Performance Report: Consumer Credit, March 2022

As recession fears mount and analysts digest an array of data for signals about the state of the U.S. economy, dv01 believes consumer loan performance data is integral to gauging Americans’ financial health and determining how they are handling rising costs and rates—factors that affect consumer spending and influence economic growth. Incorporating consumer performance data into analyses can better help predict whether a recession is imminent, the potential severity, and how it may impact the average American.

As such, dv01 is publishing data-driven insights on collateral performance across consumer unsecured loans, mortgages (non-QM and CRT), and subprime auto loans to help better understand how Americans are navigating the latest uncertainties. 

The Consumer Credit Performance Report has similar analyses as the COVID-19 Performance Report, but has several new analyses for the consumer unsecured sector (e.g., Loan Age Analysis section). Below are some quick insights:

• Consumer Unsecured

  : The recent spike in Overall New Impairments is driven by borrowers that oscillate between Delinquent and Current than by borrowers who are behind payment for the first time (page 7).

• Non-QM: Total Impairments fell 40 bps MoM to 4.9%, erasing February’s increase (page 18).

• CRT: Prepayment declines continue to mainly reflect the move in rates, as S-curves were steeper MoM in February (page 27).

• Subprime Auto: Impairments declined substantially MoM, exceeding previous seasonality trends (page 30).