148         150         541         343
Other operating expenses                                   265         431       2,087       1,209
                                                      --------    --------    --------    --------
     Total expenses                                      5,189       2,787      14,100       6,754

Income (loss) before income taxes                      (13,809)      1,434     (14,671)      3,102
Income taxes (benefit) before reorganization
  of partnership                                           332        --          --          --
                                                      --------    --------    --------    --------
Income (loss) before taxes from reorganization
  of partnership                                       (14,141)      1,434     (14,671)      3,102
Income taxes (benefit) from reorganization of
  Partnership                                           (5,416)       --          --          --
                                                      --------    --------    --------    --------
     Net income (loss)                                  (8,725)      1,434     (14,671)      3,102
                                                      --------    --------    --------    --------

Less preferred stock dividends                              40        --           107        --
                                                      --------    --------    --------    --------

Net income (loss) available for common shareholders   $ (8,765)   $  1,434    $(14,778)   $  3,102
                                                      ========    ========    ========    ========

Earnings (loss) per share                             $  (1.25)               $  (2.11)
                                                      ========                ========

Pro forma: (1)
     Income before income taxes                                   $  1,434                $  3,102
     Income taxes                                                      539                   1,167
                                                                  --------                --------
     Pro forma net income                                         $    895                $  1,935
                                                                  ========                ========

Pro forma earnings per share                                      $   0.21                $   0.46
                                                                  ========                ========

Weighted average shares and share equivalents            7,026                   6,994
                                                      ========                ========

Pro forma shares outstanding                                         4,230                   4,230
                                                                  ========                ========
</TABLE>

1.   Prior to January 29, 1997, the Company's operations were conducted through
     two related partnerships. The pro forma data reflects the Company's
     after-tax earnings as if it had been taxed as a C-corporation for these
     periods. Income taxes for the three-month period ended September 30, 1996
     and the nine month period ended September 30, 1996, reflect the pro forma
     application of a combined federal and state income tax rate of
     approximately 38% as if the Company had been taxed as a C-corporation for
     all periods presented.

See accompanying notes to the consolidated financial statements.




                                       5
<PAGE>   6

                       NATIONAL AUTO FINANCE COMPANY, INC.
           Consolidated Statement of Stockholders' Equity (unaudited)
                  For the Nine Months Ended September 30, 1997
                             (dollars in thousands)


<TABLE>
<CAPTION>
                                                                             Retained       Equity of
                                                       Common     Paid in    Earnings      Predecessor
                                                        Stock     Capital    (Deficit)        Entity        Total
                                                        -----     -------    ---------        ------        -----

<S>                                                    <C>        <C>       <C>           <C>             <C>
Balance as of December 31, 1996                                                                  9,551       9,551
     Net income from January 1, 1997 through
       Reorganization on January 29, 1997                                                         526          526
     Assets retained by partnership                                                               (31)         (31)
                                                                                             ---------    ---------
     Balance as of January 29, 1997                                                            10,046       10,046

     Exchange of predecessor equity for stock
       in connection with Reorganization on
       January 29, 1997                                     42        7,709                   (10,046) (1)  (2,295)

     Issuance of 496,000 shares of common stock
       in exchange for deferred interest on Senior
       Subordinated Notes                                    5          164                                    169

     Deferred income taxes recorded in connection
       with Reorganization                                           (5,416)                                (5,416)

     Issuance of 2,300,000 shares of common stock in
       initial public offering, net of costs                23       16,816                                 16,839

     Dividends on mandatorily redeemable
       preferred stock                                                 (107)                                  (107)

     Net loss subsequent to Reorganization                                        (9,781)                   (9,781)
                                                        ------     --------      -------      -------      -------

     Balance as of September 30, 1997                       70       19,166       (9,781)           0        9,455
                                                        ======     ========      =======      =======      =======
</TABLE>

----------

(1) $2,295 of such amount was attributed to mandatorily redeemable preferred
    stock.


See accompanying notes to the consolidated financial statements.



                                       6
<PAGE>   7

                       NATIONAL AUTO FINANCE COMPANY, INC.
                Consolidated Statements of Cash Flows (unaudited)
              For the Nine Months Ended September 30, 1997 and 1996
                             (dollars in thousands)

<TABLE>
<CAPTION>
                                                                           Nine Months Ended
                                                                             September 30,
                                                                         ---------------------
                                                                            1997        1996
                                                                         ---------    --------

<S>                                                                      <C>          <C>     
CASH FLOW FROM OPERATING ACTIVITIES:
     Net income (loss)                                                   $ (14,671)   $  1,935
ADJUSTMENTS TO RECONCILE NET INCOME (LOSS) TO NET CASH USED IN
  OPERATING ACTIVITIES:
     Securitization related income                                           3,522      (9,158)
     Depreciation expense                                                       80         217
     Purchases of loans held for sale                                     (127,583)    (51,077)
     Proceeds from transfer of loans to Master Trust                       127,583      51,540
     Cash flows from retained interest released to Company                   6,617       2,864
     Cash deposits to spread accounts                                       (9,830)     (1,650)
     Amortization of deferred financing cost                                   277         121
     Amortization of deferred placement costs                                   74          42
CHANGES IN OTHER ASSETS AND LIABILITIES:
     Other assets                                                           (1,974)       (331)
     Accounts payable and accrued expenses                                     211         322
     Accrued interest payable - related parties                               (104)       (460)
     Accrued interest payable - senior subordinated debts                     (139)        212
     Income taxes                                                             --         1,167
                                                                         ---------    --------
         Net cash used in operating activities                             (15,937)     (4,256)
CASH FLOW FROM INVESTING ACTIVITIES:
     Fixed assets purchased                                                 (1,361)       (283)
                                                                         ---------    --------
         Net Cash used in investing activities                              (1,361)       (283)
CASH FLOWS FROM FINANCING ACTIVITIES:
     Proceeds from junior subordinated notes - related parties                --           700
     Proceeds from First Union National Bank note                              222        --
     Proceeds from senior subordinated debt                                   --        11,303
     Principal payments on junior subordinated notes - related parties      (5,182)     (1,038)
     Payment of preferred stock dividends                                      (67)       --
     Proceeds from initial public offering                                  17,614        --
     Preferred equity partners' contributions                                 --         1,606
     Payments on leases                                                        (29)
                                                                         ---------    --------
         Net cash provided by financing activities                          12,558      12,571
                                                                         ---------    --------
Net increase/(decrease) in cash and cash equivalents                        (4,740)      8,032

Cash and cash equivalents at beginning of period                             5,066         824
                                                                         ---------    --------

Cash and cash equivalents at end of period                               $     326    $  8,856
                                                                         =========    ========

Cash paid for interest                                                   $   1,346    $    898
</TABLE>




                                       7
<PAGE>   8

                       NATIONAL AUTO FINANCE COMPANY, INC.
                Consolidated Statements of Cash Flows (unaudited)
              For the Nine Months Ended September 30, 1997 and 1996
                             (dollars in thousands)

<TABLE>
<CAPTION>
                                                                                  Nine Months Ended
                                                                                    September 30,
                                                                                ---------------------
                                                                                 1997           1996
                                                                                -----          ------

<S>                                                                            <C>             <C>
NON-CASH FINANCING ACTIVITIES:
     Offering costs deferred in 1996 transferred to
       paid-in-capital in 1997                                                     775              0
     Accrued preferred stock dividends                                              40              0
     Conversion of accrued interest on senior subordinated debt
       to common stock and paid-in-capital                                         169              0
     Conversion of partners' capital to preferred stock                          2,295              0
     Conversion of partnership capital to common stock and
       paid-in-capital                                                           7,225              0
     Deferred income taxes from Reorganization included in
       net loss considered paid-in-capital                                       5,416              0
     Income earned in 1997 prior to Reorganization included in
       paid-in-capital                                                             526              0
</TABLE>


See accompanying notes to the consolidated financial statements.




                                       8
<PAGE>   9

                       NATIONAL AUTO FINANCE COMPANY, INC.
                 Notes to the Consolidated Financial Statements
                               September 30, 1997
                                   (unaudited)


(1)  BASIS OF PRESENTATION

     The financial statements presented herein, to the extent that they relate
     to periods (i) prior to January 29, 1997, are the consolidated financial
     statements of the National Auto Partnership and the ACCH Partnership, and
     (ii) after January 29, 1997 are the financial statements of National Auto
     Finance Company, Inc. and subsidiaries (the "Company").

