Annualized net losses increased in KBRA’s Prime and Non-Prime U.S. Auto Loan ABS Indices during the month, increasing 2 basis points (bps) and 35 bps month-over-month (MoM), respectively. In contrast, the percentage of borrowers past due fell, with early-stage (30-59 days) delinquencies declining in both indices and late-stage (60+ days) delinquencies mostly stable MoM.
On a year-over-year (YoY) basis, both indices exhibited weaker performance compared to last February. Each index recorded YoY increases across all major credit metrics, with the most pronounced rise in the non-prime net loss rate, which increased 124 bps. Notably, the prime index net loss rate has reached its highest level since 2018, while the non-prime index loss rate is at its highest level in over 15 years.
We expect delinquency and loss rates across both indices to improve in March (February collection period), consistent with typical seasonal patterns. As borrowers begin to receive tax refunds, this…
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