Mercedes-Benz Auto Lease Trust 2018-A

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1 Presale: Mercedes-Benz Auto Lease Trust 2018-A This presale report is based on information as of Jan. 16, 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 Class Preliminary rating(i) Type Interest rate(ii) Preliminary amount (mil. $) Upsized preliminary amount (mil $) Expected legal final maturity date A-1 A-1+ (sf) Senior Fixed Feb. 15, 2019 A-2 AAA (sf) Senior Fixed April 15, 2020 A-3 AAA (sf) Senior Fixed Feb. 16, 2021 A-4 AAA (sf) Senior Fixed Oct. 16, 2023 (i)the rating on each class of securities is preliminary and subject to change at any time. (ii)the actual coupons of these tranches will be determined on the pricing date. Profile Expected closing date Jan. 24, Collateral Sponsor, servicer, and administrator Titling trust Titling trustee Initial beneficiary Collateral agent Depositor Indenture trustee Prime auto lease receivables. Mercedes-Benz Financial Services USA LLC, a wholly owned indirect subsidiary of Daimler AG (A/Stable/A-1). Daimler Trust. BNY Mellon Trust of Delaware. Daimler Trust Holdings LLC. Daimler Title Co. Daimler Trust Leasing LLC. U.S. Bank N.A. (AA-/Stable/A-1+). Primary Credit Analyst: Jennie P Lam, New York (1) ; jennie.lam@spglobal.com Secondary Contact: Ethan Choi, New York (1) ; ethan.choi@spglobal.com See complete contact list on last page(s) JANUARY 16,

2 Profile (cont.) Owner trustee Administrative agent Lead arranger Wilmington Trust N.A. U.S. Bank Trust N.A. MUFG Securities Americas Inc. Credit Enhancement Summary(i) Overcollateralization (%) 2018-A Upsized 2018-A 2017-A Initial Target (as long as the class A-2 notes are outstanding) Target (after the class A-2 notes are paid in full) Reserve account (%) Initial Target Total initial hard credit enhancement (%) Total target hard credit enhancement (as long as the class A-2 notes are outstanding) (%) Total target hard credit enhancement (after the class A-2 notes are paid in full) Estimated excess spread per year (%)(ii) Discount rate (%) Initial aggregate securitization value ($) 1,500,004,415 2,350,007,792 2,349,727,719 Total securities issued ($) 1,286,253,000 2,015,131,000 1,967,896,000 (i)all percentages are based on the initial aggregate securitization value. (ii)estimated annual excess spread shown for series 2017-A is after deal pricing. --Mercedes-Benz Auto Lease Trust. Rationale The preliminary ratings assigned to Mercedes-Benz Auto Lease Trust 2018-A's ( 2018-A's) $1.286 billion ($2.015 billion if upsized) asset-backed notes reflect: The availability of approximately 22.0% credit enhancement, based on our stressed cash flow scenarios, in the form of 14.25% initial overcollateralization, which is expected to build to a target of 15.50%; a 0.25% nonamortizing reserve account; and excess spread (all percentages are expressed as a percentage of the pool's initial securitization value). The credit quality of the underlying collateral, which consists of prime auto lease receivables that have a weighted average FICO of 785 for the pool. Our expectation that under a moderate 'BBB' stress scenario, all else being equal, our ratings on the class A notes would not be lowered more than one rating category from the preliminary ratings for the transaction's life. This is in line with our ratings stability criteria, which state that 'AAA' ratings will remain within one rating category for the first year (see "Methodology: Credit Stability Criteria," published May 3, 2010). The diversified mix of vehicle models in the pool. The expected timing of the residuals' maturities. The historical retention values of the vehicles in the pool. JANUARY 16,

