Ally Auto Receivables Trust

Transcription

1 Presale: Ally Auto Receivables Trust Primary Credit Analyst: Autumn R Mascio, New York ; autumn.mascio@standardandpoors.com Surveillance Credit Analyst: Rahel Avigdor, New York (1) ; rahel.avigdor@standardandpoors.com Table Of Contents $1.018 Billion Asset-Backed Notes Series Rationale Transaction Overview Changes From The AART Transaction Transaction Structure Payment Structure Managed Portfolio Collateral Pool Analysis Securitization Performance AART Performance: Surveillance Update Standard & Poor's Expected Loss: 0.70%-0.80% Cash Flow Modeling Assumptions And Results Sensitivity Analysis JULY 10,

2 Table Of Contents (cont.) Money Market Tranche Sizing Legal Final Maturity Ally Bank Related Criteria And Research JULY 10,

3 Presale: Ally Auto Receivables Trust $1.018 Billion Asset-Backed Notes Series This presale report is based on information as of July 9, The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. Preliminary Ratings As Of July 9, 2015 Class Preliminary rating (i) Type Interest rate Prelim amount (Mil. $) A-1 A-1+ (sf) Senior Fixed A-2 AAA (sf) Senior Fixed A-3 AAA (sf) Senior Fixed A-4 AAA (sf) Senior Fixed B AA+ (sf) Subordinate Fixed C AA (sf) Subordinate Fixed D A+ (sf) Subordinate Fixed (i) The rating on each class of securities is preliminary and subject to change at any time. Profile Expected closing date July 22, 2015 Collateral Prime auto loan receivables Sponsor and acquirer Ally Bank Depositor and AART certificateholder Ally Auto Assets LLC Issuing entity Ally Auto Receivables Trust Servicer Ally Financial Inc. (BB+/Stable/B) Subservicer Ally Servicing LLC Indenture trustee Deutsche Bank Trust Co. Americas Owner trustee BNY Mellon Trust of Delaware Lead underwriter Merrill Lynch, Pierce, Fenner & Smith Inc. AART--Ally Auto Receivables Trust. Credit Enhancement Summary --AART AART Initial (i) Target (i) Floor (i) Initial (i) Target (i) Floor (i) Class A credit enhancement ('AAA (sf)') Subordination (%) Overcollateralization (%) Reserve account (%) Total (%) JULY 10,

4 Credit Enhancement Summary (cont.) Class B credit enhancement ('AA+ (sf)') Subordination (%) Overcollateralization (%) Reserve account (%) Total (%) Class C credit enhancement ('AA (sf)') Subordination (%) Overcollateralization (%) Reserve account (%) Total (%) Class D credit enhancement (ii) Subordination (%) Overcollateralization (%) Reserve account (%) Total (%) YSOA discount rate (%) Estimated annual excess spread (including YSOA) (%) (iii) Initial aggregate gross principal balance ($) 1,035,896,145 1,025,037,244 Yield Supplement Overcollateralization Amount (YSOA) ($) Initial aggregate discounted principal balance ($) 13,201,706 10,371,447 1,022,694,439 1,014,665,797 Initial overcollateralization ($) 4,604,439 1,555,797 Total securities issued ($) 1,018,090,000 1,013,110,000 (i) The percentage of the initial aggregate discounted principal balance. (ii) The preliminary rating on series , class D notes is 'A+ (sf)'. The rating on series , class D notes is 'A (sf)'. (iii) Assumes a 1.00% annual servicing fee. AART--Ally Auto Receivables Trust. YSOA--Yield supplement overcollateralization amount. Rationale The preliminary ratings assigned to Ally Auto Receivables Trust 's (AART ) asset-backed notes reflect: The availability of approximately 7.2%, 5.8%, 4.4%, and 3.5% credit support for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios. This credit support level provides more than 5.00x, 4.50x, 4.00x, and 3.33x our 0.70%-0.80% expected net loss range to the class A, B, C, and D notes, respectively (see the Cash Flow Modeling section for details). Our expectation of timely interest and principal payments under stressed cash flow modeling scenarios that are appropriate for the preliminary ratings. Our expectation that under a moderate ('BBB') stress scenario, all else being equal, the ratings on the class A and B notes would not be lowered from the assigned preliminary ratings and the C and D notes would remain within one rating category of the assigned preliminary ratings. This is within the one-category rating tolerance for the preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA (sf)' rated securities and within the two-category rating tolerance for the preliminary 'A+ (sf)' rated securities, as outlined in our credit stability criteria (see "Methodology: Credit Stability JULY 10,

