July remittance reports showed higher annualized net losses but lower 30+ day delinquency rates across securitized marketplace consumer loan pools during the June collection period. Annualized net losses came in at 9.82% and 19.47% in KBRA’s Tier 1 and Tier 2 indices, respectively, rising 172 basis points (bps) and 288 bps month-over-month (MoM), respectively, and 513 bps and 657 bps year-over-year (YoY) (see Figure 1). The MoM rise in Tier 2 net losses was primarily driven by higher charge-offs in 2022 vintage Pagaya- and Upstart-sponsored deals, which represent 46% of the Tier 2 index. However, these deals are currently at the steepest point in their loss timing curves, and should be less impactful on Tier 2 index loss rates as the collateral seasons and new deals are added to the index.
Meanwhile, 30+ day delinquency rates improved slightly MoM across both indices, as delinquency rates appear to be stabilizing compared to the sharp run-up beginning in Q1 2021 for Tier 2 and Q2 2022…
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