The Past, Present, and Future of Subprime Mortgages

Shane M. Sherlund

November 2008

Figure 1: Subprime Mortgage Delinquency Rates
	Variable-rate	Fixed-rate
2000M01	7.04	6.03
2000M02	6.72	5.98
2000M03	6.82	5.95
2000M04	7.15	6.06
2000M05	6.5	5.88
2000M06	6.44	5.83
2000M07	6.76	6.16
2000M08	6.58	6.12
2000M09	7.21	6.71
2000M10	7.28	6.71
2000M11	7.39	6.75
2000M12	8.4	7.21
2001M01	8.57	7.36
2001M02	8.4	7.11
2001M03	8.43	7.16
2001M04	8.4	7.19
2001M05	8.51	7.1
2001M06	8.91	6.94
2001M07	8.98	7.08
2001M08	9.1	7.14
2001M09	9.7	7.45
2001M10	9.66	7.43
2001M11	9.48	7.71
2001M12	9.82	7.87
2002M01	9.35	6.87
2002M02	9.29	6.86
2002M03	8.9	6.77
2002M04	8.84	6.73
2002M05	8.39	6.9
2002M06	8.64	7.35
2002M07	8.56	7.75
2002M08	8.7	8
2002M09	8.89	8.56
2002M10	8.78	8.8
2002M11	8.84	9.03
2002M12	9	9.39
2003M01	9.08	9.32
2003M02	8.75	8.88
2003M03	8.34	8.33
2003M04	8.2	8.15
2003M05	8.01	7.98
2003M06	8.11	8.09
2003M07	8.08	7.93
2003M08	8.12	7.84
2003M09	8.1	7.73
2003M10	8.09	7.62
2003M11	8.12	7.59
2003M12	8.22	7.49
2004M01	7.96	7.38
2004M02	7.73	7.26
2004M03	7.18	6.57
2004M04	6.79	6.39
2004M05	6.54	6.31
2004M06	6.48	6.2
2004M07	6.45	6.31
2004M08	6.25	6.17
2004M09	6.14	6.05
2004M10	6.16	6.03
2004M11	6.2	6.1
2004M12	6.25	6.13
2005M01	6.27	6.14
2005M02	6.08	5.9
2005M03	5.77	5.61
2005M04	5.65	5.49
2005M05	5.51	5.35
2005M06	5.59	5.34
2005M07	5.79	5.41
2005M08	5.81	5.36
2005M09	6.11	5.47
2005M10	6.27	5.58
2005M11	6.7	5.86
2005M12	6.99	5.92
2006M01	7.21	5.93
2006M02	7.12	5.7
2006M03	6.83	5.39
2006M04	7.09	5.37
2006M05	6.94	5.19
2006M06	7.14	5.12
2006M07	7.64	5.22
2006M08	7.89	5.17
2006M09	8.41	5.24
2006M10	8.94	5.28
2006M11	9.48	5.42
2006M12	10.2	5.55
2007M01	10.63	5.54
2007M02	10.74	5.39
2007M03	10.86	5.21
2007M04	11.3	5.21
2007M05	11.93	5.3
2007M06	13.03	5.54
2007M07	14.3	5.85
2007M08	15.56	6.09
2007M09	17.18	6.55
2007M10	18.56	6.84
2007M11	20.33	7.25
2007M12	22.4	7.82
2008M01	23.93	8.21
2008M02	25.08	8.37
2008M03	26.03	8.52
2008M04	26.87	8.7
2008M05	27.69	8.9
2008M06	28.66	9.21
2008M07	29.42	9.37

