dv01 and Fitch Launch New RMBS Benchmarks—Available for Free

Research

Performance Report: Consumer Unsecured & Subprime Auto Loans, January 2023

2 March 2023

Perf - CU and Auto

dv01’s latest performance report is now available. Some originators issued revised reporting that caused a slight decrease in certain performance metrics for the December 2022 reporting period. For an indication of significance, the change caused 30+ Impairments and 30+ DQ rate to decrease by 0.1% (10 bps). This impact can vary by attribute, so in some cases the impact may be worse. It does not , however, materially alter dv01’s commentary.

Quick Insights

  • Consumer Unsecured: CDR rose 0.6 CDR to a new all-time high—the first time aggregate CDRs have ever exceeded 10% in the sector’s history. CDRs are now so far above historical levels that comparing impairment changes to historical periods becomes difficult (page 6).

  • Subprime Auto: January is seasonally the strongest month of performance, and this year was no exception. 30+ Impairments fell 37 bps MoM; this is better than January 2022, when when impairments actually rose (page 19).

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