Index

www.fitchratings.com July 27, 2017

U.S.A.

2Q17

Auto ABS Index: In the Auto ABS Driver’s Seat

At a Glance: Prime Auto Loan ABS Measure (%) 22Q17 2Q16 1Q17

60+ Days Delinquencies 0.37 0.42 0.36

Annualized Net Loss 0.54 0.47 0.69

At a Glance: Subprime Auto Loans ABS Measure (%) 2Q17 2Q16 1Q17

60+ Days Delinquencies 4.55 4.07 4.82

Annualized Net Loss 7.42 6.32 9.05

Contacts

Hylton N. Heard +1 212 908-0214 hylton.heard@fitchratings.com

John Bella, Jr. +1 212 908-0243 john.bella@fitchratings.com

Related Research Fitch Fundamentals Index — U.S. (October 2016)

Auto ABS Index — U.S.A. 2Q17 Related Ratings (July 2017)

What Investors Want to Know: U.S. Autos (June 2017)

Prime Performance Improved: Seasonal

patterns kicked in during 2Q17 and both delinquencies and losses declined.

Subprime Losses Remain at High Levels:

Subprime ANL increased to 9.1% in June, 16.4% higher YOY. Weaker collateral from the 2014–2015 vintages was the main driver of higher frequency while the wholesale market has affected severity.

Used Vehicle Values Pressured: Compact,

mid-size and full-size sedans fell further in 2Q17, along with new vehicle sales of these models. Trucks and SUVs continued to prop up wholesale values given low gas prices.

Subprime Recoveries Down: Fitch’s

subprime recovery rate index, which included older used vehicles securitized, declined to 42.5% in June versus 45.2% a year earlier. Prime recoveries were stable in 2Q17.

Lease Residuals Lower; Black Book Retention Index Declining: Fitch’s Residual

Value Index came down in 1H17, in tandem with Black Book’s (BB) index, which dropped to 112.3 in June, down 5.6% YOY to the lowest level since December 2010 (111.8).

Large Banks Continued to Pull Back Lending: In a positive sign, Wells Fargo,

JPMorgan and several large captive lenders cut back auto lending in 1H17 in response to higher losses.

Incentives at Peak: Cash on the hood

incentives have risen over the past year-and-a-half and are approximately $3,500/vehicle. This is a negative trend for used vehicle values.

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Prime (LHS) Subprime (RHS)

Auto Loan ABS 60+ Days Delinquency Index

Source: Fitch.

(%)(%)

0

2

4

6

8

10

12

14

0.0

0.5

1.0

1.5

2.0

2.5

Prime (LHS) Subprime (RHS)

Auto Loan ABS Annualized Net Loss Index

(%)

Source: Fitch.

(%)

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 2

July 27, 2017

U.S. Auto Loan ABS

2017 Outlooks Prime Asset Performance: Stable

Prime Rating Performance: Positive

Subprime Asset Performance: Stable

Subprime Rating Performance: Positive

Related Criteria

U.S. Auto Loan ABS Rating Criteria (March 2017)

U.S. Auto Lease ABS Rating Criteria (March 2017)

Global Rating Criteria for Dealer Floorplan ABS (January 2017)

Global Rating Criteria for Rental Fleet ABS (August 2016)

Global Structured Finance Rating Criteria (May 2017)

Loan Terms Closing in on 70 months:

Average loan terms moved up to over 69 months on average in 1H17. Lenders have offered higher terms in response to lower new vehicle sales and rising vehicle transaction prices, supporting consumers in purchasing a vehicle.

Stable Credit Metrics in ABS Pools: The

overall credit quality in securitized auto pools was stable or slightly improved during the first six months of the year. FICO scores in certain prime ABS platforms have improved, while LTVs were steady. Overall, APRs have risen in tandem with higher benchmark rates.

Outstanding Auto ABS Crossed Milestone:

Outstanding prime and subprime auto loan ABS hit $102.2 billion through 1H17, the highest level recorded in over 14 years.

Canadian Auto ABS Issuance Active:

Issuance has been buoyant in 2017, with prime loan deals brought to market by BMW and Mercedes-Benz (lease), Scotiabank and Ford Credit Canada Co. (FCC). The first auto dealer floorplan transaction since 2013 was also issued in July by FCC.

