Marketplace Consumer Loan ABS Indices: May 2023

May remittance reports showed improved credit performance across securitized marketplace consumer loan pools during the April collection period, as annualized net losses (ANL) and delinquency rates (DQ) trended lower. Annualized net losses in KBRA’s Tier 1 and Tier 2 indices came in at 6.12% and 14.72%, respectively, falling 475 basis points (bps) and 353 bps MoM (see Figure 1). Meanwhile, Tier 1 and Tier 2 delinquencies declined 89 bps and 36 bps MoM, respectively, landing at 3.16% and 5.85% (see Figure 2). While performance improved MoM, YoY comparisons remain unfavorable (see Figures 3-6).

The recent volatility in both indices, particularly for net loss rates, has largely been the result of a shortened day count (28 days) during the February collection period (March index report). Many severely delinquent loans fell a few days short of reaching 120 days past due in that period. Had it been a normal month, a charge-off would have been triggered under the terms of the securitization…