Capital Auto Receivables Asset Trust

Transcription

1 Presale: Capital Auto Receivables Asset Trust This presale report is based on information as of Oct. 19, 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. $) 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 A+ (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. (ii)the interest rate for each class will be determined on the pricing date. Profile Expected closing date Oct. 27, Collateral Sponsor, acquirer, and servicer Depositor and certificateholder Nonprime auto loan receivables. Ally Financial Inc. (BB+/Stable/B). Capital Auto Assets LLC. Issuer Capital Auto Receivables Asset Trust Subservicers Indenture trustee Ally Servicing LLC (formerly known as Semperian LLC) and Ally Bank. Deutsche Bank Trust Co. Americas. Primary Credit Analyst: Rahel Avigdor, New York (1) ; rahel.avigdor@spglobal.com Secondary Contact: Linda Yeh, New York (1) ; linda.yeh@spglobal.com See complete contact list on last page(s) OCTOBER 19,

2 Profile (cont.) Owner trustee Underwriter BNY Mellon Trust of Delaware. Barclays Capital Inc. Credit Enhancement Summary Initial(i) Target(i) Floor (i) Initial(i) Target(i) Floor (i) Class A credit enhancement (%) Subordination Overcollateralization Reserve account Total Class B credit enhancement (%) Subordination Overcollateralization Reserve account Total Class C credit enhancement (%) Subordination Overcollateralization Reserve account Total Class D credit enhancement (%) Subordination Overcollateralization Reserve account Total Initial estimated excess spread per year (%)(ii) Initial aggregate receivables principal balance ($) 539,811, ,230, Initial overcollateralization ($) 13,501, ,230, Total securities issued ($) 526,310, ,000, (i)the percentage of the initial aggregate receivables principal balance. (ii)assumes a 1.25% annual servicing fee. Rationale The preliminary ratings assigned to Capital Auto Receivables Asset Trust 's ( 's) $ million asset-backed notes series reflect: The availability of approximately 20.2%, 17.7%, 13.8%, and 11.3% credit support, including excess spread (as a percentage of the initial aggregate receivables principal balance), for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of more than 4.75x, 4.38x, 3.30x, and 2.67x our 3.75%-3.95% cumulative net loss (CNL) range for the class A, B, C, and D notes, respectively OCTOBER 19,

3 (see the S&P Global Ratings' Expected Loss and Cash Flow Modeling Assumptions And Results sections for details). Our expectation that under a moderate ('BBB') stress scenario (2.0x our expected loss level), all else being equal, our ratings on the class A, B, and C notes will remain within one rating category of the assigned preliminary ratings and our rating on the class D notes will remain within two rating categories of the assigned preliminary ratings. These rating movements are within the limits specified by our credit stability criteria (see "Methodology: Credit Stability Criteria," published May 3, 2010). The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned preliminary ratings. The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread (see the Credit Enhancement Summary table above for details). The overcollateralization and reserve account amount should result in increased credit enhancement for the notes over time. The characteristics of the collateral pool being securitized, including the initial pool's seasoning of approximately 13 months and the eligibility criteria for the subsequent pools. The transaction's payment and legal structures. Significant Changes From Structural and credit enhancement changes The only structural and credit enhancement change between the series and transactions is the estimated annual excess spread, which increased to 7.03% from 6.72% due to higher annual percentage rates (APRs). Collateral composition changes The collateral composition changes in this initial cutoff pool from the final cutoff pool are: The weighted average loan-to-value (LTV) ratio decreased to 102.5% from 105.1%. The weighted average seasoning decreased to 12.9 months from 14.0 months. The weighted average APR increased to 10.7% from 9.7%. The percentage of subvented loans decreased to 3.4% from 9.9%. The percentage of loans with original terms of months decreased to 77.7% from 79.7%. The weighted average FICO decreased slightly to 633 from 634. We view the collateral characteristics as marginally stronger than the series pool, in large part due to a better mix of loans in terms of credit grade. However, in our view, due to recent higher losses observed in 's origination static pool and securitization performances, we increased our expected CNL range to 3.75%-3.95% compared to 3.60%-3.80% for series Transaction Overview Ally Financial Inc., formerly known as General Motors Acceptance Corp. (GMAC) Inc., relaunched its program in January Before 2009, Ally Financial Inc. (then GMAC) frequently issued under the program 's collateral pool will consist of nonprime fixed-rate retail vehicle installment sales contracts that are secured by new and used vehicles that Ally Financial Inc. indirectly originated. The series transaction is structured as a true sale of the receivables from Ally Financial Inc. (the sponsor and acquirer) to Capital Auto Assets OCTOBER 19,

