Fitch: Rating Stability Continues for Prime U.S. Auto ABS in April

NEW YORK--(BUSINESS WIRE)--In spite of a seasonally stronger time of the year, annualized net loss (ANL) rates on U.S. prime and subprime auto loan asset-backed securities (ABS) climbed higher in April year-over-year (YOY), though prime auto ABS rating performance continues to remain stable through the first four months of 2008, according to Fitch Ratings.

As predicted previously 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% in April, 2.2% higher than in March. ANL were 86.5% 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 in April at 0.73%, versus 0.74% posted in March. April's CNL level was approximately 18% above the level recorded in April 2007. Fitch's prime 60+ day delinquency index posted a 14% decline in April over March, dropping to 0.54% but was 26% higher than in April 2007.

In the subprime sector, 60+ days delinquencies dropped 5.8% in April over March's level, to 2.76%. However, the index was 44.5% above the level produced in April 2007. There was a slight decline of 4.5% in the subprime ANL index to 7.06%. However, subprime ANL in April were 58% above April 2007 loss levels.

It is clear that from lender's portfolios and securitizations that the 2007 vintage is producing weaker performance relative to 2006 and 2005 vintages. Contributing to this is obviously the decline in the economy, softer used vehicle values, and lending practices including longer loan term and higher loan-to-values.

However, even in light of 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.

Fitch's auto ABS indexes track a prime and subprime portfolio totaling approximately $64 billion, of which 66% comprises prime auto ABS and the remaining 34% subprime.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.