3 Automotive Lease Guide's (ALG's) forecast of each vehicle's residual value at lease inception and of current residuals for the pool. The timely interest and full principal payments by the notes' legal final maturity dates made under cash flow scenarios that we stressed for credit and residual losses that are consistent with the preliminary ratings assigned to the notes. The transaction's payment and legal structures. Our expected credit loss for 2018-A is 0.40%-0.50% of the securitization value, which reflects the credit loss performance of securitizations, peer collateral comparisons, our static pool loss projections for Mercedes-Benz Financial Services USA LLC's (MBFS USA's) lease originations, and our macroeconomic outlook. Our 'AAA' stress scenario for credit loss is 2.0%-2.5% of the securitization value for the securitization. Our 'AAA' residual stress for the 2018-A pool is approximately 26.1% of the pool's aggregate undiscounted base residual value, or 17.4% of the initial securitization value (17.3% if upsized). In deriving our residual stress, we compared the 2018-A base residual values by model series with their historical residual retention values, which the issuer provided. We also considered the pool's residual maturity profile, the vehicle model concentration, the vehicle segment concentration, the consistency of the ALG's residual forecasts related to the Mercedes-Benz vehicles' historical retention values, the ALG's current forecast for the residual values of the vehicles included in the 2018-A pool, comparison of our overall residual value stress to peers, and our economic and industry outlooks (see S&P Global Ratings' Expected Loss section for more information). Overall, our stressed 'AAA' credit and residual loss level is approximately 19.9% of the securitization value (19.8% if upsized). The credit enhancement outlined above (and in the Cash Flow Modeling section) provides more than adequate support for our assigned preliminary ratings. Transaction Overview 2018-A is MBFS USA's 10th publicly placed auto lease term securitization and its 12th overall U.S. auto lease term transaction. Similar to USA's previous auto lease securitizations, the transaction includes a nonamortizing reserve account and an initial overcollateralization that builds to a target level and is expected to remain at this level for the transaction's life. The receivables backing the 2018-A pool will consist of the monthly lease payments and base residual values (as defined in the Residual Value section) of a pool of lease contracts originated by Mercedes-Benz dealers. The leased vehicles will consist of new Mercedes-Benz-brand passenger cars and SUVs. The issuing trust will issue four class A notes. Note principal will be paid sequentially. JANUARY 16,

4 Changes From 2017-A The structural and credit enhancement changes from 2017-A include: Initial overcollateralization as a percentage of the initial aggregate securitization value decreased to 14.25% from 16.25%. The target overcollateralization level decreased to 15.50% from 17.50%. Series 2017-A included an overcollateralization target step-down feature, but series 2018-A does not. The estimated annual excess spread decreased to 4.40% from 5.25% (after deal pricing for series 2017-A.) The collateral pool changes from 2017-A include: The percentage of passenger cars decreased to 58% from 62% while the percentage of SUVs increased to 42% from 38%. The percentage of leases with an original term greater than 36 months but up to and including 60 months increased to 19.5% from 14.7%. Overall, the series 2018-A collateral pool, in our view, is similar to that of series 2017-A. Legal Structure MBFS USA makes loans under a revolving facility with Daimler Trust (the titling trust), the borrower. Under the revolving facility, Daimler Trust uses the loan proceeds from MBFS USA to purchase leases and leased vehicles from Mercedes-Benz dealers. The leased vehicles are titled in the titling trust's name. On the series 2018-A transaction's closing date, Daimler Trust will issue to MBFS USA an exchange note (the 2018-A exchange note) that is secured by the series 2018-A reference pool of leases and the related leased vehicles. MBFS USA will sell the 2018-A exchange note to Daimler Trust Leasing LLC, the depositor, in a true sale. The depositor will then transfer and assign the 2018-A exchange note to 2018-A, a newly formed Delaware statutory trust and the issuing entity, in exchange for the asset-backed notes, which will represent the issuing entity's obligations (see chart 1). The issuing entity will pledge and assign the 2018-A exchange note to the indenture trustee, which will hold a first priority, perfected security interest in the 2018-A exchange note for the series 2018-A noteholders' benefit. MBFS USA is the servicer for the leases and the related leased vehicles held by the titling trust and will continue to service them under the 2018-A transaction. JANUARY 16,

