March remittance reports showed improving credit performance across KBRA’s Tier 1 and 2 marketplace consumer loan pools during the February collection period, likely due to a shortened day count during the month and seasonal tailwinds in the form of tax refunds. The shortened day count means that consumers who do not make their payment during the month will not be 30 days delinquent at month-end and would not then be captured in the 30+ day delinquencies. On a month-over-month (MoM) basis, annualized net losses (ANL) declined 255 basis points (bps) and 42 bps in KBRA’s Tier 1 and Tier 2 indices, respectively, falling to 6.01% and 15.38% (see Figure 1). With Marlette Funding Trust (MFT) securitizations representing 92% of our Tier 1 index, the ANL improvement was largely driven by lower charge-offs in 2021 and 2022 MFT-sponsored securitizations. Meanwhile, the decrease in Tier 2 ANLs resulted from a more evenly spread drop in charge-offs across issuers that was somewhat concentrated in…
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