This article is a work in progress. If you have any questions, thoughts, or corrections, contact us.

Ongoing reporting and surveillance

Performance reporting

Performance reporting

Your lenders want to understand how your portfolio is performing. Raw numbers are not enough. They want trends, context, and your interpretation of what is happening.

Delinquency metrics

Delinquency buckets

Track loans by days past due:

  • Current (0 DPD)
  • 30-59 DPD
  • 60-89 DPD
  • 90-119 DPD
  • 120+ DPD

Report both count and balance. A portfolio with 100 small delinquent loans looks different from one with 10 large ones.

Roll rates

Show how loans move between buckets:

From \ ToCurrent30 DPD60 DPD90 DPDCharge-off
Current97.5%2.2%0.2%0.1%0.0%
30 DPD45%30%20%4%1%
60 DPD15%10%25%40%10%
90 DPD5%5%5%35%50%

Roll rates tell you whether delinquent loans are curing or deteriorating. Rising roll-to-worse rates are a leading indicator of losses.

Vintage tracking

Break out delinquency by origination vintage. This shows whether recent originations are performing better or worse than older cohorts. If your 2024 vintage is running 50% higher delinquency than your 2023 vintage at the same age, you have an underwriting problem.

Default and loss metrics

CDR (constant default rate)

The annualized rate at which loans are defaulting. Calculated as:

CDR = 1 - (1 - Monthly Default Rate)^12

If you charged off $500K from a $50M pool this month, your monthly default rate is 1%, annualized to a CDR of roughly 11.4%.

CNL (cumulative net loss)

Total losses over the life of the pool as a percentage of original balance:

CNL = (Total Charge-offs - Total Recoveries) / Original Pool Balance

CNL is the ultimate measure of credit performance. It is what rating agencies and investors care most about.

Severity

The loss percentage on defaulted loans:

Severity = (Charged-off Balance - Recoveries) / Charged-off Balance

Consumer unsecured loans might have 80-90% severity. Auto loans might have 40-60% (because you can repo and sell the car).

Recovery rate

The inverse of severity: how much you collect on charged-off loans. Track recovery by channel (in-house collections, agency placements, sales) to understand which recovery strategies work best.

Prepayment metrics

CPR (constant prepayment rate)

The annualized rate of voluntary prepayments:

CPR = 1 - (1 - SMM)^12

Where SMM (Single Monthly Mortality) is the monthly prepayment rate.

Why prepayment matters

Fast prepayments mean your pool shrinks faster than expected. If your facility has a revolving period, you need to replenish. If it is amortizing, prepayments accelerate your repayment but also shorten your earning period.

Voluntary vs. involuntary

Separate scheduled amortization, voluntary prepayments (borrower pays off early), and involuntary prepayments (charge-offs). They tell different stories about your portfolio:

  • High voluntary prepayments may indicate refinancing activity or strong borrower credit
  • High involuntary prepayments indicate credit problems
  • Seasonal patterns are normal in many asset classes

Presenting performance to lenders

Do not just dump numbers. Tell the story.

A 3% delinquency rate is meaningless without context. Is it up from 2.5% last month? Down from 4% six months ago? Flat for a year?

Present 12-month trend charts with trigger levels clearly marked. Visual context helps lenders understand trajectory.

Provide context

If delinquency spiked, explain why:

  • Holiday seasonality?
  • One large borrower?
  • Macro environment?
  • Specific vintage or product type?

Lenders can handle bad news if you explain it. They cannot handle surprises.

Compare to triggers

If your delinquency trigger is 5% and you are at 3.5%, show the headroom. If you are at 4.8%, acknowledge the situation and explain your plan.

MetricCurrentTriggerHeadroom
60+ DPD3.5%5.0%1.5%
CNL (annualized)2.1%4.0%1.9%
State concentration (CA)14.2%15.0%0.8%

Benchmark externally

“Our 3.5% delinquency rate compares to 4.2% for the peer group of rated consumer loan ABS.” This puts your performance in market context.

Sources for benchmarks:

  • Rating agency surveillance reports
  • Public ABS deal performance
  • Industry association data
  • Peer company disclosures

Building a performance reporting package

A complete monthly performance package includes:

  1. Executive summary - Key metrics, changes from prior period, items requiring attention
  2. Delinquency analysis - Buckets, trends, roll rates, vintage analysis
  3. Loss analysis - Monthly and cumulative losses, severity, recoveries
  4. Prepayment analysis - CPR trends, voluntary vs. involuntary
  5. Concentration summary - Current levels vs. limits
  6. Covenant status - All covenants with current level and headroom
  7. Pool composition - Changes in pool characteristics

Lead with what matters. If losses spiked, do not bury it on page 8. Address it in the executive summary with your explanation and remediation plan.

← All Topics