4 LLC (the depositor and a bankruptcy-remote multiple-use special-purpose entity). Capital Auto Assets LLC, in turn, will sell the receivables to as a true sale , a newly created special-purpose entity, will grant a security interest in the receivables to the indenture trustee for the noteholders' benefit. The issuer will issue $ million in four class A notes as well as subordinate class B, C, and D notes, all of which will be fixed-rate (see chart 1). Note interest is scheduled to be paid on the 20th day of each month, beginning Nov. 20, 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. OCTOBER 19,

5 Transaction Structure The transaction incorporates the following structural features: Initial overcollateralization of 2.50% of the initial aggregate receivables principal balance. We expect overcollateralization to build to a higher target level (3.75% of initial pool balance) and to be nonamortizing. A nonamortizing reserve account equal to 0.50% of the initial aggregate receivables principal balance. Excess spread, which will be used, if available after covering losses, to increase the overcollateralization amount to a higher target by paying principal on the outstanding notes. A sequential-pay mechanism, which we expect will increase credit enhancement for the senior notes as the pool amortizes. On each distribution date, the indenture trustee will use available funds in the collection account and the reserve account to make distributions in the priority specified in table 1. Any negative carry amounts in the reserve account will also be deposited into the collection account. Table 1 Payment Waterfall Priority Payment 1 The 1.25% 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 receivables 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 receivables 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 receivables 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 receivables 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 Pay principal on the notes(i) in an amount equal to the lesser of the following: the notes' aggregate principal balance minus the principal amounts, if any, allocated to the notes in items 4, 6, 8, and 10 above or the excess of the notes' aggregate principal balance minus an amount equal to the aggregate receivables principal balance minus the overcollateralization target amount minus the principal amounts, if any, allocated to the notes in items 4, 6, 8, and 10 above. 12 Repay any costs the indenture trustee incurred regarding the servicer's resignation and a successor servicer's appointment to the indenture trustee. 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 pool's aggregate note balance exceeds the aggregate receivables balance, the issuer will use principal collections and excess spread to pay down the notes until the aggregate note balance equals the aggregate receivables balance (items 3, 5, 7, and 9 in the payment waterfall). The amounts paid in item 12 in the payment OCTOBER 19,

6 waterfall are designed to use all principal collections and available excess spread to reduce the notes' outstanding principal balance so that the overcollateralization target is achieved and maintained. Managed Portfolio As of June 30, 2017, Ally Financial Inc.'s U.S. auto serviced portfolio had 1.59 million retail contracts outstanding (see table 2). As of June 30, 2017, the portfolio's net losses as a percentage of the average net receivables were 2.35%--an increase from the 1.74% of net losses for the same time last year. The portfolio's 30-plus-day delinquencies as a percentage of the month-end receivables balance 5.29% as of June 30, up from 5.05% as of the same time last year. The delinquency and loss levels increased in because of a shift to more longer-term and fewer subvened receivables, as well as a decrease in the overall portfolio outstanding. Still, losses remain lower than in Per Ally Financial Inc., increased delinquencies and losses beginning in 2012 and continuing through 2017 are consistent with their expectations and reflect a growing asset base and more balanced and profitable asset composition. Ally Financial Inc., Ally Servicing LLC (an Ally Financial Inc. wholly owned subsidiary formerly known as Semperian LLC), and Ally Bank service the portfolio. Table 2 Ally Financial Inc. U.S. Auto Managed Portfolio Six months ended June 30 Year ended Dec. 31 No. of total retail contracts outstanding at end of the period (excluding bankruptcies; mil.) Delinquencies (%)(i) days days plus days Total Repossessions as a % of the avg. no. of contracts outstanding (including bankruptcies) Net losses as a % of the avg. net receivables (i)in dollars as a percentage of the month-end receivables balance. Pool Analysis Tables 3A and 3B shows the collateral characteristics of 's initial pool, as well as those of 's previous initial pools. For the pool, the depositor has attempted to exclude obligors with billing addresses located in areas it believes were most significantly affected by Hurricanes Harvey or Irma. OCTOBER 19,