     The accompanying unaudited interim financial statements for the nine month
     periods ended September 30, 1997 and 1996 have been prepared pursuant to
     the rules and regulations of the Securities and Exchange Commission.
     Accordingly, certain information and footnotes required by generally
     accepted accounting principles for complete financial statements are not
     included herein. The interim statements should be read in conjunction with
     the financial statements and notes thereto included in the Company's latest
     Annual Report on Form 10-K (capitalized terms used herein and not defined
     shall have the meanings ascribed to them in such Form 10-K).

     Interim statements are subject to possible adjustments in connection with
     the annual audit of the Company's accounts for the full year 1997; in the
     Company's opinion, all adjustments necessary for a fair presentation of
     these interim statements have been included and are of a normal and
     recurring nature. The results for the interim periods are not necessarily
     indicative of results for a full year. Certain amounts in the 1996
     financial statements have been reclassified to conform with current
     financial statement presentation.

     In conjunction with the reorganization from a partnership form to a taxable
     corporate form, the Company adopted the provisions of Statement of
     Financial Accounting Standards No. 109, "Accounting for Income Taxes"
     ("SFAS No. 109"). Under the asset and liability method of SFAS No. 109,
     deferred tax assets and liabilities are recognized for the future tax
     consequences attributable to differences between the financial statement
     carrying amounts of existing assets and liabilities and their respective
     tax bases and operating loss and tax credit carryforwards. Deferred tax
     assets and liabilities are measured using enacted tax rates expected to
     apply to taxable income in the years in which those temporary differences
     are expected to be recovered or settled. The effect on deferred tax
     liabilities of a change in tax rates was recognized in income in the three
     month period ended March 31, 1997. The cumulative effect of this change in
     accounting for income taxes was a non-cash charge of $5.4 million recorded
     in the first quarter.

     In June 1996, the Financial Accounting Standards Board ("FASB") issued
     Statement of Financial Accounting Standards No. 125, "Accounting for
     Transfers and Servicing of Financial Assets and Extinguishments of
     Liabilities" ("SFAS No. 125"). This statement specifies when financial
     assets and liabilities are to be removed from an entity's financial
     statements, the accounting for servicing assets and liabilities and the
     accounting for assets that can be contractually prepaid in such a way that
     the holder would not recover substantially all of its recorded investment.
     Under SFAS No. 125, an entity recognizes only assets it controls and
     liabilities it has incurred, discontinues recognition of assets only when
     control has been surrendered and discontinues recognition of liabilities
     only when they have been extinguished. SFAS No. 125 requires that the
     selling entity continue to carry retained interests relating to assets it
     no longer recognizes. Such retained interests are based on the relative
     fair values of the retained interests of the subject assets at the date of
     transfer. The Company refers to such retained interests as "Retained
     Interest in Securitizations", consisting of several components including
     the "excess spread receivable" ("Excess Spread Receivable" or the "ESR").
     Retained interests are recorded at fair value and periodically measured in
     the same manner as investments classified as available for sale or trading
     under Statement of Financial Accounting Standards No. 115. Beginning
     January 1, 1997, the Company adopted SFAS No. 125.

     Loans that are purchased by the Company are sold on a daily basis in a
     two-step securitization program as described below. Securitization related
     income or loss is recognized (1) upon transfer of Loans to the Master Trust
     based upon the amount of cash received upon transfer of such Loans
     generally equal to the Company's purchase price of the Loan and (2) an
     estimate of the Company's residual interest in the Master Trust (which
     constitutes a portion of Retained Interest in Securitizations.) The value
     of the Company's residual interest in the Master Trust is determined by
     estimating the fair value of amounts to be received from the Master Trust
     and the subsequent "Permanent Securitizations".



                                       9
<PAGE>   10
                       NATIONAL AUTO FINANCE COMPANY, INC.
                 Notes to the Consolidated Financial Statements
                               September 30, 1997
                                   (unaudited)


     The Retained Interest in Securitizations is classified as a trading
     security for financial reporting purposes with changes in fair value either
     credited or charged to the statement of operations.

     The Company is aware of a limited market for the purchase or sale of its
     Over-Collateralization Accounts (a portion of its Retained Interest in
     Securitizations), but is not aware of an active market for the purchase or
     sale of the other components of its Retained Interest in Securitizations
     (ESRs and Cash Spread Accounts) and accordingly, the Company has determined
     the estimated fair value of the Retained Interest in Securitizations at
     September 30, 1997 by the following process:

     1.  The Company has estimated the timing and amount of cash flows to be
         received from Loans transferred to each securitization trust based upon
         assumptions relating to estimates of defaults, loss severity,
         prepayments and normal principal and interest amortization (cash-in);

     2.  The Company has calculated the timing and amount of the total remaining
         principal and interest to be paid to the securitization investors given
         the assumptions noted above and the contractual requirements of each
         securitization;

     3.  The Company has estimated the total amount to be paid by each
         securitization trust for servicing, insurance and other costs and the
         timing of such payments;

     4.  The estimated cash payments described in (2) and (3) above have been
         subtracted from the estimated cash-in to determine the estimated Excess
         Spread Receivable (ESR) for each month.

     5.  The Company has then estimated the required Cash Spread Account balance
         for each securitization trust for each period given the requirements of
         each trust and the impact of the assumptions noted above. The Company
         then calculated the amount of Excess Spread Receivable to be added to
         the Cash Spread Account or the amount of the Cash Spread Account to be
         released to the Company each month.

     6.  The estimated amount of cash available to the Company as described in
         (5), represents the Company's estimate of the "cash-out" of the
         securitization.

     7.  The fair value of cash-out over the remaining life of the
         securitization has been determined by discounting the estimated
         cash-out at a rate management believes an investor would require for a
         stream of cash flows with similar risk characteristics.

     8.  The Company has compared the fair value of cash-out for each
         securitization trust to the Retained Interest in Securitizations for
         each securitization trust. Adjustments to fair value or impairments are
         charged to securitization related income (loss).

     In February 1997, the FASB issued Statement of Financial Accounting
     Standards No. 128, "Earnings Per Share" ("SFAS No. 128"). SFAS No. 128 is
     effective for financial statements issued for periods ending after December
     15, 1997. SFAS No. 128 establishes standards for computing and presenting
     earnings per share ("EPS"), simplifies the standards previously found in
     Accounting Principles Board Opinion No. 15, "Earnings Per Share," and makes
     them comparable to international EPS standards. The Company will begin
     disclosing EPS in accordance with SFAS No. 128 beginning with the year
     ended December 31, 1997.

     In June 1997, the FASB issued Statement of Financial Accounting Standards
     No. 130, "Reporting Comprehensive Income" ("SFAS No. 130"). SFAS No. 130 is
     effective for fiscal years beginning after December 15, 1997. SFAS No. 130
     establishes standards for reporting and display of comprehensive income and
     its components in a full set of general-purpose financial statements. SFAS
     No. 130 requires that all items to be recognized under accounting standards
     as components of comprehensive income be reported in a separate financial
     statement. Such statement will be presented by the Company beginning with
     the quarter ended March 31, 1998.



                                       10
<PAGE>   11
                       NATIONAL AUTO FINANCE COMPANY, INC.
                 Notes to the Consolidated Financial Statements
                               September 30, 1997
                                   (unaudited)



     In June 1997, the FASB issued Statement of Financial Accounting Standards
     No. 131, "Disclosure About Segments of an Enterprise and Related
     Information" ("SFAS No. 131"). SFAS No. 131 is effective for financial
     statements for periods beginning after December 15, 1997. SFAS No. 131
     establishes standards for the way that public business enterprises report
     information about operating segments, based upon how the enterprise defines
     such segments. The Company is required to report operating segment
     information, to the extent such segments are defined, beginning with the
     year ended December 31, 1998.

