On Friday, Kroll Bond Rating Agency shared its latest analysis of the auto asset-backed securities market, noting that May showed mixed credit performance across securitized marketplace.
Analysts reported that annualized net losses in KBRA’s Tier 1 index fell 95 basis points month-over-month but rose 87 basis points year-over-year to 5.06%. KBRA pointed out 60-day delinquency rates increased 8 basis points month-over-month and 23 basis points to 1.28%.
Analysts also determined KBRA’s Tier 2 index showed a similar pattern, with index losses falling 49 basis points month-over-month but rising 38 basis points year-over-year to 11.22%. The number of borrowers 60 days or more past due increased to 2.59%, up 23 basis points versus April and 12 basis points versus May of last year.
Finally, analysts found that annualized net losses in KBRA’s Tier 3 index rose 253 basis points month-over-month to 18.25%, driven by weaker performance in Avant’s 2018 vintage pools. However, KBRA noted that performance remained strong on a year-over-year basis.
Meanwhile, 60-day delinquencies came in at 3.72%, flat compared to the previous month and down 63 basis points versus last year.
KBRA reiterated that contracts in Tier 1 typically include consumers who have weighted average FICO scores between 710 and 740. In Tier 2, those consumer FICO scores often land between 680 and 710, while within Tier 3, they are usually between 630 and 660.
“With the tax refund season now behind us, we expect performance to slowly deteriorate through the summer months,” said Brian Ford, who oversees structured finance research for KBRA in the latest report that’s available here.