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Fitch: Prime Auto ABS Ratings Stable in April

May 11, 2008

New York Prime auto ABS rating performance remained stable through the first 4 months of 2008, despite the year-over-year increase in April of annualized net loss rates on prime and subprime auto loan asset-backed securities, according to Fitch Ratings.

As predicted by Fitch, incoming tax refunds and rebates did little to alleviate current loss levels recorded in April but are still incoming.

Prime ANL were at 1.38 percent in April, 2.2 percent higher than in March. ANL were 86.5 percent higher in April versus April 2007, the highest YOY level recorded by the index in more than eight years.

Cumulative net losses (CNL) remained relatively unchanged from March to April, but was nearly 18 percent above the level recorded in April 2007.

Fitch’s prime 60+ day delinquency index posted a 14 percent decline in April over March, but was 26 percent higher than in April 2007.

In the subprime sector, 60+ days delinquencies dropped 5.8 percent in April from March’s level, to 2.76 percent. However, the index was 44.5 percent above the level produced in April 2007. There was a slight decline in the subprime ANL index to 7.06 percent, which was still 58 percent above April 2007 loss levels.

Based on lenders' portfolios and securitizations the 2007 vintage is producing weaker performance relative to 2006 and 2005 vintages. The poor showing is due to the decline in the economy, softer used vehicle values, and lending practices including longer loan term and higher loan-to-values.

Despite the declining asset performance in auto ABS, rating performance in the prime auto ABS sector continues to remain stable although the rate of positive rating actions has declined in 2008 when compared to 2007. In early May, Fitch upgraded four classes of two prime auto ABS transactions.

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