NEW YORK — The most recent index results from Fitch Ratings
indicated U.S. auto ABS loss rates rose 12 percent from levels seen in August,
though performance was notably stronger in September than in past years to
close out the third quarter.

Despite the uptick in losses, analysts said September's low
loss levels underscore the strength of current prime auto loan ABS. They noted
the sector continues to be bolstered by solid borrower credit profiles present
in securitized auto loan pools, a strong wholesale vehicle market and the
gradually improving U.S. economy.

Fitch determined prime 60-plus day delinquencies were 0.39
percent in September, up slightly from 0.37 percent in August, though a 30-percent
improvement from the previous year before.

The firm noticed annualized net losses (ANL) moved up
slightly to 0.28 percent in September from 0.25 percent recorded in the prior
month, but improved 50 percent year-over-year, exhibiting the current strong
seasonal performance.

Analysts also pointed out cumulative net losses (CNL) were
unchanged at 0.32 percent in September from the prior month, the lowest
recorded level for September since 2002. This performance is a 50 percent
improvement from September of last year.

Fitch determined the subprime sector saw marginally weaker
levels in September.

Analysts found subprime 60-plus day delinquencies rose 7.4
percent in September to 3.48 percent versus August's level and were 9.4 percent
above 2011.

The firm also spotted that loss performance declined
slightly with ANL rising 6.2 percent month-over-month to 5.65 percent in September,
but was 12 percent lower than a year earlier.

Fitch conceded that used-vehicle values were surprisingly
flat in September, "which is not typically the case during this time of the
year which normally sees weaker values as dealers discount older models to make
room for new models.

"This impacts loss severity and ultimately losses," analysts
added.

The Manheim Used Vehicle Value Index was flat last month at
120.7, ending five consecutive months of decline.

"Despite the recent softness, wholesale vehicle values
remain healthy going into the fourth quarter of 2012," Fitch said.

Fitch's auto ABS indices comprise of $65.91 billion of
outstanding notes issued from 121 transactions. Of this amount, 77 percent
comprise prime auto loan ABS and the remaining 23 percent subprime ABS.

"Fitch's outlook for the rest of 2012 for prime asset
performance is stable, and ratings performance outlook is positive for prime
auto," the firm said.