June remittance reports showed weaker credit performance across securitized marketplace consumer loan pools during the May collection period. Annualized net losses (ANL) in KBRA’s Tier 1 index rose to 8.11%, up 198 basis points (bps) month-over-month (MoM) and 366 bps year-over-year (YoY), while 30+ day delinquency rates (DQ) came in at 3.74%, rising 58 bps MoM and 147 bps YoY. Similarly, ANLs in our Tier 2 index climbed 188 bps MoM and 521 bps YoY to 16.61%, while 30+ day DQs increased 51 bps MoM and 174 bps YoY to 6.36% (see Figure 1 and Figure 2). In both indices, we note the MoM upswing in ANLs was predominantly caused by higher charge-offs in 2022 vintage securitizations.
With consumer credit fundamentals continuing to face headwinds from high inflation, rising rates, and the resumption of federal student loan payments in October, we expect net loss and delinquency metrics to remain elevated through the remainder of the year.
The data shown in this report and other indices metrics…
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