Performance Report: Consumer Credit, June 2022

The latest installment of our Consumer Credit Performance Report is now available. We've added a new metric in our non-QM analysis, DQ Payment Made, which sheds light on a delinquent borrower's commitment to repay their debt despite not returning to Current.

• Consumer Unsecured: June impairments typically fall 10 bps MoM; this year, they rose 24 bps (page 5).

• Non-QM: First-Time New Impairments remained relatively unchanged, while Overall New Impairments rose 12 bps—suggesting that the increase was primarily driven by borrowers with a previous history of underperformance (page 17).

• CRT: Prepayments fell 0.7 CPR, the slowest rate since CPRs began to fall as a result of rising rates. This may be indicative that CRT may be close to its natural prepayment floor (page 25).

• Subprime Auto: 60+ cure rates remained unchanged, pushing the three-month cure rate to an all-time low (page 28).