Cohort-based default tracking showing cumulative default rates by origination quarter and months on book. This analysis reveals credit quality trends across vintages and identifies whether recent originations are performing better or worse than historical cohorts.
Cumulative default rates (%) by origination quarter and months on book. Darker shading indicates higher cumulative defaults. Empty cells represent vintages that have not yet reached that seasoning point. Click a row to highlight its vintage curve.
| Vintage | 3 Mo | 6 Mo | 9 Mo | 12 Mo | 18 Mo | 24 Mo | 30 Mo | 36 Mo |
|---|---|---|---|---|---|---|---|---|
| Q1 2020 | 0.4% | 1.1% | 1.8% | 2.4% | 3.2% | 3.8% | 4.1% | 4.3% |
| Q2 2020 | 0.5% | 1.3% | 2.1% | 2.8% | 3.6% | 4.2% | 4.5% | 4.7% |
| Q3 2020 | 0.6% | 1.5% | 2.4% | 3.2% | 4.1% | 4.8% | 5.1% | — |
| Q4 2020 | 0.5% | 1.2% | 2.0% | 2.7% | 3.5% | 4.0% | — | — |
| Q1 2021 | 0.4% | 1.0% | 1.7% | 2.3% | 3.0% | 3.5% | — | — |
| Q2 2021 | 0.3% | 0.9% | 1.5% | 2.1% | 2.8% | — | — | — |
| Q3 2021 | 0.4% | 1.0% | 1.6% | 2.2% | — | — | — | — |
| Q4 2021 | 0.3% | 0.8% | 1.4% | — | — | — | — | — |
| Q1 2022 | 0.3% | 0.7% | — | — | — | — | — | — |
| Q2 2022 | 0.2% | — | — | — | — | — | — | — |
Cumulative default curves plotted by vintage. Earlier vintages (Q2–Q3 2020) show elevated loss trajectories consistent with pandemic-era stress. Post-2021 vintages demonstrate improved credit quality, with Q1 2022 tracking 30–40bps below the 2020 cohorts at equivalent seasoning points.
Post-2021 vintages consistently track below earlier cohorts at equivalent seasoning points. The Q1 2022 vintage shows a 3-month default rate of just 0.3%, the lowest in the dataset, suggesting underwriting improvements are taking hold.
Q2–Q3 2020 originations exhibit the highest cumulative defaults (4.7–5.1% at 36 months), reflecting the economic disruption of that period. These cohorts are now largely seasoned and losses are stabilizing.
Default accumulation follows a predictable pattern: approximately 60% of ultimate losses materialize within the first 12 months, with the curve flattening significantly after 24 months. This informs provisioning timing and reserve adequacy.
Based on vintage curve extrapolation, the 2022 origination cohorts are projected to reach terminal default rates of 2.5–2.8%, approximately 40% below the 2020 peak vintages.
Analyst's Note: The vintage analysis provides the strongest evidence of portfolio health improvement. The consistent downward shift in early-stage default rates across recent cohorts validates the underwriting refinements and forecasting model improvements that delivered a 30% improvement in forecast accuracy. This cohort-level view is essential for accurate provisioning and should be incorporated into the quarterly ALLL (Allowance for Loan and Lease Losses) estimation process.