One residential mortgage-backed securities vintage from a few years ago has consistently experienced higher delinquency rates, according to a new Morningstar DBRS report.
"2023 DQ levels on average continue to track higher than nearly all other deal vintages," researchers at the credit rating agency wrote in the report published Wednesday.
The researchers found that concern about the vintage that
In comparison, the weighted average delinquency rate for prime RMBS in 2019 was 2.67% and the equivalent for non-QM was 8.87%.
The comparative numbers for 2026 to date have been 0.37% and 1.62%. Full-year 2025 WA DQ rates were 0.69% for prime and 3.86% for non-QM.
The spring tax-refund season typically lowers arrears potentially making partial year comparisons less relevant to full-year performance.
Other trends and drivers
The most comparable year to 2023 for delinquencies is 2024, according to the report by Mark Fontanilla, Sagar Kongettira and Quincy Tang, which is based on an analysis of July investor statements.
"The 2024 deal vintage tracks right behind, running anywhere between roughly 60% and 85% of 2023 DQ levels on a 12-month seasoning lag," the researchers wrote.
The prime and non-QM delinquency rates for the 2024 vintage were 1.72% and 8.26% respectively.
Morningstar DBRS also examined weighted average delinquencies for reference pools in the government-sponsored enterprises'
Low and high LTV reference pools in the credit risk transfer market respectively had weighted-average delinquency rates of 3.52% and 5.65% in 2019. In comparison, the corresponding delinquency rates for 2023 were 2.39% and 2.97%.
While 2023's delinquency rates for Fannie Mae and Freddie Mac's CRT reference pools are lower than in 2019, the arrears in deals from roughly three years ago are still higher than those in any other subsequent vintages.
The researchers noted that part of the reason that the 2019 vintages have higher delinquencies than others is that the reference pools involved have paid down quickly, resulting in some adverse selection impacting remaining loans.
Low and high LTV delinquency rates for credit risk transfer reference pools from 2025 were 1.05% and 2.18%, respectively. For 2026 CRT reference pools, the weighted-average delinquency rate was 0.37% for low LTV loans and 0.66% for higher ratios.
The key driver of 2023's elevated delinquencies across CRT and RMBS markets appears to be an upward shift in the jobless rate that persists, according to Morningstar DBRS.
"The unemployment rate since the COVID-19 pandemic's onset in 2020 had bottomed out in 2022 and 2023, holding in the mid-3% area," the researchers wrote. "Heading into 2024, the unemployment rate continued to inch up to above 4%, where it continues to hover."
