Accessible Version

Why is the Default Rate So Low? How Economic Conditions and Public Policies Have Shaped Mortgage and Auto Delinquencies During the COVID-19 Pandemic Accessible Data

Figure 1. Delinquencies were pro-cyclical in the Great Recession, but counter-cyclical During COVID-19
Year Mortgage Delinquency Rate Auto Delinquency Rate Unemployment Rate
2006:Q1 0.03474   0.04733
2006:Q2 0.03687 0.04227 0.04633
2006:Q3 0.04278   0.04633
2006:Q4 0.04349 0.04849 0.04433
2007:Q1 0.04447   0.04500
2007:Q2 0.04729 0.04777 0.04500
2007:Q3 0.05196   0.04667
2007:Q4 0.05681 0.05529 0.04800
2008:Q1 0.05954   0.05000
2008:Q2 0.06138 0.05358 0.05333
2008:Q3 0.06834   0.06000
2008:Q4 0.07746 0.06247 0.06867
2009:Q1 0.08162   0.08267
2009:Q2 0.08775 0.05732 0.09300
2009:Q3 0.09371   0.09633
2009:Q4 0.09732 0.06002 0.09933
2010:Q1 0.09605   0.09833
2010:Q2 0.09402 0.05057 0.09633
2010:Q3 0.09444   0.09467
2010:Q4 0.09294 0.05201 0.09500
2011:Q1 0.08832   0.09033
2011:Q2 0.08438 0.04443 0.09067
2011:Q3 0.08613   0.09000
2011:Q4 0.08600 0.04705 0.08633
2012:Q1 0.07997   0.08267
2012:Q2 0.07881 0.04182 0.08200
2012:Q3 0.07837   0.08033
2012:Q4 0.07819 0.04578 0.07800
2013:Q1 0.07222   0.07733
2013:Q2 0.06620 0.03952 0.07533
2013:Q3 0.06492   0.07233
2013:Q4 0.06422 0.04391 0.06933
2014:Q1 0.05917   0.06667
2014:Q2 0.05504 0.03976 0.06200
2014:Q3 0.05548   0.06067
2014:Q4 0.05258 0.04430 0.05700
2015:Q1 0.04781   0.05533
Month Mortgage Delinquency Auto Delinquency Unemployment
January 0.03234 0.04476 0.03995
February 0.03072 0.04263 0.03795
March 0.02676 0.03818 0.04544
April 0.02431 0.03865 0.14502
May 0.02088 0.03465 0.13033
June 0.01735 0.03138 0.11235
July 0.01665 0.02965 0.10481
August 0.01548 0.03061 0.08566
September 0.01601 0.03241 0.07710

Source: Federal Reserve Bank of New York/Equifax Consumer Credit Panel and Bureau of Labor Statistics

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Figure 2. The share of borrowers with a mortgage or auto loan delinquent and/or in forbearance was pro-cyclical during COVID-19
Month Mortgage Delinquency or Forbearance Auto Delinquency or Forbearance Unemployment
January 0.05943 0.05219 0.03995
February 0.05727 0.04920 0.03795
March 0.04721 0.04411 0.04544
April 0.07663 0.07465 0.14502
May 0.10803 0.10892 0.13033
June 0.10067 0.11309 0.11235
July 0.09134 0.09936 0.10481
August 0.08578 0.07562 0.08566
September 0.08452 0.06949 0.07710

Source: Federal Reserve Bank of New York/Equifax Consumer Credit Panel and Bureau of Labor Statistics.

