Do most arrears "progress" from 121-180 days to default status without reaching 181 days in arrear? If that's the case then the 3.77% of F grades in arrears 121-180 days (Vs. 2.77% of E grades) would indicate the likelihood of a greater % of F grades about to go into default.
Just checking Investor FAQ:
"If we are unable to collect from the Borrower within 120 days, the loan is considered defaulted and moves into a "charged off" status. In some cases, loans may not be charged off at 120 days if there is a reasonable likelihood of payments being made."
It sounds like only a very few arrears would make it past 180 days without being defaulted earlier. The comparative 91-120 days in arrears figures of 2.80% for E grades Vs 4.81% for F grades suggest most defaults have occurred prior to being 181 days in arrear.
https://www.harmoney.co.nz/how-it-works/investor-faq
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