(2)  RETAINED INTEREST IN SECURITIZATIONS

     Retained Interest in Securitizations were as follows at September 30, 1997
     and December 31, 1996:

<TABLE>
<CAPTION>
                                                 September 30,   December 31,
                                                     1997           1996
                                                 -------------   ------------

<S>                                               <C>            <C>        
     Spread Accounts                              $   7,442       $   8,221
     Excess Spread Receivable                        15,635          15,183
                                                  ---------       ---------
                                                  $  23,077       $  23,404
                                                  =========       =========
</TABLE>

     Assumptions used to value the Retained Interest in Securitizations at
     September 30, 1997 were as follows:

<TABLE>
<S>                                                              <C>   
         Weighted average cumulative net loss rate               12.00%
         Weighted average cumulative prepayment rate             20.63%
         Discount rate                                           11.00%
         Level of required Cash Spread Account                5% to 11%
         Rate of interest on Cash Spread Account                  5.50%
         Weighted average yield on Loans                         19.40%
</TABLE>

     In January 1995, the Company began using a revolving securitization
     facility pursuant to which the Company sells its Loans on a daily basis to
     a bankruptcy-remote special purpose subsidiary trust ("Funding Trust"),
     which in turn transfers such Loans to a bankruptcy-remote master trust (the
     "Master Trust"). The Company retains, through Funding Trust, certain
     residual interests in future excess cash flows from the Master Trust (the
     "Excess Spread Receivable" or "ESR"), in exchange for the transfer of Loans
     to the Master Trust.

     Periodically, the Master Trust refinances its Loans through the transfer of
     the Loans (and the Company's retained interest or ESR) to separate
     permanent trusts. The payment of the principal and interest on those
     securities has been insured by payment guaranty policies issued by
     Financial Security Assurance, Inc. ("FSA"). The proceeds of the
     transactions are used by the Master Trust to repay the financing of the
     Master Trust. The Master Trust then commences re-borrowing to finance its
     purchase of additional Loans from the Company through Funding Trust.

     In July 1997, the National Auto Finance 1997-1 Trust (the "1997-1 Trust")
     was formed and the Master Trust refinanced approximately $73.5 million of
     its receivables in a public offering of asset-backed securities through
     their transfer by the Master Trust to the 1997-1 Trust, as part of a
     permanent securitization ("Permanent Securitization"). Payment of principal
     of, and interest on, the $66.9 million of the securities issued in that
     transaction is insured by payment guarantees issued by FSA, and such
     securities are rated AAA and Aaa by Standards & Poor's Rating Service and
     Moody's Investors Service, Inc., respectively. The proceeds of that
     Permanent Securitization transaction were used by the Master Trust to repay
     the then-outstanding balance of the variable funding (i.e., revolving)
     certificates bearing interest at floating rates ("Class B Certificates").
     Since such time, the Master Trust has issued additional beneficial
     interests in Loans purchased by the Master Trust, as evidenced by the Class
     B Certificates, to finance its purchase of Loans from the Company. The
     Company 



                                       11
<PAGE>   12
                       NATIONAL AUTO FINANCE COMPANY, INC.
                 Notes to the Consolidated Financial Statements
                               September 30, 1997
                                   (unaudited)



     expects additional Permanent Securitizations to be periodically consummated
     in the future in order to refinance amounts outstanding under such Class B
     Certificates.

     During the nine months ended September 30, 1997 and 1996, the following
     activity took place with respect to securitization:

<TABLE>
<CAPTION>
                                                                          September 30,   September 30,
                                                                               1997           1996
                                                                          -------------   -------------

<S>                                                                        <C>            <C>        
     Principal balance of Loans sold                                       $   130,757    $    56,152
                                                                           ===========    ===========
     Securitization related income (loss)                                  $    (3,522)   $     9,158
                                                                           ============   ===========
     Weighted average coupon rate on Loans sold during the period               19.40%         19.70%
                                                                           ===========    ===========
</TABLE>

(3)  JUNIOR SUBORDINATED NOTES

     During 1994, 1995 and 1996, the Company received loans on a junior
     subordinated basis (the "Junior Subordinated Notes") from principal equity
     holders of National Auto Finance Company L.P., a Delaware Limited
     Partnership that was organized in October 1994 (the "National Auto
     Partnership") and certain affiliates. The Junior Subordinated Notes are
     payable on January 31, 2002, and accrue interest at eight percent per
     annum. Interest expense recognized for this debt for the periods ending
     September 30, 1997 and 1996 was $163,000 and $436,000, respectively.

(4)  SENIOR SUBORDINATED NOTES

     In August 1996, the Company completed a $12 million senior subordinated
     debt financing with J.P. Morgan Investment Management, Inc., acting on
     behalf of certain institutional investors (the "Morgan Group"), pursuant to
     which $12 million principal amount of senior subordinated notes (the
     "Senior Subordinated Notes"), were issued to the Morgan group. The
     principal amount of the Senior Subordinated Notes is due in August 2001 and
     carries a 10% coupon payable quarterly. Prior to the consummation of the
     Company's public offering (the "Offering") of 2,300,000 shares of the
     Company's common stock, par value $.01 per share (the "Common Stock"),
     there was also an additional 3% deferred-interest coupon that accrued
     interest on a compounded basis and was payable in August 2006, but was
     converted into 496,000 shares of the Common Stock upon the consummation of
     the Offering. Through January 29, 1997, the date of the Offering, the
     Company accrued the additional 3% interest on the deferred-interest coupon,
     which amount totaled approximately $169,000 at January 29, 1997. On January
     29, 1997, upon the conversion of such coupon to equity, such amounts were
     accounted for as paid-in-capital of the Company. The Senior Subordinated
     Notes generally prohibit the payment of dividends on Common Stock following
     consummation of an initial public offering of Common Stock so long as any
     amount remains outstanding on such debt. Interest expense recognized for
     this debt for the period ended September 30, 1997 was $930,000.

(5)  NOTES PAYABLE

     The Company has entered into a $1.5 million revolving credit agreement
     ("FUNB Note") dated as of August 25, 1997 with First Union National Bank to
     fund the purchase of furniture and equipment ("collateral") for the
     Company's Jacksonville Servicing Division and corporate headquarters. FUNB
     retains a security interest in the collateral. The FUNB Note accrues
     interest at the one month London Interbank Offered Rate plus 2.5% (8.15% at
     September 30, 1997), payable monthly. As of September 30, 1997, the
     principal amount owed by the Company was approximately $222,000.

     As of September 29, 1997, the Company has entered into a three-year, $10
     million revolving credit facility with BankBoston, N.A., secured by motor
     vehicle installment contracts, with a short-term $8.0 million working
     capital subfacility secured by the Company's investments and Retained
     Interest in Securitizations, which matures on January 19, 1998.



                                       12
<PAGE>   13
                       NATIONAL AUTO FINANCE COMPANY, INC.
                 Notes to the Consolidated Financial Statements
                               September 30, 1997
                                   (unaudited)



(6)  STOCK OPTION PLAN

     In 1996, the Board of Directors of the Company adopted a share incentive
     plan (the "1996 Share Incentive Plan"). The 1996 Share Incentive Plan is
     intended to provide incentives which will attract, retain and motivate
     highly competent persons, each of whom will contribute to the success and
     future growth and profitability of the Company, as executive management,
     employees and directors of the Company and of any parent or subsidiary of
     the Company, by providing them the opportunity to acquire shares of Common
     Stock or to receive monetary payments based on the value of such shares
     pursuant to certain benefits contemplated by the 1996 Share Incentive Plan.
     Furthermore, the 1996 Share Incentive plan is intended to assist in
     aligning the interests of the Company's executive management, employees and
     directors with those of its stockholders.

     The 1996 Share Incentive Plan provides for the granting of certain benefits
     in any one or a combination of (i) stock options, (ii) stock appreciation
     rights, (iii) stock awards, (iv) performance awards, and (v) stock units.
     The aggregate number of shares of Common Stock that may be subject to such
     benefits, including stock options, is 500,000 shares of Common Stock
     (subject to adjustment in the event of a merger, consolidation,
     reorganization, recapitalization, stock dividend, stock split, reverse
     stock split, split up, spinoff, combination of shares, exchange of shares,
     dividend in-kind or other like change in capital structure or
     distribution).

     Through the third quarter of 1997, stock options with respect to an
     aggregate of 371,000 shares of Common Stock have been granted to sixteen
     key employees and three directors at the fair market value at the date of
     grant. At September 30, 1997, exercise of 341,000 was considered
     anti-dilutive to earnings per share, thus such options are excluded from
     the calculation of earnings per share. All employee stock options vest
     one-third immediately, one-third in 1998 and one-third in 1999, and
     director stock options vest in 1998.