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Figure 3. State-level unemployment rates are positively correlated with mortgage and auto delinquency and/or forbearance rates
State Mortgages Auto Loans State Unemployment Rate (NAS)
AK 7.7% 5.8% 12.3%
AL 8.9% 10.9% 7.9%
AR 8.2% 9.7% 8.3%
AZ 8.5% 10.5% 10.3%
CA 10.7% 13.6% 15.1%
CO 7.7% 13.5% 10.7%
CT 12.7% 11.9% 10.2%
DC 10.0% 16.7% 9.1%
DE 10.7% 10.8% 12.9%
FL 14.4% 13.7% 10.5%
GA 12.1% 14.0% 8.0%
HI 10.7% 9.2% 13.9%
IA 4.9% 5.6% 8.3%
ID 5.4% 6.8% 5.5%
IL 9.4% 11.3% 14.6%
IN 7.4% 8.4% 11.1%
KS 6.4% 7.9% 7.6%
KY 7.2% 9.3% 5.0%
LA 12.9% 13.0% 10.4%
MA 8.1% 8.8% 17.8%
MD 12.1% 14.2% 8.5%
ME 7.7% 6.2% 6.5%
MI 7.5% 7.8% 15.0%
MN 5.9% 6.2% 8.6%
MO 7.1% 8.4% 7.9%
MS 12.0% 14.3% 9.8%
MT 5.4% 5.7% 7.1%
NC 9.1% 11.5% 7.7%
ND 5.6% 5.5% 7.5%
NE 5.5% 6.9% 5.7%
NH 6.9% 7.1% 9.1%
NJ 14.5% 11.6% 16.6%
NM 9.0% 10.5% 9.1%
NV 13.2% 15.9% 15.3%
NY 13.8% 11.3% 15.5%
OH 7.5% 8.3% 11.1%
OK 8.3% 9.6% 6.7%
OR 6.6% 8.6% 11.7%
PA 9.9% 8.7% 13.3%
RI 9.6% 9.7% 12.3%
SC 10.7% 12.0% 8.9%
SD 4.3% 5.5% 7.1%
TN 10.9% 12.2% 10.1%
TX 12.3% 14.9% 8.7%
UT 6.3% 7.8% 5.7%
VA 8.5% 11.0% 8.2%
VT 7.2% 8.1% 9.5%
WA 7.0% 12.8% 9.9%
WI 5.0% 6.8% 8.9%
WV 7.4% 8.6% 10.5%
WY 6.1% 7.7% 7.6%

Source: Federal Reserve Bank of New York/Equifax Consumer Credit Panel and Bureau of Labor Statistics.

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Figure 4. Aggregate personal incomes rose during the pandemic because of the expansion of transfer income under the CARES Act
Month Total Personal Income Total Non-Transfer Income
January 18973 15770
February 19116 15905
March 18764 15472
April 21093 14495
May 20246 14768
June 20033 15074
July 20215 15338
August 19709 15576
September 19856 15756

Source: Bureau of Economic Analysis, National Income and Product Accounts.

