November remittance reports showed mostly weaker credit performance across securitized prime and non-prime auto loan pools during the October collection period. In KBRA’s Prime Auto Loan Index, annualized net losses climbed to 0.53%, up 4 basis points (bps) month-over-month (MoM) and 10 bps year-over-year (YoY), while 60+ day delinquency rates increased to 0.51%, up 1 bp MoM and 11 bps YoY (see Figure 1). Meanwhile, losses in KBRA’s Non-Prime Auto Loan Index increased to 10.05%, up 91 bps MoM and 215 bps YoY, to levels not seen since fall 2018. The percentage of non-prime borrowers 60+ days past due fell to 5.62%, down 6 bps MoM but up 44 bps YoY (see Figure 2).
With used vehicle prices falling over the past two months , recovery rates decreased to 49.10% and 34.49% in our prime and non-prime indices, respectively, and played a significant role in the increase in net loss rates, especially for non-prime loans. Recovery rates were down 231 bps MoM and 17 bps YoY in the prime index, and…