Highlights from U.S. Auto Report: Fitch’s

Corporate team released “What Investors Want to Know: U.S. Autos” in late June that reported:

Outlook stable despite weaker conditions.

Auto sales forecast at 17.0 units in 2017.

With strong trucks/SUV demand, OEMs have demonstrated a measure of supply discipline by curtailing production of smaller vehicles.

Disruption risks rising from migration to electric vehicles and accelerating pace of autonomous vehicle research.

0

2

4

6

8

10

12

14

0.0

0.5

1.0

1.5

2.0

2.5

Prime ANL (LHS) Subprime ANL (RHS) Unemployment Rate (RHS)

Auto Loan ABS ANL Indices Versus Unemployment Rate

(%)

Source: Fitch, Bureau of Labor Statistics.

(%)

0

10

20

30

40

50

60

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Prime (LHS) Subprime (RHS)

Auto Loan ABS Senior Hard Credit Enhancement

(%)

Source: Fitch.

(%)

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 3

July 27, 2017

U.S. Prime Auto Loan ABS

2Q17 Followed Seasonal Patterns: Prime auto loan

performance stabilized in 2Q17, in line with seasonal trends; however, 12-month averages continued to climb.

Delinquencies Higher for 2017: Prime 60+ day

delinquencies declined to 0.37% versus 0.42% at 1Q17 but are in line with 0.36% from the year prior. Despite the improvement, the trailing 12-month average has reached 0.42%, the highest level in five years.

ANL Falls for 2Q17 but up YOY: Similarly, prime ANL

decreased to 0.54% in 2Q17 from 0.69% at 1Q17 but were up 15% from 2Q16. The 12-month average increased to 0.66% compared to 0.62% in the prior quarter, continuing the upward direction observed in recent years.

Stable ABS Credit: Prime loan ABS credit quality

continues to be stable to improving as a result of tighter underwriting from a FICO perspective. This is in direct response to elevated loss levels, particularly for lower FICO borrowers, and is a positive for asset performance.

Affordability Driving Loan Terms: Average contract

balances continues to increase driven by increasing sales of utility vehicles and higher MSRPs overall. The term continues to be extended in an effort to keep payments manageable for borrowers, but asset performance for extended term loans is generally weaker and has been a driver of weaker recovery rates observed recently. This dynamic will continue to affect loss severity, particularly for early-stage defaults.

Softer WVM for Near Term: The wholesale vehicle

market (WVM) continues to soften from high supply and the shift toward larger vehicles, resulting in higher volumes of cars remaining in auction lanes, depressing values. Trucks, CUVs and SUVs have outperformed cars over the past year, supported by low gas prices and improving fuel economy. Fitch expects this pressure to continue over the next one to two years, particularly due to expected high off-lease volumes, resulting from increased lease penetration.

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Monthly Rolling 12 Months

Prime Auto Loan ABS 60+ Days Delinquency Index

(%)

Source: Fitch.

0.0

0.5

1.0

1.5

2.0

2.5

Monthly Rolling 12 Months

Prime Auto Loan ABS Annualized Net Loss Index

(%)

Source: Fitch.

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 4

July 27, 2017

U.S. Prime Auto Loan ABS (continued)

2016 Projecting near 2005/2006 Levels: 2016 Vintage

ABS is projecting to CNL of 1.32%, falling between 2005 at 0.96% and 2006 at 1.71%. Many 2016 ABS pools include weaker credit quality, as lenders had not switched course towards stronger pools yet. Coupled with a softer WVM, this is affecting performance.

2013–2015 Vintage Losses Higher: 2013–2015 ABS

vintages are exhibiting higher loss rates versus the strong 2010–2012 vintages. Current loss projections show 2015 tracking at 1.15%, higher than the previous six years but these projections continued to be below historical peaks.

Fitch’s Proxy and Performance Moved in Tandem:

Fitch’s base case loss proxies have increased for the past three years, in response to softening asset performance and weaker collateral trends. CNL proxies for 2016 Fitch-rated transactions averaged 1.68% versus 1.49% in 2015 and 1.37% in 2014 on a weighted basis. This compares to current CNL projections of 1.32%, 1.15% and 0.85%, respectively.

