Performance Report: Consumer Credit, April 2022

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.