5 In rating this transaction, S&P Global Ratings will review the legal matters that it believes are relevant to its analysis, as outlined in its criteria. Pension Benefit Guaranty Corp. (PBGC) risk MBFS USA uses a collateral agent, Daimler Title Co., to hold a security interest in all newly originated leases and leased vehicles for MBFS USA's and each 2018-A exchange noteholder's benefit. The security interest in the leases is perfected by filings under the Uniform Commercial Code, and the security interest in the leased vehicles is perfected by lien notation on the vehicle's certificate of title under state motor vehicle registration laws. PBGC could impose a lien on the titling trust's assets if the minimum contribution payments to a defined benefit pension plan required by law are unpaid or if an underfunded defined benefit pension plan is terminated. However, because the collateral agent in connection with the exchange note has a prior perfected security interest in the leases and leased vehicles, a PBGC lien will not have priority over the collateral agent's security interest in the assets securing the exchange note. In addition, the risk of a PBGC lien on the leases and the residuals assigned to the 2018-A exchange note, which is pledged to the series 2018-A asset-backed notes, is mitigated by the pension plan's small size relative to the titling JANUARY 16,

6 trust's assets and the company's history of keeping the plan funded at the appropriate levels. Payment Structure On each payment date before the notes have been accelerated following an event of default, the indenture trustee will make distributions from available funds according to the payment priority shown in table 1. Principal on the notes will be paid sequentially. Table 1 Payment Waterfall (Before Acceleration Following An Event Of Default) Priority Payment 1 To the servicer, the servicing fee (1.00%), including any overdue fees and any nonrecoverable servicer advances. 2 To the indenture trustee, owner trustee, collateral agent, administrative agent, and asset representations reviewer, pro rata, fees and any expenses or indemnified amounts due and not paid, capped at $250,000 per year. 3 To the noteholders, interest on the notes, pro rata. 4 To the noteholders, the priority principal distribution amount equal to the excess, if any, of the notes' outstanding amount over the securitization value. 5 To the reserve account, the amount necessary to cause the funds on deposit in the reserve account to equal the required reserve amount. 6 To the noteholders, the regular principal distribution amount sequentially(i). 7 Any successor servicer fees and transition expenses. 8 To the indenture trustee, owner trustee, collateral agent, administrative agent, and asset representations reviewer, any amounts due and not paid in item 2 in this payment waterfall. 9 To the certificateholders, any remaining amounts. (i)the regular principal distribution amount is designed to build the initial overcollateralization of 14.25% to the target of 15.50% of the initial securitization value. All of the required payments on the notes will be due and payable on each payment date (the 15th of each month), beginning Feb. 15, On each payment date after the notes have been accelerated following an event of default, the indenture trustee will distribute the available funds according to the payment priority shown in table 2. Table 2 Payment Waterfall (After Acceleration Following An Event Of Default) Priority Payment 1 To the servicer, the servicing fee (1.00%), including any overdue fees and any nonrecoverable servicer advances. 2 To the indenture trustee, owner trustee, collateral agent, administrative agent, and asset representations reviewer, any expenses or indemnified amounts due and not paid, pro rata. 3 To the noteholders, interest on the notes, pro rata. 4 To the class A-1 noteholders, principal until the class A-1 notes are paid in full. 5 To the class A-2, A-3, and A-4 noteholders, principal, pro rata, until all classes of notes are paid in full. 6 Any successor servicer fees and transition expenses. 7 To the certificateholders, any remaining amounts A's events of default include nonpayment of note interest, nonpayment of note principal on the respective legal final maturity date, a material default in observing or performing a covenant, a material and adverse breach of the representations or warranties, and the issuing entity's bankruptcy or insolvency. JANUARY 16,

