January remittance reports showed weaker credit performance across securitized marketplace consumer loan pools during the December collection period. While annualized net losses (ANL) in KBRA’s Tier 1 index improved significantly, falling 206 basis points (bps) month-over-month (MoM) to 5.43%, we believe this may be a one-off occurrence as the improvement was driven by just a handful of older vintage Marlette-sponsored loan pools. Additionally, the percentage of borrowers who were at least 30 days past due continued to trend higher in the Tier 1 index, rising 34 bps MoM and 161 bps year-over-year (YoY) to 3.68% (see Figure 1).
Meanwhile, recent vintage loan pools across a number of issuers (late 2021 and 2022) drove net losses higher in KBRA’s Tier 2 index, rising 143 bps MoM to 17.83%. The percentage balance of loans 30 days past due increased 19 bps MoM and 293 bps YoY to 6.48% in our Tier 2 index (see Figure 2).
We expect credit metrics in both indices to weaken further in the…
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