     All stock options expire 10 years from the date of grant.

(7)  SUBSEQUENT EVENTS

     Upon the occurrence of a Permanent Securitization failing to meet certain
     portfolio performance tests requiring that the Loan portfolio of each
     Permanent Securitization trust have (i) an average delinquency rate less
     than a specified percentage; (ii) a cumulative default rate less than
     specified percentages that vary based on the aging of the relevant trust's
     Loan pool; and (iii) a cumulative net loss rate less than specified
     percentages that vary based on the aging of the relevant trust's Loan pool
     (an "Insurance Agreement Event of Default"), the Company will be in default
     under its insurance agreements with FSA. Upon an Insurance Agreement Event
     of Default, FSA may (i) permanently suspend distributions of cash flow to
     the Company from the related securitization trust and all other FSA-insured
     trusts until the asset-backed securities have been paid in full; (ii)
     capture all excess cash flows from performing FSA-insured trusts; (iii)
     increase its premiums; and (iv) replace the Company as servicer with
     respect to all FSA-insured trusts. In April 1997, the Permanent
     Securitization trust formed in November 1995 experienced an Insurance
     Agreement Event of Default. In October 1997, the Company entered into an
     agreement with FSA that (i) permanently waived the Insurance Agreement
     Event of Default, thereby permitting distributions of excess cash flows to
     the Company; (ii) modified the portfolio performance tests described above
     to increase the thresholds through June 1998; (iii) required the Company to
     cause the spread account for each FSA-insured securitization trust to be
     cross-collateralized to the spread accounts established in connection with
     each of its other FSA-insured securitization trusts; (iv) permitted the
     Company to enter into a $10.0 million revolving credit agreement with
     BankBoston, N.A. (the "Revolving Credit Agreement"); (v) provided that FSA
     would consider providing credit enhancement for the Company's next
     Permanent Securitization; and (vi) provided for the issuance of 100,000
     shares of Common Stock to FSA.




                                       13
<PAGE>   14

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



ITEM 2.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS.

The following management's discussion and analysis provides information
regarding the Company's financial condition as of September 30, 1997 compared to
December 31, 1996, and its results of operations for the three and nine month
periods ended September 30, 1997 and 1996. This management's discussion and
analysis should be read in conjunction with (i) the Company's Financial
Statements and the related notes included elsewhere herein and (ii) the
Company's Annual Report on Form 10-K with respect to the fiscal year ended
December 31, 1996. The ratios and percentages provided below are calculated
using detailed financial information contained in the Company's Financial
Statements, the notes thereto and the other financial data included elsewhere in
this report.

SECURITIZATION ACTIVITIES

The Company is a consumer finance company specializing in the business of
purchasing, financing, securitizing and servicing Loans to borrowers with
limited credit histories, low incomes or past credit problems ("Non-Prime
Consumers"). The Company currently finances its purchases of Loans primarily
through an asset securitization program that involves (i) the securitized
warehousing of substantially all of its Loans through their daily sale to the
Master Trust pursuant to the Revolving Securitization followed by (ii) the
refinancing of such warehoused Loans from time to time through Permanent
Securitizations. The following discussion summarizes the effect of the Company's
securitization activities on its revenues, expenses and cash flows.

Revenues

In January 1997, the Company adopted Statement of Financial Accounting Standards
("SFAS") No. 125, "Accounting for Transfers and Servicing of Financial Assets
and Extinguishment of Liabilities" ("SFAS No. 125") which the Company uses to
measure the fair value of its Retained Interest in Securitizations. The Company
derives revenues principally from securitization related income it records as a
result of the SFAS No. 125 calculation.

As the result of the Company's continued detailed review and analysis, including
extensive computer modeling, of factors effecting the performance of the
Company's Loan portfolio and the related carrying value of the Retained Interest
in Securitizations, the Company adjusted the securitization income and the value
of the Retained Interest in Securitizations in the third quarter of 1997 by a
total of $16.0 million pre-tax. Specifically, the Company has increased the
cumulative net loss estimate from 9% as of June 30, 1997 to 12% as of September
30, 1997. The increase in the cumulative net loss estimate results primarily
from an increase in default rates expected to be experienced over the life of
the loans, lower expected recovery rates on the underlying collateral and
changes in prepayment speeds, compared to the rates of such items estimated in
earlier periods.

The Company also receives monthly payments from the securitization trusts in
cash as a fee paid for the Company's servicing of Loans. Servicing income is
recognized as earned and typically offsets the direct expenses the Company
incurs in connection with the Servicing Portfolio. Finally, the Company also
earns interest income on its cash investments and from Loans it temporarily
holds for sale pending their securitization; however, unlike many of its
competitors, the Company earns only a nominal amount of interest on Loans held
for sale because the Company securitizes substantially all of its Loans on a
daily basis.

Distributions of Cash from Securitizations

When the Company securitizes Loans, it is required to establish and maintain
credit enhancements on a trust-specific basis for the benefit of investors in
the asset-backed securities. The Company uses initial cash deposits, plus a
portion of the excess cash flows from the Loans (that is, the difference between
cash received by the relevant trust and its payments on the asset-backed
securities and trust expenses), to fund the spread accounts. Once the funds in
the spread accounts meet specified levels (which may be increased if the
performance of the relevant Loan pool deteriorates), any excess cash flows
thereafter will be released to the Company on a monthly basis. Any remaining
cash in the spread accounts after the asset-backed securities have been paid in
full also will be released to the Company. The amount of excess cash available
for distribution to the Company will be affected by the Servicing Portfolio's
actual loss and prepayment experience.



                                       14
<PAGE>   15

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



RESULTS OF OPERATIONS

WHERE APPLICABLE, 1996 AMOUNTS USED FOR COMPARISON REFLECT PRO-FORMA INCOME
TAXES CALCULATED AS IF THE PREDECESSOR OF THE COMPANY HAD OPERATED AS A TAXABLE
ENTITY FOR THE COMPARABLE 1996 PERIOD.

THREE MONTH PERIOD ENDED SEPTEMBER 30, 1997 COMPARED TO THE THREE MONTH PERIOD
ENDED SEPTEMBER 30, 1996.

Income from Operations

The Company reported a net loss after preferred stock dividends for the three
month period ended September 30, 1997 of $8.8 million compared to pro forma net
income after a provision for income taxes ("pro forma income taxes") of $895,000
for the three month period ended September 30, 1996.

Securitization Related Income

The Company's Loan purchasing and servicing activities expanded significantly
during the three month period ended September 30, 1997 compared to the three
months ended September 30, 1996. The Company purchased 4,205 Loans, having a
principal balance of $51.2 million, during the three month period ended
September 30, 1997 compared to 1,866 Loans, having a principal balance of $23.2
million, during the three month period ended September 30, 1996. These loan
purchases consisted of 2,864 Loans purchased from Dealers ($39.3 million
principal balance) and 1,341 Loans purchased from Third Party Originators ($11.9
million principal balance) during the three month period ended September 30,
1997, all of which were sold to the Master Trust. This compares to 1,701 Loans
purchased from Dealers ($21.4 million principal balance) and 165 Loans purchased
from Third Party Originators ($1.8 million principal amount) during the three
month period ended September 30, 1996, all of which were sold to the Master
Trust. For the three month period ended September 30, 1997, the Company
recognized a securitization related loss of $9.7 million, compared to $3.9
million of securitization related income recognized for the three month period
ended September 30, 1996. Notwithstanding a 121% increase in the dollar volume
of Loans purchased during the three month period ended September 30, 1997
compared to the three month period ended September 30, 1996, securitization
related income decreased due to the $16.0 million pretax adjustment recorded as
a result of the implementation of SFAS No. 125 and the increase in the
cumulative net loss estimate from 9% as of June 30, 1997 to 12% as of September
30, 1997.