7 Table 3A Collateral(i) (ii) Pool size (mil. $) , , , No. of receivables 34,524 47,995 47,835 64,704 50,213 66,535 88,182 Avg. principal balance ($) 15,636 16,027 16,181 15,810 16,032 16,118 15,196 Weighted avg. APR (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Seasoning (mos.) Total % of loans with an original term of months Total % of loans with an original term of months Total % of loans with an original term of months Total % of loans with an original term greater than New vehicles (%) Used vehicles (%) Weighted avg. original FICO score Total % of the pool with weighted avg. original FICO greater than Weighted avg. LTV Top five state concentrations (%) CA=9.77 TX=12.85 TX=12.82 TX=13.38 TX=13.63 TX=14.07 TX=13.58 TX=8.52 CA=8.15 FL=8.25 FL=8.35 FL=8.43 FL=8.28 FL=8.26 PA=6.76 FL=8.11 CA=7.54 CA=7.48 CA=6.57 CA=6.40 PA=5.81 IL=4.93 PA=4.99 PA=5.51 PA=5.49 PA=6.02 PA=5.72 CA=5.83 NC=4.81 GA=4.97 GA=5.02 GA=4.95 GA=4.93 GA=4.89 GA=4.77 (i)all percentages are of the initial aggregate receivables balance. (ii)not rated by S&P Global Ratings. --Capital Auto Receivables Asset Trust. APR--Annual percentage rate. LTV--Loan-to-value. Table 3B Collateral(i) (ii) Pool size (mil. $) 1, , , , No. of receivables 72,383 45,194 44,513 66,990 55,586 53,166 25,513 Avg. principal balance ($) 18,333 17,796 18,062 20,011 19,293 20,220 20,696 Weighted avg. APR (%) Weighted avg. original term (mos.) OCTOBER 19,

8 Table 3B Collateral(i) (cont.) Weighted avg. remaining term (mos.) (ii) Seasoning (mos.) Total % of loans with an original term of months Total % of loans with an original term of months Total % of loans with an original term of months Total % of loans with an original term greater than New vehicles (%) Used vehicles (%) Weighted avg. original FICO score Total % of the pool with weighted avg. original FICO greater than Weighted avg. LTV Top five state concentrations (%) TX=15.54 TX=14.96 TX=15.07 TX=15.09 TX=14.78 TX=15.00 TX=15.68 FL=7.97 FL=7.82 FL=7.26 FL=7.36 FL=7.74 FL=7.48 FL=7.92 CA=5.80 PA=5.54 PA=5.47 PA=5.75 PA=5.82 PA=5.73 GA=5.16 PA=5.47 CA=5.35 CA=5.32 CA=5.29 CA=4.95 CA=5.09 CA=5.05 GA=5.27 GA=5.10 GA=4.78 GA=4.86 GA=4.78 GA=5.00 IL=4.88 (i)all percentages are of the initial aggregate receivables balance. (ii)not rated by S&P Global Ratings. --Capital Auto Receivables Asset Trust. APR--Annual percentage rate. LTV--Loan-to-value. Securitization Performance--Surveillance Update We currently maintain ratings on 11 transactions issued since The 2013, 2014, and 2015 series have started their respective scheduled amortization periods. Although the eligibility criteria allow the pool mix to weaken during the revolving period, series 's to 's actual pool compositions at amortization were not, in our view, materially different from closing. The only material difference was longer average loan seasoning. Tables 4A and 4B shows the collateral characteristics of the aggregate pool at the time of scheduled amortization. Table 4A Collateral(i) Aggregate pool at amortization Pool size (mil. $) , , , OCTOBER 19,

