ASF 2006Retail Auto ABS Sector Review

Joseph Astorina, Associate Director – Barclays Capital

Susan Sheffield, Senior Vice President – AmeriCredit Corp.

Thomas Reese, Vice President – Hartford Investment Mgmt Co.

Kumar Kanthan, Managing Director – Moody’s Investors Service

Sam Smith, Manager – Ford Motor Company

Speakers:

2

Discussion Topics

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

3

Susan SheffieldSenior Vice President

AmeriCredit Corp.

Sam SmithManager

Ford Motor Company

Thomas ReeseVice President

Hartford Investment Mgmt Co.

Kumar KanthanManaging Director

Moody’s Investors Service

Joseph AstorinaAssociate DirectorBarclays Capital

Retail Auto ABS Sector Review Panelists – ASF 2006

4

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

5

Prime Auto Loan ABS Volume(Public Term Issuance)

0

10

20

30

40

50

60

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

$ V

olu

me i

n B

illi

on

s

0

10

20

30

40

50

60

Nu

mb

er

of

Deals

$ Volume No. of DealsSource: Moody’s Investors Service.

6

Prime Auto Loan ABS Volume(Public Term Issuance)

0

5

10

15

20

25

30

$ V

olu

me

in

Bil

lio

ns

Big 3Foreign CaptivesBanksOther

Source: Moody’s Investors Service.

7

Subprime Auto Loan ABS Volume (Public Term Issuance)

0

5

10

15

20

25

30

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005

$ V

olu

me i

n B

illi

on

s

0

25

50

75

Nu

mb

er

of

Deals

$ Volume No. of DealsSource: Moody’s Investors Service.

8

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

Year

over

Year

% C

han

ge

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

De

c-0

0

De

c-0

1

De

c-0

2

De

c-0

3

De

c-0

4

3-M

on

th A

vera

ge

YoY% Change 3-Mo Average

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

De

c-0

0

De

c-0

1

De

c-0

2

De

c-0

3

De

c-0

4

YoY% Change 3-Mo Average

Prime Auto Loan ABS Credit Performance (Moody’s Annualized Net Loss Index)

Source: Moody’s Investors Service.

9

Prime Auto Loan ABS Credit Performance (Cumulative Net Loss – Moody’s Deal Vintage Analysis)

0.00

0.50

1.00

1.50

2.00

2.50

6 12 18 24 30

Seasoning (Months Since Closing)

Cu

mu

lati

ve

Ne

t L

os

s (

%)

Y2000Y2001Y2002Y2003Y2004Y2005

Source: Moody’s Investors Service.

10

Prime Auto Loan ABS Credit Performance (60+ Delinquency – Moody’s Deal Vintage Analysis)

0.000.100.200.300.400.500.600.700.800.901.00

6 12 18 24 30

Seasoning (Months Since Closing)

De

lin

qu

en

cy

60

+ D

ay

s (

%)

Y2000Y2001Y2002Y2003Y2004Y2005

Source: Moody’s Investors Service.

11

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Year

over

Year

% C

han

ge

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%D

ec-0

0

De

c-0

1

De

c-0

2

De

c-0

3

De

c-0

4

3-M

on

th A

vera

ge

YoY% Change 3-Mo Average

Sub-prime Auto Loan ABS Credit Performance (Moody’s Annualized Net Loss Index)

Source: Moody’s Investors Service.

12

Sub-prime Auto Loan ABS Credit Performance (Cumulative Net Loss – Moody’s Deal Vintage Analysis)

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

6 12 18 24 30 36

Seasoning (Months Since Closing)

Cu

mu

lati

ve

Ne

t L

os

s (

%)

Y2000Y2001Y2002Y2003Y2004Y2005

Source: Moody’s Investors Service.

13

Sub-prime Auto Loan ABS Credit Performance (60+ Delinquency – Moody’s Deal Vintage Analysis)

0.000.501.001.502.002.503.003.504.004.505.00

6 12 18 24 30 36

Seasoning (Months Since Closing)

De

lin

qu

en

cy 6

0+

Da

ys (

%)

Y2000Y2001Y2002Y2003Y2004Y2005

Source: Moody’s Investors Service.

14

US Retail Auto ABS Performance Metrics

Source: Manheim Auctions.

