January remittance reports showed credit performance continued to deteriorate across securitized prime and non-prime auto loan pools during the December collection period. Annualized net losses (ANL) in KBRA’s prime auto loan index increased 8 basis points (bps) month-over-month (MoM) and 17 bps year-over-year (YoY) to 0.43%, while 60+ day delinquencies (DQ) came in at 0.45%, an increase of 1 bps versus the previous month and up 10 bps compared to year-ago levels (see Figure 1). KBRA’s non-prime auto loan index logged its eighth consecutive monthly increase in net losses, with non-prime ANLs rising 31 bps MoM and 289 bps YoY to 8.33%, while 60+ DQs climbed 26 bps MoM and 100 bps YoY, to 5.88% (see Figure 2).
Although used vehicle values posted a modest rebound in December and January, prices declined in nine of the 10 preceding months and are now 10%-15% lower compared to the start of 2022.1 As we would expect, this had a negative impact on auto…