U.S. Marketplace Consumer Loan ABS Indices: July 2024

July remittance reports showed a month-over-month (MoM) improvement in delinquency rates across both KBRA’s Tier 1 and Tier 2 Marketplace Consumer Loan ABS Indices. However, Tier 1 and Tier 2 annualized net losses moved in opposite directions, with Tier 1 net losses rising 106 basis points (bps) MoM versus a 24-bp decline in Tier 2 net losses from the previous month (see Figure 1 and Figure 2).

The rise in Tier 1 net losses was largely driven by a handful of late 2022 and early 2023 vintage transactions that experienced higher defaults coupled with lower recoveries during the month. Meanwhile, Tier 2 net losses and delinquency rates have remained below their late 2023 highs, posting a 424-bp and 38-bp year-over-year (YoY) improvement this month, respectively. Current index values as well as MoM and YoY changes are presented in the table below.

With Marlette representing more than 55% of our Tier 1 index since June 2022 (see Figure 13), the upward trend in Tier 1 annualized net losses…