7 Managed Portfolio For the nine months ended Sept. 30, 2017, MBFS USA's total U.S. portfolio of retail lease contracts consisted of 470,718 contracts totaling approximately $22.3 billion (see table 3). Since 2012, MBFS USA's lease portfolio has experienced steady growth. Performance metrics have been relatively stable. Total delinquencies as of Sept. 30, 2017, were 0.57%, nearly stable with 0.55% as of Sept. 30, Repossessions increased slightly to 0.37% from 0.34% for the same period. MBFS USA's net losses as a percentage of the average balance of lease contracts outstanding decreased to 0.23% from 0.27%. Table 3 Total Managed Portfolio Nine months ended Sept. 30 For the year ended Dec Lease contracts outstanding (mil. $) 22, , , , , , , Avg. dollar amount of leases outstanding (mil. $) 21, , , , , , , No. of contracts outstanding 470, , , , , , , plus day delinquencies (%)(i) Repossessions (%)(ii) Net losses (%)(iii) Vehicles returned to MBFS USA(%)(iv) Total gain/(loss) on ALG residuals on vehicles returned to MBFS USA(%)(v) (1.79) (5.47) (5.46) (4.49) (2.67) (i)as a percent of the number of contracts outstanding. (ii)as a percent of the average number of lease contracts outstanding. (iii)as a percent of the average dollar amount of leases outstanding. (iv)as a percent of the number of vehicles terminated. (v)as a percent of the ALG's residual value of returned vehicles sold by MBFS USA. MBFS USA--Mercedes-Benz Financial Services USA LLC. ALG--Automotive Lease Guide. From 2012 to 2013, MBFS USA experienced gains on ALG residuals on returned vehicles, but beginning in 2014, MBFS USA experienced residual losses on its managed portfolio. For the nine months ended Sept. 30, 2017, MBFS USA experienced a 1.79% residual loss on ALG residuals on returned vehicles. Per MBFS USA, the residual value losses can be attributed to the model lifecycles. New models were launched for the C-class and S-class series in The vehicles returned in are mainly former models, which have lower residual values. Over 93% of the 2018-A pool consists of vehicles primarily from model years. Per MBFS, it has taken steps to improve the remarketing and reconditioning of returned vehicles to manage inventory levels and improve residual value retention. MBFS also continues to work with dealers to expand its certified preowned network, thereby reducing the number of vehicles sold at auction. Vehicles that are sold at auction usually generate lower sales proceeds than those sold through MBFS USA's dealership network. Securitization Performance MBFS USA's paid-off transactions, series 2011-A to 2015-A, either experienced low credit losses or JANUARY 16,

8 cumulative net credit gains because cumulative recoveries outweighed cumulative gross losses (see chart 2). Series 2015-B, 2016-A, and 2016-B, at 24, 19 and 12 months of performance data, incurred cumulative net credit losses of 0.09%, 0.11%, and 0.07%, respectively, and are currently expected to perform well below our original cumulative net loss expectations. Early performance data on series 2017-A is similar to that of the earlier pools. Chart 2 In terms of residual performance, the paid-off series 2011-A, 2011-B, 2012-A, and 2013-A experienced cumulative residual gains throughout the transactions' lives, while series 2013-B (not rated by S&P Global Ratings), 2014-A, and 2015-A experienced lifetime cumulative residual losses of 0.77%, 1.16%, and 0.38%, respectively. Series 2016-A, 2016-B, and 2017-A currently have residual gains of 0.17%, 0.63%, and 0.46%, respectively, to date (see chart 3). JANUARY 16,

