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U.S. Auto ABS Delinquencies Hit 10-Year High, Reports Fitch

February 19, 2008

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

Fitch’s prime 60-plus delinquency index was 0.77 percent in January 2008, representing a 10-year high after jumping 11.6 percent higher vs. the prior month, and 44 percent higher than a year ago. Subprime delinquencies sped through the 4 percent level for the first time since late 1997 reaching 4.03 percent last month, a 10 percent jump vs. December 2007, while rising 43 percent vs. January 2007.

Fitch’s prime auto ABS annualized net loss (ANL) index was at 1.28 percent in January 2008, a 4.5 percent decline over December 2007, but 44 percent higher than in January 2007. Meanwhile, subprime ANL were 8.48 percent in January, a 12 percent 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 percent 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 nonprime deal issued in January.

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