Return to Figure 1

Figure 2: House Price Appreciation
	National	California, Florida, Arizona, Nevada	Ohio, Michigan, Indiana
2000Q1	7.2	9.87	6.2
2000Q2	6.86	9.62	4.45
2000Q3	6.56	10.71	4.65
2000Q4	6.96	12.95	3.26
2001Q1	7.48	12.19	4.54
2001Q2	6.83	10.62	3.84
2001Q3	6.41	9.66	3.37
2001Q4	6.28	9.93	4.54
2002Q1	6.78	11.94	3.96
2002Q2	7.42	14.21	1.96
2002Q3	8.08	15.15	3.73
2002Q4	8.06	14.45	3.61
2003Q1	7.05	14.35	3.8
2003Q2	6.48	12.63	2.76
2003Q3	8.28	15.36	4.18
2003Q4	8.48	20.11	3.37
2004Q1	8.88	19.5	3.67
2004Q2	8.73	23.15	3.16
2004Q3	9.77	26.78	2.69
2004Q4	9.76	20.99	3.2
2005Q1	9.06	23.93	3.13
2005Q2	9.9	24.84	2.41
2005Q3	9.95	22.81	1.47
2005Q4	8.77	14.51	2.07
2006Q1	6.87	8.55	-1.09
2006Q2	3.77	1.76	0.14
2006Q3	1.85	-3.88	-0.36
2006Q4	3.1	-1.61	-4.08
2007Q1	3.43	-2.6	-1.32
2007Q2	1.92	-7.64	-1.85
2007Q3	-2.13	-14	-5.49
2007Q4	-5.13	-19.51	-8.49
2008Q1	-6.55	-26.35	-4.13
2008Q2	-5.34	-26.64	-6.23

Return to Figure 2

Figure 3: Subprime Underwriting
	Average CLTV at origination	Full loan documentation at origination	Low quality loans at origination
2000M01
2000M02	78.28	77.73	1.46
2000M03	77.99	74.99	1.09
2000M04	77.63	73.59	0.71
2000M05	76.38	78.31	0.09
2000M06	75.94	79.49	0.01
2000M07	75.86	78.97	0
2000M08	76.87	79.63	0
2000M09	77.39	79.77	0
2000M10	77.61	77.12	0
2000M11	78.65	75.51	0.46
2000M12	78.66	75.59	0.77
2001M01	78.76	73.2	1.52
2001M02	79.27	75.04	1.4
2001M03	79.17	74.28	0.74
2001M04	78.54	71.29	0.56
2001M05	78.87	71.28	0.4
2001M06	79.74	72.68	0.69
2001M07	79.76	73.79	0.63
2001M08	80.47	76.38	0.78
2001M09	80.11	75.39	0.68
2001M10	79.78	72.41	0.37
2001M11	79.85	73.68	0.45
2001M12	79.74	74.22	0.81
2002M01	79.68	73.56	1.49
2002M02	80.06	73.38	1.9
2002M03	79.71	70.15	1.75
2002M04	79.3	69.52	0.86
2002M05	79.73	72	1.42
2002M06	79.84	72.19	1.66
2002M07	80.12	73.71	1.21
2002M08	80.79	72.15	2.31
2002M09	81.16	70.9	2.88
2002M10	81.35	70.32	3.17
2002M11	80.81	71.99	2.46
2002M12	80.66	74.5	1.28
2003M01	80.49	71.3	1.34
2003M02	80.69	70.29	2.07
2003M03	81.01	68.85	2.54
2003M04	81.7	69.08	2.81
2003M05	82.35	67.74	4.34
2003M06	82.96	68.38	5.13
2003M07	82.95	68.01	6.11
2003M08	83.26	67.68	6.58
2003M09	84	67.91	6.35
2003M10	83.81	66.72	6.69
2003M11	84.43	67	7.5
2003M12	84.97	68.42	6.87
2004M01	85.22	66.55	9.39
2004M02	84.98	66.43	10.13
2004M03	83.98	66.09	7.54
2004M04	83.86	64.67	7.91
2004M05	84.93	66.49	8.48
2004M06	85.13	68.3	8.16
2004M07	85.07	67.23	8.56
2004M08	85.62	67.27	10.31
2004M09	85.45	65.57	11.72
2004M10	85.53	64.74	11.43
2004M11	85.93	63.88	12.34
2004M12	86.28	61.49	14.16
2005M01	85.86	60.99	13.49
2005M02	85.62	62.23	12.95
2005M03	85.66	61.35	12.67
2005M04	85.62	61.58	12.07
2005M05	86.07	61.88	13.11
2005M06	86.28	62.56	13.3
2005M07	86.29	64.01	12.68
2005M08	86.76	63.12	14.34
2005M09	86.17	61.47	14.41
2005M10	87.36	59.33	17.17
2005M11	87.29	62.44	15.9
2005M12	87.52	62.36	16.44
2006M01	87.19	60.78	16.37
2006M02	86.57	61	15.8
2006M03	85.98	60.13	15.45
2006M04	86.06	61.79	14.78
2006M05	86.92	62.5	14.59
2006M06	87.41	63.67	14.4
2006M07	87.5	64.59	14.71
2006M08	88.04	64.13	15.91
2006M09	88.34	63.64	16.88
2006M10	88.35	62.45	17.25
2006M11	88.13	63.5	16.68
2006M12	87.69	64.09	15.27
2007M01	87.23	62.36	14.69
2007M02	87.06	60.75	15.07
2007M03	87.17	63.33	14.43
2007M04	86.59	62.17	13.56
2007M05	85.42	64.66	9.75
2007M06	83.43	66.47	5.56
2007M07	81.38	66.42	2.02
2007M08	79.99	66.86	1.13
2007M09	79.16	65.49	1.08
2007M10	78.1	68.62	0.61
2007M11	74.03	76.8	0
2007M12