                                       15
<PAGE>   16
                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



The table below sets forth certain information relating to the Company's Loan
purchasing activities:

<TABLE>
<CAPTION>
                                                                      Three Month Period Ended
                                                                            September 30,
                                                                      ------------------------
                                                                         1997          1996
                                                                      ---------    -----------

<S>                                                                      <C>            <C>  
Number of Loans purchased from Dealers during period                     2,864          1,701
Number of Loans purchased as portfolios                                  1,341            165
                                                                       -------        -------
    Total number of Loans purchased                                      4,205          1,866
                                                                       =======        =======

                                                                      (dollars in thousands)

Principal balance of Loans from Dealers purchased during period        $39,287        $21,427
Principal balance of Loans in portfolio                                 11,921          1,772
                                                                       -------        -------
    Total balance of Loans purchased                                   $51,208        $23,199
                                                                       =======        =======

Amount funded (1)                                                      $50,075        $22,014
                                                                       =======        =======
</TABLE>

----------
(1)   Amount funded represents the price at which the Company purchases a Loan
      from a Dealer or Third-Party Originator (i.e., the amount actually paid to
      a Dealer or Third-Party Originator), calculated as the principal of the
      Loan purchased less a negotiated discount.

Servicing Income

The Company receives a servicing fee of approximately 4% of the principal amount
of the Loans sold to the Master Trust and 2% of the principal amount of the
Loans subsequently sold to the Permanent Securitizations, which typically
offsets actual servicing expenses incurred by the Company. This income is
recognized as earned. Servicing income was $863,000 for the three months ended
September 30, 1997 compared to $259,000 for the three months ended September 30,
1996. The growth was attributable to the increase in the size of the Servicing
Portfolio.

Other Income

Other income consists of interest income on cash investments, other income and
finance charges earned. The Company generated approximately $210,000 of other
income for the three months ended September 30, 1997 compared to $57,000 for the
three months ended September 30, 1996. The increase in other income was
primarily attributable to interest earned on the net proceeds of the Company's
initial public offering, pending utilization thereof.

Total Expenses

The Company reported total operating expenses of $5.2 million for the three
months ended September 30, 1997 compared to approximately $2.8 million for the
three months ended September 30, 1996. These expenses consisted primarily of
interest on subordinated notes, salaries and employee benefits, direct loan
acquisition expenses and servicing expenses.

Interest expense for the three months ended September 30, 1997 was $343,000
compared to $372,000 for the three months ended September 30, 1996. This
decrease was the result of the reduction of interest expense on the Company's
Junior Subordinated Notes due to a partial principal pay-down with the proceeds
of the Company's initial public offering. The Senior Subordinated Notes bear
interest at a rate of 10% per annum payable quarterly in arrears, commencing
October 1, 1996. The Company's Junior Subordinated Notes bear interest at a rate
of 8% per annum, payable quarterly in arrears, commencing September 30, 1996.



                                       16
<PAGE>   17

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



Salaries and employee benefits for the three months ended September 30, 1997
were approximately $1.6 million compared to approximately $1.0 million for the
three months ended September 30, 1996. These expenses consisted primarily of
salaries and wages, performance incentives, employee benefits, and payroll
taxes. The increase in expenses primarily reflects the hiring of additional
personnel and other costs associated with the growth of the Company. The
Company's number of full-time employees, excluding employees involved in
internal servicing whose salaries and employee benefits expenses are reported as
internal servicing expenses, increased from 67 as of September 30, 1996 to 98 as
of September 30, 1997. The Company expects that its number of full time
employees will continue to increase commensurate with the growth of the Company.

Direct Loan acquisition expenses for the three months ended September 30, 1997
were $936,000 compared to $528,000 for the three months ended September 30,
1996. These expenses consisted primarily of Dealer incentives, fees paid to
Strategic Alliance partners, broker fees, credit information fees and telephone
expenses. Direct Loan acquisition expenses declined as a percentage of Loans
funded to 1.9% for the three months ended September 30, 1997 from 2.4% for the
three months ended September 30, 1996.

External servicing expenses for the three months ended September 30, 1997 were
$903,000 compared to $298,000 for the three months ended September 30, 1996.
Servicing costs consisted primarily of a monthly fee paid to an outside servicer
for each active Loan and the cost of vendor's single interest insurance
maintained by the Company. Servicing fees paid to the Company's outside servicer
for the three months ended September 30, 1997 were $779,000 compared to $300,000
for the three months ended September 30, 1996. The increase in servicing costs
primarily reflected the growth in the Servicing Portfolio. The Company's
Servicing Portfolio was approximately $190.7 million, representing 17,593
outstanding Loans, as of September 30, 1997 compared to an approximately $82.8
million Servicing Portfolio, representing 7,286 outstanding Loans, as of
September 30, 1996. The Company will continue to pay its outsider servicer fees
during the period of transition to in-house servicing and collections.

The Company has assumed responsibility for collecting all of its Loans, and
anticipates assuming responsibility for the other servicing of its Loans and MIS
operations in the first quarter of 1998. Internal servicing expenses consisted
primarily of salaries and other operating expenses totaling $998,000 for the
nine months ended September 30, 1997. In addition, the Company capitalized
$274,000 of expenses during the three months ended September 30, 1997. The
Company commenced operations of its own internal servicing division during July
1997 and had hired 76 employees as of September 30, 1997 and expects to hire
more employees by the end of this year for both collections and servicing of its
Loans.

Other operating expenses for the three months ended September 30, 1997 were
$265,000 compared to $431,000 for the three months ended September 30, 1996.
These expenses consisted primarily of telecommunications, travel, professional
fees, insurance expenses, and MIS expenses.

NINE MONTH PERIOD ENDED SEPTEMBER 30, 1997 COMPARED TO THE NINE MONTH PERIOD
ENDED SEPTEMBER 30, 1996.

Income from Operations

The Company reported a net loss after preferred stock dividends for the nine
months ended September 30, 1997 of $14.8 million compared to pro forma net
income after a provision for income taxes of $1.9 million for the nine month
period ended September 30, 1996.

Securitization Related Income

The Company's Loan purchasing and servicing operations expanded significantly
during the nine months ended September 30, 1997 compared to the nine months
ended September 30, 1996. The Company purchased 10,914 Loans, having a principal
balance of $130.8 million, during the nine month period ended September 30, 1997
compared to 4,537 Loans, having a principal balance of $56.2 million, for the
nine month period ended September 30, 1996. These Loan purchases consisted of
7,271 Loans purchased from Dealers ($98.6 million principal balance) and 3,643
Loans purchased from Third-Party Originators ($32.2 million principal balance)
during the nine month period ended September 30, 1997, all of which were sold to
the Master Trust. This compares to 4,339 Loans purchased from Dealers ($54.1
million principal balance) and 198 Loans purchased from Third-Party Originators



                                       17
<PAGE>   18
                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



($2.1 million principal balance) during the nine month period ended September
30, 1996, all of which were sold to the Master Trust. For the nine months ended
September 30, 1997, the Company recognized a securitization related loss of $3.5
million, compared to $9.2 million of securitization related income recognized
for the nine months ended September 30, 1996. Notwithstanding a 133% increase in
the dollar volume of Loans purchased during the nine months ended September 30,
1997 compared to the nine months ended September 30, 1996 securitization related
income decreased due to the $19.4 million pretax adjustment recorded as a result
of the implementation of SFAS No. 125 and the increase in the cumulative net
loss estimate to 12% as of September 30, 1997.

The table below set forth certain information relating to the Company's Loan
purchasing activities:

<TABLE>
<CAPTION>
                                                                       Nine Month Period Ended
                                                                             September 30,
                                                                       -----------------------
                                                                          1997           1996
                                                                       --------        -------

<S>                                                                    <C>            <C>  
Number of Loans purchased from Dealers during period                      7,271          4,339
Number of Loans purchased as portfolios                                   3,643            198
                                                                       --------        -------
     Total number of Loans purchased                                     10,914          4,537
                                                                       ========        =======

                                                                        (dollars in thousands)

Principal balance of Loans from Dealers purchased during period        $ 98,566        $54,069
Principal balance of Loans in portfolio                                  32,191          2,083
                                                                       --------        -------
     Total balance of Loans purchased                                  $130,757        $56,152
                                                                       ========        =======

Amount funded (1)                                                      $127,584        $53,216
</TABLE>

----------
(1)  Amount funded represents the price at which the Company purchases a Loan
     from a Dealer or Third-Party Originator (i.e., the amount actually paid to
     a Dealer or Third-Party Originator), calculated as the principal of the
     Loan purchased less a negotiated discount.

