Marketplace Consumer Loan ABS Indices: September 2023

September remittance reports showed generally weaker credit performance across securitized marketplace consumer loan pools during the August collection period. In KBRA’s Tier 1 index, annualized net losses came in at 8.43%, up 70 basis points (bps) month-over-month (MoM) and 281 bps year-over-year (YoY), while the percentage of borrowers at least 30 days past due arrived at 3.68%, down 8 bps MoM but up 92 bps YoY (see Figure 1). Meanwhile, annualized net losses in our Tier 2 index climbed 229 bps MoM and 530 bps YoY to 18.69%, primarily due to higher charge-offs in a handful of 2020 and 2023 vintage pools. Similarly, Tier 2 delinquency rates (30+ days) increased 27 bps MoM and 136 bps YoY to 6.73% (see Figure 2).

We expect seasonal factors to keep annualized net losses and delinquency rates elevated as we move toward year-end. Additionally, the resumption of federal student loan payments this month (see

About the Indices

KBRA calculates the index values using monthly credit…