Index www.fitchratings.com August 2, 2016 U.S.A. 2Q16 Auto ABS Index: In the Auto ABS Driver’s Seat At a Glance: Prime Auto Loan ABS Measure (%) 2Q16 2Q15 1Q16 60+ days delinquencies 0.36 0.31 0.38 Annualized net loss 0.47 0.35 0.62 At a Glance: Subprime Auto Loans ABS Measure (%) 2Q16 2Q15 1Q16 60+ days delinquencies 4.07 3.66 4.15 Annualized net loss 6.32 5.44 8.58 Contacts Hylton N. Heard +1 212 908-0214 [email protected]John Bella, Jr. +1 212 908-0243 [email protected]Related Research Fitch Fundamentals Index — U.S. (July 2016) Auto ABS Index — U.S.A. 2Q16 Related Ratings (July 2016) Solid 2Q16 Auto ABS Performance: Both prime and subprime ANL declined throughout the quarter while delinquencies were relatively stable. Economic Conditions Largely Positive: Low interest rates and gas prices, continued job growth and rising equity prices all supported asset performance in early summer. Used Vehicle Values Surprisingly Strong: Despite a surge in vehicles hitting the used vehicle market thus far in 2016, wholesale vehicle pricing is still healthy, supporting both auto loan and lease ABS. Positive Rating Actions Continued: Despite gradual pressure on auto ABS and rising loss rates in 2016, Fitch Ratings continues to issue rating upgrades on subordinate classes of notes in 2016, on par with the level issued in 2015. Geopolitical Events Not Affecting U.S. Auto ABS: To date, there has been no impact from recent global events, including the recent terrorist attacks or Brexit. Fitch expects auto ABS will not be affected unless the fall-out touches U.S. economic conditions or growth directly.
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Auto ABS Index: In the Auto ABS Drivers Seat8a5e0ff6... · Auto ABS Index: In the Auto ABS Driver’s Seat 2Q16 3 August 2, 2016 U.S. Prime Auto Loan ABS Delinquencies Slowly Rose:
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Index Methodology and Definitions
Auto Loans
Index Composition: Prime index comprises an outstanding balance of $57.2 billion, totaling 124 transactions. The subprime index comprises an outstanding balance of $37.8 billion, totaling 139 transactions.
Delinquent Receivables: When the borrower fails to make a payment on its debt obligation by the specified due date, the outstanding debt obligation is considered delinquent. Delinquency rates are important
leading performance indicators for auto transactions, since a large portion of chargeoffs generally occurs through contractual delinquency. Fitch follows delinquency rates on a regular basis to assess the future
performance of the auto transactions.
60+ Day Delinquency Index: Measures the percentage of trust receivables associated with accounts that are 60 or more days delinquent, expressed as a non-annualized percentage of total receivables outstanding.
Annualized Net Losses (ANL): Monthly gross losses less any recoveries expressed as an annualized percentage of the current receivables outstanding.
ANL Index: Measures the weighted average annualized monthly net losses for a set of prime/subprime Fitch-rated and non-Fitch-rated deals.
Cumulative Net Losses (CNL): Accumulated losses net of recoveries.
Month over Month (MOM): Comparison of data from previous month to current month.
Year over Year (YOY): Comparison of data from previous year to current year.
Auto Leases
Index Composition: Comprises outstanding notional balance of $28.4 billion, totaling 39 outstanding transactions.
Residual Value: The projected value of a fixed asset at maturity that is determined at lease inception.
Residual Value Loss Index: Measures monthly residual losses and gains among U.S. auto lease ABS pools originated by various domestic and foreign captive finance companies. Periodic residual losses are
calculated as the sum of all residual losses each month, divided by the securitized value of the forecast residuals returned that same month.
Residual Value Maturities: The frequency chart shows securitized residual value of returned vehicles in the index plotted against the residual value index. It also shows projected residual lease maturities for all Fitch-
rated lease transactions adjusted by each brand’s average turn-in rate.
Dealer Floorplan (DFP)
Index Composition: Comprises outstanding notional balance of $28.6 billion from seven different floorplan master trusts.
Monthly Payment Rate (MPR): Includes monthly collections of principal paid; it is stated as a percentage of the outstanding balance as of the beginning of the month.
MPR Index: Measures the rolling three-month average MPR of a set of Fitch-rated deals.
Index
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