Monthly Overview
Monthly remittance reports showed a sizable improvement in credit performance across credit metrics for securitized marketplace consumer loan ABS pools in March. Annualized net loss and 30+ day delinquency rates dropped 360 basis points (bps) and 33 bps month-over-month (MoM), respectively. Similarly, both credit metrics have improved over year-ago levels, with net losses declining 439 bps year-over-year (YoY) to reach 11.81%, while delinquency rates fell 33 bps to 5.76%.
Although large MoM net loss rate movements have occurred in the past (see Figure 1), this recent drop marks the largest MoM decline since August-September 2023 (384 bps). Various contributing factors led to this month’s larger-than-typical improvement. The first was the removal of a voluntarily redeemed, underperforming deal that represented nearly 1.5% of the index, while another weaker-performing deal had a principal repurchase,1 creating an artificially low net…