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