Non-Agency RMBS Archives

Quantifying Mortgage Risk — Best Practices in the Wake of SVB

Much has been made of the Silicon Valley Bank saga, from the need for basic risk management (was there any, other than a trivial nod?) to the possibility of re-extending the Dodd-Frank rules to cover all banks. Rather than adding our voice to that noise, this post makes a pitch for best practices in MBS and whole loan risk, regardless of whether existing regulation covers your institution.

“Best practices” in mortgage risk is a broad term meaning different things to different people. For our purposes, it refers to using sophisticated risk management tools to quantify both first- and second-order risk of various factors. It also refers to using scenario analysis to capture projected P/L under combinations of risks, for example twists in the interest rate curve combined with spread changes and changes in implied volatility.

Before these risks can be offset using rate and option hedges, our first step is quantifying what the risks are.

In the simplest case, good risk management analysis should quantify projected P/L of a rate-sensitive mortgage or MBS position for shifts in the rate curve — not just local rate shifts of 25 to 50bp, but much larger shifts in rates. It’s helpful to remember that MBS and their underlying mortgages have embedded calls, which lead to significant changes in both projected durations and projected convexity as rates move. Running scenarios with large rate shifts can help highlight the sizable second-order risks in MBS, which are typically negative but turn positive under large enough shifts. In turn, this extended analysis highlights a non-trivial third-order rate effect in MBS.

In the following chart, we show P/L on a position of TBA passthroughs, securities similar to SVB’s held-to-maturity portfolio. We project price movements under parallel rate shifts as of January 3, 2022, which roughly corresponds to the start of the tightening cycle. For this analysis, we use RiskSpan’s prepayment and interest-rate models, which are available in the Edge interface or via overnight batch.

In this analysis, the model projected prices of FNCL 2.0 to 3.0 within 2.5% of actual observed prices on March 8, 2023, shown by the diamonds on the chart, the Wednesday before the SVB crisis began to unfold. While not exact, this analysis illustrates the power of a straightforward rate curve to help a bank’s risk management team project actual, realized prices over very large rate moves.

In the next chart, we show a P/L chart that is duration-neutral at outset. This chart shows the losses from negative convexity,

driven by the homeowner’s option to refinance moving from at-the-money to significantly out-of-the-money. As rates continue to rise (moving right on the chart), underperformance from convexity continues to increase, but only to a point. This is where the homeowner’s call option is offset by the natural, positive convexity of discounting. Beyond that point, MBS become mildly positively convex as the call options become less relevant.

What does this change in convexity look like? In the final chart, we show convexity at various rate shifts for a par-priced passthrough.

This highlights convexity changes over large moves (and a non-trivial third derivative with respect to changes in rates) and underscores the importance of a quantitative approach to risk management for MBS.

From these straightforward scenarios, banks and other institutions can overlay combinations of other risk shocks, for example curve flatteners and steepeners, OAS changes, and changes in implied volatility. These mixed scenarios can quantify risk from cross-partial derivatives and inform potential hedges under multiple changes in inputs. All these simple and more complex user-defined scenarios are available in RiskSpan’s Edge platform, giving small and mid-sized banks the ability to quantify risk on high-quality MBS, which is the first fundamental in a rigorous risk management framework. Recent events have highlighted the tradeoff between cost savings generated by taking a light approach to rate risk management and the existential risk of insolvency. Yes, small and mid-sized banks can save costs while remaining within the current regulatory framework. But, as SVB has taught us, to do so can be tantamount to unwittingly betting the entire enterprise. Laying out a few basis points to ensure you’ve quantified the interest rate risk properly has never looked like a more worthwhile investment.

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Temporary Buydowns are Back. What Does This Mean for Speeds?

Mortgage buydowns are having a deja-vu moment. Some folks may recall mortgages with teaser rates in the pre-crisis period. Temporary buydowns are similar in concept. Recent declines notwithstanding, mortgage rates are still higher than they have been in years. Housing remains pricey. Would-be home buyers are looking for any help they can get. While on the other hand, with an almost non-existent refi market, mortgage originators are trying to find innovative ways to keep the production machine going. Conditions are ripe for lender and/or builder concessions that will help close the deal.

