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Stress index

Rolling-24-month z-score composite, higher = worse. ~0 in normal periods; shaded band = COVID accommodation window.

Delinquency & loss

Balance-weighted, % of pool. 30+/60+ days past due (stock) and annualized net loss.

Validation vs NY Fed

Our 30+ DPD vs NY Fed subprime <620 (quarterly 30+ flow) and all-auto 90+ transition. Definitions/levels differ — co-movement & timing are the signal.

Pool composition

Constituent deals (bars) and balance-weighted average borrower FICO (line) over time.

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Serention indices are quantitative research signals derived from public SEC ABS-EE filings and NY Fed data. They are provided for informational purposes only and are not investment advice, an offer, or a solicitation. Borrower counts are estimated where noted.