Marketplace Consumer Loan ABS Indices: February 2024

February remittance reports showed a general softening in credit performance across securitized marketplace consumer loan pools during the January collection period. Annualized net losses in KBRA’s Tier 1 index climbed 91 basis points (bps) month-over-month (MoM) and 166 bps year-over-year (YoY) to 10.22%, while the percentage of Tier 1 loans that ended the month 30+ days past due ticked up to 4.58%, an increase of 26 bps versus the previous month and 63 bps versus year-ago levels. Meanwhile, annualized net losses in KBRA’s Tier 2 index climbed to 19.36%, up 23 bps MoM and 277 bps YoY, while Tier 2 delinquencies saw a slight MoM improvement, falling 15 bps during the month to 7.11% but remaining 97 bps above year-ago levels (see Figure 1 and Figure 2).

We expect annualized net losses and delinquency rates to remain range-bound or improve modestly, at least in the near term. Many of the originators included in our index have tightened their credit underwriting over the past year, which…