KBRA’s marketplace consumer loan ABS indices exhibited generally weaker month-over-month (MoM) credit performance in the April remittance reports, with annualized net losses rising 32 basis points (bps) to 10.20% in our Tier 1 index but falling 50 bps to 16.93% in our Tier 2 index, driven largely by Pagaya’s repurchase of nonperforming loans out of PAID 2022-5, as discussed further in the report. Meanwhile, 4.25% of Tier 1 loan balances and 6.40% of Tier 2 loan balances were 30+ days past due by month-end, an increase of 2 bps and 16 bps MoM, respectively. Current index values as well as MoM and year-over-year (YoY) changes are presented in the table below.
Although tax refund season typically provides a tailwind for credit performance, we had expected April remittance reports (March collections) to show a meaningful MoM rise in net losses across both indices, as the shorter day count during the February collection period likely pushed some loan charge-offs into March. However, this…
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