9 Chart 3 Collateral Analysis The 2018-A pool consists of 35,633 prime auto lease receivables (55,813 if upsized). The pool has a weighted average FICO score of 785, which is the highest weighted average FICO score pool to date (see table 4). The top five vehicle series (C-class, E-class, ML/GLE-class, GL/GLS-class, and S-class) account for approximately 75% of the securitization value. Leases with original terms of 36 months or less make up approximately 81% of the pool. Passenger cars account for approximately 58% of the pool, the lowest level since 2011, while SUVs make up approximately 42%. Table 4 Original Pool Characteristics 2018-A 2018-A (upsized) 2017-A 2016-B 2016-A(i) 2015-B 2015-A No. of leases 35,633 55,813 56,402 29,821 37,427 35,751 57,690 Aggregate securitization value ($) 1,500,004,415 2,350,007,792 2,349,727,719 1,232,513,851 1,560,009,099 1,510,005,518 2,410,007,751 JANUARY 16,

10 Table 4 Original Pool Characteristics (cont.) Avg. securitization value ($) 2018-A 2018-A (upsized) 2017-A 2016-B 2016-A(i) 2015-B 2015-A 42,096 42,105 41,660 41,330 41,681 42,237 41,775 New vehicles (%) Top five by vehicle series (%) C-class E-class S-class ML/GLE-class GL/GLS-class Total Vehicle type as a % of the base residual value Car SUV Weighted avg. original term (mos.) Weighted average remaining term (mos.) Weighted avg. seasoning (mos.) Original lease term (%) Less than or equal to 36 mos months months Weighted avg. FICO score Top four state concentrations (%) CA=24.91 CA=24.79 CA=27.76 CA=28.01 CA=25.93 CA=26.67 CA=26.61 NY=14.40 NY=14.54 NY=15.52 NY=14.33 NY=16.47 NY=16.31 NY=16.59 FL=13.13 FL=13.43 FL=13.67 FL=13.64 FL=13.00 FL=12.71 FL=11.85 NJ=7.92 NJ=7.91 NJ=7.60 NJ=7.99 NJ=8.70 NJ=9.49 NJ=9.66 Base residual value ($) 1,051,044,603 1,645,719,419 1,737,055, ,542,444 1,158,924,347 1,109,844,215 1,762,832,980 Avg. base residual value ($) Base residual as a % of the aggregate securitization value 29,496 29,486 30,798 30,500 30,965 31,044 30, (i)not rated by S&P Global Ratings. --Mercedes-Benz Auto Lease Trust. JANUARY 16,

11 Residual Value The asset-backed securities notes that 2018-A is issuing to finance the series 2018-A pool will be secured by the 2018-A exchange note, which is backed by a pool of leases (and the related leased vehicles) whose securitization value equals $1,500,004,415 ($2,350,007,792 if upsized). The leases' securitization value is the sum of the present value of each lease's remaining monthly lease payment and the related leased vehicle's base residual value (both discounted at the higher of 7.90% or the contract annual percentage rate). Each leased vehicle's base residual value will equal the lowest of: The contract residual value set by MBFS USA; The residual value estimate established by ALG at the lease contract's inception; and The ALG's current residual value estimate as of November The contract residual value is the residual value that is assigned to the vehicle at the lease's inception (as stated in the lease contract), which, in turn, determines the monthly payments for the individual lease. The contract residual value is typically set higher than the ALG's residual value at lease inception to reduce the lease payments the lessee owes under the lease contract. The base residual value provides a more conservative estimate of the vehicle's future value, which helps mitigate the noteholders' exposure to the losses associated with the contract residual values that are set higher than the expected residual values (a process called lease subvention). The 2018-A pool's undiscounted base residual value is $1,051,044,603 or 70.07% of the pool's securitization value ($1,645,719,419 or 70.03% of the pool's securitization value if upsized). Collateral Residual Timing The leases in the 2018-A pool are scheduled to mature as shown in table 5. Table 5 Lease Maturity Profile By Year (%)(i) 2018-A 2018-A(upsized) (i)percentage of the aggregate undiscounted base residual value. --Mercedes-Benz Auto Lease Trust. The series 2018-A lease pool represents MBFS USA's most diversified lease pool to date with regard to lease maturities by base residual. There are no months where the expected base residual maturity level exceeds our 5.0% benchmark concentration limit. Initial lease maturities of the 2018-A pool begin in February 2018 (see charts 4 and 5). Thereafter, there will be leases maturing each month until September The highest monthly maturity is 4.92% (4.87% if upsized) and is expected to occur in May Approximately 16% of the leases by initial base residual value will mature within the first 12 months of closing, and 55% and 94% will mature within 24 and 36 months JANUARY 16,