Return to Figure 3

Figure 4: Subprime First Mortgage Rate Resets
	Number of resets (thousands of loans)
2005Q1	11.47
2005Q2	14.86
2005Q3	18.16
2005Q4	21.98
2006Q1	28.34
2006Q2	40.84
2006Q3	55.13
2006Q4	71.25
2007Q1	91.68
2007Q2	142.63
2007Q3	209.11
2007Q4	269.42
2008Q1	258.07
2008Q2	310.14
2008Q3	369.55
2008Q4	365.25
2009Q1	276.25
2009Q2	159.42
2009Q3	93.58
2009Q4	67.45
2010Q1	56.94
2010Q2	28.55
2010Q3	16.48
2010Q4	15.47
2011Q1	7.71
2011Q2	8.42
2011Q3	12.55
2011Q4	17.4
2012Q1	13.56
2012Q2	7.73
2012Q3	14.76
2012Q4	1.97

Return to Figure 4

Figure 5: PSA Assumptions
	Standard prepayment assumption	Standard default assumption
Loan age: 0	0	0
Loan age: 1	0.2	0.02
Loan age: 2	0.4	0.04
Loan age: 3	0.6	0.06
Loan age: 4	0.8	0.08
Loan age: 5	1	0.1
Loan age: 6	1.2	0.12
Loan age: 7	1.4	0.14
Loan age: 8	1.6	0.16
Loan age: 9	1.8	0.18
Loan age: 10	2	0.2
Loan age: 11	2.2	0.22
Loan age: 12	2.4	0.24
Loan age: 13	2.6	0.26
Loan age: 14	2.8	0.28
Loan age: 15	3	0.3
Loan age: 16	3.2	0.32
Loan age: 17	3.4	0.34
Loan age: 18	3.6	0.36
Loan age: 19	3.8	0.38
Loan age: 20	4	0.4
Loan age: 21	4.2	0.42
Loan age: 22	4.4	0.44
Loan age: 23	4.6	0.46
Loan age: 24	4.8	0.48
Loan age: 25	5	0.5
Loan age: 26	5.2	0.52
Loan age: 27	5.4	0.54
Loan age: 28	5.6	0.56
Loan age: 29	5.8	0.58
Loan age: 30	6	0.6
Loan age: 31	6	0.6
Loan age: 32	6	0.6
Loan age: 33	6	0.6
Loan age: 34	6	0.6
Loan age: 35	6	0.6
Loan age: 36	6	0.6
Loan age: 37	6	0.6
Loan age: 38	6	0.6
Loan age: 39	6	0.6
Loan age: 40	6	0.6
Loan age: 41	6	0.6
Loan age: 42	6	0.6
Loan age: 43	6	0.6
Loan age: 44	6	0.6
Loan age: 45	6	0.6
Loan age: 46	6	0.6
Loan age: 47	6	0.6
Loan age: 48	6	0.6
Loan age: 49	6	0.6
Loan age: 50	6	0.6
Loan age: 51	6	0.6
Loan age: 52	6	0.6
Loan age: 53	6	0.6
Loan age: 54	6	0.6
Loan age: 55	6	0.6
Loan age: 56	6	0.6
Loan age: 57	6	0.6
Loan age: 58	6	0.6
Loan age: 59	6	0.6
Loan age: 60	6	0.6
Loan age: 61	6	0.5905
Loan age: 62	6	0.581
Loan age: 63	6	0.5715
Loan age: 64	6	0.562
Loan age: 65	6	0.5525
Loan age: 66	6	0.543
Loan age: 67	6	0.5335
Loan age: 68	6	0.524
Loan age: 69	6	0.5145
Loan age: 70	6	0.505
Loan age: 71	6	0.4955
Loan age: 72	6	0.486
Loan age: 73	6	0.4765
Loan age: 74	6	0.467
Loan age: 75	6	0.4575
Loan age: 76	6	0.448
Loan age: 77	6	0.4385
Loan age: 78	6	0.429