5 Criteria," published May 3, 2010). Credit enhancement in the form of subordination, overcollateralization, a yield supplement overcollateralization amount (YSOA), a reserve account, and excess spread (see the Credit Enhancement Summary table above for details). The collateral pool's characteristics. The transaction's payment and legal structures. Transaction Overview AART is Ally Bank's 25th prime retail auto transaction issued under its AART term securitization program and the first in Ally Bank issued its first prime retail auto securitization, AART 2009-A, in September Similar to Ally Bank's previous transactions, AART 's collateral pool will consist of prime fixed-rate retail vehicle installment sales contracts originated by Ally Bank that are secured by new and used vehicles. Consistent with previous AART transactions, the minimum obligor FICO score is 660. The AART transaction is structured as a true sale of the receivables from Ally Bank (the sponsor and acquirer) to Ally Auto Assets LLC (the depositor and a bankruptcy-remote special-purpose entity). Ally Auto Assets, in turn, will sell the receivables as a true sale to AART , the issuing entity. AART will issue four classes of notes totaling $1.018 million (see Chart 1 for the transaction structure). JULY 10,

6 Interest payments will be made on the 15th of each month (or the next business day if the 15th is not a business day) beginning Aug. 17, In rating this transaction, Standard & Poor's Ratings Services will review the legal matters that it believes are relevant to its analysis, as outlined in its criteria. Changes From The AART Transaction The structural and credit enhancement changes from the AART transaction include: Total initial and target hard enhancement as a percentage of the initial aggregate discounted principal balance is unchanged for the class A, B, and C notes, but the components of subordination and overcollateralization have changed. Subordination has decreased 30 basis points (bps), but the initial and target overcollateralization have increased by 30 basis points. The initial overcollateralization has increased to 0.45% from 0.15% and the target overcollateralization has increased to 1.30% from 1.00%. Total initial hard credit enhancement as a percentage of the initial aggregate discounted principal balance has JULY 10,

7 increased for the class D notes to 1.55% from 1.25% as a result of the higher overcollateralization. The initial YSOA percentage increased to 1.29% of the initial aggregate discounted principal balance from 1.02%. In addition, the discount rate has increased to 3.00% for the series from 2.25% for the series pool. The discount rate is used to discount loans that have an APR below the discount rate, thereby creating the yield supplement overcollateralization amount. The collateral composition changes from the AART transaction are: The weighted average seasoning increased to 13.2 months from nine months. The weighted average loan-to-value ratio (LTV) decreased to 95.1% from 97.4%. The percentage of loans with an original term of months decreased slightly to 66.4% from 68.7%. The percentage of loans with a remaining term of months decreased to 35.5% from 47.8%. The percentage of subvened loans (those that Ally Bank originated or acquired under special incentive-rate financing programs) decreased to 20.5% from 23.7%. In our view, the collateral characteristics of the series pool are stronger than the pool and as such, we have decreased our expected cumulative net loss range to 0.70%-0.80% for the pool from 0.80% to 0.90% for As our Securitization Performance section indicates, the collateral pools of all of the outstanding transactions with 20 or more months of performance are trending to lose between 0.25% and 0.55%, and the more recent pools appear to be performing in line with or better than our original expected cumulative net loss of between 0.70% to 0.90% (see Standard & Poor's Expected Loss for more information). Transaction Structure The AART transaction incorporates the following structural features: A sequential-pay mechanism that will result in increased credit enhancement for the senior notes as the pool amortizes. A YSOA that will initially equal the difference between the collateral balance and the initial aggregate discounted principal balance. The series pool's initial aggregate discounted principal balance will equal the pool's present value discounted at the greater of 3.00% per year and the receivable's actual annual percentage rate (APR). The YSOA will decrease as the trust receives principal collections and prepayments on the discounted pool. A nonamortizing reserve account that will equal 0.25% of the initial adjusted collateral balance. Nonamortizing overcollateralization that will build to a target level by using any excess spread available after covering net losses to pay principal on the outstanding notes. The target overcollateralization amount that will equal 1.30% of the initial adjusted receivables balance. The overcollateralization amount will begin at 0.45% of the initial adjusted collateral balance and build to the 1.30% target level by using any excess spread available after covering net losses to pay principal on the notes. The required overcollateralization amount will be 1.30% of the initial adjusted receivables balance until the rated notes are paid in full. As a result, overcollateralization will grow as a percentage of the outstanding receivables as the pool amortizes. The YSOA is sized so that the yield on the contracts with APRs lower than the YSOA discount rate will increase to equal the YSOA discount rate. On the closing date, the YSOA will be approximately $13.20 million (1.29% of the initial aggregate discounted principal balance). JULY 10,