12 of closing, respectively. If the used-car market becomes distressed in , the realized residual values could be lower than the base residuals. In our view, this risk is mitigated by the transaction's sequential payment structure and the nonamortizing credit enhancement. Chart 4 JANUARY 16,

13 Chart 5 S&P Global Ratings' Expected Loss The 2018-A transaction has two principal risk components: credit and residual risks. Credit risk The obligor's credit profile determines the credit risk. Credit losses only represent a small portion of the total risk, given that the base residual represents approximately 70% of the securitization value. To derive the base-case credit loss for the series 2018-A transaction, we used static pool credit loss data provided by MBFS USA to project losses on its portfolio of lease originations segmented by lease term, FICO band, and vehicle type. We then weighted the projections by the actual concentration of those various segments in the series 2018-A pool. We also looked at the loss performance of MBFS USA's outstanding lease securitizations, as well as paid-off securitizations. We considered the 2018-A pool's collateral credit quality, MBFS USA's overall managed portfolio performance, collateral and performance comparisons with peers, and the current economic conditions. Based on this information, we expect the 2018-A pool's cumulative net credit loss to be 0.40%-0.50% of the pool's securitization value. JANUARY 16,

14 Residual risk We examined and assessed residual risk on the 2018-A pool according to our auto lease criteria, "Revised General Methodology And Assumptions For Rating U.S. ABS Auto Lease Securitizations," published Nov. 29, In our analysis of the series 2018-A pool's base residual value, we considered the following factors: The stability of the historical used-vehicle values of MBFS USA's vehicles; The consistency of ALG's historical forecasts relating to the actual historical used-vehicle values; The basis behind ALG's current forecast; The basis for the differences between the actual values and the forecasts; The consistency of the manufacturers' suggested retail price; The top five Mercedes-Benz vehicle series, which make up approximately 75% of the series 2018-A pool's initial aggregate base residual; MBFS USA's near-term plans, if any, to discontinue or update the vehicle series in question; Brand perception; and Our macroeconomic outlook. Based on these factors, we did not adjust the base residual value. The haircuts that we applied to the base residual value are as follows. Base haircut According to our auto lease criteria, we first applied an initial 26.0% rating-specific haircut to the series 2018-A pool's base residual value; this is commensurate with a 'AAA' rating scenario. Excess concentration haircut In addition to the aforementioned base haircut, we applied a haircut to the amount of no-defaulted lease residuals exceeding the concentration limits applicable to the benchmark pool (excess concentrations) as outlined in our auto lease criteria. The 2018-A pool has a total excess concentration of 0.47% (0.51% if upsized), which comes from vehicle model concentration (C-class) exceeding our model benchmark. The pool is diversified by vehicle segment concentration; therefore, an additional haircut on this was not necessary. Speculative-grade manufacturer haircut When determining the stress that applies to the adjusted base residual value, we look at the auto manufacturer's creditworthiness. Our auto lease criteria apply haircuts to the base residual value of the vehicles produced by manufacturers with speculative-grade corporate credit ratings (i.e., 'BB+' or lower). Daimler AG is the manufacturer of the leased vehicles backing the 2018-A pool. The current long-term corporate credit rating on Daimler AG is 'A', and the short-term rating is 'A-1'. Based on the corporate credit rating on Daimler AG, it is not necessary to apply a speculative-grade manufacturer haircut to the series 2018-A transaction under our current auto lease criteria. Low diversification haircut For pools with low diversification, as described in our auto lease criteria, we will apply a low diversification haircut in addition to the aforementioned haircuts. Our auto lease criteria describe the six conditions for which, if met by the securitized lease pool, we will apply a low diversification haircut factor of 1.25% to increase the residual haircut. The JANUARY 16,

