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Weekly Market Summary
July 8 to July 12, 2024
Extra Credit*
- The 30-day delinquency rate for asset-backed securities (ABS) decreased month-over-month for bank cards, retail cards, and traditional personal loans. Bank and retail card delinquencies decreased 6 basis points to 1.4% and 2 basis points to 2.8% month-over-month, respectively. Traditional personal loan delinquencies decreased 8 basis points to 5.7%. Prime auto and subprime auto loan delinquencies increased 9 basis points to 1.7% and 25 basis points to 14.1% month-over-month, and marketplace personal loan delinquencies increased 18 basis points to 5.2%.
- Month-over-month, net losses increased 1 basis point to 0.6% for prime auto loans and 20 basis points to 7.8% for subprime auto loans. Bank card and retail card losses decreased 15 basis points to 2.3% and 21 basis points to 5.5%. Personal loan ABS losses decreased by 42 basis points to 10.2% and 29 basis points to 12.9% for traditional and marketplace personal loans, respectively.
- Auto loan prepayment rates increased 1 basis point for prime auto and 2 basis points for subprime auto loans.
- The 30-day delinquency rate for commercial mortgage-backed securities (CMBS) increased 0.3% month-over-month. Freddie Mac Multifamily K-Deals (Freddie K) delinquencies decreased, by 6 basis points. Non-agency CMBS reported sizable year-over-year increases in delinquencies, with conduits up 1.4%, to 5.3%. The share of loans in special servicing increased 0.2% month-over-month for conduits.
- The 30-day delinquencies for non-agency residential mortgage-backed securities (RMBS) and current-to-delinquent roll rates decreased across the board in June. Existing home sales decreased 30,000, and new home sales decreased 79,000 in May. Home price growth decreased to 6.2% year-over-year in April, and issuance was $7 billion in June.
- Bank-loan and high-yield bond default rates, excluding distressed exchanges, finished the month both at 1.17% for high-yield bonds and 1.09% for bank loans, both down from 1.25% in the month prior. This is also well below the long-term historical default rate of 3% for loans and 3.4% for high yield, and the historical post-GFC default rates of 2.3% and 2.5%, respectively.
Sources: Bloomberg and JP Morgan as of 7/8/24.
Previous reports
*Source: Morningstar®, Bloomberg, Credit Suisse. OAS is Options Adjusted Spread. 4-year discount margin is used for spread for bank loans. Yield quoted is yield-to-worst or equivalent calculation. YTD Low / High for yields are based on end of week and not intraday movements. Indexes and sub-indexes: Investment-grade corporates represented by Bloomberg US Corporate Bond Index. High-yield bonds represented by Bloomberg US Corporate High Yield Index. Bank loans represented by Credit Suisse Leverage Loan Index. The red and green arrows depicted under Yields, Option Adjusted Spreads, and Prices indicate a higher or lower value from the previous week.
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