Marketplace Consumer Loan Indices: February 2023

February remittance reports showed mixed credit performance across securitized marketplace consumer loan pools during the January collection period. In KBRA’s Tier 1 index, annualized net losses (ANL) climbed 313 basis points (bps) month-over-month (MoM) to 8.56% (see Figure 1 and Figure 3). This deterioration was largely led by the same late 2021 vintage Marlette-sponsored securitizations that drove the improvement in our January index reading. In addition, the percentage of Tier 1 borrowers who were at least 30 days past due edged 27 bps higher MoM, arriving at 3.95% (see Figure 5). KBRA’s Tier 2 index ANLs fell 133 bps MoM to 16.5%, resulting from seasonal improvements in gross defaults and higher recovery proceeds, which were likely due to bulk sales of defaulted loans (see Figure 1 and Figure 4). While Tier 2 30+ day delinquencies moved 37 bps lower MoM to 6.1%, they remain much higher than prior years (see Figure 2 and Figure 6).

With persistently high inflation, low personal…