Auto Loan Indices: December 2022

December remittance reports showed mixed credit performance across securitized prime and non-prime auto loan pools during the November collection period. Annualized net losses (ANL) in our prime index improved 7 basis points (bps) month-over-month (MoM) but rose 12 bps year-over-year (YoY) to 0.35%, while KBRA’s non-prime index ANLs moved up 19 bps MoM and 349 bps YoY, arriving at 8.02%. Meanwhile, 60+ day delinquency rates ticked up for the second straight month in both indices, rising 6 bps MoM and 9 bps YoY to 0.44% in our prime index, while climbing 33 bps MoM and 114 bps YoY to 5.62% in our non-prime index (see Figure 1 and Figure 2). Recovery rates in KBRA’s prime index improved 4.7 percentage points (ppts) MoM but declined 4.1 ppts YoY, coming in at 53.29%, but fell 2.3 ppts MoM and 13.1 ppts YoY to 40.99% in our non-prime index (see Figure 9 and Figure 10). Differences in absolute recovery rates and recovery rate trends are attributed to a variety of factors, including…