8 Payment Structure The payment priority that Ally Financial Inc., the servicer, presented to Standard & Poor's provides that the indenture trustee will use the auto loan collections to make distributions, except after the notes' acceleration following an event of default, in a specified order of priority (see Table 1). In addition, the funds in the reserve account will be available to cover the servicing fee and the payments that occur before deposits into the reserve account. Table 1 Payment Waterfall Priority Payment 1 The 1.00% annual servicing fee 2 Class A note interest 3 The first-priority principal payment (if the class A notes' aggregate note principal balance is greater than the aggregate discounted principal balance) 4 Class B note interest 5 The second-priority principal payment (if the class A and B notes' aggregate note principal balance is greater than the aggregate discounted principal balance after making any first-priority principal payments) 6 Class C note interest 7 The third-priority principal payment (if the class A, B, and C notes' aggregate principal balance is greater than the aggregate discounted principal balance after making any first- and second-priority principal payments) 8 Class D note interest 9 The fourth-priority principal payment (if the class A, B, C, and D notes' aggregate principal balance is greater than the aggregate discounted principal balance after making any first-, second-, and third-priority principal payments) 10 Deposit funds into the reserve account until the balance equals the specified reserve account balance 11 Principal on the notes (i) in an amount equal to the lesser of the following: the notes' aggregate principal balance minus the principal amounts allocated to the notes in Items 3, 5, 7, and 9 above and the excess of the notes' aggregate principal balance; minus an amount equal to the aggregate receivables discounted principal balance; minus the overcollateralization target amount; minus the principal amounts allocated to the notes in Items 3, 5, 7, and 9 above 12 To the indenture trustee, an amount to repay any costs the indenture trustee incurred regarding the servicer's resignation and a successor servicer's appointment 13 To the indenture trustee, owner trustee, and the administrator, amounts owed under the indenture, trust agreement, and administration agreement that have not been previously paid 14 Any remaining amounts to the certificateholders (i) On each distribution date, the trust will apply the amounts available to make principal payments on the notes sequentially to the class A, then B, then C, and then D notes until each class is paid in full. If the AART pool's aggregate note balance exceeds the aggregate discounted pool balance, the trust will use the principal collections and the excess spread to pay down the notes until the aggregate note balance equals the aggregate discounted pool balance (Items 3, 5, 7, and 9 in the payment waterfall). The amounts paid in Item 11 in the payment waterfall are designed to use all principal collections and available excess spread to reduce the outstanding principal balance to its targeted level. Managed Portfolio As of March 31, 2015, Ally Bank had million retail contracts outstanding, an increase of approximately 6.9% from March 31, 2014 (see Table 2). As of the three months ended March 31, 2015, the portfolio's net losses as a JULY 10,

9 percentage of the average net receivables were 0.32%, consistent with the 0.31% net losses for the year before. The portfolio's 30-plus-day delinquencies as a percentage of the month-end receivables balance was 0.70% as of March 31, 2015, compared with 0.62% as of March 31, According to Ally Bank, increases in delinquencies and losses beginning in 2011 and continuing through 2015 are consistent with its expectations and reflect a growing asset base and more balanced and profitable asset composition. Both Ally Financial and Ally Servicing LLC, an Ally Financial wholly owned subsidiary formerly known as Semperian LLC, service the portfolio. Table 2 Ally Bank U.S. Auto Managed Portfolio --Three months ended March Year ended Dec Total retail contracts outstanding at end of the period (excluding bankruptcies)(000s) ,790 1,675 1,784 1,654 1,524 1, Delinquencies (%) (i) days days plus days Total delinquencies Repossessions as a % of the avg. no. of contracts outstanding (including bankruptcies) Net losses as a % of the avg. net receivables (i) The month-end delinquencies in dollars as a percentage of the month-end receivables balance. Collateral Pool Analysis We analyzed the AART collateral pool with those of Ally Bank's previous securitization pools (see Tables 3 and 4 for AART retail auto securitizations since 2012). The AART securitized pools have a FICO range of approximately , an LTV range of approximately 93%-98%, and a new vehicle composition range of approximately 67%-86%. Although the AART pools' weighted average FICO has been generally decreasing and the weighted average LTV has been generally increasing since the transaction, the changes have been slight. Further, because the outstanding pools are still projected to perform in-line with or better than original loss estimates, and the collateral pool is, in our view, comparable to the pool, in which our initial loss expectations were 0.70%-0.80%, we are comfortable with the 0.70%-0.80% expected cumulative net loss range for this pool. Table 3 Collateral Comparison (i) --AART A (ii) Pool size (Mil. $) 1, , , , , , ,292.0 No. of receivables 52,991 45,620 70,196 95,976 51,875 49,460 58,552 Avg. principal balance ($) 19,549 22,469 21,809 21,348 21,687 22,382 22,066 JULY 10,

