NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) released its monthly auto loan indices for the month January. In addition to reporting annualized net losses and 60+ day delinquencies, KBRA will now include index severity rates, prepayment speeds, deal age, and loan age in the data release.
The accompanying commentary highlights the fact that auto loan ABS collateral performance weakened in January (as shown in December remittance reports). The increase in delinquency and loss rates was driven primarily by a shift in issuer composition. However, elevated severity rates also played a role in driving net losses higher in both our Prime and Non-Prime Indices. We expect auto loan delinquency and loss rates to remain elevated for one more month, before beginning a downward trend in March (February collection period), as borrowers begin to receive tax refunds, providing an additional source of cash flow to help them pay their auto loans.
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KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.