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Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
 Black Book Fitch Ratings
Vehicle Depreciation Report
Depreciation Forecasted Higher; Losses Creep Higher But No Concerns for Auto ABS

New York, August, 2015 Black Book reports that the supply of used vehicles
is going to increase which will put more downward pressure on values of used
vehicles. New vehicle sales have increased consistently over the last 5 years after
the recession. The new light vehicle sales dropped to 10.4 million in 2009. In 2014,
new vehicle sales finished at 16.4 million units and Black Book is forecasting the
new vehicle sales for 2015 to be 16.9 million units.

As new sales generate used vehicles, the supply of used vehicles has been
consistently improving since 2010. However, as the economy improved after the
recession, used vehicle demand has also increased which allowed the markets to
absorb the increased supply of used vehicles and keep prices elevated.

The annual depreciation rate on used vehicles in 2014 was 12.1%. Black Book believes annual depreciation levels on
used vehicles will continue to trend towards pre-recession historical rates and climb to 14.0-14.5% in 2015.

Despite seeing marginally lower used vehicle values during the first half of 2015, current depreciation rates have not
materially impacted asset performance in any auto ABS sectors (auto loan, lease and rental fleet ABS) through the first
half of the year. Auto loan ABS annualized losses have been stable this year despite rising off record low levels, and
were still below the strong 2005-2006 period. Subprime auto loan ABS loss rates have moved higher in 2015 exhibiting
some volatility, but are still well below peak recessionary levels. Slightly lower recovery rates and thus marginally higher
depreciation rates, along with weaker collateral and credit quality in the 2013-14 securitized pools has been the main
contributor to higher subprime losses in 2015.

Fitchs auto lease ABS residual value index exhibited more sensitivity to lower residual values in 2015, but through July
continues to record gains albeit at lower levels than during the same period in 2014. Depreciation rates in the rental fleet
ABS sector are stable in 2015, consistent with Black Books view on rates, and Fitch has not seen any material impact
on rental car companies fleet through the first half of the year.

Importantly, auto ABS pools that have diverse vehicle concentrations from a segment and model perspective, will exhibit
less volatility to changes in depreciation rates across segments. This is due to factors that impact vehicle values including
gas prices, state of certain industries (for example housing which can drive demand and values of trucks), seasonal
patterns (including the strong tax refund spring period which drives vehicle sales), and low interest rates and manufacturer
subvention. Black Book discusses these trends in greater detail in this report, and vehicle segment diversity present in
auto ABS pools, or lack thereof, can drive loss severity up or down, and ultimately impact loss rates.

2 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Auto Depreciation Expected to Rise to 14.5% in 2015
According to Black Book, annual depreciation on two to six-year-old vehicles was 12.1% in 2014, similar to the
levels seen in 2012 and 2013. The annual depreciation in 2011 was unbelievably strong at 7.7%, given limited
manufacturer vehicle production and low inventory levels, combined with strong pick-up in demand for both new
and used vehicles after the recession. Annual depreciation in pre-recession years ranged from 15-18%, which
will put the expected depreciation of 14.5% in 2015 at the lower end of the range in peak depreciation periods.

Several factors have been driving strength in the market in the past 5
years. Improvement in economic conditions, primarily job growth, has Black Book Vehicle Depreciation Rates
improved the demand for automobiles. Since new vehicle sales were Annual Depreciation**
2011 7.7%
suppressed during the recession, the supply of used vehicles has been
2012 12.4%
low. In addition, credit availability has been a key driver with interest 2013 12.8%
rates staying very low. As delinquency levels have remained low, auto 2014 12.1%
loan underwriting standards have not been tightened and low APR in 2015* 14.5%
auto financing has allowed loan payments to be affordable. *Forecast
** Depreciation of 2-6 year old vehicles.

3 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Annual Depreciation at 13.0% in Last 12 Months
As displayed in the chart on page 3, the Black Book Used Car Monthly Depreciation Rate tracks the monthly change in
the weighted average wholesale values of 2-6-year-old vehicles published by Black Book. The weighting of vehicle values
is based on the sales volume of vehicles in the past 12 months of auction data.

The first quarter of this year saw broad strength in the market as demand picked up with continued improvement in
the economy and low gas prices. However, with gas prices remaining low, there has been a significant impact on most
segments. Barring a few luxury brand electric models where the demand is stronger than supply, the mainstream brand
three-year old electric vehicles are selling at prices close to their gasoline counterparts. On the other hand, the trucks
and SUVs posted strong value retention in the year. The full size van market saw continued strength as those units were
impacted in supply due to production changes from older style vans to a newer European body style.

Leasing levels rose significantly in 2013, which will increase supply of off-lease vehicles. This increased supply in some
segments will lead to increased depreciation. According to Black Books forecast, smaller cars and luxury cars will continue
to experience higher depreciation due to increased competition and supply.

Prime Auto Loan ABS Stable; Subprime Losses Volatile

With depreciation relatively stable in 2015, Fitch believes that there will be only a small impact this year on loss rates.
Fitch does expect recovery rates to flatten out and perhaps dip in 2015, given signs of pressure on used vehicle values as
volumes entering the market rise in the latter half of the year.