9 Table 4A Collateral(i) (cont.) Aggregate pool at amortization No. of receivables 31,391 65,605 68,556 83,139 Avg. principal balance ($) 16,820 16,386 15,643 16,124 Weighted avg. APR (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Seasoning (mos.) Total % of loans with an original term of mos Total % of loans with an original term of months Total % of loans with an original term of months New vehicles (%) Used vehicles (%) Weighted avg. original FICO score (ii) (ii) (ii) Weighted avg. LTV (%) Top five state concentrations (%) % of the initial pool balance plus additional receivables purchased during the revolving period TX=14.75 TX=14.92 TX=14.72 TX=14.85 FL=7.65 FL=7.37 FL=7.59 FL=7.38 GA=5.09 PA=5.84 PA=5.93 PA=5.83 CA=4.98 CA=5.03 CA=5.05 CA=5.29 IL=4.83 GA=4.90 GA=4.78 GA= (i)all percentages are of the aggregate receivables balance at amortization. (ii)the decrease of FICO below 630 is likely because the initial pool experienced prepayments on the high FICO receivables. --Capital Auto Receivables Asset Trust. APR--Annual percentage rate. LTV--Loan-to-value. Table 4B Collateral(i) Aggregate pool at amortization Pool size (mil. $) , , No. of receivables 57,401 86, ,492 61,614 Avg. principal balance ($) 14,007 15,404 12,702 13,065 Weighted avg. APR (%) Weighted avg. original term (mos.) Weighted avg. remaining term (mos.) Seasoning (mos.) Total % of loans with an original term of mos Total % of loans with an original term of months Total % of loans with an original term of months New vehicles (%) Used vehicles (%) Weighted avg. original FICO score (ii) (ii) (ii) (ii) Weighted avg. LTV (%) OCTOBER 19,

10 Table 4B Collateral(i) (cont.) Aggregate pool at amortization Top five state concentrations (%) % of the initial pool balance plus additional receivables purchased during the revolving period TX=14.90 TX=15.13 TX=13.39 TX=13.23 FL=7.13 FL=7.89 FL=8.30 FL=8.41 PA=5.56 CA=6.17 CA=6.29 CA=6.67 CA=5.20 PA=5.56 PA=5.95 PA=5.89 GA=4.93 GA=5.35 GA=5.01 GA= (i)all percentages are of the aggregate receivables balance at amortization. (ii)the decrease of FICO below 630 is likely because the initial pool experienced prepayments on the high FICO receivables. --Capital Auto Receivables Asset Trust. APR--Annual percentage rate. LTV--Loan-to-value. For the transactions in their scheduled amortization periods (series to ), the reserve account remains at its target level. For all the series, the overcollateralization is at its target level. When the amortization period began, the overcollateralization target amount (as a percentage of the initial aggregate receivables principal balance) increased to 5.25%, 4.75%, 4.75%, 4.75%, 4.75%, 2.25%, 2.25%, 2.25% for series , , , , , , , and respectively, from 3.75%, 3.25%, 3.25%, 3.25%, 3.25%, 0.75%, 0.75%, and 0.75% in the revolving period. Table 5 Performance Data For Transactions As Of The September 2017 Distribution Date Series Month Pool Factor CNL (%)(i) CNL (%) since beginning of amortization 60-plus-day delinquencies (%)(ii) Revised ECNL at beginning of amortization(iii) (iv) N/A (iv) N/A (iv) N/A (i)cnl as percentage of the initial receivable pool balance. (ii)delinquencies are calculated as a percentage of the current pool balance. (iii)as a percentage of the receivables pool at the beginning of amortization. (iv)series , , and do not include a revolving period, so the range represents our initial ECNL. --Capital Auto Receivables Asset Trust. ECNL--Estimated cumulative net loss. N/A--Not applicable. We believe each transaction is adequately enhanced at this time to support the current ratings, and we will continue to monitor their performances and take rating actions as we deem appropriate. OCTOBER 19,