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Figure 5. State social distancing policy stringency not consistently correlated with COVID-19 case loads
State Month Cumulative Cases Per 1,000 People Stringency Index
AK Apr-20 0.48 83.05
AK Jun-20 1.53 39.26
AK Aug-20 8.23 50.79
AL Apr-20 1.45 64.51
AL Jun-20 7.82 37.75
AL Aug-20 25.91 34.32
AR Apr-20 1.10 47.78
AR Jun-20 6.95 51.30
AR Aug-20 20.47 41.19
AZ Apr-20 1.10 60.55
AZ Jun-20 11.43 40.99
AZ Aug-20 29.06 46.26
CA Apr-20 1.29 76.85
CA Jun-20 5.93 62.04
CA Aug-20 18.20 60.37
CO Apr-20 2.75 78.52
CO Jun-20 5.91 62.13
CO Aug-20 10.45 55.53
CT Apr-20 7.73 70.37
CT Jun-20 12.99 64.63
CT Aug-20 14.76 58.57
DC Apr-20 6.32 78.70
DC Jun-20 15.09 65.19
DC Aug-20 20.44 61.50
DE Apr-20 4.99 78.61
DE Jun-20 12.08 69.20
DE Aug-20 18.36 59.71
FL Apr-20 1.64 76.08
FL Jun-20 7.40 65.22
FL Aug-20 30.27 50.40
GA Apr-20 2.47 59.01
GA Jun-20 7.50 57.41
GA Aug-20 24.69 44.86
HI Apr-20 0.43 74.07
HI Jun-20 0.63 68.52
HI Aug-20 5.94 79.15
IA Apr-20 2.28 53.92
IA Jun-20 9.31 29.57
IA Aug-20 20.83 25.86
ID Apr-20 1.19 85.19
ID Jun-20 3.63 37.05
ID Aug-20 19.11 44.07
IL Apr-20 4.13 71.85
IL Jun-20 11.28 62.06
IL Aug-20 18.54 48.54
IN Apr-20 2.73 66.02
IN Jun-20 7.04 50.03
IN Aug-20 14.51 42.20
KS Apr-20 1.48 70.00
KS Jun-20 5.03 49.63
KS Aug-20 14.92 41.64
KY Apr-20 1.06 87.40
KY Jun-20 3.58 62.84
KY Aug-20 11.46 54.99
LA Apr-20 6.01 62.04
LA Jun-20 12.48 52.78
LA Aug-20 31.93 53.29
MA Apr-20 9.11 67.59
MA Jun-20 15.94 59.69
MA Aug-20 18.82 59.26
MD Apr-20 3.64 87.04
MD Jun-20 11.35 66.79
MD Aug-20 18.11 50.67
ME Apr-20 0.82 84.23
ME Jun-20 2.44 75.00
ME Aug-20 3.40 74.76
MI Apr-20 4.15 69.04
MI Jun-20 7.12 43.36
MI Aug-20 11.36 48.31
MN Apr-20 0.93 72.60
MN Jun-20 6.57 57.50
MN Aug-20 13.73 50.90
MO Apr-20 1.24 65.43
MO Jun-20 3.66 47.62
MO Aug-20 14.18 41.18
MS Apr-20 2.28 60.00
MS Jun-20 9.12 49.07
MS Aug-20 27.75 43.28
MT Apr-20 0.43 75.99
MT Jun-20 0.93 49.07
MT Aug-20 7.14 46.80
NC Apr-20 1.03 71.51
NC Jun-20 6.41 58.33
NC Aug-20 16.54 55.70
ND Apr-20 1.42 50.74
ND Jun-20 4.77 35.19
ND Aug-20 15.71 34.23
NE Apr-20 2.27 59.24
NE Jun-20 10.08 51.11
NE Aug-20 18.00 39.41
NH Apr-20 1.60 76.85
NH Jun-20 4.30 57.65
NH Aug-20 5.41 39.76
NJ Apr-20 13.36 60.74
NJ Jun-20 19.54 56.54
NJ Aug-20 21.81 50.93
NM Apr-20 1.63 81.85
NM Jun-20 5.81 80.56
NM Aug-20 12.12 78.76
NV Apr-20 1.73 68.15
NV Jun-20 6.36 53.64
NV Aug-20 23.72 50.93
NY Apr-20 15.52 79.63
NY Jun-20 20.06 72.99
NY Aug-20 22.16 69.32
OH Apr-20 1.55 71.18
OH Jun-20 4.45 61.11
OH Aug-20 10.58 58.87
OK Apr-20 0.92 69.03
OK Jun-20 3.51 30.65
OK Aug-20 14.99 30.99
OR Apr-20 0.61 70.37
OR Jun-20 2.13 48.12
OR Aug-20 6.55 56.90
PA Apr-20 3.77 74.01
PA Jun-20 7.13 45.71
PA Aug-20 10.85 49.27
RI Apr-20 8.16 79.63
RI Jun-20 15.91 69.19
RI Aug-20 20.77 61.38
SC Apr-20 1.23 74.14
SC Jun-20 7.34 33.64
SC Aug-20 24.01 38.29
SD Apr-20 2.83 56.54
SD Jun-20 7.83 22.22
SD Aug-20 15.63 20.37
TN Apr-20 1.58 67.03
TN Jun-20 6.44 50.93
TN Aug-20 22.86 45.49
TX Apr-20 1.04 71.72
TX Jun-20 5.98 45.19
TX Aug-20 22.96 52.52
UT Apr-20 1.53 52.97
UT Jun-20 7.34 42.73
UT Aug-20 17.13 41.26
VA Apr-20 1.88 68.89
VA Jun-20 7.46 60.28
VA Aug-20 14.33 52.52
VT Apr-20 1.39 72.71
VT Jun-20 1.93 61.92
VT Aug-20 2.60 57.50
WA Apr-20 2.03 68.52
WA Jun-20 4.74 52.56
WA Aug-20 10.65 51.39
WI Apr-20 1.21 70.87
WI Jun-20 5.49 35.65
WI Aug-20 13.97 37.50
WV Apr-20 0.62 73.95
WV Jun-20 1.59 61.11
WV Aug-20 5.60 57.02
WY Apr-20 0.96 71.48
WY Jun-20 2.56 47.16
WY Aug-20 6.60 45.34

