Fitch: Annualized Net Losses on U.S. Prime Auto Loan ABS Improves 18.1% in February

NEW YORK--March 31, 2005--Annualized net losses (ANL) on prime auto loan asset-backed securities (ABS) dropped 18.1% in February to 1.08%, the lowest level since June of 2004, and 22.3% lower than February 2004, according to 'In the Auto ABS Driver's Seat,' a recently released Fitch Ratings newsletter. Performance is being aided by improved wholesale vehicle values, when compared with that of one year ago, along with healthier, albeit somewhat inconsistent economic data.

Delinquencies of 60 days or more on prime auto loan ABS were virtually unchanged in February at 0.60%, down from January's 0.61%. This is a 9.1% drop from one year ago. Cumulative net losses (CNL) were 0.93% in February, down from 0.94% in January, and an 8% drop from February 2004.

In the subprime market, delinquencies of 60 days or more dropped 6.1% in February from January to 2.94% and are 5.8% lower than in 2004. ANL climbed 3.9% in February to 7.75% but remains 12.8% lower than in 2004.

Wholesale vehicle values have posted six months of gains, resulting in improved performance on auto loan ABS. The supply of used vehicles is down from one year ago, while the economy is producing positive labor market trends spurring used vehicle retail demand. New car pricing has risen of late while incentives have declined somewhat, putting less pressure on used vehicle values. These factors, amongst others, have helped strengthen wholesale vehicle values.

Historically, the coming spring months are seasonally stronger as households benefit from arriving tax refunds, according to Hylton Heard, Associate Director at Fitch. Consumers will have extra cash on hand to help pay their auto loans down, aiding loss frequency, and also spurring used retail demand in coming months.

The latest edition of 'In the Auto ABS Driver's Seat,' a monthly newsletter that tracks retail auto loan performance, auto industry trends, and developments in the auto ABS securitization market, is available on the Fitch Ratings web site at www.fitchratings.com in the 'Structured Finance' sector page under 'ABS' in the 'Newsletters' section.