Positive Rating Outlook: Despite recent weakness,

Fitch’s prime asset performance outlook is stable, as loss levels remained below historical peaks. Fitch’s ABS rating outlook is positive, as transactions benefit from rapid amortization and building enhancement, which continued to support overall performance in 2017.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47

(%)

2005 2006 2007 20082009 2010 2011 20122013 2014 2015 20162013 Forecast 2014 Forecast 2015 Forecast 2016 Forecast

Prime Auto Loan ABS Historical and Projected Cumulative Net Losses

Source: Fitch.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Prime CNL Initial Proxy CNL Performance

Prime Auto Loan ABS Initial CNL Proxy Versus Current Projected CNL

(%)

CNL – Cumulative Net Losses.Source: Fitch.

(Vintage)

2005–2012 — Actual CNL through 48 Months2013–2016 — Projected CNL through 48 Months

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 5

July 27, 2017

U.S. Subprime Auto Loan ABS

Performance Remained Weak Despite Seasonal Boost:

Both delinquencies and losses have come down from peaks levels experienced in prior months as consumers benefited from tax season during 2Q17. However, 60+ delinquencies finished 2Q17 at 4.55%, up 12% YOY. ANL finished the quarter at 7.42%, up 17.4% YOY.

Weak Wholesale Market Increasing Loss Severity: In

addition to higher loss frequency, recovery rates have continued to decline due to wholesale market weakness, further contributing to elevated loss levels.

Fitch-Rated Platforms Stable: Santander Consumer

USA’s SDART and GM Financial’s AMCAR ABS platforms continued to exhibit stable performance despite slightly higher delinquencies and losses. Loss levels for transactions from both platforms remained well within Fitch’s initial base case loss expectations.

Shifting Market Share Driving Trends: Non-

established ABS platforms continued to drive much of the weaker performance observed in the subprime ABS sector. Many of these platforms have limited experience and have issued ABS secured by loans with high LTVs and high term to deeper subprime borrowers. These non-established platforms now account for 50% of Fitch’s subprime index, well above historical levels.

Drop in Originations a Positive: Fitch observed a

notable pullback in origination volume from certain subprime lenders, particularly larger ones, in 2016, a trend that has continued in 1H17. Fitch views these pullbacks as a positive, and performance may improve should lenders employ stricter underwriting criteria.

Ratings Outlook Remains Positive: Fitch continued to

take upgrades on all outstanding subprime ABS subordinate notes issued by SDART and AMCAR due to positive enhancement build and losses extrapolating well within Fitch’s initial forecasts. Fitch has also taken positive rating actions to Ally Financial’s Capital Auto Receivables Trust (CARAT) platform, considered nonprime and not included in Fitch’s subprime index. Fitch has upgraded 32 subordinate notes thus far in 2017.

0

1

2

3

4

5

6

7

Monthly Rolling 12 Months

Subprime Auto Loan ABS 60+ Days Delinquency Index

(%)

Source: Fitch.

2

4

6

8

10

12

14

Monthly Rolling 12 Months

Subprime Auto Loan ABS Annualized Net Loss Index

(%)

Source: Fitch.

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 6

July 27, 2017

U.S. Subprime Auto Loan ABS (continued)

2015 Is the Weakest Vintage: Now seasoned 19 months,

the 2015 vintage is extrapolating to over 15% in CNL, higher than any vintage since 2005. The 2015 vintage has been prone to high loss severity from a weaker wholesale market and little-to-no equity in loan contracts at default due to extended-term lending, a trend that was not as apparent in the recessionary vintages.

2016 Vintage Shows Improvement: Although only

seasoned six months, the 2016 vintage is performing inside of the 2015 vintage. Loss extrapolations show losses reaching a range of 13%–14%, still in line with the worst-performing 2007 vintage but within the 2015 extrapolation.

2014–2016 Trending in Line with Recessionary Vintages: These vintages have elevated loss rates

consistent with recessionary vintage performance, the weakest observed vintages to date. 2009–2012 vintages produced losses of 8%–11%, and the 2013 vintage is extrapolating to approximately 11.50%. The 2014–2016 vintages are all extrapolating above 12%.