Servicing Income

Servicing income was $2.2 million for the nine months ended September 30, 1997
compared to $587,000 for the nine months ended September 30, 1996. The growth
was attributable to the increase in the size of the Servicing Portfolio.

Other Income

Other income consists of interest income on cash investments, other income and
finance charges earned. The Company generated approximately $713,000 of other
income for the nine months ended September 30, 1997 compared to $111,000 for the
nine months ended September 30, 1996. The increase in other income was primarily
attributable to interest earned on the net proceeds of the Company's initial
public offering, pending utilization thereof.

Total Expenses

The Company reported total expenses of $14.1 million for the nine months ended
September 30, 1997 compared to approximately $6.7 million for the nine months
ended September 30, 1996. These expenses consisted primarily of interest expense
on subordinated notes, salaries and employee benefits, direct Loan acquisition
expenses and servicing expenses.

Interest expense for the nine months ended September 30, 1997 was $1.1 million
compared to $676,000 for the nine months ended September 30, 1996. The increase
was the result of the interest expense incurred on the Company's sale in August
1996 of $12.0 million aggregate principal amount of Senior Subordinated Notes.



                                       18
<PAGE>   19

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



Salaries and employee benefits for the nine months ended September 30, 1997 were
approximately $4.6 million compared to approximately $2.5 million for the nine
months ended September 30, 1996. These expenses consisted primarily of salaries
and wages, performance incentives, employee benefits and payroll taxes. The
increase in expenses reflects the hiring of additional personnel and costs
associated with the growth of the Company.

Direct Loan acquisition expenses for the nine months ended September 30, 1997
were $2.5 million compared to $1.2 million for the nine months ended September
30, 1996. These expenses consisted primarily of Dealer incentives, fees paid to
Strategic Alliance partners, broker fees, credit information fees and telephone
expenses. Direct Loan acquisition expenses declined as a percentage of Loans
funded to 2.0% for the nine months ended September 30, 1997 from 2.3% for the
nine months ended September 30, 1996.

External servicing expenses for the nine months ended September 30, 1997 were
$2.3 million compared to $778,000 for the nine months ended September 30, 1996.
Servicing costs consisted primarily of a monthly fee to an outside servicer for
each active Loan and the cost of vendor's single interest insurance maintained
by the Company. Servicing fees paid to the Company's outside servicer for the
nine months ended September 30, 1997 were $1.9 million compared to $718,000 for
the nine months ended September 30, 1996. The increase in servicing costs
primarily reflected the growth in the Servicing Portfolio.

Other operating expenses for the nine months ended September 30, 1997 were $2.1
million compared to $1.2 million for the nine months ended September 30, 1996.
These expenses consisted primarily of telecommunications, travel, professional
fees, insurance expenses and MIS expenses. The increase in other operating
expenses primarily reflected the growth in the amount of Loans purchased and
serviced by the Company, the hiring of additional personnel and the other costs
associated with the growth of the Company.

LOAN LOSS AND DELINQUENCY EXPERIENCE

Loan losses and prepayments are continuously monitored on an overall portfolio
and individual month-of-purchase pool basis. Pursuant to the requirements of
SFAS No. 125, the Company reviews its actual Loan loss experience in conjunction
with its periodic valuation of the ESR. Charge-off policies are based upon an
account-by-account review of delinquent Loans by the Company. The Company
generally charges off a Loan at the time its related collateral is liquidated,
although certain Loans may be charged off sooner if management determines them
to be uncollectible.

The Company recently has experienced significant servicing and collections
problems with the Servicing Portfolio, which the Company believes has resulted
primarily from serious deficiencies in the servicing and collection performance
of its outside servicer. The Company believes that these performance
deficiencies are largely responsible for the Servicing Portfolio's delinquency
and loss ratio increasing from 7.95% at December 30, 1996 to 10.08% at June 30,
1997, which, in turn, caused an Insurance Agreement Event of Default in April
1997 with respect to the 1995 Permanent Securitization, and other FSA
performance tests to be violated with respect to the 1995 and 1996 Permanent
Securitizations. The Company began assuming collections responsibility for Loans
more than 30 days past due in July 1997, and assumed responsibility for
collections of the entire Servicing Portfolio on October 1, 1997, although it
continues to use its outside servicer's customer service and MIS operations. The
Company expects to begin customer service and MIS operations in the first
quarter of 1998. During the transition period when its outside servicer
continues to provide customer service and MIS service for the Servicing
Portfolio, the Company will experience increased costs and will not have
complete control over the quality and timeliness of servicing efforts.

The Company has not previously serviced or collected Loans and therefore is
subject to the inherent risks associated with initiating new operations, such as
unforeseen operational, financial and management problems. There can be no
assurance that the Company will be able to service and collect the Servicing
Portfolio on a cost effective and timely basis or that future delinquency and
loss ratios will not increase.



                                       19
<PAGE>   20
                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



The securitization related income the Company recognizes from the sale of Loans
to the Master Trust, and the cash flow from its securitizations are
substantially dependent on the Servicing Portfolio's delinquency and loss
performance. Increases in delinquencies and losses may result in (i) increased
capital and/or collateral credit enhancement requirements for securitizations;
(ii) reductions in cash flow to the Company; and (iii) additional violations of
Permanent Securitization portfolio performance tests. Consequently, the
Company's failure to effectively service and collect the Servicing Portfolio
could have a material adverse effect on the Company's financial condition,
results of operations and cash flows.

Since October 1994, the Company has maintained, at its own expense, supplemental
vendor single interest insurance that protects the Company's interest in Loan
collateral against uninsured physical damage (including total loss) in instances
where neither the vehicle nor the borrower can be found.

The following table summarizes the Trusts' Loan losses and liquidation recovery
experience from the inception of the Company:

<TABLE>
<CAPTION>
                                                                      September 30,      December 31,
                                                                          1997               1996
                                                                      -------------      ------------

                                                                          (dollars in thousands)

<S>                                                                  <C>                <C>   
Aggregate number of Loans purchased                                        21,589             10,675
Aggregate principal balance of Loans purchased                          $ 265,530          $ 134,773
Principal balance of the Servicing Portfolio                            $ 190,709          $ 102,852
Number of Loans in the Servicing Portfolio                                 17,593              9,063
Aggregate gross charge-off principal balance                            $  20,084          $   7,760
Aggregate liquidation recoveries                                           (9,781)            (4,232)
                                                                        ---------          ---------
Aggregate net charge-offs                                               $  10,303          $   3,528
                                                                        =========          =========
Average principal balance of the Servicing Portfolio                    $ 147,394          $  71,181
Net charge-offs as a percent of the average principal balance
  of the Servicing Portfolio (annualized)                                    6.13%              4.04%
Principal balance of Loans related to vehicles held in inventory        $   3,171          $   2,266
Inventory as a percentage of the Servicing Portfolio                         1.66%              2.20%
</TABLE>

The Company considers a loan to be delinquent if the borrower fails to make any
payment substantially in full on or before the due date as specified by the
terms of the Loan. The Company typically initiates contact with borrowers whose
payments are not received by the due date on the fifth day following the due
date. The following table summarizes the delinquency and repossession with
respect to the Servicing Portfolio.

<TABLE>
<CAPTION>
                                                                       September 30,     December 31,
                                                                            1997             1996
                                                                       -------------     ------------

                                                                           (dollars in thousands)

<S>                                                                     <C>                <C>   
Number of Loans in the Servicing Portfolio                                  17,593             9,063 
Principal balance of the Servicing Portfolio                             $ 190,709         $ 102,852 
Principal balance delinquent (period of delinquency)                                                 
     31 to 60 days                                                       $  11,249         $   6,104 
     61 to 90 days                                                           2,875             1,596 
     91 days or more                                                         3,028               487 
                                                                         ---------         --------- 
         Total delinquencies                                             $  17,152         $   8,187 
                                                                         =========         ========= 
                                                                                                     
Total delinquencies as a percentage of the                                                           
  principal balance of the Servicing Portfolio                                8.99%             7.95%
                                                                         =========         ========= 
</TABLE>



                                       20
<PAGE>   21

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



Management believes that the payment practices of Non-Prime Consumers are
partially a function of seasonality. Because Non-Prime Consumers typically have
low disposable incomes, they frequently tend to fall behind in payments on their
Loans during the early winter months, when the holiday season generates demands
for their limited disposable income and when these borrowers encounter
weather-related work slow-downs. As a result, absent unforeseen circumstances,
management expects delinquencies to be highest in the first calendar quarter and
the fourth calendar quarter of each year. Generally, there is a 60- to 120-day
lag between initial delinquency and charge-off.