Enter the humble “temporary” mortgage interest rate buydown. A HousingWire article last month addressed the growing trend. It’s hard to turn on the TV without being bombarded with ads for Rocket Mortgage’s “Inflation Buster” program. Rocket Mortgage doesn’t use the term temporary buydown in its TV spots, but that is what it is.

Buydowns, in general, refer to when a borrower pays “points” upfront to reduce the mortgage rate to a level where they can afford the monthly payment. The mortgage rate has been “bought down” from its original rate for the entire life of the mortgage by paying a lumpsum upfront. Temporary Buydowns, on the other hand, come in various shapes and sizes, but the most common ones are a “2 – 1” (a 2-percent interest rate reduction in the first year and a 1-percent reduction in year two) and a “1 – 0” (a 1-percent interest rate reduction in the first year only). In these situations, the seller, or the builder, or the lender or a combination thereof put-up money to cover the difference in interest rate payments between the original mortgage rate and the reduced mortgage rate. In the 2-1 example above, the mortgage rate is reduced by 2% for the first year and then steps up by 1% in the second year and then steps up by another 1% in the 3^rd year to reach the actual mortgage rate at origination. So, the interest portion of the monthly mortgage payments are “subsidized” for the first two years and then revert to the full monthly payment. Given the inflated rental market, these programs can make purchasing more advantageous than renting (for home seekers trying to decide between the two options). They can also make purchasing a home more affordable (temporarily, at least) for would-be buyers who can’t afford the monthly payment at the prevailing mortgage rate. It essentially buys them time to refinance into a lower rate should interest rates fall over the subsidized time frame or they may be expecting increased income (raises, business revenue) in the future which will allow them to afford the unsubsidized monthly payment.

Temporary buydowns present an interesting situation for prepayment and default modelers. Most borrowers with good credit behave similarly to refinance incentives, barring loan size and refi cost issues. While permanent buydowns tend to exhibit slower speeds when they come in the money by a small amount since the borrower needs to make a cost/benefit decision about recouping the upfront money they put down and the refi costs associated with the new loan. Their breakeven point is going to be lower by 25bps or 50bps from their existing mortgage rate. So, their response to mortgage rates dropping will be slower than borrowers with similar mortgage rates who didn’t pay points upfront. Borrowers with temporary buydowns will be very sensitive to any mortgage rate drops and will refinance at the first opportunity to lock in a lower rate before the “subsidy” expires. Hence, such mortgages are expected to prepay at higher speeds then other counterparts with similar rates. In essence, they behave like ARMs when they approach their reset dates.

When rates stay static or increase, temporary buydowns will behave like their counterparts except when they get close to the reset dates and will see faster speeds. Two factors would contribute to this phenomenon. The most obvious reason is that temporary buydown borrowers will want to refinance into the lowest rate available at the time of reset (perhaps an ARM). The other possibility is that some of these borrowers may not be able refi because of DTI issues and may default. Such borrowers may also be deemed “weaker credits” because of the subsidy that they received. This increase in defaults would elevate their speeds (increased CBRs) relative to their counterparts.

So, for the reasons mentioned above, temporary buydown mortgages are expected to be the faster one among the same mortgage rate group. In the table below we separate borrowers with the same mortgage rate into 3 groups: 1) those that got a normal mortgage at the prevailing rate and paid no points, 2) those that paid points upfront to get a permanent lower rate and 3) those who got temporary lower rates subsidized by the seller/builder/lender. Obviously, the buydowns occurred in higher rate environments but we are considering 3 borrower groups with the same mortgage rate regardless of how they got that rate. We are assuming that all 3 groups of borrowers currently have a 6% mortgage. We present the expected prepay behavior of all 3 groups in different mortgage rate environments:

*Turnover++ means faster due to defaults or at reset

Rate	Rate Shift	6% (no pts)	Buydown to 6%(borrower-paid)	Buydown to 6% (lender-paid)
7.00%	+100	Turnover	Turnover	Turnover++*
6.00%	Flat	Turnover	Turnover	Faster (at reset)
5.75%	-25	Refi	Turnover	Refi
5.00%	-100	Refi (Faster)	Refi (Fast)	Refi (Fastest)

Overall, temporary buydowns are likely to exhibit the most rate sensitivity. As their mortgage rates reset higher, they will behave like ARMs and refi into any other lower rate option (5/1 ARM) or possibly default. In the money, they will be the quickest to refi.

