The book · blinded composite
$40M
Senior warehouse line
2,000
Active loans · 18 dealers
9.6%
NCO · annualised
574
Weighted-avg FICO

Every monthly compliance certificate this lender sends its warehouse bank comes back green. Loss is under the cap, delinquency is under the trigger, FICO is above the floor. The CFO believes the book is fine. We are going to run it through six tools, in the order a lender actually faces the problem, and watch “fine” come apart.

1Tool 05 · Portfolio Risk Calculator
Where do we stand against the thresholds our bank is watching?

Three numbers off the servicing system, loss rate, severe lates, weighted FICO, scored 0 to 100 against warehouse covenant bands.

Portfolio Risk CalculatorLive
Inputs
Loss rate · NCO9.6%
Severe lates · 90+ DPD4.2%
Borrower quality · FICO574
Composite score
61/ 100Watch closely
Band 0-39Healthy
Band 40-69Watch · you are here
Band 70-100Action
NCO 9.6%WARN
90+ DPD 4.2%WATCH
FICO 574WATCH 560-590
The read Compliant, but in the warning band, not the healthy one. A 61 says every covenant has headroom today, yet nothing is comfortable. NCO carries most of the score (it is the 40-point lever), and FICO at 574 sits inside the 560-590 watch zone, not safely above it. This is the number that lets a CFO say “we’re fine.” It is a snapshot. It has no slope. So we ask the next question. Run it yourself →
2Tool 06 · Covenant Breach Projector
At our current rate of change, where are we headed, and when?

Same metrics, plus how fast each is moving per month, plus the actual covenant caps in the facility agreement. The tool returns the first metric to break and the months of runway left.

Covenant Breach Projector · 18-month horizonLive
Where you are · rate of change
NCO 9.6%Δ +0.65 / mo
90+ DPD 4.2%Δ +0.30 / mo
FICO 574Δ −3 / mo
Covenant capsNCO 13.5% · DPD 6.0% · FICO 560
Projection
6months runway
First to breakNCO @ 13.5%
Second90+ DPD @ 6.0% · also mo 6
ConsequenceCash sweep · advances frozen
Why this is the one that lands
Your warehouse bank runs this on your tape every month. Most lenders never run it on themselves.

The calculator said 61, compliant. The projector says the slope under that 61 puts NCO through its 13.5% cap in month 6, and a cash sweep starves new originations exactly when you’d need liquidity to recover. The bank’s surveillance team already sees this trajectory. The gap between the snapshot and the slope is the whole game. Tricolor was inside covenant the quarter it failed.

The read Six months, not “someday.” The level is fine; the rate of change is not. Something is steepening the slope. A book-wide retrenchment would strangle the healthy paper to fix a problem we haven’t located yet. So before we touch anything, we find what is bending the curve. Run it yourself →
3Tool 04 · Dealer Scorecard
Who is bending the curve, and which relationships do we pull?

Break the same tape down by originating dealer. Rank all 18 not by volume but by what predicts loss: net charge-off, early payment default, severe-late rate, and a composite health score.

Dealer Scorecard · 18 dealers rankedLive
Bottom 3 dealers · flagged
Dealer NScore 18 · NCO 16.4%
Dealer HScore 22 · NCO 15.1%
Dealer CScore 24 · NCO 14.8%
Network medianScore 71 · NCO 7.7%
What the 3 carry
Share of book22%
Share of severe lates51%
EPD rate28% · 3.9× network
Cohort skew2023-H2 · 72-mo paper

Three dealers out of eighteen originate 22% of the book but 51% of the severe lates. Their early-payment-default rate, borrowers missing inside the first three payments, the cleanest signal of a bad deal at inception, runs 3.9× the network. That is not a macro problem or a servicing problem. It is origination quality at the source: paper impaired the day it was written. Pull those three out and the remaining fifteen dealers are better than benchmark.