11 S&P Global Ratings' Expected Loss To derive our base-case loss for the initial receivables pool, we analyzed the historical origination static pool net loss data that Ally Financial Inc. provided. The data was segmented by credit tier, new/used vehicle mix, APR subvention, and original loan term. This created 72 distinct cohorts. We projected a CNL for each cohort and relied on originations that had at least 12 months of performance data. Our loss projection analysis focused on quarterly vintages that were originated primarily between 2008 and second-quarter We also considered early performance on origination vintages after second-quarter 2016 and made adjustments accordingly. We then weighted these projections based on the actual concentration of the various segments in the initial pool. We also reviewed the performance of the initial receivables pools of 's outstanding securitizations. Outstanding transactions from have exhibited consistent performance however, the 2015 transactions are experiencing some deterioration (see chart 2). The 2016 transactions are performing within expectations. Chart 2 We expect the pool to experience CNLs of 3.75%-3.95% based on our analysis of its credit quality, including approximately 13 months of seasoning, the origination static pool analysis, the projected losses on the initial OCTOBER 19,

12 receivables pool of its outstanding securitizations, our expectation of lower future recoveries, and our views regarding current and future macroeconomic and industry-specific conditions. Cash Flow Modeling Assumptions And Results We modeled the transaction to simulate the rated stress scenarios appropriate for the assigned preliminary ratings (see table 6). For these stress scenarios, we applied both front- and back-loaded loss curves. Table 6 Cash Flow Assumptions And Results Class A B C D Front-loaded loss curve Scenario (preliminary rating) AAA (sf) AA+ (sf) A+ (sf) A- (sf) CNL timing by months outstanding (actual) (24/36/48/60) (%) 52/82/92/100 52/82/92/100 52/82/91/100 52/82/91/100 ABS voluntary prepayments (%) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even levels (preliminary) (%)(i) Back-loaded loss curve Scenario (preliminary rating) AAA (sf) AA+ (sf)) A+ (sf) A- (sf) CNL timing by months outstanding (actual) (24/36/48/60) (%) 30/70/91/100 29/67/87/100 27/63/83/100 27/63/83/100 ABS voluntary prepayments (%) Recoveries (%) Recovery lag (mos.) Servicing fee (%) Approximate break-even levels (preliminary) (%)(i) (i)the maximum CNLs on the pool that the transaction can withstand without triggering a payment default on the relevant class of notes. The break-even levels are as a percentage of the initial receivables principal balance. CNL--Cumulative net loss. ABS--Absolute prepayment speed. Using the expected net loss range of 3.75%-3.95% and the above stresses in our internal cash flow runs, the break-even results showed that under both the front- and back-loaded loss curves, the class A through D notes are enhanced to the degree necessary to withstand stressed net losses that are consistent with the preliminary ratings. Sensitivity Analysis In addition to running break-even cash flows, we ran a sensitivity analysis to see how the preliminary ratings on the notes could be affected by losses that are moderately higher than what we currently expect (see table 7 and chart 3). OCTOBER 19,

13 Table 7 Sensitivity Analysis Summary--Moderate Loss Scenario CNL level (%) 7.70 Loss timing by months outstanding (24/36/48/60) 25/60/80/100 Voluntary ABS 1.40 Servicing fee 1.25 Recovery rate Haircut to excess spread Potential rating decline Class A Class B Class C Class D One rating category One rating category One rating category Two rating categories CNL--Cumulative net loss. ABS--Absolute prepayment speed. Chart 3 Under the moderate stress loss scenario (approximately 2x our expected remaining CNL level of 3.75%-3.95% of the outstanding receivables principal balance), we assumed a 50.0% recovery rate on gross losses and applied a 10.0% haircut to the remaining excess spread at any given month. To stress the excess spread, we assumed a 1.40% OCTOBER 19,