Incorporating Covid-Era Mortgage Data Without Skewing Your Models

What we observed during Covid represents a radical departure from what we observed pre-Covid. To what extent do these observations impact long-term trends observed for mortgage performance? Should these data fundamentally impact the way in which we think about the effects borrower, loan and macroeconomic characteristics have on mortgage performance? Or do we need to simply account for them as a short-term blip?

The process of modeling mortgage defaults and prepayments typically begins with identifying long-term trends and reference values. These aid in creating the baseline forecasts that undergird the model in its most simplistic form. Modelers then begin looking for deviations from this baseline created by specific loan, borrower, and property characteristics, as well as by key macroeconomic variables.

Identifying these relationships enables modelers to begin quantifying the extent to which micro factors like income, credit score, and loan-to-value ratios interact with macro indicators like the unemployment rate to cause prepayments and defaults to depart from their baseline. Data observations aggregated over extended periods give a comprehensive picture possible of these relationships.

In practice, the human behavior underlying these and virtually all economic models tends to change over time. Modelers account for this by making short-term corrections based on observations from the most recent time periods. This approach of tweaking long-term trends based on recent performance works reasonably well under most circumstances. One could reasonably argue, however, that tweaking existing models using performance data collected during the Covid-19 era presents a unique set of challenges.

What was observed during Covid represents a radical departure from what was observed pre-Covid. To what extent do these observations impact long-term trends and reference values. Should these data fundamentally impact the way in which we think about the effects borrower, loan and macroeconomic characteristics have on mortgage performance? Or do we need to simply account for them as a short-term blip?

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How Covid-era mortgage data differs

When it comes to modeling mortgage performance, we generally think of three sets of factors: 1) macroeconomic conditions, 2) loan and borrower characteristics, and 3) property characteristics. In determining how to account for Covid-era data in our modeling, we first must attempt to evaluate its impact on these factors. Three macroeconomic factors have played an especially significant role recently. First, as reflected in the chart below, we experienced a significant home-price decline during the 2008 financial crisis but a steady increase since then.

Second, mortgage rates continued to decline for the most part during the crisis and beyond. There were brief periods when they increased, but they remained low by and large.

The third piece is the unemployment rate. Unemployment spiked to around 10 percent during the financial crisis and then slowly declined.

When home prices declined in the past, we typically saw the government attempt to respond to it by reducing interest rates. This created something of a correlation between home prices and mortgage rates. Looking at this from a purely statistical viewpoint, the only thing the historical data shows is that falling home prices bring about a decline in mortgage rates. (And rising home prices bring about higher interest rates, though to a far lesser degree.) We see something similar with unemployment. Falling unemployment is correlated with rising home prices.

But then Covid arrives and with it some things we had not observed previously. All the “known” correlations among these macroeconomic variables broke down. For example, the unemployment rate spikes to 15 percent within just a couple of months and yet has no negative impact at all on home prices. Home prices, in fact, continue to rise, supported by the very generous unemployment benefits provided during Covid pandemic.

This greatly complicates the modeling. Here we had these variable relationships that appeared steady over a period of decades, and all of our modeling was being done (knowingly or unknowingly) relying on these correlations, and suddenly all these correlations are breaking down.

What does this mean for forecasting prepayments? The following chart shows prepayments over time by vintage. We see extremely high prepayment rates between early 2020 (the start of the pandemic) and early 2022 (when rates started rising). This makes sense.

Look at what happens to our forecasts, however, when rates begin to increase. The following chart reflects the models predicting a much steeper drop-off in prepayments than what was actually observed for a July 2021 issuance Fannie Mae major of coupon 2.0. These mortgage loans with no refinance incentive are prepaying faster than what would be expected based on the historical data.

What is causing this departure?

The most plausible explanation relates to an observed increase in cash-out refinances caused by the recent run-up in home prices and resulting in many homeowners suddenly finding themselves with a lot of home equity to tap into. Pre-Covid , cash-outs accounted for between a third and a quarter of refinances. Now, with virtually no one in the money for a rate-and-term refinance, cash-outs are accounting for over 80 percent of them.

We learn from this that we need to incorporate the amount of home equity gained by borrowers into our prepayment modeling.

Modeling Credit Performance

Of course, Covid’s impacts were felt even more acutely in delinquency rates than in prepays. As the following chart shows, a borrower that was 1-month delinquent during Covid had a 75 percent probability of being 2-months delinquent the following month.

