Mortgage Portfolio Executive Report

Generated: 2026-03-14 10:03:06 | Portfolio as of: 202602 | Author: Amjad Ali Kudsi

1. Executive Summary

992,289
Total Loans
$247.7B
Total UPB
1.03%
Delinquency Rate (30+ DPD)
0.36%
Serious DLQ (90+ DPD)
751
Avg FICO at Origination
Portfolio delinquency stands at 1.03% across 992,289 loans ($247.7B UPB). The 2022 vintage is the highest-risk cohort at 2.39% delinquency — 2.3x the portfolio average.

2. Vintage Performance Comparison

VintageLoansUPB ($B) DLQ Rate90+ DPD Avg FICOAvg Rate
2014 296 $0.00B 0.34% 0.0% 758 4.219%
2015 2,887 $0.72B 0.35% 0.17% 770 4.0%
2016 148,415 $32.05B 0.98% 0.35% 750 3.994%
2017 157,129 $33.77B 0.97% 0.35% 746 4.417%
2018 110,769 $24.05B 0.87% 0.35% 747 4.765%
2019 105,940 $24.91B 0.83% 0.29% 750 4.657%
2020 193,679 $52.23B 0.56% 0.15% 759 3.328%
2021 109,770 $30.37B 1.35% 0.4% 749 3.188%
2022 50,446 $15.03B 2.39% 0.91% 746 5.385%
2023 56,813 $16.64B 1.79% 0.71% 750 6.52%
2024 56,145 $17.91B 1.09% 0.3% 755 6.926%
⚠ 2022 vintage has the highest delinquency at 2.39% — 2.3x the portfolio average. This cohort originated at 5.385% average rate with 746 average FICO.
✓ 2015 vintage is the strongest performer at 0.35% delinquency with 770 average FICO.

3. Delinquency Distribution

4. Roll Rate Transition Matrix

Probability of transitioning between delinquency states (last 12 months of payment history)

From ↓ / To →Current30_DPD60_DPD90_DPD120_Plus
Current 99.23% 0.42% 0.12% 0.06% 0.17%
30_DPD 81.99% 5.05% 3.02% 2.35% 7.58%
60_DPD 81.03% 8.29% 2.79% 1.73% 6.16%
90_DPD 80.80% 10.76% 2.90% 1.62% 3.93%
120_Plus 75.30% 17.17% 4.20% 1.52% 1.81%
✓ 30-DPD cure rate: 82.0% of loans one month late returned to current. This indicates active and effective early intervention.

5. Geographic Risk Hotspots

States with delinquency rates above portfolio average (1.03%), minimum 500 loans

StateLoansUPB ($B)DLQ Ratevs PortfolioAvg FICO
WV 2,288 $0.363B 1.97% 1.9x 747
LA 9,008 $1.787B 1.68% 1.6x 748
MS 3,224 $0.575B 1.61% 1.6x 745
NY 29,940 $8.850B 1.6% 1.6x 749
AR 6,502 $1.152B 1.37% 1.3x 751
FL 74,396 $16.617B 1.27% 1.2x 749
TX 80,276 $18.932B 1.26% 1.2x 749
PA 27,837 $5.679B 1.24% 1.2x 753
NJ 26,548 $7.753B 1.23% 1.2x 751
OK 7,898 $1.383B 1.22% 1.2x 751
IN 21,463 $3.589B 1.2% 1.2x 748
CT 9,161 $2.176B 1.18% 1.1x 751

6. Highest-Risk Loan Segments

Top 15 segments by model risk score (SegmentIQ model behavioral segmentation, minimum 30 loans per segment)

Credit BandLTVRateVintage LoansUPB ($M) Risk ScoreActual DLQ
Subprime (<620) Medium (61-80) 5.5% - 6.5% 2022 47 $13.9M 17.93% 10.64%
Subprime (<620) Medium (61-80) 6.5%+ 2023 45 $8.9M 16.05% 11.11%
Fair (620-679) Medium (61-80) 6.5%+ 2022 471 $122.6M 13.44% 9.34%
Fair (620-679) High (81-90) 4.5% - 5.5% 2016 32 $6.5M 13.3% 6.25%
Fair (620-679) Very High (>90) 3.5% - 4.5% 2017 108 $20.1M 12.9% 7.41%
Fair (620-679) Very High (>90) 4.5% - 5.5% 2017 99 $18.4M 12.26% 6.06%
Fair (620-679) Very High (>90) 4.5% - 5.5% 2016 56 $10.9M 12.08% 5.36%
Subprime (<620) Medium (61-80) 3.5% - 4.5% 2016 47 $7.1M 11.98% 6.38%
Subprime (<620) Medium (61-80) 3.5% - 4.5% 2020 32 $5.4M 11.89% 6.25%
Subprime (<620) Medium (61-80) 4.5% - 5.5% 2017 79 $12.6M 11.74% 6.33%
Fair (620-679) Medium (61-80) 5.5% - 6.5% 2022 3,146 $766.7M 11.73% 7.31%
Fair (620-679) Medium (61-80) 5.5% - 6.5% 2023 968 $239.5M 11.19% 7.54%
Fair (620-679) Very High (>90) 3.5% - 4.5% 2016 273 $55.8M 11.07% 5.13%
Fair (620-679) Medium (61-80) 3.5% - 4.5% 2022 126 $32.8M 10.92% 7.94%
Fair (620-679) Medium (61-80) 5.5% - 6.5% 2020 96 $13.9M 10.88% 7.29%
⚠ The top 15 segments represent 5,625 loans ($1.3B UPB) with an average delinquency rate of 7.4% — 7.2x the portfolio average.

7. Predictive Risk Model (Origination Features)

OriginRisk model: predicts delinquency likelihood using only borrower and loan characteristics known at origination

0.77
AUC-ROC
39.5%
Capture at Top 10%
58.8%
Capture at Top 20%

Top Delinquency Risk Drivers

#FeatureImportanceInterpretation
1 credit_score 0.7015 Lower FICO scores strongly predict higher delinquency risk
2 num_borrowers 0.4405 Single-borrower loans carry more risk than co-borrower loans
3 orig_interest_rate 0.2779 Higher rates mean higher monthly payments and more payment stress
4 dti 0.2391 Higher debt-to-income ratios indicate the borrower is financially stretched
5 loan_age 0.2128 Loan seasoning affects risk — newer and very old loans behave differently
6 rate_bucket_Below 3.5% 0.1778 Low-rate loans have affordable payments — lower risk
7 loan_purpose_P 0.1686 Contributes to risk assessment

8. Recommended Actions

Vintage Risk: 2022 vintage delinquency (2.39%) is 2.3x the portfolio average. Recommend targeted outreach for the 50,446 loans ($15.0B UPB) in this cohort.
Geographic Concentration: WV shows 1.97% delinquency (1.9x portfolio average) across 2,288 loans. Monitor for regional economic stress.
Geographic Concentration: LA shows 1.68% delinquency (1.6x portfolio average) across 9,008 loans. Monitor for regional economic stress.
Geographic Concentration: MS shows 1.61% delinquency (1.6x portfolio average) across 3,224 loans. Monitor for regional economic stress.
Segment Concentration: Top 15 risk segments contain 5,625 loans ($1.3B UPB) with 7.4% average delinquency. Prioritize loss mitigation resources for these segments.
Loss Mitigation Effectiveness: 30-DPD cure rate of 82.0% indicates effective early intervention. Maintain current outreach intensity for newly delinquent loans.
Risk Scoring Opportunity: The origination risk model captures 58.8% of delinquencies in the top 20% of scored loans. Deploying this model for proactive outreach could significantly improve early intervention targeting.