10 Table 3 Collateral Comparison (i) (cont.) Weighted avg. APR excluding the YSOA (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Seasoning (mos.) Total % of loans with an original term of 60-plus mos. Total % of loans with an original term of mos New vehicles (%) Used vehicles (%) Subvened loans (%) (iii) Nonsubvened loans (%) Weighted avg. original FICO score Weighted avg. LTV GM-related vehicles (%) Chrysler-related vehicles (%) Top five state concentrations (%) TX=13.97 TX=14.22 TX=13.50 TX=13.92 TX=13.28 TX=13.38 TX=12.18 CA=7.24 CA=7.25 FL=7.57 FL=7.16 FL=7.06 FL=7.05 FL=7.10 FL=7.20 FL=7.15 CA=6.39 CA=6.34 CA=6.38 PA=5.92 PA=5.71 PA=5.13 PA=4.94 PA=6.06 PA=4.98 PA=4.87 MI=5.40 MI=5.12 IL=4.61 IL=4.82 IL=4.52 IL=4.56 MI=4.61 CA=4.83 CA=5.11 Original ECNL range (%) N/A Revised ECNL range (%) N/A N/A N/A N/A N/A N/A N/A (i) All percentages are of the initial gross receivables balance. (ii) Not rated by Standard & Poor's. (iii) The subvened loans are loans that Ally Bank originated or acquired under special incentive rate financing programs. AART--Ally Auto Receivables Trust. APR--Annual percentage rate. YSOA--Yield supplement overcollateralization amount. LTV--Loan-to-value. ECNL Expected cumulative net loss. Table 4 Collateral Comparison (i) --AART A (ii) Pool size (Mil. $) 1, , , , , ,690.0 No. of receivables 56,379 57,516 84,067 60,629 88,431 80,956 Avg. principal balance ($) 24,568 24,432 23,791 22,226 21,429 20,876 Weighted avg. APR excluding the YSOA (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Seasoning (mos.) Total % of loans with an original term of 60-plus mos JULY 10,

11 Table 4 Collateral Comparison (i) (cont.) Total % of loans with an original term of mos New vehicles (%) Used vehicles (%) Subvened loans (%)(iii) Nonsubvened loans (%) Weighted avg. original FICO score Weighted avg. LTV GM-related vehicles (%) Chrysler-related vehicles (%) Top five state concentrations (%) TX=13.86 TX=14.39 TX=12.52 TX=12.95 TX=12.17 TX=11.33 FL=6.65 FL=6.47 CA=6.69 FL=6.76 CA=6.60 CA=6.86 PA=5.69 PA=5.25 MI=5.74 CA=5.56 FL=5.87 MI=6.53 MI=5.14 MI=5.08 FL=5.72 MI=5.08 MI=5.77 FL=5.92 CA=4.31 CA=4.27 PA=4.69 PA=4.79 PA=5.36 PA=5.20 Original ECNL range (%) N/A Revised ECNL range (%) N/A N/A (i) All percentages are of the initial gross receivables balance. (ii) Not rated by Standard & Poor's. (iii) The subvened loans are loans that Ally Bank originated or acquired under special incentive rate financing programs. AART--Ally Auto Receivables Trust. APR--Annual percentage rate. YSOA--Yield supplement overcollateralization amount. LTV--Loan-to-value. ECNL Expected cumulative net loss. Securitization Performance Ally Bank has been issuing auto loan asset-backed securities since 2009, and its securitizations have performed well. The transactions that have paid off (series 2009-A through ) experienced CNLs of 0.25%-0.50% (see Chart 2 for CNL performance of Ally Bank's AART retail auto paid off securitizations). The outstanding transactions that have performance data for at least 20 months (series through ) should experience CNLs in the 0.25%-0.55% range, in our opinion. In addition, series 2014-A, , , and , which have less performance data, are performing within our expectations (see Chart 3 for CNL performance on the outstanding AART retail auto securitizations). JULY 10,