This is clearly way outside the norm of what was observed historically and compels us to ask some hard questions when attempting to fit a model to this data.

The long-term average of “two to worse” transitions (the percentage of 60-day delinquencies that become 90-day delinquencies (or worse) the following month) is around 40 percent. But we’re now observing something closer to 50 percent. Do we expect this to continue in the future, or do we expect it to revert back to the longer-term average. We observe a similar issue in other transitions, as illustrated below. The rates appear to be stabilizing at higher levels now relative to where they were pre-Covid. This is especially true of more serious delinquencies.

How do we respond to this? What is the best way to go about combining this pre-Covid and post-Covid data?

Principles for handling Covid-era mortgage data

One approach would be to think about Covid data as outliers that should be ignored. At the other extreme, we could simply accept the observed data and incorporate it without any special considerations. A split-the-difference third approach would have us incorporate the new data with some sort of weighting factor for use in future stress scenarios without completely casting aside the long-term reference values that had stood the test of time prior to the pandemic.

This third approach requires us to apply the following guiding principles:

Assess assumed correlations between driving macro variables: For example, don’t allow the model to assume that increasing unemployment will lead to higher home prices just because it happened once during a pandemic.
Choose short-term calibrations carefully. Do not allow models to be unduly influenced by blindly giving too much weight to what has happened in the past two years.
Determine whether the new data in fact reflects a regime shift. How long will the new regime last?
Avoid creating a model that will break down during future unusual periods.

Prepare for other extremes. Incorporate what was learned into future stress testing

Build models that allow sensitivity analyses and are easy to change/tune. Models need to be sufficiently flexible that they can be tuned in response to macroeconomic events in a matter of weeks, rather than taking months or years to design and build an entirely new model.

Covid-era mortgage data presents modelers with a unique challenge. How to appropriately consider it without overweighting it. These general guidelines are a good place to start. For ideas specific to your portfolio, contact a RiskSpan representative.

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How Has the First “Social” RMBS Performed – And What’s So Social About It?

Now that six months have passed since Angel Oak issued AOMT 2021-2 – hailed as the first U.S. non-Agency RMBS to qualify as a social bond [1] – we can compare preliminary collateral performance to other deals. Angel Oak’s 2021-1, from the same shelf and vintage – but without the social bond distinction – provides an apt control group. To set the stage for this performance comparison, we’ll first reexamine the compositional differences – and significant overlap – between the two collateral pools. What we will show:

The pool compositions are highly overlapping, with marginally greater risk concentrations of self-employment and alternative documentation in the social securitization, and the same WA (weighted average) coupon
The social collateral has outperformed the benchmark credit-wise in the early going
The social deal has exhibited some lock-in, i.e., slower refinancing, providing some very preliminary evidence that the borrowers are indeed underserved, and that investors may be rewarded if the social collateral’s credit performance holds
However, the credit mix of the social collateral has drifted riskier – more so than the benchmark – meaning the strong early credit performance of the social deal could reverse, and ongoing surveillance is warranted

New Loans or New Label?

The Social AOMT 2021-2 Is Similar to AOMT 2021-1

Figure 1 shows AOMT 2021-1 vs. 2021-2 in the Collateral Comparison screen of Edge, RiskSpan’s data and analytics platform. Clearly, the two pools were similar at origination, with highly overlapping distributions of FICO, LTV, and DTI and many other similar metrics.

So What’s Different – And How Different Is It?

The distinguishing principle of a social bond under Angel Oak’s framework is that it provides affordable home mortgages to those who often can’t get them because they don’t qualify under the automated underwriting processes of traditional lenders because of the exceptional nature of their sources of income. [2]

Angel Oak says the specific characteristic hindering the borrowers in the AOMT 2021-2 deal is self-employment. [3] Self-employed borrowers make up 94.4% of the pool (with a median annual income of $227,803) [4], up marginally from 86.5% in the 2021-1 deal [5]. As Figure 1 shows, the proportion of low documentation by balance was up from 87.5% in 2021-1 to 97.5% in 2021-2.

Also, Figure 1 shows that 2021-2’s FICOs and LTVs are slightly worse on average with slightly more tail risk, and the cash-out proportion is slightly riskier.

Compensating marginally for 2021-2 are slightly lower ARM proportions (0 vs. 0.8% for 2021-1), lower WA. DTI, and a higher proportion of owner-occupied (90% vs. 85%), which many view as credit-positive.