Source: The New York Times COVID-19 case data and Oxford COVID-19 Government Response Tracker.

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Figure 6. CARES Act income support varied in its generosity
State CARES Income Support Generosity
AK 0.14
AL 0.16
AR 0.18
AZ 0.16
CA 0.12
CO 0.11
CT 0.13
DC 0.12
DE 0.12
FL 0.12
GA 0.17
HI 0.20
IA 0.17
ID 0.15
IL 0.13
IN 0.14
KS 0.13
KY 0.20
LA 0.19
MA 0.16
MD 0.16
ME 0.22
MI 0.20
MN 0.17
MO 0.15
MS 0.19
MT 0.18
NC 0.13
ND 0.16
NE 0.13
NH 0.13
NJ 0.15
NM 0.18
NV 0.16
NY 0.15
OH 0.17
OK 0.16
OR 0.15
PA 0.19
RI 0.17
SC 0.15
SD 0.11
TN 0.14
TX 0.15
UT 0.18
VA 0.12
VT 0.17
WA 0.12
WI 0.12
WV 0.20
WY 0.11

Source: Bureau of Economic Analysis, National Income and Product Accounts.

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Figure 7. Estimated Share of Active Mortgages in June Eligible for CARES Act Protection
State Percent of Active Mortgages Eligible under CARES Act
AK 89.8%
AL 84.3%
AR 85.1%
AZ 83.4%
CA 68.6%
CO 78.2%
CT 74.1%
DC 67.5%
DE 79.2%
FL 76.8%
GA 80.6%
HI 78.7%
IA 84.8%
ID 82.8%
IL 77.7%
IN 81.3%
KS 81.2%
KY 78.4%
LA 84.9%
MA 76.9%
MD 77.8%
ME 84.0%
MI 76.8%
MN 82.0%
MO 80.7%
MS 80.4%
MT 85.9%
NC 80.6%
ND 87.4%
NE 81.6%
NH 85.8%
NJ 74.5%
NM 85.5%
NV 80.4%
NY 68.6%
OH 76.8%
OK 86.2%
OR 80.4%
PA 76.0%
RI 80.0%
SC 81.0%
SD 88.4%
TN 81.4%
TX 81.7%
UT 80.6%
VA 77.8%
VT 85.5%
WA 78.3%
WI 82.8%
WV 84.1%
WY 85.3%

Source: Residential Mortgage Servicing Database, Black Knight McDash Data and Federal Reserve Z.1 Financial Accounts of the United States data.

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Figure 8. Economic, Health, and Policy Drivers of County-Level Rates of Delinquency and/or Forbearance on Mortgages and Auto Loans
  Coefficient Lower Bound Upper Bound
Unemployment Rate 0.01 0.01 0.02
CARES Income Support Generosity -0.02 -0.03 0.00
CARES-Eligible Mortgage Share 0.01 0.01 0.01
Social Distancing Policy Stringency 0.00 -0.01 0.00

Source: Federal Reserve Bank of New York/Equifax Consumer Credit Panel, Bureau of Labor Statistics Local Area Unemployment Statistics, The New York Times COVID-19 case data, Black Knight McDash data, and Oxford COVID-19 Government Response Tracker.

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Last Update: March 04, 2021