Manheim Used Vehicle Value Index

90

95

100

105

110

115

120

Dec 00 Jun 01 Dec 01 Jun 02 Dec 02 Jun 03 Dec 03 Jun 04 Dec 04 Jun 05 Dec 05

Audience Participation Question #1:

a. Used car market/manufacturer incentives

b. Oil/gas prices

c. Seller/servicer risk

d. US consumer/economy

e. Other

f. What is this guy talking about, I thought this was the CC panel!

What do you see as the biggest risk to retail auto ABS collateral performance in 2006?

16

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

17

US Retail Auto ABS Performance MetricsAuto ABS Prepayment Speeds versus Interest Rates

Source: Intex, Barclays Capital.

0.5%

0.7%

0.9%

1.1%

1.3%

1.5%

1.7%

1.9%

2.1%

Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05 Jan 06

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%Prime Non-Prime Sub-Prime New Car Loan Interest Rates

18

US Retail Auto ABS Performance Metrics

Source: Intex, Barclays Capital.

Auto ABS Prepayment Speeds versus Manufacturer Incentives

0.5%

0.7%

0.9%

1.1%

1.3%

1.5%

1.7%

1.9%

2.1%

Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05 Jan 06

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

$3,500Prime Non-Prime Sub-Prime Industry Average Incentive

19

US Retail Auto ABS Performance Metrics

Source: Intex, Barclays Capital.

Historical ABS Prepayment Speeds

0.5%

0.7%

0.9%

1.1%

1.3%

1.5%

1.7%

1.9%

2.1%

Jan 04 Apr 04 Jul 04 Oct 04 Jan 05 Apr 05 Jul 05 Oct 05 Jan 06

Prime Non-Prime Sub-Prime

Audience Participation Question #2:

a. Yes

b. No

c. Sometimes

d. I don’t know

e. I don’t care

Do you think prepayment pricing assumptions reflect true collateral performance?

21

1.0

1.2

1.4

1.6

1.8

2.0

2.2

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35

Prime Issuer 1 Prime Issuer 2

Prime Issuer 3 1.5 ABS Pricing Assumption

US Retail Auto ABS Performance Metrics

Source: Barclays Capital.

Historical Speeds and Pricing Assumptions – Selected Prime Transactions

1.5 ABS

22

1.0

1.2

1.4

1.6

1.8

2.0

2.2

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35

Sub-Prime Issuer 1Sub-Prime Issuer 21.7 ABS Pricing Assumption

US Retail Auto ABS Performance Metrics

Source: Barclays Capital.

Historical Speeds and Pricing Assumptions – Selected Non-Prime Transactions

1.7 ABS

23

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

24

US Retail Auto ABS Performance Metrics

Source: Barclays Capital.

Historical Spreads: AAA Prime versus AAA Non-Prime

-5

5

15

25

35

45

55

Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05

1 Yr Prime 2 Yr Prime 3 Yr Prime

1 Yr Non-Prime 2 Yr Non-Prime 3 Yr Non-Prime

25

US Retail Auto ABS Performance Metrics

Source: Barclays Capital.

Historical Spreads: Senior versus Subordinate

-5

45

95

145

195

245

Jan 03 May 03 Sep 03 Jan 04 May 04 Sep 04 Jan 05 May 05 Sep 05

AAA Prime A Prime BBB Prime

AAA Non-Prime A Non-Prime BBB Non-Prime

26

US Retail Auto ABS Performance Metrics

Source: Barclays Capital.

Historical Spreads Differentials: Prime versus Non-Prime

0

5

10

15

20

25

30

35

40

45

50

Jan 01 Jul 01 Jan 02 Jul 02 Jan 03 Jul 03 Jan 04 Jul 04 Jan 05 Jul 05

1 yr AAA 2 yr AAA 3 yr AAA

Audience Participation Question #3:

a. Absolutely, the risks and rewards are commensurate

b. No way, we need more spread

c. Depends on the name

Are investors being adequately compensated for going down in credit or down the capital structure?

28

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

29

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

30

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

31

Issuance and Performance Review and Outlook

Prepayments

Pricing and Valuation of Retail Auto ABS

Market Developments

Regulation AB

Predictions for 2006

Q & A

Discussion Topics

32

Susan SheffieldSenior Vice President

AmeriCredit Corp.

Sam SmithManager

Ford Motor Company

Thomas ReeseVice President

Hartford Investment Mgmt Co.

Kumar KanthanManaging Director

Moody’s Investors Service

Joseph AstorinaAssociate DirectorBarclays Capital

Retail Auto ABS Sector Review Panelists – ASF 2006

33

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