Moody’s SubPrime Auto Loan Index Rises

The cumulative net charge offs of the subprime auto loans underlying certain asset-backed securities (ABS) was 6.52 percent in August, according to Moody's Investors Service in its most recent Subprime Auto Loan Credit Index.

The historic average for cumulative net charge offs for this group of ABS is approximately 6.6%, according to Moody’s "U.S. Subprime Auto Loan Credit Indexes: August 2007."

Moody’s tracks three subprime auto-loan pools – the all pools, the low-loss and the high-loss. The low-loss pool in August decreased 1.8 percent from July, reaching a cumulative charge off rate of 2.63 percent. The high-loss pool in August rose 1.6 percent to a net charge off rate of 7.60 percent while the all-pools index rose 1.5 percent to 6.52 percent

Moody's Subprime Auto Loan Credit Index tracks the aggregate performance of 102 loan pools backing securitizations valued at nearly $81 billion of nationally diversified subprime auto loans that back Moody's-rated securities. Of that, 20 issues representing $17.9 billion are low-loss pools and the remainder are high-loss pools.