What is vintage analysis?

Vintage analysis groups loans by when they were originated, such as a month or quarter, and follows each group's performance over time. Results are plotted against months on book, so every vintage is compared at the same age. Common measures include cumulative charge-offs, 30+ or 60+ delinquency and prepayments as a percentage of original balance.

Because loans have predictable seasoning patterns, vintage curves separate changes in credit quality from the effects of portfolio growth and age. If a recent vintage shows higher losses at month six than earlier vintages did at month six, underwriting, channel mix or the economic environment has likely changed. Vintage data also support loss forecasting, CECL estimates and pricing.

Vintages that are too small produce noisy curves. Mixing products, channels or credit tiers within a vintage can hide shifts in the underlying mix. Recent vintages have little history, so conclusions about them require care. Changes in charge-off policy or loss mitigation programs can alter curves in ways unrelated to borrower quality.