In summary, RiskSpan calculates 1.83 average risk layers per loan for the social 2021-2, slightly higher than 1.78 for 2021-1.

Notably the WA coupons for the two pools are the same.

Figure 1: Edge’s Collateral Comparison Screen Showing AOMT 2021-1 (aka AOAK 2101) vs. 2021-2 (aka AOAK 2102) at Origination Graph Source: CoreLogic, RiskSpan

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In summary, it seems that most – though perhaps not all – of the loans that qualified for AOMT 2021-2 would have qualified for AOMT 2021-1 and other non-QM deals.

Kroll’s new issue report seems to acknowledge that what is new about 2021-2 is mostly the formal emphasis on the social benefits of the loans made, and less a change in the kinds of loans made: “While many of [Angel Oak’s] lending programs overlap meaningfully with other non-QM lender’s offerings, the actions taken by AOCA generally indicate management’s attention to ESG related matters. Specifically, AOCA’s SBF puts focus on the impact that credit availability for underserved borrowers can have.” [4]

A skeptical interpretation of the overlap between 2021-1 and the social 2021-2 collateral would be that the social claim is largely hollow. Another way of looking at it is that a financial market participant is finally taking credit for good work it has been largely doing all along. Angel Oak itself seems to take this latter view, saying, “Since 2011, AOCA has been implementing ESG principles within its non-qualified mortgage (non-QM) origination and securitization program to provide access to residential credit for underserved borrowers.” [2]

Either way, logical hypotheses would be that collateral performance will be similar between 2021-2 and 2021-1, with -2 showing (a) slightly more credit trouble and (b) slightly less able to refinance. Regarding the second hypothesis, logically it should challenge the premise that the deal serves underserved borrowers if its borrowers can refinance just as readily as others.

Early Performance of the Social Bonds

Let’s see how AOMT’s social 2021-2 has performed as benchmarked to 2021-1 during the first six and seven months, respectively, of available data.

Better Delinquency Trend Than the Benchmark

As Figure 2 shows, delinquencies opened higher for the social 2021-2 but have mostly cured. By contrast, delinquencies have trended up for 2021-1. So far, Angel Oak’s social origination is outperforming its non-social contemporary from a credit standpoint.

Figure 2: AOMT 2021-2 Delinquencies Began Higher, Have Mostly Cured; AOMT 2021-1’s Delinquencies Have Trended Up 60 day-plus delinquency share over time, AOMT 2021-2 vs AOMT 2021-1 Source: CoreLogic, RiskSpan

Significantly Better Credit Performance by the Social DSCR Investor Loans

A small slice of the deals driving outsized delinquencies in 2021-1 are the DSCR-based investor loans (Figure 3). In the social 2021-2, delinquencies among this cohort are zero. We plot the spreads at origination (SATO) of this cohort alongside delinquencies to show that the DSCR loans in 2021-2 had lower credit spreads by about 20bps. Perhaps the investor loans pooled into 2021-2 were managed to higher standards for DSCR, rent rolls or other attributes (their LTVs and ages are similar).

Figure 3: Delinquencies – and SATOs – Are Lower Among DSCR-Based Investor Loans in AOMT 2021-2 60 day-plus delinquency share and WA SATOs over time, AOMT 2021-2 vs. AOMT 2021-1, includes Detailed Doc Type = DSCR Investor Cash Flow.Source: CoreLogic, RiskSpan

Ironically, The Full Doc Loans Are the Social Deal’s Blemish

The slice of full doc loans in the social 2021-2 have a much lower WA FICO than the low doc loans in the same deal or either the low or full doc loans in 2021-1 (see the green dotted line in Figure 4). Correspondingly, these full doc loans have the highest delinquent share among the four cohorts in Figure 4 (green solid line). If this pattern holds, it highlights the viability of using tradeoffs to manage down the overall credit risk represented by loans with risky attributes.

