No dealer to blame,
so we read the credit box.

Start with the headline numbers. Cumulative net loss running 9.6%, weighted FICO 561, and a loss severity (LGD) of 62%, meaning when a loan goes down the book recovers about 38 cents on the dollar of balance. The NCO covenant cap is 13.5%, so today it sits comfortably under it.

On a direct book the loss splits into two pieces worth separating right away: how often loans default (frequency) and how badly they hurt when they do (severity). The aggregate hides which one is moving. That distinction is the whole game on a book with no dealers to point at.

Look at the "Monthly Δ" column. Net loss is not parked at 9.6%, it is climbing 0.65 points every month. 90+ DPD is climbing 0.30. The level is comfortable. The trajectory is not. That slope is a straight line fit through your last six monthly readings.

On an indirect book the attribution would be a dealer scorecard. This book has no dealers, so every loan gets binned across the dimensions the lender actually controls, credit band, term, advance rate, down payment, geography, vehicle, affordability, and rank each segment by its share of your total loss times how far above the book average it runs. A small bucket that loses a lot does not get to cry wolf; this is loss you can feel.

Two things jump out. First, your deep-subprime credit band under 520 is doing the heavy lifting, a quarter of your total loss at 3.1× the book, and it fails on both axes: it defaults more often and recovers worse. Second, look at the LGD column on LTV 145%+ and 13-year-old vehicles, 71% and 73%. Those segments do not default the most, but when they do you barely recover. That is an advance-rate and collateral problem, not a borrower problem.

So your loss has two separate engines: a frequency engine in deep-subprime credit, and a severity engine in thin-equity, old-collateral loans. You fix them with two different levers.

A single segment understates the risk, because the real damage lives where two bad attributes stack. A 73-month term is elevated. Deep-subprime credit is elevated. Put a 73-month term on a sub-520 borrower and the loss is not additive, it compounds. Here are the intersections carrying outsized loss.

Knowing which segments is half of it. Knowing when tells you whether your underwriting has already drifted back or is still loose. We line up every origination quarter as its own static pool and age them at the same months on book.

The break is the back half of 2023, when the share of 73-month-plus loans and 145%+ advances spiked in your originations. 2024 is already coming in cleaner, so the box partly self-corrected, but the loose 2023 vintage is still on your book bleeding, and it lines up exactly with the hot segments from the last two sections.

This explains the LGD column. Your highest-severity segments are long terms and high advances on old vehicles. Put the depreciation curve next to the amortization curve and the loss draws itself.

At a 145% advance you are underwater the day the loan funds. On an 11-year-old vehicle the value falls off a cliff while a 73-month note barely moves early. The negative-equity gap is widest exactly where these loans default, months 18 to 36. A borrower who hits a bump there cannot sell or refinance out, the car is worth thousands less than they owe, so you get the keys back and recover 30 cents on the dollar. That is your 71-73% LGD, drawn as a picture.

Take the slopes measured above and run them to the line. Same math a warehouse bank will run, just earlier, while the inputs can still change.

NCO and 90+ DPD both break in month six. The same month. October. A breach trips your cash sweep, the sweep halts new originations, and you lose the line right when you would need it. The fourth card is this same book after we tighten the box. Hold that thought.

The panic move is to slam the whole credit box shut and watch your volume collapse. You do not need to. Because we attributed the loss to named segments and combinations, you can re-cut the box surgically: tighten the three rules carrying the loss, and keep funding everything else exactly as you do today.

Those three rules sit right on top of the hot segments and the worst combinations. They flatten your slope from 0.65 to 0.23 a month, push the breach past the 18-month horizon, and cut roughly 135 basis points of expected loss out of your new vintages, all while leaving about 80% of your volume untouched. The green covenant card from the last section is this scenario.

Here is where the numbers lead. Short enough to push to an underwriting team in a week, documented enough to stand up on a bank's next surveillance call.