Fitch is observing diverging trends in loss rates in the prime and subprime auto ABS sectors, with subprime losses rising
notably year-over-year through June this year, while prime losses have remained low. As mentioned previously, the rise
in subprime losses has been driven mostly by lower credit quality, longer loan terms and higher loan-to-values (LTV) in
the 2013-2015 subprime securitized pools. Collateral and credit quality was strong historically in the prior securitized
2010-2012 subprime ABS transactions when compared to the most recent vintage transactions. Depreciation rates
have not had much impact on subprime asset performance to date this year, but this could change if recovery rate drop
materially but this is not predicted despite pressure on the wholesale vehicle values in the latter half of 2015.

Prime auto loan ABS 60+ days delinquencies were at 0.36% in July, 9% higher versus a year earlier. Delinquencies have
ranged from between 0.28%-0.46% in 2015, a relatively tight band and low on a historical level. Prime annualized net
losses (ANL) were at 0.42% through July, up 45% over a year ago but loss rates are still very low and Junes level was well
below the historical average of 0.93% dating back to 2001. The peak loss rate in 2015 was 0.52% through June this year.

In the subprime sector, 60+ delinquencies hit 4.0% in July and were 22% above June 2014. The peak in 2015 through
June was 4.75%, while the historical average was 3.19%. As mentioned above, subprime losses are rising and moved up
to 5.39% in July, 9% above May and 20% higher compared to a year earlier. Subprime ANL hit a peak of 8.19% back in
January, and have exhibited a rising, volatile trend this year driven but reasons mentioned earlier. The peak subprime loss
rate was 10-13% recorded back in early 2009, so despite moving higher this year losses remain well below peak levels.
The 2013-2014 vintages are displaying higher losses relative to the strongest 2010-2012 vintages.

4 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
5 Black Book Fitch Ratings: Vehicle Depreciation Report
August, 2015
Auto Lease Residual Gains Declining in 2015
Fitchs auto lease RV index recorded a gain of 4.79% in June, which was within range of the prior six months but the
overall trend is of lower residual values in 2015, and Fitch expects this to continue in the latter half of 2015. The peak
gain in 2015 was 7.30% in April, versus 10.08% during 2014. The low RV gain recorded through the first six months of
2015 was 3.92% in February. The index averaged a gain of 5.75% in 2014, and this has dropped to 5.19% this year.

Residual values are under pressure from rising vehicle trade-ins and lease returns, which have both increased notably
as new vehicle sales jumped higher over the past three years. The leasing market volume has seen significant growth
over the past three years, and returns have thus increased dramatically as these vehicles hit their lease end maturities,
and will rise higher in the remainder of 2015. Returning lease volumes, totaling approximately 3.81 million units from
auto lease ABS transactions rated by Fitch, will hit the wholesale market in the second half of 2015. This will be up 24%
versus 2014 volumes, and naturally constrain residuals in the latter part of the year.

Despite the pressure on residuals this year, overall asset performance in auto lease ABS securitizations is expected to
be stable, while Fitch continues to have a positive outlook for ratings performance. The agencys positive rating outlook is
driven by the number of subordinate note classes coming up for review in 2015, combined with stable asset performance
even with lower residual gains this year. To date this year, Fitch upgraded seven subordinate tranches from five lease
transactions through early August, versus ten from six deals in full-year 2014.

6 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Depreciation Trends in Last 12 Months
Overall, used vehicle values depreciated 13.0% in
the 12-month period from July 2014 through July
2015 with some interesting segment trends. Full
Size Vans, Compact SUV, Compact Pickup and
Full-Size Pickup segments performed the best with
annual depreciation levels at 5% or under. In 2014
Q3, the car segments experienced much higher
depreciation, led by Entry Level Car, Entry Mid-
Size Car and Full-Size Car segments with double-
digit depreciation in a quarter in those segments.

As gas prices dropped in 2014 Q4 by about a $1.00

in the national average, truck segments remained
steady resulting in a relatively strong fourth quarter
with only 4.7% overall depreciation. As gas prices
remained low and tax refunds started to come in,
the first quarter of 2015 saw broad market strength
with several segments appreciating in value.

The second quarter of 2015 experienced relatively

normal depreciation at 2.4% as car segments
declined after the spring buying season more than
the truck segments.

Trucks Perform Better in Some Segments; Car Segments Less Volatile

The charts on page 8 track values of specific model years, and it is interesting to see the separation in value index curve
among various car and truck segments.

Reviewing the index trend of 2008 model year vehicles below, truck segments have experienced lower depreciation
over the long run but have also experience higher volatility across certain segments. Some truck segments are showing
unusual strength driven by lower supply. Top 5 segments that retained best value are Compact SUV, Full-size Vans,
Compact Pickup, Full-Size SUV and Compact CUV. Compact SUV led by the iconic Jeep Wrangler has been a consistent
leader in the long term trends.

The strong truck segments are also growing in market share, thus contributing to the overall market strength. With the
price of gas forecasted to remain low in the next few years and the demand for trucks, particularly SUVs and pickups,
continuing to rise, we expect truck segments to retain stronger values.