The Company monitors historical loss experience on an overall portfolio and on a
"static pool" basis. Loans acquired and sold to the Master Trust in each
calendar month are segregated into individual static pools. The Company
considers a pool of Loans to be "seasoned" when it has been aged for an average
of 18 to 24 months. Actual pool losses are compared to the estimates for the net
loss reserve for each pool that were established at the pool's inception and
adjustments for any additional losses will be reflected in the current period
earnings.



                                       21
<PAGE>   22
                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



The following tables summarize the vintage static pools of the Company's
Servicing Portfolio for all Loans purchased by the Company from inception
through the period ending June 30, 1997, and include loss data through September
30, 1997:

<TABLE>
<CAPTION>
                                      4Q         1Q         2Q         3Q         4Q         1Q    

                                       1994      1995       1995       1995       1995       1996  
                                       ----      ----       ----       ----       ----       ----  
                                                             (dollars in thousands)

<S>                        <C>          <C>       <C>        <C>      <C>          <C>      <C>  
Number of Loans pur-
  chased during period     17,382       300       795        920      1,003        868      1,185

Number of outstanding
  Loans at end of
  period                   13,412       140       364        455        583        539        770

Principal balance of
  Loans purchased
  during period          $214,291    $3,820    $9,704    $11,238    $13,675    $11,378    $14,612

Principal balance of
  Loans outstanding
  at end of period       $140,645    $1,058    $2,554    $ 3,461    $ 5,348    $ 5,150    $ 7,410

Principal balance of
  Loans outstanding as
  a percentage of the
  original principal
  balance purchased         65.63%    27.70%    26.31%     30.80%     39.11%     45.26%     50.71%

Cumulative Net Loss          4.80%    10.38%    10.08%      9.36%      8.63%      8.06%      7.16%

<CAPTION>

                                      2Q         3Q         4Q         1Q        2Q

                                     1996       1996       1996       1997       1997
                                     ----       ----       ----       ----       ----
                                                 (dollars in thousands)

<S>                                 <C>        <C>        <C>        <C>        <C>  
Number of Loans pur-
  chased during period              1,486      1,866      2,252      2,878      3,829

Number of outstanding
  Loans at end of
  period                            1,065      1,433      1,894      2,616      3,553

Principal balance of
  Loans purchased
  during period                   $18,341    $23,201    $28,805    $35,773    $43,744

Principal balance of
  Loans outstanding
  at end of period                $10,479    $15,072    $21,459    $29,678    $38,976

Principal balance of
  Loans outstanding as
  a percentage of the
  original principal
  balance purchased                 57.13%     64.96%     74.50%     82.96%     89.10%

Cumulative Net Loss                  7.19%      5.38%      3.69%      1.90%      0.99%
</TABLE>



                             PERIOD OF ORIGINATION
       Cumulative Net Losses as Percentage of Original Principal Balance
                          of Loans Sold During Period

<TABLE>
<CAPTION>
                               4Q      1Q      2Q       3Q       4Q       1Q      2Q       3Q       4Q       1Q       2Q
                             1994    1995    1995     1995     1995     1996    1996     1996     1996     1997     1997
Months From Origination      ----    ----    ----     ----     ----     ----    ----     ----     ----     ----     ----
<S>                         <C>     <C>     <C>      <C>      <C>      <C>     <C>      <C>      <C>      <C>      <C>  
             1              0.00%   0.00%   0.00%    0.00%    0.00%    0.00%   0.00%    0.00%    0.00%    0.00%    0.00%
             2              0.00%   0.00%   0.00%    0.00%    0.00%    0.00%   0.00%    0.00%    0.00%    0.00%    0.00%
             3              0.00%   0.00%   0.00%    0.00%    0.05%    0.00%   0.00%    0.04%    0.00%    0.00%    0.00%
             4              0.00%   0.00%   0.00%    0.03%    0.17%    0.00%   0.00%    0.04%    0.01%    0.02%    0.18%
             5              0.00%   0.07%   0.10%    0.19%    0.21%    0.10%   0.10%    0.16%    0.00%    0.06%    0.46%
             6              0.05%   0.14%   0.27%    0.43%    0.70%    0.39%   0.32%    0.45%    0.25%    0.23%    0.99%
             7              0.05%   0.24%   0.67%    0.88%    0.96%    0.60%   0.64%    0.79%    0.61%    0.58%
             8              0.31%   0.86%   1.42%    1.24%    1.05%    0.80%   1.14%    1.06%    1.21%    1.19%
             9              0.47%   1.34%   1.98%    2.18%    1.57%    1.38%   1.73%    1.92%    1.89%    1.90%
            10              0.51%   1.70%   2.40%    2.35%    2.28%    1.81%   2.70%    2.59%    2.55%    
            11              1.08%   1.73%   2.62%    2.70%    2.40%    2.00%   3.29%    3.36%    3.40%
            12              1.36%   2.52%   3.14%    3.11%    3.08%    2.43%   4.34%    3.65%    3.69%
            13              1.75%   3.04%   3.37%    3.60%    3.48%    3.35%   5.19%    4.47%
            14              1.72%   3.39%   3.71%    3.58%    3.69%    3.60%   5.58%    5.04%
            15              3.12%   3.90%   3.99%    4.13%    4.24%    4.42%   6.00%    5.38%
            16              3.21%   4.20%   4.27%    4.60%    4.58%    4.71%   6.50%
            17              3.80%   4.52%   4.49%    4.98%    5.36%    5.38%   6.89%
            18              4.45%   4.70%   5.01%    5.14%    5.52%    5.80%   7.19%
            19              4.55%   4.94%   5.35%    5.49%    6.09%    6.68%
            20              4.91%   5.18%   5.75%    4.89%    6.43%    6.95%
            21              4.91%   5.77%   6.13%    6.46%    6.65%    7.16%
            22              5.05%   5.75%   6.84%    6.76%    7.10%
            23              5.05%   6.24%   7.44%    7.02%    7.51%
            24              5.79%   6.34%   7.75%    7.10%    8.06%
            25              5.78%   7.01%   8.28%    7.78%
            26              6.20%   7.30%   8.52%    8.37%
            27              6.80%   7.65%   8.66%    8.63%
            28              7.15%   8.00%   9.08%
            29              7.49%   9.02%   9.31%
            30              8.06%   9.15%   9.36%
            31              8.23%   9.73%
            32              9.07%   9.90%
            33              9.07%  10.08%
            34              9.61%
            35              9.89%
            36             10.38%
</TABLE>



                                       22
<PAGE>   23

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



LIQUIDITY AND CAPITAL RESOURCES

GENERAL

Since inception, the Company has funded its operations and the growth of its
Loan purchasing activities primarily through six sources of capital: (i) cash
flows from operating activities; (ii) proceeds from securitization transactions;
(iii) cash flows from servicing fees, (iv) proceeds from the issuance of
indebtedness; (v) capital contributions of certain affiliates of the Company;
and (vi) proceeds from the Company's initial public offering of Common Stock.

The Company has experienced an acceleration in the use of cash during 1997
compared to 1996, due, in large part, to six factors: (i) an increase in the
volume of Loans purchased from Dealers; (ii) a higher volume of Loans purchased
from Third-Party Originators; (iii) a decrease in the average Dealer Discount;
(iv) costs associated with the implementation of the Company's internal
servicing and the corresponding overlap of costs between internal servicing and
its outside servicer; (v) an increase in the initial cash deposit to the spread
account required as a credit enhancement for the Permanent Securitization
completed in July 1997 and (vi) a change in the credit support requirements of
the Company's other securitization facilities, which has resulted in, and may
continue in the future to result in, additional capital of the Company being
maintained in the spread accounts of its Permanent Securitizations.

