Credit performance in KBRA’s Prime and Non-Prime U.S. Auto Loan ABS Indices deteriorated in January, with all major performance metrics worsening month-over-month (MoM). In the prime index, the net loss rate as well as early- (30–59 days) and late-stage (60+ days) delinquencies jumped 7 basis points (bps), 11 bps, and 3 bps MoM, respectively. Notably, the prime index's net loss rate of 0.82% is the highest level recorded since February 2018. Similar deterioration was observed in the non-prime index, with the annualized net loss rate reaching 10.9%, a 27-bp increase MoM, and both delinquency buckets posting comparable increases.
The same weaker trend is evident on a year-over-year (YoY) basis. The prime index recorded YoY increases broadly in line with its MoM moves, while the non-prime index experienced more pronounced weakening, with net losses and both early- and late-stage delinquencies rising at least 76 bps.
Figures 1-14 show performance metrics over the last nine…
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