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

Credit performance in KBRA’s Tier 1 and Tier 2 Marketplace Consumer Loan Indices moved in opposite directions this month. Annualized net losses in KBRA’s Tier 1 index increased 43 basis points (bps) month-over-month (MoM) and 241 bps year-over-year (YoY) to 10.84%, while delinquencies climbed 31 bps MoM and 160 bps YoY to 5.28%. Meanwhile, Tier 2 net losses fell 1 bp MoM and 434 bps YoY to 14.35%, while delinquencies declined 20 bps MoM and 57 bps YoY, coming in at 6.15%.

Current index values as well as MoM and YoY changes are presented in the table below.

The rise in Tier 1 net losses and delinquencies has been largely driven by an index composition shift, as our Tier 1 index has again become dominated by Marlette-sponsored transactions, given their programmatic issuance and SoFi’s pullback from the market in recent years (see Figure 13 and Figure 14). The improving metrics in our Tier 2 index have been the result of stronger performance in 2023 and 2024 vintage deals relative to 2021…