15 six conditions are summarized below: More than 20% of the residuals maturing in any one month; More than 50% of the residuals maturing in any three months; The pool contains three or fewer individual models; The pool contains more than 75% combined full-size and mid-size SUVs, full-size pickups, and full-size vans; The pool contains more than 75% combined compact and hybrid cars; and The pool contains more than 20% combined new and discontinued models. The 2018-A pool does not meet any of these six conditions; therefore, we did not apply the low diversification haircut. After analyzing the 2018-A lease pool, applying the relevant residual value haircuts, and assessing a stressed return rate of 100%, which represents the loss frequency on nondefaulted leased vehicles (95%), our stressed residual loss under a 'AAA' scenario is approximately 26.1% of the undiscounted base residual value or 17.4% (17.3% if upsized) of the securitization value. Cash Flow Modeling We tested the 2018-A transaction's proposed structure using cash flow scenarios to determine if the credit enhancement level was sufficient to pay timely interest and principal in full by the notes' legal final maturity dates under our 'AAA' stress scenarios. We modeled the transaction to simulate a stress scenario commensurate with the assigned preliminary ratings. We assumed a 100% turn-in rate on the nondefaulting leases (approximately 95%) and no prepayments. The results show that the preliminary rated notes are enhanced to the degree necessary to withstand a level of stressed credit and residual losses that is consistent with the assigned preliminary ratings. The preliminary 'AAA (sf)' rated notes can withstand a cumulative net credit loss of 2.0%-2.5% of the securitization value (or approximately 5x our expected loss range) and residual losses of 17.4% (17.3% if upsized) of the securitization value (see table 6). Table 6 Cash Flow Assumptions And Results 2018-A A Class 2018-A (upsized) Scenario (preliminary rating) AAA (sf) AAA (sf) Cumulative net loss percent (%) Cumulative net loss timing (mos.) 12/24/36 12/24/36 Cumulative net loss (%) 40/80/100 40/80/100 Voluntary prepayments (%) Recoveries (%) Recovery lag (mos.) 4 4 A JANUARY 16,

16 Table 6 Cash Flow Assumptions And Results (cont.) Residual haircut (%) Total residual haircut as a % of the MSRP Total residual haircut as a % of the securitization value Total residual haircut as a % of the undiscounted base residual value Vehicle return rate (%) Residual realization lag (mos.) 2 2 Result (%) S&P Global Ratings' stressed credit and residual loss as a % of the securitization value Approximate credit enhancement in the transaction based on S&P Global Ratings' credit stress and break-even residual stress as a % of the securitization value MSRP--Manufacturer's suggested retail price Sensitivity Analysis In addition to running stressed cash flows to analyze the amount of credit and residual losses the 2018-A transaction can withstand, we ran a sensitivity analysis to determine how a moderate stress scenario, or a 'BBB' rating stress, could affect the ratings on the notes. In our view, under the 'BBB' moderate stress scenario, all else being equal, we would expect our ratings on the class A notes to remain within one rating category of the assigned preliminary ratings for the transaction's life (see chart 6, chart 7). This is consistent with our credit stability criteria for 'AAA' ratings (see "Methodology: Credit Stability Criteria," published May 3, 2010). JANUARY 16,