The action Pause new originations from Dealers C, H, and N; put existing paper on enhanced watch. The healthy fifteen keep funding. Re-run the projector with the toxic feed removed and the monthly NCO slope flattens from +0.65 to +0.22, runway extends past the 18-month horizon, the breach is gone. The targeted cut protects roughly 140 bps of yield and restores about $1.8M of covenant headroom versus a blunt book-wide pullback. Attribution is what lets you use a scalpel instead of a sledgehammer. Run it yourself →
+0.65 → +0.22
Monthly NCO slope, after the cut
~140 bps
Yield protected
~$1.8M
Headroom restored
4Tool 01 · Deal Underwriter
Dealer H just sent a deal for approval. Do we fund it?

Before we finished pausing Dealer H, a fresh application came through the pipe from exactly that channel. Run the borrower, the vehicle, and the terms. The tool returns a defensible fund / counter / decline with the math attached.

Deal UnderwriterLive
The deal
FICO545
DTI47%
Vehicle2014 SUV · 142k mi
Wholesale value$9,800
Amount financed$16,500 · 168% LTV
Term · APR · down72 mo · 21% · $500
The math
Probability of default58%
Loss given default70%
Expected loss$6,750
Net profit over life−$1,900
Expected ROA−3.6% · target +4%
Default curve peaksmonths 9-15
DECLINE
Negative ROA · collateral outlived by the loan
Why decline This is the loan that builds the toxic cohort. $16,500 financed against a $9,800 vehicle is 168% LTV before tax and fees. A 72-month term on an eleven-year-old SUV means the collateral reaches the end of its reliable life around month 30 while the borrower still owes for another three and a half years. When the car dies, the payments stop, the default curve peaks at months 9-15, and recovery on a dead high-mileage vehicle is thin. Bad car, bad terms, bad borrower, engineered into a default. The honest counter exists, 48-month term, $2,500 down, drop the advance, which lifts ROA to about +1.8%, still thin. At the terms as written, you decline. Fund this and you are hand-building next quarter’s scorecard problem. Run it yourself →
5Tool 07 · State Recovery Law Map
When the bad paper does default, how much do we actually get back?

The defaulted loans in the toxic cohort are spread across Texas, Georgia, and Louisiana. Loss given default is not one number, it changes the moment a loan crosses a state line, because four legal levers change with it.

State Recovery Law Map · the four leversLive
Louisiana
Self-help repoNo, court order required
Right-to-cure noticeYes
DeficiencyAllowed
Wage garnishmentAllowed
Texas
Self-help repoYes, fast, no court
Right-to-cure noticeNo
DeficiencyAllowed
Wage garnishmentEffectively blocked
The read Two identical defaults, two different recoveries. Louisiana is the only state with no self-help repossession, you go to court first, which is slower and more expensive, lengthening the loss. Texas lets you repossess fast and skip the cure notice, but effectively blocks wage garnishment, so the deficiency is hard to collect. The same charged-off dollar recovers differently depending on geography, which is exactly why the LGD in Step 4 was a modeled number, not a guess, and why concentration by state belongs in every reserve. Read the method note →

The whole job, in one pass.

The compliance certificate said the book was fine. Run in sequence, the tools said something the aggregate never could: six months to a cash sweep, caused by three named dealers, writing loans like the one we just declined, and here is the next bad dealer, stopped before they funded a single contract.

That is the difference between a number you report and the book you actually run. Security is finding the toxic paper. Predictability is seeing the breach before it prints. Attribution is naming the dealer, the vintage, and the deal so you can act with a scalpel. None of it requires a Bloomberg terminal, it requires reading your own tape the way your warehouse bank already reads it.

On the numbers. This is a blinded, rounded composite assembled to demonstrate the workflow end to end, not a single named client. The book mirrors the synthetic 2,000-loan tape you can drive yourself in the Portfolio Analyzer; the dealer names are placeholders. Industry context, the ~6.65% subprime delinquency high, Fitch’s 9.81% net-loss index, the Tricolor collapse, and the state recovery rules, is real and cited in Anatomy of a Toxic Book and the recovery map. Not investment, legal, or accounting advice.
Keep reading
The same frame, applied to a real collapse.

This walkthrough uses synthetic data to show how attribution, vintage isolation, and covenant runway fit together. For the real-world version, read how the same lens reads the Tricolor failure.

Read: Anatomy of a Toxic Book →
Independent market research, published for readers studying subprime auto credit. Not investment, legal, or accounting advice.