Annualized net loss and delinquency rates moved higher month-over-month (MoM) in both KBRA’s Prime and Non-Prime Auto Loan ABS indices, while index recovery and prepayment rates trended down. The MoM rise in net losses and delinquencies was expected, given seasonal trends, but it is noteworthy that July’s Prime and Non-Prime 60+ delinquency rates, as well as this month’s Non-Prime net loss rate, are at their highest levels in July since at least 2011 (see Figures 3-8). Also of note, both Prime and Non-Prime recovery rates fell to post-global financial crisis lows for the month of July, coming in at 51.5% and 36.1%, respectively (see Figure 9 and Figure 10). Current index values as well as MoM and year-over-year (YoY) changes are detailed in the table below.
The data shown in this report and other indices metrics can be found here.
We expect auto loan net loss and delinquency…