Figure 4: AOMT 2021-2’s Full Doc Loans Are the Most Delinquent Doc Cohort from Either Deal 60 day-plus delinquency share and WA FICOs over time, AOMT 2021-2 vs. AOMT 2021-1 and Full Doc vs. Low Doc Source: CoreLogic, RiskSpan

Slower Refinances Than the Benchmark

While credit performance has been better for the social deal than we might expect, voluntary prepays so far (Figure 5) support our hypothesis that the social deal should prepay slower. Note that we plot voluntary prepays over loan age, and that all loans from this recent non-QM vintage have similar (and highly positive) refinance incentive. If the social deal’s refinances remain slower, that accomplishes two significant things: 1) it supports the claim that the social borrowers are indeed underserved; 2) if combined with sustained credit performance, it provides support in terms of financial risk and return for the price premiums that social bonds tend to command.

Figure 5: AOMT 2021-2 Is Refinancing Slower CRR over loan age, AOMT 2021-2 vs. AOMT 2021-1, July 2021-January 2022 Source: CoreLogic, RiskSpan

The Relative Refinance Slowness Is From the Large Balance Loans

The overall slowness of the social collateral in Figure 5 is driven by large loans. Figure 6 shows that, among loans <$417K, the prepay patterns of 2021-1 and 2021-2 are similar, while among loans > $417K, the prepays of 2021-2 are consistently slower. This may suggest that large loans with complex sources of income are particularly hard to underwrite.

Figure 6: The Social Deal’s Low-Balance Loans Refi Similar to Benchmark, But Large Balances Have Been Slower CRR over loan age, AOMT 2021-2 vs. AOMT 2021-1, bucketed by loan size, July 2021-January 2022 Source: CoreLogic, RiskSpan

Updated Collateral Mix

The Social Deal’s Credit Mix Has Drifted Riskier, Warranting Ongoing Monitoring

While the early performance of the social collateral is positive, Figure 7 provides reason for concern and ongoing watchfulness. Since origination, the composition of the social 2021-2 has drifted riskier in all respects except slight improvements in WA DTI and WA LTV. Its LTV tails, WA FICO, and FICO tails; proportions of cash-out, low doc, non-owner-occupied; and average overall risk layers are all somewhat riskier.

The drift for 2021-1 has been more mixed. Like 2021-2, it is safer with respect to WA DTI and WA LTV. Unlike 2021-2, it is also safer with respect to LTV tails, FICO tails, and cash-out proportion. Like 2021-2, it is riskier with respect to WA FICO; proportions of low doc and non-owner-occupied; and average overall risk layers.

We will continue to monitor whether this composition drift drives differential performance going forward.

Figure 7: Edge’s Collateral Comparison Screen Showing AOMT 2021-1 (aka AOAK 2101) vs. 2021-2 (aka AOAK 2102) updated to the Current Factor DateSource: CoreLogic, RiskSpan

Using Edge, you can examine prepay or credit performance of loan subsets defined by any characteristics, and generate aging curves, time series, or S-curves.

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[1] https://angeloakhomeloans.com/angel-oak-capital-advisors-delivers-first-to-market-non-agency-social-bond-securitization/

[2] https://www.issgovernance.com/file/spo/spo-20210408-angel-oak.pdf

[3] https://www.businesswire.com/news/home/20210517005728/en/Angel-Oak-Capital-Advisors-Delivers-First-to-Market-Non-Agency-Social-Bond-Securitization

[4] https://www.kbra.com/documents/report/48093/angel-oak-mortgage-trust-2021-2-aomt-2021-2-new-issue-report

[5] https://www.fitchratings.com/research/structured-finance/angel-oak-mortgage-trust-2021-1-us-rmbs-02-03-2021

Quantifying Mortgage Risk — Best Practices in the Wake of SVB

Temporary Buydowns are Back. What Does This Mean for Speeds?

Incorporating Covid-Era Mortgage Data Without Skewing Your Models

How Covid-era mortgage data differs

Modeling Credit Performance

Principles for handling Covid-era mortgage data

How Has the First “Social” RMBS Performed – And What’s So Social About It?

New Loans or New Label?

The Social AOMT 2021-2 Is Similar to AOMT 2021-1

So What’s Different – And How Different Is It?

Early Performance of the Social Bonds

Better Delinquency Trend Than the Benchmark

Significantly Better Credit Performance by the Social DSCR Investor Loans

Ironically, The Full Doc Loans Are the Social Deal’s Blemish

Slower Refinances Than the Benchmark

The Relative Refinance Slowness Is From the Large Balance Loans

Updated Collateral Mix

The Social Deal’s Credit Mix Has Drifted Riskier, Warranting Ongoing Monitoring

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