NEW YORK — As subprime auto ABS metrics softened a bit,
Fitch Ratings noticed net loss levels for U.S. prime auto ABS dropped for the
fourth straight month.

Analysts said that continued low delinquencies are signaling
firm footing for overall asset performance heading into the slower summer
months.

"Factors contributing to solid auto ABS asset performance to
date this year include a slowly recovering jobs market, positive momentum for
housing values, and a relatively healthy wholesale vehicle market," Fitch said.

"That said, the Federal Reserve's recently announced intent
to pull back support for the U.S. economy may result in softer auto ABS
performance during the summer if job growth stalls and consumer finances
suffer," the firm continued.

Analysts found that prime 60-day delinquencies came in at
0.29 percent in May, the lowest level seen in the last 10 years and unchanged
month-over-month. The rate in May was also 24 percent improved year-over-year.

Fitch indicated prime annualized net losses posted a strong
30-percent drop in May over April, decreasing to 0.17 percent. This rate was
the second lowest level ever recorded and the same as in April last year, and
5.6 percent below that of May of last year.

The record low for the index was 0.14 percent recorded last June.

Fitch noticed that prime cumulative net losses continued to
linger around the 0.30-percent mark, and were at 0.29 percent in May virtually
unchanged versus April. The index has been at this range now for eight
consecutive months.

Meanwhile on the subprime side, Fitch determined 60-day
delinquencies increased in May to 2.75 percent, up 2.6 percent month-over-month
and 5.8 percent year-over-year.

Subprime annualized net losses declined to 3.84 percent in
May, down 6.3 percent month-over-month but rose by about 2 percent
year-over-year.

Fitch recapped the wholesale vehicle market softened in May
as the Manheim Used Vehicle Value index declined to 119.1, sliding lower for
the fifth consecutive month. May's dip over April (119.2) was minimal, and the
index was nearly 5 percent lower versus May 2012.

"However, Fitch believes the auto sector is in good shape to
withstand a slowdown in 2013 with both prime delinquencies and losses at low
levels," analysts said. "As such, Fitch does not envision any ratings impact
and has a positive outlook for ratings performance in 2013.

"On the ratings front, Fitch upgraded 18 prime outstanding
classes of notes in 2013 year-to-date, up from 16 issued during the same period
in 2012," they continued.

Fitch reiterated that its prime and subprime auto ABS
indices are comprised of $68.7 billion of outstanding notes issued from 126
outstanding transactions. Of this amount, 71 percent comprise prime auto loan
ABS and the remaining 29 percent subprime ABS.

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