The Fed published the first quarter's stats today:
- Delinquency rate for all real estate loans hit 7.88%
- Delinquency rate for all consumer loans hit 4.91%
How does this translate to losses? The above graph tracks actual net charge offs since 1985 and projections for the next 5 quarters. The model is a simple regression of 3 quarter lagging delinquencies versus charge offs. The model is not robust, but it is statistically significant. It also has predicted a lower amount of charge-offs than were realized for the last few quarters. I am trying to find another variable to capture the difference.
Anyway, based on the data, I would be hesitant to say the worst of marking to market is over.
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