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Consumer Credit Performance Report, Vol 2

14 June 2022

Consumer Credit Report Vol 2

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autos
CRT
consumer unsecured
non-QM

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The latest installment of our Consumer Credit Performance Report is now available. Below are some quick insights:

  • Consumer Unsecured: When analyzing impairments by loan age across vintages, an unmistakable upward shift is seen across 2021 vintages, with each quarter progressively worsening (page 14).

  • Non-QM: Prepayments declined nearly 9 CPR MoM; the first concrete evidence of rate surges significantly impacting prepayments (page 22).

  • CRT: Prepayment declines continue to mainly reflect the move in rates, as S-curves steepen for a fourth consecutive month (page 27).

  • Subprime Auto: Impairments increased MoM but slower than typical seasonality trends (page 30).

Note: Data is through April 30, 2022.


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