-

KBRA Releases Research – Auto Loan ABS: Why Borrower Pockets Matter More Than Pool Averages

NEW YORK--(BUSINESS WIRE)--KBRA releases research examining the increasingly asymmetric performance of auto loan ABS across borrower credit profiles. Stronger borrowers have remained comparatively resilient, while borrowers with weaker credit profiles and higher payment burdens have accounted for a disproportionate share of delinquencies and losses. Pool-level averages such as weighted average (WA) credit score and WA payment-to-income (PTI) remain useful first-level indicators of a securitized pool’s credit quality, but they can obscure risk concentrations within borrower subgroups. As a result, the more revealing question is not only what the average borrower looks like, but how much of the pool is exposed to borrower pockets that have experienced the greatest performance deterioration.

Key Takeaways

  • Auto loan ABS performance has become increasingly asymmetric. Since 2022, 60+ day delinquencies (DQ) and annualized net losses (ANL) increased across borrower segments, but deterioration was far more pronounced among Mixed, Stretched, and Stressed borrowers than among Resilient and Stable borrowers.
  • High-risk borrowers carry a disproportionate share of credit stress. In 2026, Mixed, Stretched, and Stressed borrowers represented 37.4% of outstanding loan amounts but accounted for 81.5% of 60+ DQ burden and 80.5% of ANL burden.
  • Pool-level averages remain important, but distributional measures provide important additional context. The share of borrowers in higher risk factor (RF) segments can help identify where risk is concentrated within a pool.

Click here to view the report.

About KBRA

KBRA, one of the major credit rating agencies, is registered in the U.S., EU, and the UK. KBRA is recognized as a Qualified Rating Agency in Taiwan, and is also a Designated Rating Organization for structured finance ratings in Canada. As a full-service credit rating agency, investors can use KBRA ratings for regulatory capital purposes in multiple jurisdictions.

Doc ID: 1016191

Contacts

Brian Ford, Managing Director
+1 646-731-2329
brian.ford@kbra.com

Brajean Ramos, Associate
+1 646-731-2417
brajean.ramos@kbra.com

Media Contact

Adam Tempkin, Senior Director of Communications
+1 646-731-1347
adam.tempkin@kbra.com

Kroll Bond Rating Agency, LLC

Details
Headquarters: New York City, New York
CEO: Jim Nadler
Employees: 400+
Organization: PRI

Release Versions

Contacts

Brian Ford, Managing Director
+1 646-731-2329
brian.ford@kbra.com

Brajean Ramos, Associate
+1 646-731-2417
brajean.ramos@kbra.com

Media Contact

Adam Tempkin, Senior Director of Communications
+1 646-731-1347
adam.tempkin@kbra.com

Social Media Profiles
More News From Kroll Bond Rating Agency, LLC

KBRA Assigns Preliminary Ratings to SMRT 2026-MINI

NEW YORK--(BUSINESS WIRE)--KBRA announces the assignment of preliminary ratings to four classes of SMRT 2026-MINI, a CMBS single-borrower securitization. The collateral for the transaction is a $2.125 billion floating rate, interest-only mortgage loan. The loan is expected to have a two-year initial term with three, 12-month extension options and will require monthly interest-only payments based on one-month Term SOFR plus an assumed spread of 2.30%. The loan will be secured by the borrower’s f...

KBRA Assigns Preliminary Ratings to Pagaya AI Debt Grantor Trust 2026-6 and Pagaya AI Debt Trust 2026-6

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to 13 classes of notes issued by Pagaya AI Debt Grantor Trust 2026-6 and Pagaya AI Debt Trust 2026-6, collectively “PAID 2026-6,” an unsecured consumer loan ABS transaction. PAID 2026-6 has initial hard credit enhancement levels ranging from 80.57% for the Class A-1 Notes to 3.72% for the Class F-2 Notes. Credit enhancement is comprised of overcollateralization, subordination, except for the Class F-2 Notes, cash reserve accounts funde...

KBRA Assigns Preliminary Ratings to BINOM Mortgage Loan Trust 2026-NQM2 (BINOM 2026-NQM2)

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to 11 classes of mortgage-backed notes from BINOM 2026-NQM2 Trust, an RMBS transaction issued by SLC BINOM Sponsor LLC as seller/sponsor which includes a meaningful concentration of collateral that KBRA considers to be “non-prime.” The $328.8 million RMBS transaction is collateralized by a pool of 683 residential mortgages, with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 98.4% and 1.6% of the pool...
Back to Newsroom