April remittance reports (referencing the March collection period) showed annualized net losses in KBRA’s Tier 1 index, coming in at 10.87%, up 486 basis points (bps) month-over-month (MoM) and 654 bps year-over-year (YoY). Meanwhile, the percentage of borrowers at least 30 days past due increased 52 bps MoM and 202 YoY to 4.05%. In KBRA’s Tier 2 index, annualized net losses hit 17.99%, rising 260 bps MoM and 780 bps YoY, while the 30+ day delinquency rates increased 19 bps MoM and 191 YoY to 6.13%.
While the reported data showed weaker MoM credit performance across both indices, the results were mostly influenced by the monthly day count during the February collection period (28 days). Given the short month, many severely delinquent loans fell a few days short of reaching 120 days past due, which would have triggered a charge-off under the terms of the securitization documents. This contributed to relatively lower loss metrics used in calculating KBRA’s March indices and subsequently…
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