Fitch Rates Ally Auto Receivables Trust 2016-1
--$200,000,000 class A-1 notes 'F1+sf';
--$236,000,000 class A-2a notes 'AAAsf'; Outlook Stable;
--$140,000,000 class A-2b notes 'AAAsf'; Outlook Stable;
--$321,000,000 class A-3 notes 'AAAsf'; Outlook Stable;
--$98,300,000 class A-4 notes 'AAAsf'; Outlook Stable;
--$22,140,000 class B notes 'AAsf'; Outlook Stable;
--$18,450,000 class C notes 'Asf'; Outlook Stable;
--$13,710,000 class D notes 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS
Stable Collateral Quality: The 2016-1 collateral is comparable to that of the last three transactions. While these more recent pools have seen a decline in weighted-average (WA) FICO scores and marginally higher annual percentage rates (APRs), there have been positive shifts such as lower loan-to-value ratios (LTVs), stable new vehicle concentration, and decrease in longer term loans.
Credit Enhancement: Initial hard credit enhancement (CE) is unchanged from the prior four transactions, with 5.85% in hard CE for the class A notes. Excess spread per annum is 2.20%, consistent with the 2015-2 (NR) transaction and down 0.05% from the rated 2014-3 transaction.
Strong Portfolio/Securitization Performance: Ally's 2009-2015 portfolio and securitization delinquencies and losses continue to perform well and remain at low historical levels through 3Q15.
Consistent Origination/Underwriting/Servicing: Fitch currently rates Ally Financial 'BB+' with a Stable Rating Outlook. Ally demonstrates solid capabilities as an originator, underwriter, and servicer, as evidenced by its historical portfolio and securitization performance. Fitch deems Ally capable of adequately servicing 2016-1.
Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of Ally would not impair the timeliness of payments on the securities.
Evolving Wholesale Vehicle Market: The U.S. wholesale vehicle market (WVM) is normalizing following strong performance in recent years. Fitch expects increasing used vehicle supply from off-lease vehicles and trade-ins to pressure ABS recovery rates, leading to moderately higher loss severity. Fitch's analysis accounts for this risk by including periods of weak WVM performance in the derivation of its base case loss expectation.
RATING SENSITIVITIES
Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to all classes of 2016-1 to increased losses over the life of the transaction. Fitch's analysis found that the notes display limited sensitivity to increased defaults and losses, showing no expected impact on the rating of the class A notes under Fitch's moderate (1.5x base case loss) scenario. The notes could experience a downgrade of one or more rating categories under Fitch's severe (2.5x base case loss) scenario.
Key Rating Drivers and Rating Sensitivities are further detailed in the presale report published Jan. 6, 2016 and available at 'www.fitchratings.com' or by clicking on the above link.
DUE DILIGENCE USAGE
Fitch was provided with third-party due diligence information from Deloitte & Touche LLP. The third-party due diligence focused on comparing or recomputing certain information with respect to 202 loans from the computer generated automobile loan data file. Fitch considered this information in its analysis, and the findings did not have an impact on our analysis. A copy of the ABS Due Diligence Form-15E received by Fitch in connection with this transaction may be obtained through the link contained on the bottom of the related rating action commentary.
Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in Ally Auto Receivables Trust 2016-1 -- Appendix'. These R&W are compared to those of typical R&W for the asset class as detailed in Fitch's Jan. 6, 2016 special report, 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions'.
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