The Company's business requires substantial cash to support the funding of
accounts for its securitizations, issuance costs of its asset securitizations,
operating expenses, tax payments, debt service and other cash requirements.
These cash requirements increase as the number of Loans purchased and serviced
by the Company increases. Historically, the Company has operated on a negative
operating cash flow basis and its negative operating cash flow is expected to
continue for the foreseeable future. The Company has funded its negative
operating cash flows principally through borrowings under its secured financing
facilities, issuances of subordinated debt and sales of equity securities. The
Company will in the future be required to issue additional debt or equity, which
could dilute the interests of stockholders of the Company, in order to fund, in
part, its negative operating cash flow, and is currently pursuing several such
debt and equity raising transactions. The availability under the Company's
existing Master Trust warehousing facility has been increased by $25 million, to
a total of up to $100 million, which is sufficient to fund the Company's
anticipated Loan purchases through the end of 1997. The Company anticipates
completing its next Permanent Securitization transaction, in the amount of
approximately $70 million, in mid-December 1997, the proceeds of which will pay
down amounts outstanding under the Master Trust facility, thereby creating
additional availability. There can be no assurance, however, that such
transaction will be completed before year-end, or at all. In addition, there can
be no assurance that the Company will have access to the capital markets in the
future for debt or equity issuances or for securitizations, or that financing
through borrowings or other means will be available on terms acceptable to the
Company. The Company's inability to access the capital markets or obtain
financing on acceptable terms could have a material adverse effect on the
Company's financial condition, results of operations and cash flows.

Net cash used in operating activities was $15.9 million during the nine month
period ended September 30, 1997 compared to net cash used of $4.3 million during
the nine month period ended September 30, 1996. Cash used for purchasing Loans
was $127.6 million, an increase of $76.5 million, or 150%, over cash used for
purchasing Loans in the prior year's first nine month period. Cash provided from
the sales of Loans to the Master Trust was $127.6 million, an increase of $76.0
million, or 148%, over cash provided from the sales of Loans to the Master Trust
in the prior year's first nine month period.

The Company is required to maintain a minimum equity position in the Revolving
Securitization of 10.0% of the net serviced receivables. This equity currently
consists of cash invested by the Company and the unamortized Dealer Discount. As
of September 30, 1997, the Company had a 10.0% equity investment in the
Revolving Securitization.

During the nine month period ended September 30, 1997, cash used for initial
deposits to spread accounts was $9.8 million. Cash distributed to the Company
from securitizations, representing cash flows related to the ESR for the nine
month period ended September 30, 1997 was $6.6 million, an increase of $3.8
million, or 131%, over cash distributed from securitizations in the prior year's
period. Changes in the distributions from the various spread 



                                       23
<PAGE>   24

                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



accounts are impacted by the relative size and seasoning of the pools of Loans
that make up the Company's Servicing Portfolio and the pools' performance
experience.

As of September 30, 1997, the Company had total assets of $28.2 million compared
to approximately $31.2 million as of December 31, 1996, and approximately $12.0
million as of December 31, 1995. These assets consisted primarily of cash, and
investments and retained interest in securitizations.

As of September 30, 1997, the Company retained approximately $15.6 million of
ESRs and approximately $7.5 million of spread accounts, which combined,
represented $23.1 million shown on the balance sheets as Retained Interest in
Securitizations, and 82.0% of the total assets of the Company. The value of
these assets would be reduced in the event of a material increase in the Loan
loss and prepayment experience relative to the amounts estimated by the Company
for such items at the time of the sale of the related Loans to the Master Trust.

As of September 30, 1997, the principal amount owed by the Company on the Junior
Subordinated Notes was approximately $2.0 million (including $40,000 of accrued
interest), which bear interest at an annual rate of 8.0%, and the principal
amount owed by the Company on the Senior Subordinated Notes was approximately
$12.2 million (including $200,000 of accrued interest), which bear interest at
an annual rate of 10.0%.

Each Permanent Securitization trust has certain portfolio performance tests
relating to levels of delinquency, defaults and net losses on the Loans in such
trust. Portfolio performance tests require that the Loan portfolio of each
Permanent Securitization trust have (i) an average delinquency rate less than a
specified percentage; (ii) a cumulative default rate less than specified
percentages that vary based on the aging of the relevant trust's Loan pool; and
(iii) a cumulative net loss rate less than specified percentages that vary based
on the aging of the relevant trust's Loan pool. If any Permanent Securitization
Loan portfolio fails to satisfy any of these tests, the amount required to be
retained in the spread account related to such securitization trust will be
increased to an amount generally equal to 7.0% of the then outstanding balance
held by the securitization trust. Certain portfolio performance tests were not
met at various times in the first nine months of 1997 with respect to the
Permanent Securitization trusts formed in November 1995 and November 1996,
resulting in an additional $2.8 million of total cash required to be retained in
the spread accounts related to such Securitization trusts until the violation of
such performance tests are cured. As of September 30, 1997, a total of $1.3
million of such additional $2.8 million had been accumulated in the spread
accounts of such trusts, in lieu of being distributed to the Company. All of the
additional amount required to be retained in the 1995 securitization trust
spread account has been accumulated therein, and since September 30, 1997, the
Company has once again been receiving distributions of excess cash flows from
such trust. The Company anticipates that the approximately $1.5 million of the
additional cash required to be retained in the 1996 securitization trust spread
account will have been accumulated therein by March 31, 1998, after which time
the Company will again receive distributions of excess cash flows from such
trust. FSA has modified its portfolio performance tests for such trusts for the
period through June 1998, which has resulted in higher thresholds to trigger
further violations of such tests.

Any increase in limitations on cash flow available to the Company from Permanent
Securitization trusts, the Company's inability to obtain any necessary waivers
from FSA or the termination of servicing arrangements could materially adversely
affect the Company's financial condition, results of operations and cash flows.

As of September 29, 1997, the Company entered into a three-year, $10.0 million
revolving credit the Revolving Credit Agreement, secured by Loans, including a
short-term $8.0 million working capital sub-facility secured primarily by the
Company's ESRs and spread accounts, which sub-facility matures on January 19,
1998. The Company's cash requirements (principally to fund required credit
enhancements for the Master Trust, initial deposits to spread accounts for
Permanent Securitizations, and for working capital) have been, and will continue
to be, significant. As of November 25, 1997, the Company had approximately
$850,000 of cash and cash equivalents on hand, and approximately $2.6 million
was available under the short-term working capital sub-facility.



                                       24
<PAGE>   25
                       NATIONAL AUTO FINANCE COMPANY, INC.
                     Management's Discussion and Analysis of
                 Financial Condition and Results of Operations
                               September 30, 1997



INFLATION

Increases in the rate of inflation of prices in the U.S. economy generally
result in higher interest rates. Typically, higher interest rates result in a
decrease in the Company's net interest margins and a corresponding decrease in
the Company's gain on sale revenue for a given Loan amount; to the extent not
offset by increases in the volume of Loans purchased, inflation can therefore
lead to decreases in the Company's profitability.



                                       25
<PAGE>   26


--------------------------------------------------------------------------------
Part II. - Other Information
--------------------------------------------------------------------------------

Item 6.  Exhibits and Reports on Form 8-K

         (a)  Exhibits

<TABLE>
<CAPTION>
              Number       Description                    Method of Filing
              ------       -----------                    ----------------

<S>                        <C>                           <C>
                 11        Computation of Earnings        Filed with this
                           per Common Share               document

                 27        Financial Data Schedule        Filed with this
                                                          document
</TABLE>

         (b)  Reports on Form 8-K

              On July 31, 1997, the Company filed a Form 8-K announcing its
              earnings for the second quarter of 1997.

              On November 26, 1997, the Company filed a Form 8-K announcing its
              restated third quarter and nine month results for the periods
              ended September 30, 1997.

              No other reports on Form 8-K were filed in the third quarter of
              1997.



                                       26
<PAGE>   27
                                   SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.


                                       NATIONAL AUTO FINANCE COMPANY, INC.

Date:  July 7, 1998                    /s/  Keith B. Stein
                                       -------------------------------------
                                       Keith B. Stein
                                       Chief Executive Officer







                                       27
<PAGE>   28

                                  EXHIBIT INDEX


<TABLE>
<CAPTION>
Exhibit
Number                     Description
------                     -----------

<S>                       <C>
11                         Computation of Earnings Per Common Share

27                         Financial Data Schedule
</TABLE>



                                       28