17 Chart 6 JANUARY 16,

18 Chart 7 Money Market Tranche Sizing The proposed money market tranche (the class A-1 notes) has a 13-month legal final maturity date of Feb. 15, To test whether the money market tranche can be repaid by month 13, we ran cash flows using assumptions to delay the principal collections during the 13-month period. In our cash flow run, we assumed zero defaults and a 0.0% absolute prepayment speed on all leases. We also stressed the recognition of the monthly lease payments and base residual amounts by applying a lag of one and two months, respectively. Based on our stressed cash flow runs, approximately 12 months of collections would be sufficient to pay off the money market tranche. Legal Final Maturity To test the legal final maturity dates set for the longer-dated intermediate tranches (i.e., classes A-2 and A-3), we determined the date on which the respective notes were fully amortized in a zero-loss, zero-prepayment scenario and then added six months to the result. We also looked to see when these notes paid off in our 'AAA' stressed cash flow scenarios. In addition, we ran a break-even stress cash flow scenario assuming that the available credit enhancement is JANUARY 16,

19 used to cover losses and looked to see when the class A-2 and A-3 notes paid off under this scenario. For the longest-dated security, class A-4, MBFS USA added seven months to the tenor of the latest-maturing receivable in the pool to accommodate extensions and residual realization on the receivables. Per our auto lease criteria, we typically add six to nine months to the longest lease maturity. In each of our cash flow scenarios, we confirmed there is sufficient credit enhancement to both cover losses and repay the related notes in full by their legal final maturity date. Like-Kind Exchange Program MBFS USA operates a like-kind exchange (LKE) program for its lease portfolio. MBFS USA recognizes a taxable gain on the resale of most leased vehicles returned to the titling trust upon lease termination. The LKE program allows MBFS USA to defer recognition of a taxable gain by exchanging relinquished vehicles for replacement vehicles. The LKE program requires the proceeds from the vehicle sales to be assigned to, and deposited directly with, a qualified intermediary rather than being paid directly to MBFS USA, as the servicer. The qualified intermediary, acting on behalf of the titling trust, uses the proceeds from the vehicle sales to purchase replacement vehicles. The replacement vehicles are then transferred to the titling trust and become part of the titling trust property. The titling trust is then deemed to have exchanged relinquished vehicles for the replacement vehicles, and MBFS USA is not required to recognize any taxable gain. In the event that any proceeds from the vehicle sales are not deposited into the applicable exchange note collection account, the servicer must deposit into that account an amount equal to the nondeposited relinquished vehicle proceeds within two business days of receiving and identifying such proceeds. This deposit is treated as equivalent to the deposit into the applicable exchange note collection account of the actual net disposition proceeds. MBFS USA MBFS USA is a wholly owned, indirect subsidiary of Daimler AG (A/Stable/A-1), a German corporation that is a global producer of premium passenger cars and heavy- and medium-duty trucks. MBFS USA is a Delaware limited liability company formed on March 16, It's headquartered in Farmington Hills, Mich., and its operating division is located in Fort Worth, Texas. MBFS USA provides brand-specific financial services and products for Mercedes-Benz automotive dealers and their retail customers, as well as financial support to Sprinter and Smart dealers in the U.S. and their customers. Related Criteria General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017 Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 8, 2016 Criteria - Structured Finance - General: 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 Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, JANUARY 16,

20 General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 Criteria - Structured Finance - ABS: Revised General Methodology And Assumptions For Rating U.S. ABS Auto Lease Securitizations, Nov. 29, 2011 Criteria - Structured Finance - ABS: General Methodology And Assumptions For Rating U.S. Auto Loan Securitizations, Jan. 11, 2011 Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9 Criteria, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Criteria Related To Asset-Backed Securities, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Securitizations By Code Transferors, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Select Issues Criteria, Oct. 1, 2006 Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006 Criteria - Structured Finance - ABS: Assessing the Risk of Pension Plan Terminations on U.S. Auto Lease Securitizations, Aug. 17, 2004 Related Research Daimler AG, Sept. 15, 2017 Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 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; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, Analytical Team Primary Credit Analyst: Jennie P Lam, New York (1) ; jennie.lam@spglobal.com Secondary Contact: Ethan Choi, New York (1) ; ethan.choi@spglobal.com JANUARY 16,

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