February remittance reports showed mixed credit performance across securitized prime and non-prime auto loan pools during the January collection period. Annualized net losses inched higher across both indices, rising 2 basis points (bps) month-over-month (MoM) and 22 bps year-over-year (YoY) to 0.71% in KBRA’s prime auto loan index, and 39 bps MoM and 104 bps YoY to 9.63% in KBRA’s non-prime auto loan index. Meanwhile, the percentage of prime borrowers at least 60 days past due remained unchanged MoM but increased 10 bps YoY to 0.58%, while the non-prime 60+ day delinquency rate ticked up 8 bps MoM and 51 bps YoY, reaching 6.2%, marking an all-time-high in the past three consecutive months (See Figure 8).
Prime and non-prime recovery rates moved higher MoM, with prime recoveries up 309 bps MoM but down 126 bps YoY to 48.8%, and non-prime recoveries rising 30 bps MoM but falling 276 bps YoY to 35.45%. Both prime and non-prime recoveries remain near their lowest point since summer 2020…