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.

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