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

KBRA’s Tier 1 and Tier 2 Marketplace Consumer Loan Indices both posted month-over-month (MoM) declines in annualized net losses as well as MoM increases in 30+ day delinquencies in the month of August. Credit performance in our Tier 1 index has deteriorated in 2024, with losses and delinquency rates at their highest levels since we began tracking the index in 2017 (see Figure 5 and Figure 7). Net loss and delinquency rates remain elevated in our Tier 2 index as well, but are showing signs of improvement relative to 2023 levels (see Figure 6 and Figure 8). Current index values as well as MoM and year-over-year (YoY) changes are shown in the table below.

On a YoY basis, Tier 1 annualized net losses and delinquencies moved 268 basis points (bps) and 121 bps higher, respectively, but decreased 204 bps and 10 bps YoY in our Tier 2 Index. The relative improvement in the Tier 2 index can be attributed to issuers’ tightened underwriting, which drove a positive credit drift observed in our Tier…