Securitization in Focus — October 2023

Residential Mortgage-Backed Securities (RMBS)

Mortgage Market Headlines

The national delinquency rate is up 0.13% YoY, but remains 0.71% below the September 2019, pre-pandemic level.

• Mortgage companies are growing desperate — laying off workers, merging or exiting the business. The mantra from the Mortgage Bankers Association’s annual conference in late October was, “Stay alive until 2025.”
• Boom to bust — historically low rates during the pandemic prompted millions of homeowners to refinance or upsize their homes. Lenders grew their loan books exponentially and hired staff to handle the rush. With the Fed raising rates at a historic pace, mortgage application activity is at its lowest level in 30 years, with little hope for a rebound anytime soon.

Bankrate.com US Home Mortgage 30Y Fixed Rate National Average and 10Y US Treasury Yield (%)

As of 31 Oct 2023.

• Bankrate.com’s 30-year mortgage rate is at the highest level since June 2000, only 29 basis points below the peak level of 8.38% since the turn of the century.
• The spread between the 10-year US Treasury and 30-year mortgage rate remains near historic highs, roughly 313 bps (3.13%) at month-end.

Asset- Backed Securities (ABS)

ABS issuance remains strong in 2023, despite the lull brought on by the ABS East conference near the end of the month.

ABS October Issuance (%)

As of 31 Oct 2023.

30+ Day Delinquencies (MoM) (%)

Credit Cards

Delinquencies
Up from 0.6 to 2.9

Bank Cards

Delinquencies
Up from 0.09 to 1.4

Prime Auto Loans

Delinquencies
Up from 0.06 to 1.7

Traditional Personal Loans

Delinquencies
Up from 0.01 to 5.7

Marketplace Lending

(loans generated online)

Delinquencies
Up from 0.03 to 6.0