Issuance Slowing: ABS issuance has mirrored with

observed drop in originations from lenders, with subprime ABS volume down over 40% through 1H17 in comparison to 2017. In comparison to 1H15, 2017’s issuance was down over 80%.

Fitch Has a Conservative Approach to Sector: Fitch

only rates the AMCAR and SDART platforms. In the nonprime sector, Fitch rates Ally Financial’s CARAT platform. Click here to view Fitch’s report titled “Subprime Auto Lending Exposed to Domino Risk,” dated September 2014, for more information on the agency’s approach and opinion on the subprime auto sector.

0

2

4

6

8

10

12

14

16

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47

2005 2006 2007 2008

2009 2010 2011 2012

2013 2014 2015 2016

2013 Forecast 2014 Forecast 2015 Forecast 2016 Forecast

Subprime Auto Loan ABS Cumulative Net Losses

(%)

Source: Fitch.

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 7

July 27, 2017

U.S. Auto Lease ABS

At a Glance: Auto Lease ABS

Measure (%) 2Q17 2Q16 1Q17

Residual Value (Losses)/Gains 2.27 2.51 (0.06)

2017 Outlooks

Auto Lease Asset Performance: Stable

Auto Lease Rating Performance: Positive

Related Criteria U.S. Auto Lease ABS Rating Criteria (March 2017)

Residual Gains Return: Fitch’s Auto Residual

Value Lease Index reported the first quarterly gain in a year at 2.27% in 2Q17. While improved from losses of 0.06% in 1Q17, this is down slightly from gains of 2.51% in 2Q16.

Return Volumes to Remain High: Fitch’s

index saw $1.7 billion in returned residuals in 2Q17. This is down slightly from $1.9 billion in 1Q17. Projected securitized residual returns for each of the two remaining quarters in 2017 total over $2 billion.

Smaller Vehicle Value Declines Continued:

As a result of sustained low gas prices and increased fuel efficiency, pickups, vans and SUVs/CUVs continue to outperformed smaller cars. Auto lease ABS from issuers with heavier car portfolios has seen higher residual losses than their counterparts with portfolios heavier on bigger vehicles.

Luxury Segment Improvement Continues:

RV performance on luxury brands continues to improve YOY. In 2Q17, this segment recorded a residual gain of 5.12%, up from a gain of 0.19% in 2Q16. Conversely, mainline reported a gain of 0.56% in 2Q17 compared to a gain of 3.71% in 2Q16.

Fitch’s Auto Lease ABS Rating Outlook Stable: Despite declining residual values,

Fitch’s outlook remains stable, due in part to the delevering structures and ample credit enhancement levels.

85

90

95

100

105

110

115

120

125

130

135

(30)

(20)

(10)

0

10

20

30

40

Residual Value Loss Index (LHS)Manheim Used Vehicle Value Index (RHS)Black Book Used Vehicle Retention Index (RHS)

Auto Lease ABS Residual Value Loss Index

(%)

Source: Fitch, Manheim Consulting, Black Book USA.

(Index)

(30)

(20)

(10)

0

10

20

30

0

100

200

300

400

500

600

700

800

900

Actual (LHS) Projected (LHS) (Losses)/Gains (RHS)

Auto Lease ABS Residual Value Maturities

($ Mil.)

aTotal auto lease ABS residual value maturities coming due in a specific month.Source: Fitch.

(%)a a

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 8

July 27, 2017

U.S. Dealer Floorplan ABS

At a Glance: Dealer Floorplan ABS

Measure (%) 2Q17 2Q16 1Q17

Total MPR 36.83 37.63 35.08

Auto MPR 37.96 39.02 37.24

Diversified MPR 29.81 29.85 23.03

2017 Outlooks Dealer Floorplan Asset Performance: Stable Dealer Floorplan Rating Performance: Stable

Related Criteria

Global Rating Criteria for Dealer Floorplan

ABS (January 2017)

Auto MPRs Continue Moderate Declined:

Fitch’s Auto MPR Index averaged 37.38% in 2Q17, down 2% from 38.12% YOY. New vehicle sales have slowed in 2017 and dealer inventory aging has increased for U.S. dealers, leading to lower MPR experience.

