March remittance reports showed further seasonal improvement in credit performance across prime and non-prime loan pools during the February collection period, as borrowers continue to receive their tax refunds. Annualized net losses (ANL) in KBRA’s prime index fell 11 basis points (bps) month-over-month (MoM) to 0.36%, while the percentage of prime borrowers at least 60 days past due came in at 0.38%, down 7 bps MoM (see Figure 1). Meanwhile, ANLs and 60+ day delinquency rates (DQ) in KBRA’s non-prime index improved 157 bps MoM to 6.95% and 61 bps MoM to 5.13%, respectively (see Figure 2).
Following a nine-month downtrend, recovery rates rose sharply in both indices. This was largely due to seasonal trends and increasing used vehicle values, as measured by the Manheim Used Vehicle Value Index, which logged its third consecutive MoM increase1 in 2023—up 4.3% in February and 1.5% in March. Recovery rates rose 6 percentage points (ppt) MoM to 53.26%…