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U.S. Auto ABS Delinquencies Speed to 10-Year Highs in January, Fitch Reports

February 20, 2008

New York — 60+ day delinquencies in U.S. prime and subprime auto asset-backed securities (ABS) accelerated in January 2008 hitting the highest levels in 10 years, according to Fitch Ratings.

Fitch's prime 60+ delinquency index was 0.77% in January 2008,

representing a 10-year high after jumping 11.6% higher versus the prior month, and 44% higher than a year ago. Subprime delinquencies sped through the 4% level for the first time since late 1997 reaching 4.03% last month, a 10% jump versus December 2007, while rising 43% versus January 2007.

Fitch's prime auto ABS annualized net loss (ANL) index was at 1.28% in January 2008, a 4.5% decline over December 2007, but 44% higher than in January 2007. Meanwhile, subprime ANL were 8.48% in January, a 12% increase over December 2007, and the highest level since January 2007.

When looking back to 2002, January's prime and subprime delinquency levels were well above levels produced in each of the preceding six years. "Of particular concern regarding both delinquency and ANL performance, is that the average rate of monthly and yearly increases produced by the indexes over the past year has been has been ticking-up at a faster pace each

month without any slowdown," said Director Hylton Heard. "Besides the upcoming seasonally stronger period when consumers start to receive their tax refunds, there appears to be few positive factors present that can potentially slow the recent weakening trend in delinquency and loss performance in coming months."

Auto loan ABS issuance bounced back in January 2008 following the recent year-end slowdown with $5.85 billion coming to market, a 69% surge versus January 2007. Five prime auto loan deals were issued totaling $5.4 billion which included transactions issued by USAA, Carmax, Nissan, Ford Credit, and GMAC. A $440 million deal sold by Wachovia accounted for the only non-prime deal issued in January.

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