12 Chart 2 JULY 10,

13 Chart 3 Early performance on the series 2014-A transaction (14 months) shows that the pool is experiencing slightly higher losses than the others, though we believe that it will experience cumulative net losses within our original cumulative net loss range of 0.75%-0.90%. AART Performance: Surveillance Update Standard & Poor's currently maintains ratings on 10 AART trust transactions issued between 2012 and On Aug. 27, 2013, we raised our ratings on five classes from five AART trusts (series , , , 2012-A and 2012-A) and affirmed the remaining 54 ratings from 14 AART transactions (see "Ratings Raised, Affirmed On 14 Ally Auto Receivables Trusts And One Capital Auto Receivables Asset Trust," Aug. 27, 2013). As we indicated at the time, each transaction issued from 2011 through early 2012 performed better than our initial expectations, and we revised our losses on these transactions to 0.25%-0.55% (see Table 5 for the performance data for the outstanding Ally Bank auto loan transactions that we rate). Furthermore, the transaction structures allowed the credit support to grow as a percentage of the amortizing collateral balances. This increased credit enhancement--coupled with the better-than-expected performance--prompted our upgrades. We will continue to JULY 10,

14 monitor the outstanding transactions' performance to assess whether the credit enhancement remains commensurate with our ratings. Table 5 Performance Data For Outstanding Ally Bank Transactions As Of The June 2015 Distribution Date AART transaction Month Pool factor (%) CNL (%) 60-plus-day delinquency (%) Initial projected lifetime CNL % Revised projected lifetime CNL % as of Aug. 27, A N/A N/A 2014-A N/A N/A N/A N/A AART--Ally Auto Receivables Trust. CNL--Cumulative net loss. N/A--Not applicable. Standard & Poor's Expected Loss: 0.70%-0.80% To derive our base-case loss for the AART transaction, we analyzed static pool originations performance data since 2003 on loans that Ally Bank and General Motors Acceptance Corp. (GMAC) had acquired, which had collateral characteristics similar to the securitized pool. The data we received were segmented by new/used-vehicle mixes, credit grade, APR subvention, and original loan term. We developed expected net loss projections for each combination of these credit buckets. We relied on originations that had at least 12 months of performance data when determining our net loss projections. Our loss projection analysis focused on quarterly vintages that were originated primarily from We then weighted these projections based on the actual concentration of the various segments in the AART pool. We also examined the CNLs and cumulative gross loss performance of Ally Bank's paid-off pools and its outstanding securitized pools. We used the paid-off deals to create a loss-timing curve and used that curve to project pool losses on the outstanding AART securitizations. We also looked at the cumulative recovery rates and delinquencies by vintage and considered our current and forward-looking views of the economy and auto loan sector. In addition, we looked at other issuers' securitizations by vintage that were comparable to AART's. Based on the strong performance of Ally Bank's AART retail loan securitizations, the collateral and credit grade mix of the series pool, the origination static pool loss analysis, our consideration of comparable pools from other prime issuers, and our forward-looking view of the economy (including lower expected recovery rates), we expect the AART pool to experience CNLs of 0.70%-0.80% (see the Securitization Performance and AART Performance: Surveillance Update sections for more information). JULY 10,

