May remittance reports showed weaker credit performance across securitized prime and non-prime auto loan pools during the April collection period. Annualized net losses (ANL) in KBRA’s prime auto loan index increased 2 basis points (bps) month-over-month (MoM) and 22 bps year-over-year (YoY) to 0.32%, while 60+ day delinquencies climbed 4 bps MoM and 7 bps YoY to 0.38% (see Figure 1). Similarly, ANLs in KBRA’s non-prime index were up 37 bps MoM and 220 bps YoY, coming in at 5.86%, while non-prime 60+ day delinquencies climbed 30 bps versus the previous month and 77 bps versus year-ago levels, hitting 4.71% in May (see Figure 2).
With used vehicle prices1 down 3% MoM in April (as measured by the Manheim Used Vehicle Value Index), recovery rates in our prime and non-prime indices landed at 56.2% and 50.3%, respectively, posting a decline of 1.2 percentage points (ppt) MoM in the prime index and 4.2 ppts MoM in the non-prime index (see Figure 9 and…