Rising Rates May Pressure Dealer Profits: The

Federal Reserve increased benchmark rates by 0.25% in June, the second such increase of the year. Floorplan financing costs may affect dealer profitability if rate increases continue.

Inventories Remain Elevated: New vehicle

supply hit 69 days through 2Q17. While improved from 73 days at 1Q17, this is up from 59 days at 2Q16.

Production Levels Still High: U.S. production

levels are down 3.5% through 1H17 compared to the same period a year earlier. Despite the drop, production remains elevated and consistent with 2015 and 2016 levels, years in which historically high sales supported the higher production levels from OEMs.

Fitch Rates Navistar Platform: Fitch rated its

first DFP series issued by Navistar Financial’s NAVMT II master trust, secured by dealer notes originated to finance Navistar’s medium-/heavy-duty truck and bus inventory at dealer lots. The $250 million 2017-1 series closed on June 28, 2017 and has a two-year expected maturity.

ABS Performance Remains Strong: Despite

the moderation of certain dealer metrics in 2017, overall DFP ABS performance remained strong, with minimal to no losses and solid dealer health. MPR levels remain above early amortization and CE step-up triggers.

10

20

30

40

50

60

Auto DFP Index Diversified Equipment DFP Index Total DFP Index

Dealer Floorplan ABS Monthly Payment Rate Index

(%)

Source: Fitch.

0

2

4

6

8

10

12

14

16

18

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Inventories Production Sales

New Light Vehicle Inventories, Production and Sales

($ Mil.)

a2017 Production and sales levels annualized.Source: Automotive News.

a a

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 9

July 27, 2017

U.S. Used Vehicle Market

Black Book Index Declined in 2Q17: The BB Used

Vehicle Retention Index declined to 112 at 2Q17 from 114 at 1Q17 and 119 at 2Q16, evidencing higher vehicle depreciation relative to recent years.

Recovery Rates Weaker in 2017: Fitch has noted that

auto loan ABS transactions have demonstrated lower recovery rates in recent vintages compared to the 2010–2013 periods. This trend has been more pronounced in pools with higher concentrations of used vehicles or extended term (greater than 60 months) loans.

CUVs and SUVs Continued to Lead the Market: Used

vehicle value retention of full-size crossovers and light duty trucks outperformed the market in 2Q17, according to BB.

Economic Conditions Support the Market: Low

unemployment rates and consumer confidence in 2017 are still supporting the wholesale vehicle market. While increasing inventories and used vehicle supply are denting wholesale values, consumers’ ability to purchase vehicles nevertheless remains intact.

Ratings Positive Despite Wholesale Softening: Lower

recovery rates and RV realizations are driving losses up for recent auto ABS vintages, but remain within Fitch’s initial expectations. The transactions still remain well protected from losses due to the de-levering of most auto ABS structures.

85

90

95

100

105

110

115

120

125

130

135

0

1

1

2

2

3

Prime Auto Loan ABS ANL Index (LHS) Manheim Used Vehicle Value Index (RHS)

Black Book Used Vehicle Retention (RHS)

Prime Auto Loan ABS ANL Index Versus Wholesale Market Indices

(%)

Source: Fitch, Manheim Consulting, Black Book USA.

(Index)

90

95

100

105

110

115

120

125

130

135

140

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

U.S. Retail Automotive Gasoline Regular Unleaded Average Price (LHS) Manheim Used Vehicle Value Index (RHS)

Gas Prices Versus Manheim Used Vehicle Value Index

($)

Source: Fitch, Manheim Consulting, Bloomberg.

(Index)

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 10

July 27, 2017

U.S. New Vehicle Sales

First-Half Slowdown: While sales have come off peak

levels experiencing an 11.9% decline in 1H17 relative to 1H16. This was expected by Fitch as consumer demand has slowed and Fitch predicted 17.0 million units sold for 2017.

SUVs/CUVs Strong: The first-half 2017 sales figures

were skewed toward in-demand SUVs, CUVs and trucks, while car sales declined. Low fuel prices, combined with increased credit availability and high incentive spending, have continued to help support this trend this year.

Auto ABS Still Strong: Issuance continued to be

buoyant given strong demand for auto purchases, despite coming off recent peak sales figures. Fitch expects strong auto ABS issuance in 2017, in line but slightly off from 2016 levels.

