Monthly Overview
Credit performance weakened in KBRA’s Prime and Non-Prime U.S. Auto Loan ABS indices in July. Annualized net losses increased in both indices, with net losses in our prime index up 18 basis points (bps) month-over-month (MoM) and rising 21 bps in our non-prime index. Early-stage (30–59 days) and late-stage (60+ days) delinquencies also moved higher, with the prime index increasing 3 bps and 4 bps MoM, respectively, while the non-prime index gained 8 bps and 14 bps MoM, respectively.
Both indices have weakened since last year, with both delinquency stages and net losses rising in each. Notably, these metrics are at their highest July remittance levels since at least 2018 (see Figures 3–8). As expected, the indices have followed their typical seasonal trends of credit deterioration during the summer months, and this weakening is expected to continue into early fall.
Figures 1-14 show performance metrics over the last five to eight years, while the table below presents…