January remittance reports showed rising annualized net losses and delinquency rates, coupled with declining recovery rates across securitized prime and non-prime auto loan pools during the December collection period. Annualized net losses in our prime index increased 5 basis points (bps) month-over-month (MoM) and 22 bps year-over-year (YoY) to 0.68%, while prime delinquencies (60+ days) rose 4 bps MoM and 10 bps YoY to 0.58% (see Figure 1). In KBRA’s non-prime index, annualized net losses landed at 9.24%, rising 2 bps MoM and 76 bps YoY, while the percentage of borrowers 60+ days past due climbed 24 bps MoM and 35 bps YoY, arriving at 6.12% (see Figure 2). Meanwhile, as used vehicle values continue to fall1 , recovery rates declined across both indices (see Figure 9 and Figure 10).
On an absolute basis, annualized net losses and delinquencies should be consistent with seasonal trends and likely begin to improve in the coming months, as borrowers…