0

20

40

60

80

100

120

140

0

2

4

6

8

10

12

14

16

18

20

Cars (LHS) Light Trucks (LHS)Projection (LHS) Annualized Pace (LHS)U.S. Auto ABS issuance (RHS)

New Light Vehicle Sales Versus Auto ABS Issuance

($ Mil.)

Source: Fitch, WardsAuto, Asset-Backed Alert.

($ Bil.)

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 11

July 27, 2017

U.S. Auto ABS Rating Actions

U.S. Auto Loan Upgrades Transaction Class New Rating (Outlook) Previous Rating (Outlook)

AmeriCredit Automobile Receivables Trust 2013-2 D AAAsf (Stable) AAsf (Positive)

AmeriCredit Automobile Receivables Trust 2013-2 E AAsf (Positive) Asf (Positive)

AmeriCredit Automobile Receivables Trust 2013-3 D AAAsf (Stable) AAsf (Positive)

AmeriCredit Automobile Receivables Trust 2013-3 E AAsf (Positive) Asf (Positive)

AmeriCredit Automobile Receivables Trust 2014-4 D AAsf (Positive) Asf (Positive)

AmeriCredit Automobile Receivables Trust 2014-4 E Asf (Positive) BBBsf (Positive)

AmeriCredit Automobile Receivables Trust 2015-4 B AAAsf (Stable) AAsf (Positive)

AmeriCredit Automobile Receivables Trust 2015-4 C AAsf (Positive) Asf (Positive)

CarMax Auto Owner Trust 2013-3 D Asf (Stable) BBBsf (Positive)

CarMax Auto Owner Trust 2015-3 B AAAsf (Stable) AAsf (Positive)

CarMax Auto Owner Trust 2015-3 C AAsf (Stable) Asf (Positive)

Santander Drive Auto Receivables Trust 2013-3 D AAAsf (Stable) AAsf (Positive)

Santander Drive Auto Receivables Trust 2013-3 E Asf (Positive) BBBsf (Positive)

Santander Drive Auto Receivables Trust 2013-5 D AAAsf (Stable) AAsf (Positive)

Santander Drive Auto Receivables Trust 2013-5 E AAsf (Positive) Asf (Positive)

Santander Drive Auto Receivables Trust 2014-5 C AAAsf (Stable) AAsf (Positive)

Santander Drive Auto Receivables Trust 2014-5 D AAsf (Positive) Asf (Positive)

Santander Drive Auto Receivables Trust 2014-5 E Asf (Positive) BBBsf (Positive)

Santander Drive Auto Receivables Trust 2015-4 B AAAsf (Stable) AAsf (Positive)

Santander Drive Auto Receivables Trust 2015-4 C AAsf (Positive) Asf (Positive)

Santander Drive Auto Receivables Trust 2015-4 D Asf (Positive) BBBsf (Positive)

Santander Drive Auto Receivables Trust 2016-2 B AAAsf (Stable) AAsf (Stable)

Note: All data in this report are as of June 30, 2017.

Positive Actions Not Slowing: Despite softening in

performance with losses rising slowly in many prime platforms, Fitch expects the pace of upgrades to continue throughout 3Q17.

Subprime Upgrades Continued: Regardless of

concerns in this sector, Fitch expects positive rating actions throughout the rest of 2017 to be at or near levels issued in 2016.

Related Ratings: Click here for additional data on new

ratings and related corporate ratings.

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 12

July 27, 2017

Index Methodology and Definitions

Auto Loans

Index Composition: Prime index comprises an outstanding balance of $59.7 billion, totaling 122 transactions. The subprime index comprises an outstanding balance of $42.5 billion,

totaling 160 transactions.

Delinquent Receivables: When the borrower fails to make a payment on its debt obligation by the specified due date, the outstanding debt obligation is considered delinquent.

Delinquency rates are important leading performance indicators for auto transactions, since a large portion of chargeoffs generally occurs through contractual delinquency. Fitch follows

delinquency rates on a regular basis to assess the future performance of the auto transactions.

60+ Day Delinquency Index: Measures the percentage of trust receivables associated with accounts that are 60 or more days delinquent, expressed as a non-annualized percentage of

total receivables outstanding.

