Marketplace consumer loan pools showed improved month-over-month (MoM) credit performance, with both KBRA’s Tier 1 and Tier 2 annualized net loss and delinquency rates moving lower in line with expected seasonal patterns, particularly in our Tier 2 index (see discussion below). Current index values as well as MoM and year-over-year (YoY) changes are presented in the table below.
The shortened day count in February often contributes to higher losses in March and comparative improvement during the April collection period (May index report). Historically, loans that fall a few days short of reaching 120 days past due during February are pushed into March, which leads to a higher net loss rate in the March collection period, and a more dramatic MoM improvement in April collections (May index report), all else being equal.
This year, however, the expected deterioration in last month's April index reading was counterbalanced by the addition of deals with low defaults and by the repurchase of…
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