14 voluntary prepayment speed (see table 7 above). In our view, under this 2x moderate stress scenario, all else being equal, we expect our ratings on the class A, B, and C notes to remain within one rating category of the assigned preliminary ratings and the rating on the class D notes to remain within two rating categories of the assigned preliminary ratings. These rating movements are within the limits specified by our credit stability criteria (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 (Nov. 20, 2018). 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 and a 0.25% absolute prepayment speed in our cash flow run. Based on our cash flow runs, approximately 11 months of principal collections would be sufficient to pay off the money market tranche. Legal Final Maturity To test the legal final maturity dates set for classes A-2, A-3, A-4, B, and C, we determined the date when the respective notes were fully amortized in a zero-loss, zero-prepayment scenario and then added three months to the result. For the longest-dated security, class D, we added at least six months to the tenor of the longest receivable in the pool to accommodate extensions on the receivables. We also looked to see when these notes paid off in our stressed break-even cash flow scenarios. In our break-even cash flow runs, we constrained the cash flow so that it would require the notes to be paid off by the legal final maturity date. We also confirmed there is sufficient credit enhancement to both cover losses and repay the related notes in full by their legal final maturity dates. Ally Financial Inc. Ally Financial Inc., headquartered in Detroit, has been a bank holding company since December 2008, known then as GMAC. Ally Financial Inc. offers consumer loans, consumer leases, dealer floor plan financing, dealer term loans, fleet leasing, and vehicle remarketing services. As of December 2013, the U.S. Department of Treasury owned approximately 37% of Ally Financial Inc.'s outstanding common stock with Cerberus Capital Management L.P. and various other third-party investors holding minority interests. On March 27, 2014, Ally Financial Inc. launched an IPO of its common stock shares that were offered by the Treasury. After the IPO was completed in April 2014, the Treasury continued to hold approximately 11.4% of Ally common stock. In December 2014, the Treasury sold all its remaining shares of Ally common stock. Cerberus Capital Management L.P. continues to hold Ally's common stock (approximately 8.6%). On Dec. 12, 2014, S&P Global Ratings raised its long-term issuer credit rating on Ally Financial Inc. to 'BB+' from 'BB'. The outlook is stable (see "Ally Financial Ratings Raised To 'BB+' Following Implementation OCTOBER 19,

15 Of New Criteria; Outlook Is Stable," published Dec. 18, 2014). On April 27, 2015, Ally Financial Inc. announced it will become the preferred lender for Mitsubishi Motors in the U.S., replacing the brand captive, Mitsubishi Motors Credit of America Inc. On May 1, 2015, Ally Financial Inc. was named the preferred lender for Aston Martin in the U.S. 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, 2012 General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012 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: Special-Purpose Entities, Oct. 1, 2006 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 Related Research Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016 Capital Auto Receivables Asset Trust Ratings Raised On Four Classes; Five Ratings Affirmed, July 19, 2016 Capital Auto Receivables Asset Trust Ratings Raised On Three Classes; Five Ratings Affirmed, July 19, 2016 Ratings Raised On Three Classes From Capital Auto Receivables Asset Trust ; Four Ratings Affirmed, May 28, 2015 Ratings Raised On Three Classes From Capital Auto Receivables Asset Trust ; Five Ratings Affirmed, Feb. 9, 2015 Ratings Raised on Four Classes From Capital Auto Receivables Asset Trust ; Four Ratings Affirmed, Dec. 18,2014 Ally Financial Ratings Raised To 'BB+' Following Implementation Of New Criteria; Outlook Is Stable, Dec. 18, 2014 Ratings Raised on Four Classes From Capital Auto Receivables Asset Trust ; Five Ratings Affirmed, Sept. 19, OCTOBER 19,

16 Four Capital Auto Receivables Asset Trust Ratings Raised; Four Others Affirmed, July 7, 2014 Capital Auto Receivables Asset Trust Ratings Raised On Three Classes; Four Affirmed, May 5, 2014 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, The primary analyst would like to thank Ishan Shankar for his analytical contributions to this report. Analytical Team Primary Credit Analyst: Rahel Avigdor, New York (1) ; rahel.avigdor@spglobal.com Secondary Contact: Linda Yeh, New York (1) ; linda.yeh@spglobal.com OCTOBER 19,

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