15 Cash Flow Modeling Assumptions And Results We modeled the AART transaction to simulate 'AAA', 'AA+', 'AA', and 'A+' stress scenarios (see Table 6). In our modeling approach, we used a bifurcated-pool (two-pool) method in which the subvened loans prepay at much slower rates than the nonsubvened ones (for cash flow purposes, "nonsubvened loans" are loans with APRs greater than 4%), and the subvened loans' loss contribution to the pool's total aggregate losses is less than their proportional representation in the pool. We believe that the lower-apr loans will prepay at a slower speed than the higher-apr loans. Table 6 Cash Flow Assumptions And Results (Two-Pool Approach) Class A B C D Scenario (prelim rating) AAA (sf) AA+ (sf) AA (sf) A+ (sf) Cumulative net loss timing by months outstanding (actual) (12/24/36/48) (%) Subvened cumulative net loss 23/56/81/100 23/56/81/100 23/56/81/100 23/56/81/100 Nonsubvened cumulative net loss 37/68/93/100 37/68/93/100 36/67/92/100 36/67/92/100 Aggregate cumulative net loss 31/63/88/100 31/63/88/100 31/62/87/100 31/62/87/100 Loss allocations (%) Subvened receivables Nonsubvened receivables ABS voluntary prepayments (%) Subvened (i) Nonsubvened (i) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even CNL levels (%) (ii) Approximate break-even CGL levels (%) (iii) (i) The subvened/nonsubvened cut-off annual percentage rate is 4.0%. (ii) The maximum cumulative net losses on the pool that the transaction can withstand without triggering a payment default on the relevant class of notes. (iii) The maximum cumulative gross losses on the pool that the transaction can withstand without triggering a payment default on the relevant class of notes. ABS--Absolute prepayment speed. We stressed the weighted average APR on the AART pool by assuming 0.25% prepayments on the low-apr loans and applying a slower loss curve to them, which increases the likelihood that the trust will use the YSOA to enhance yield rather than credit enhancement. In a stressed scenario, liquidity risk could arise as a result of interest shortfalls that occur when the yield on the assets is lower than the bond yield (especially because the bonds pay principal sequentially) and lead to higher-coupon debt outstanding at the tail end of the transaction. Under these stress scenarios, a lower YSOA is available to cover credit losses because the trust uses part of the YSOA to provide liquidity. We also allocated losses disproportionately between the subvened and nonsubvened loans. Ally Bank's and GMAC's origination static pool data indicate that nonsubvened loans tend to incur higher losses than subvened loans. JULY 10,

16 In our internal cash flow runs, we used a 0.70%-0.80% expected net loss range and applied the stresses as outlined above. The break-even results show that each class in the AART transaction has sufficient credit enhancement to withstand a stressed net loss level that is consistent with the assigned preliminary rating. Sensitivity Analysis In addition to running break-even cash flows, we ran a two-pool sensitivity analysis to see how the rating on the notes could be affected by losses that are moderately higher than what we currently expect (see Table 7 and Chart 4). Table 7 Sensitivity Analysis Summary--Moderate Loss Scenario Cumulative net loss level (%) 1.60 Loss timing by months outstanding (12/24/36/48) (%) Subvened 23/55/80/100 Nonsubvened 36/67/91/100 Aggregate 31/62/87/100 Loss allocations (%) Subvened receivables 40 Nonsubvened receivables 60 Voluntary ABS (%) (i) Subvened 0.25 Nonsubvened 1.50 Servicing fee (%) 1.00 Recovery rate (%) 45 Recovery lag (mos.) 4 Haircut to excess spread (%) 10 Coverage of remaining losses Class A Class B Class C Class D Initially 5.4x and grows thereafter, reaches 7.2x by Month 12, and continues to grow thereafter Initially 4.1x and grows thereafter, reaches 5.3x by Month 12, and continues to grow thereafter Initially 3.0x and grows thereafter, reaches 3.7x by Month 12, and continues to grow thereafter Initially 2.2x, reaching 2.6x by Month 12, and continues to grow thereafter (i) The subvened/nonsubvened cutoff annual percentage rate is 4.0%. ABS--Absolute prepayment speed. JULY 10,

17 Chart 4 Moderate loss scenario: 1.60% (2.0x cumulative net loss results) Under the 1.60% moderate stress loss scenario (approximately 2.0x our expected loss level), we assumed loss curves on the subvened and nonsubvened loans that are similar to what we used in our 'AAA' stress scenario, and we allocated losses disproportionately between them. To stress excess spread, we assumed a 1.50% voluntary prepayment speed for loans with APRs higher than 4.00% and a 0.25% voluntary prepayment speed for loans with APRs less than 4.00%. We also applied a 10.00% haircut to the remaining excess spread at any given month. Under this scenario, the transaction reaches the overcollateralization target and floor by Month 7. Interest is paid on a timely basis, and the class A, B, C, and D notes are repaid in full by Months 49, 52, 55, and 59, respectively. While the notes are outstanding, excess cash flow is released in Months 7 through 29 and again in Month 58, totaling approximately $8.6 million (0.83% of the initial collateral balance). In our view, under this 2.0x moderate stress scenario, all else being equal, the class A and B notes would not be lowered from the assigned preliminary rating, and the C and D notes would remain within one rating category of the assigned preliminary rating. This is within the one-category rating tolerance for the preliminary 'AAA (sf)', 'AA+ (sf)', and 'AA (sf)' rated securities and within the two-category rating tolerance for the preliminary 'A+ (sf)' rated securities, as outlined in our credit stability criteria JULY 10,

