Profits and Balance Sheet Developments at U.S. Commercial Banks in 2006
Credit Quality of Subprime Residential Mortgages, Figure C. Rate of serious delinquency on residential real estate loans, 1991-2007. Data plotted as curves. The rate of serious delinquency on residential real estate loans for all banks starts in 1991 at 1.4 percent, generally drifts down to around 0.8 percent in early 1995, stays in the range of 0.6 percent to 0.9 percent through the end of 2006, and then edges up to 0.95 percent in the first quarter of 2007. The 90th percentile of the distribution of the rate of serious delinquency on residential real estate loans starts in 1991 at about 4 percent, declines on balance to around 1.5 percent in late 1994, remains around that level through the middle of 2000, rises to around 2.8 percent in early 2002, declines at the end of 2002 to around 1.7 percent in early 2003, moves in a range of 1.7 percent to 2.1 percent through the end of 2004, rises to about 2.9 percent in early 2006, declines to a rate of 2.2 percent at the end of 2006, and then ticks up to about 2.3 percent in the first quarter of 2007. The 95th percentile of the distribution of the rate of serious delinquency on residential real estate loans starts in 1991 at about 6.2 percent, falls on balance to about 2.1 percent in the middle of 1995, remains around that level through the end of 2000, rises to about 3.8 percent in the middle of 2002, declines on balance to about 2.4 percent in early 2004, spikes up to about 3.7 percent in the middle of 2004, declines to about 2.4 percent by the end of 2004, and then rises nearly steadily to around 4.8 percent in the first quarter of 2007.
NOTE: The data are quarterly and extend through 2007:Q1. Delinquency rates are for loans ninety days or more past due or non-accrual. The 90th and 95th percentiles are weighted by residential real estate loan portfolios.