KBRA Releases Research Report on the Rise in Auto Loan ABS Loss Rates

Kroll Bond Rating Agency (KBRA) has released a new Structured Finance research report titled "U.S. Auto Market Update: Deconstructing Headline Loss Rates." The report makes the following key points:

• Much of the deterioration in Auto Loan ABS fundamentals can be attributed to mix shift; however, as the used car market has softened, we have seen incremental deterioration on an issuer-by-issuer basis.
• We think used car prices remain vulnerable to a confluence of factors, including excess OEM production and dealer inventory, elevated new-car price incentives, and growing off-lease vehicle supply. Our expectation is for continued softening in the used-car market through 2017 and 2018, which will likely continue to place pressure on auto loan loss rates as severities remain elevated.
• Despite rising losses, risks remain well contained and investors are well protected, in our view, given that these securitizations continue to benefit from robust credit protection.

Related Publications: (available at www.kbra.com)

• Food for Thought - Opportunities in Whole Business Securitization
• Shifting Gears - Analysis of Auto Loan & ABS Trends

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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

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