NEW YORK — Fitch Ratings' latest index results indicated seasonal
patterns drove losses on both U.S. prime and subprime auto loan ABS higher last
month.

Despite this trend, Fitch expects prime asset performance to
remain strong in 2013. However, losses will normalize and increase off of
record low rates recorded in 2012 throughout the course of the year.

Analysts found prime losses closed out 2012 within
historically low levels and 18 percent below the rate seen in December of 2011.
Fitch predicted cumulative net losses in the range of 0.50 percent to 1.20
percent in 2013 (within range of the 2004–2005 vintages).

Fitch determined factors supporting performance this year
include healthy used vehicle values albeit at marginally lower values, and
continued strong performance of the 2009–2012 vintage transactions.

Fitch's 2013 outlook for ratings performance is positive.

"Fitch expects the number of positive rating actions to
increase this year given the higher number of transactions coming up for
review," analysts said. "Strong asset performance with lower-than-projected
loss rates will also help spur upgrades and potentially outlook revisions."

The firm discovered prime 60-day delinquencies rose 8.3
percent to 0.39 percent in December from 0.36 percent seen during the previous
month. Fitch pointed out prime auto ABS delinquencies were still 22 percent
improved year-over-year.

Analysts went on to mention prime annualized net losses rose
11.1 percent month-over-month to 0.40 percent in December, still well below the
rate in December 2011. They added prime cumulative net losses remained flat month-over-month
at 0.29 percent in December, recording a solid 46.3 percent improvement over
the same period in 2011.

Meanwhile, Fitch found subprime auto ABS displayed some
weakness during the latter half of 2012.

Subprime 60-day delinquencies moved up 3.1 percent
month-over-month to 3.64 percent in December and were 14.1 percent higher year-over-year,
according to Fitch.

Analysts said subprime annualized net losses climbed to 6.92
percent in December (the seventh consecutive increase) and came in 8.8 percent
above December 2011.

Fitch pointed out the December rate was the highest annualized
net losses rate in more than a year (November 2011).

"Subprime losses, outside seasonal trends, are more prone to
volatility due to the weaker credit metrics prevalent in this sector," analysts
said. "Marginally weaker asset performance along with slightly looser
underwriting in recently issued transactions contributed to higher loss rates.

Despite the rise in subprime annualized net losses in late
2012, overall loss rates in the 2009-2011 vintages are still well below the
2006-2008 vintage losses," they continued. "Further, upcoming tax refunds will
support obligors who typically use this income to pay down debts which supports
performance in the coming spring months."

As mentioned, Fitch indicated used-vehicle values were
healthy as last year closed and consumer demand strong as sales levels remained
elevated relative to 2011.

The Manheim Used Vehicle Value Index ended the year at
124.1, up 1.2 percent from 122.6 in November.

"Inventory levels of new vehicles dropped in December over
November, while incentives were low historically, supporting used vehicle
values," analysts said.

Fitch's auto ABS indices comprise of $63.86 billion of
outstanding notes issued from 117 transactions. Of this amount, 75 percent
comprise prime auto loan ABS and the remaining 25 percent subprime ABS.

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