Register here for next month’s call: Thursday, April 16th, 2026, 1 p.m. ET.

Key takeaways from this month’s call: 

  • Non-mortgage credit is deteriorating more rapidly than mortgage credit 
  • BNPL usage may be masking underlying financial strain 
  • Macroeconomic conditions are likely to remain restrictive, reinforcing current trends 
  • Prepayment models remain well-calibrated, even as borrower behavior begins to shift 

You can read the recap below or click here for the entire 20-minute recording.  

Credit Performance by Asset Class 

The data shows a clear divergence between mortgage and non-mortgage credit: 

  • Mortgage delinquencies remain relatively low, supported by tighter underwriting standards 
  • Credit card delinquencies have increased meaningfully since 2022 
  • Auto loan delinquencies are approaching levels observed during the Global Financial Crisis, particularly among younger borrowers  

The following charts from NYFed illustrate how younger age cohorts are consistently exhibiting higher delinquency rates across credit types (mortgages, credit cards, and autos). 

BNPL Usage as a Potential Blind Spot 

Buy Now, Pay Later (BNPL) usage continues to expand. 

Adoption is highest among younger borrowers. 

A meaningful portion of usage is for essential expenses such as groceries  

Because BNPL obligations are not consistently captured in traditional credit metrics, they may obscure underlying levels of consumer leverage and stress. 

Macroeconomic Outlook: Rates Expected to Remain Elevated 

The macroeconomic environment continues to support a “higher-for-longer” rate outlook. 

  • Market expectations suggest no Federal Reserve rate cuts through 2026. 
  • The 10-year Treasury rate is expected to remain above 4% over the next several years. 
  • Mortgage rates, after declining earlier in 2026, have risen again and are expected to remain near or above 6%. 

At the same time: 

  • Inflation remains above target levels 
  • Unemployment is trending upward  

These conditions suggest a continued tightening backdrop for borrowers, with limited relief from monetary policy in the near term. 

Housing Market: Moderation Continues 

Home price growth remains positive but has slowed: 

  • Case-Shiller index shows modest annual growth (~1.3%) 
  • FHFA index indicates somewhat stronger growth (~3.3%)  

Differences between indices suggest variation across market segments, with relatively stronger performance in more affordable segments and geographic differences on home prices. 

Against this macro and consumer backdrop, prepayment behavior continues to evolve. 

  • Prepayment models remain closely aligned with realized speeds across FN/FH and GNMA collateral, as shown in the coupon-level comparisons.  
  • Refinance behavior is well captured, including sensitivity to changes in mortgage rates.  

There are, however, early indications of shifting borrower behavior: 

  • Prepayment speeds increased in February despite fewer collection days, suggesting a gradual weakening of the mortgage rate “lock-in” effect.  
  • Short-term rate increases may moderate this trend, but the directional change is notable. 

GNMA Segmentation Enhancements 

The introduction of FHA and VA segmentation in GNMA back-testing provides additional analytical detail. 

FHA performance shows some divergence, likely reflecting recent policy changes affecting delinquent loan buyouts. 

VA results are more sensitive to spread assumptions and can be adjusted to align with market conditions. 

We continue to add additional analytics reports on the Platform. Please visit www.riskspan.com/request-access to request free access. 

As always, please feel free to contact us to discuss or learn more.