18 (for more information, see "Methodology: Credit Stability Criteria," May 3, 2010). Money Market Tranche Sizing The proposed money market tranche (class A-1) has a 12-month legal final maturity date (Aug. 15, 2016). To test whether the money market tranche can be repaid by then, we ran cash flows using assumptions that delay the principal collections during the 12-month time period. We assumed zero defaults, a 0.5% absolute prepayment speed (ABS) for the nonsubvened loans, and a 0.0% ABS for the subvened loans in our cash flow run. Based on our cash flow runs, approximately 12 months of principal collections would be sufficient to pay off the money market tranche. Legal Final Maturity We also tested the legal final maturity dates set by Ally Bank for the intermediate, long-dated tranches (classes A-2, A-3, A-4, B, and C). In a zero-loss, zero-prepayment scenario, the class A-2, A-3, A-4, B, and C notes were fully amortized at least three months before their legal final maturity date. For the longest-dated security, class D, at least six months was added to the tenor of the pool's longest receivable to accommodate extensions on the receivables. In our break-even cash flow scenarios, we confirmed that there was sufficient credit enhancement to both cover losses and repay the related notes in full by its legal final maturity date. Ally Bank Ally Bank was incorporated in 2004 and is a wholly owned, indirect subsidiary of Ally Financial. Ally Financial, which is now an independently traded financial services company, is the former GMAC, which was GM's original captive finance company. Ally Bank was incorporated under the GMAC Automotive Bank name, which was later changed to GMAC Bank in In December 2008, GMAC Bank converted into a Utah-chartered commercial nonmember bank and changed its name to Ally Bank in April It is subject to regulation by the Federal Deposit Insurance Corp. and the Utah Department of Financial Institutions. Ally Bank offers consumer retail contracts and consumer leases to and through dealerships and their customers. Ally Bank also provides dealer equipment facilities financing, residential mortgage financing, and wholesale and retail financing. Ally Bank has been actively originating assets since Its underwriting and acquisition strategy includes using internal credit scoring models to assess potential borrowers' creditworthiness and ability to pay. These scoring models consider each customer's credit profile and previous experience with Ally Bank and its affiliates, the terms of the proposed installment sales contract, the vehicle's asset value, and the potential borrower's amount of equity in the vehicle. Ally Bank evaluates and updates these scoring models periodically to account for changes in the perceived impact of specific inputs on applicants' creditworthiness. Both Ally Financial and Ally Servicing service the receivables that Ally Bank originates. JULY 10,

19 Ally Financial previously had preferred lender agreements with Chrysler and GM (beginning in 2009), but these expired in April 2013 and February 2014, respectively. Ally Financial continues to support auto financing with the two Detroit automakers--but without an exclusive agreement to finance their respective vehicle sales incentive programs. Related Criteria And Research Related Criteria Methodology And Assumptions For Ratings Above The Sovereign--Single-Jurisdiction Structured Finance, May 29, 2015 Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015 Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 General Methodology And Assumptions For Rating U.S. Auto Loan Securitizations, Jan. 11, 2011 Understanding Standard & Poor's Rating Definitions, June 3, 2009 Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Related Research Ally Financial Ratings Raised To BB+ Following Implementation Of New Criteria; Outlook Is Stable, Dec. 18, 2014 Global Structured Finance Scenario And Sensitivity Analysis: Understanding The Effects Of Macroeconomic Factors On Credit Quality, July 2, 2014 Ratings Raised, Affirmed On 14 Ally Auto Receivables Trusts and One Capital Auto Receivables Asset Trust, Aug. 27, 2013 In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Counterparty Risk Framework Methodology And Assumptions," June 25, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, The primary analyst would like to thank Jennie Lam and Linda Yeh for their analytical contributions to this presale report. JULY 10,

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