Annualized Net Losses (ANL): Monthly gross losses less any recoveries expressed as an annualized percentage of the current receivables outstanding.

ANL Index: Measures the weighted average annualized monthly net losses for a set of prime/subprime Fitch-rated and non-Fitch-rated deals.

Cumulative Net Losses (CNL): Accumulated losses net of recoveries.

Month over Month (MOM): Comparison of data from previous month to current month.

Year over Year (YOY): Comparison of data from previous year to current year.

Auto Leases

Index Composition: Comprises outstanding notional balance of $28.0 billion, totaling 39 outstanding transactions.

Residual Value: The projected value of a fixed asset at maturity that is determined at lease inception.

Residual Value Loss Index: Measures monthly residual losses and gains among U.S. auto lease ABS pools originated by various domestic and foreign captive finance companies.

Periodic residual losses are calculated as the sum of all residual losses each month, divided by the securitized value of the forecast residuals returned that same month.

Residual Value Maturities: The frequency chart shows securitized residual value of returned vehicles in the index plotted against the residual value index. It also shows projected

residual lease maturities for all Fitch-rated lease transactions adjusted by each brand’s average turn-in rate.

Dealer Floorplan (DFP)

Index Composition: Comprises outstanding collateral balance of $29.6 billion from eight different master trusts.

Monthly Payment Rate (MPR): Includes monthly collections of principal paid; it is stated as a percentage of the outstanding balance as of the beginning of the month.

MPR Index: Measures the rolling three-month average MPR of a set of Fitch-rated deals.

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 13

July 27, 2017

Fitch Ratings Auto ABS Group

John Bella, Jr. Managing Director +1 212 908-0243 john.bella@fitchratings.com

Hylton N. Heard Senior Director +1 212 908-0214 hylton.heard@fitchratings.com

Du Trieu Senior Director +1 312 368-2091 du.trieu@fitchratings.com

Peter Manofsky Director +1 312 368-2068 peter.manofsky@fitchratings.com

Margaret Rowe Director +1 312 368-3167 margaret.rowe@fitchratings.com

Joyce Fargas Director +1 212 908-0824 joyce.fargas@fitchratings.com

Kate Manion Director +1 212 908-0792 kate.manion@fitchratings.com

John Alberici Associate Director +1 212 908-0370 john.alberici@fitchratings.com

Timothy McNally Associate Director +1 212 908-0870 timothy.mcnally@fitchratings.com

Puloma Mukherjee Associate Director +1 212 908-0131 puloma.mukherjee@fitchratings.com

Yun Tian Associate Director +1 212 908-0307 yun.tian@fitchratings.com

Brian Coffey Associate Director +1 212 908-0399 brian.coffey@fitchratings.com

Andrew Tinari Associate Director +1 312 368-3127 andrew.tinari@fitchratings.com

Steven Bigelow Associate Director +1 212 908-0873 steven.bigelow@fitchratings.com

Eric Orenstein Associate Director +1 212 908-0245 eric.orenstein@fitchratings.com

Cole MacKenzie Associate Director +1 212 908-0834 cole.mackenzie@fitchratings.com

Caroline Isleib Associate Analyst +1 212 908-0745 caroline.isleib@fitchratings.com

Maxwell Geier Analyst +1 312 368-3122 maxwell.geier@fitchratings.com

Index

Auto ABS Index: In the Auto ABS Driver’s Seat 2Q17 14

July 27, 2017

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTPS://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Copyright © 2017 by Fitch Ratings, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY 10004. Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings and in making other reports (including forecast information), Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch’s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch’s ratings and reports should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating or a report will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings and its reports, Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings and forecasts of financial and other information are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings and forecasts can be affected by future events or conditions that were not anticipated at the time a rating or forecast was issued or affirmed.

The information in this report is provided “as is” without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.

For Australia, New Zealand, Taiwan and South Korea only: Fitch Australia Pty Ltd holds an Australian financial services license (AFS license no. 337123) which authorizes it to provide credit ratings to wholesale clients only. Credit ratings information published by Fitch is not intended to be used by persons who are retail clients within the meaning of the Corporations Act 2001.