7 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Car segments, especially non-luxury smaller affordable cars typically experience a seasonality lift in the spring months
as tax refunds start to arrive. This seasonal lift was less pronounced last spring as lower gas prices led to early buying
and the market strength was more spread out. The buying trends improved in the fourth quarter of 2014 and lasted into
the second quarter resulting in a relatively muted seasonality trend.

8 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Gas Prices Drives Better Demand and Retention for Larger Vehicles
According to the Energy Information Administration, average national gasoline prices are expected to remain low at $2.55
a gallon in 2016. With lower supplies of used trucks and demand continuing to be strong, trucks will perform better in
the near term. Several truck models have been redesigned/refreshed and fuel economy improved by the manufacturers,
which has helped in consumer demand for larger vehicles.

A vehicle market that experiences strength will always have a period of adjustment to get back to its fundamental trends.
As supplies build up for products in demand, the economics will subsequently balance to lower the price. The truck
market generally displays more volatility due to the types of vehicles included. For example a compact crossover serves
a much different need functionally than a full-size cargo van or three-quarter ton pickup truck.

9 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Later Model Vehicle Depreciation Volatile
Annual depreciation of late model vehicles exhibit higher levels of volatility. Later model year vehicles have been more in
demand as dealers have better margins with retailing lower-mileage, later model year models as certified pre-owned. As a
result, CPO programs have helped in overall retention values. As the supply of late model year vehicles increase over the next
year due to off-lease volumes, the values are likely to decline. The inventory volumes as measured by days supply of new
vehicles has also been increasing to 65-70 days which is more in line with pre-recession levels. As days supply increases,
we expect manufacturers to increase new car incentives which will create another push for used values to go down.

New car sales volume of 16.5 million units in 2014 was higher than expected. We project this to climb to 16.9 million units
in 2015. Black Book expects the used supply to come back up to the levels prior to recession in 2016, which will result in
more traditional used vehicle depreciation levels in 2016 and later.

10 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
The Black Book-Fitch Vehicle Depreciation Report and
Black Book Used Vehicle Depreciation Rate Curve
The report is another in a series of joint-ventures by Black Book and Fitch. Black Book tracks used vehicle market
depreciation rates providing an understanding of how vehicle prices impact automobile lenders and lessors, auto ABS
transactions, consumers and other auto market constituents. The report is issued on a bi-annual basis.

Black Book collects extensive data from auctions around the country. With over 18,000 unique vehicles listed in the
primary database of published vehicles up to 15 model years old, and auction and remarketing data consisting of almost
300,000 actual sold vehicle records each month, Black Book editors are able to publish the daily updated used market
values. This report presents the month over month depreciation of used vehicle values sold at wholesale auctions.

11 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
Data Available to Users
Certain data contained in this report is available to all users, including the charts and tables. Please contact Black Book
or Fitch at the telephone numbers listed below.

Black Book Auto Remarketing Report

This report is available and exhibits monthly vehicle segment values including month-over-month and year-over-year
data. Both the actual data and graphs are available by accessing the following Black Book and Fitch links or going to
each companys respective website: www.blackbookusa.com/BBReport.aspx

For further information contact:

Anil Goyal, VP Analytics & Strategic Partnerships
Phone: 1-800-955-9266, Email: Agoyal@BlackBookUSA.com

Jared Kalfus, Senior VP Sales

Phone: 1-800-955-9266, Email: Jkalfus@BlackBookUSA.com

Hylton Heard, Senior Director

Fitch Ratings, Inc., 33 Whitehall Street, New York NY 10014
Phone: 212-908-0214, Email: hylton.heard@fitchratings.com

Fitch Media Relations:

Sandro Scenga, New York
Phone: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.

Applicable Fitch Criteria and Related Research:

--Rating Criteria for U.S. Auto Loan ABS, April 2015;
--Rating Criteria for U.S. Auto Lease ABS, March 2015; and
--Global Structured Finance Rating Criteria, August 2014.

Black Book
Black Book is best known in the automotive industry for providing timely, independent, and accurate vehicle pricing information, and
is available to industry qualified users through our subscription products, mobile applications and licensing agreements. A leading
provider of marketplace insight since 1955, Black Book continues to evolve, embracing technological advances and delivering
quality products and services throughout the automotive industry. Black Books Subscription Services, Automotive Solutions, Lender
Solutions and Activator groups offer the insight necessary for success whether youre buying, selling or lending. Black Book data
is published daily by National Auto Research, a division of Hearst Business media, and maintains offices in Georgia, Florida, and
Maryland. For more information, please visit BlackBookAuto.com or call 800.554.1026.

Fitch Ratings
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independent and prospective credit opinions, Fitch Ratings offers global perspectives shaped by strong local market experience and
credit market expertise. Fitch Ratings is part of Fitch Group, a global leader in financial information services. Fitch Group is majority
owned by Hearst Corporation.

12 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015
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13 Black Book Fitch Ratings: Vehicle Depreciation Report

August, 2015