Loan age: 79	6	0.4195
Loan age: 80	6	0.41
Loan age: 81	6	0.4005
Loan age: 82	6	0.391
Loan age: 83	6	0.3815
Loan age: 84	6	0.372
Loan age: 85	6	0.3625
Loan age: 86	6	0.353
Loan age: 87	6	0.3435
Loan age: 88	6	0.334
Loan age: 89	6	0.3245
Loan age: 90	6	0.315
Loan age: 91	6	0.3055
Loan age: 92	6	0.296
Loan age: 93	6	0.2865
Loan age: 94	6	0.277
Loan age: 95	6	0.2675
Loan age: 96	6	0.258
Loan age: 97	6	0.2485
Loan age: 98	6	0.239
Loan age: 99	6	0.2295
Loan age: 100	6	0.22
Loan age: 101	6	0.2105
Loan age: 102	6	0.201
Loan age: 103	6	0.1915
Loan age: 104	6	0.182
Loan age: 105	6	0.1725
Loan age: 106	6	0.163
Loan age: 107	6	0.1535
Loan age: 108	6	0.144
Loan age: 109	6	0.1345
Loan age: 110	6	0.125
Loan age: 111	6	0.1155
Loan age: 112	6	0.106
Loan age: 113	6	0.0965
Loan age: 114	6	0.087
Loan age: 115	6	0.0775
Loan age: 116	6	0.068
Loan age: 117	6	0.0585
Loan age: 118	6	0.049
Loan age: 119	6	0.0395
Loan age: 120	6	0.03
Loan age: 121	6	0.03
Loan age: 122	6	0.03
Loan age: 123	6	0.03
Loan age: 124	6	0.03
Loan age: 125	6	0.03
Loan age: 126	6	0.03
Loan age: 127	6	0.03
Loan age: 128	6	0.03
Loan age: 129	6	0.03
Loan age: 130	6	0.03
Loan age: 131	6	0.03
Loan age: 132	6	0.03
Loan age: 133	6	0.03
Loan age: 134	6	0.03
Loan age: 135	6	0.03
Loan age: 136	6	0.03
Loan age: 137	6	0.03
Loan age: 138	6	0.03
Loan age: 139	6	0.03
Loan age: 140	6	0.03
Loan age: 141	6	0.03
Loan age: 142	6	0.03
Loan age: 143	6	0.03
Loan age: 144	6	0.03
Loan age: 145	6	0.03
Loan age: 146	6	0.03
Loan age: 147	6	0.03
Loan age: 148	6	0.03
Loan age: 149	6	0.03
Loan age: 150	6	0.03
Loan age: 151	6	0.03
Loan age: 152	6	0.03
Loan age: 153	6	0.03
Loan age: 154	6	0.03
Loan age: 155	6	0.03
Loan age: 156	6	0.03
Loan age: 157	6	0.03
Loan age: 158	6	0.03
Loan age: 159	6	0.03
Loan age: 160	6	0.03
Loan age: 161	6	0.03
Loan age: 162	6	0.03
Loan age: 163	6	0.03
Loan age: 164	6	0.03
Loan age: 165	6	0.03
Loan age: 166	6	0.03
Loan age: 167	6	0.03
Loan age: 168	6	0.03
Loan age: 169	6	0.03
Loan age: 170	6	0.03
Loan age: 171	6	0.03
Loan age: 172	6	0.03
Loan age: 173	6	0.03
Loan age: 174	6	0.03
Loan age: 175	6	0.03
Loan age: 176	6	0.03
Loan age: 177	6	0.03
Loan age: 178	6	0.03
Loan age: 179	6	0.03
Loan age: 180	6	0.03

Return to Figure 5

Figure 6: Simulation Assumptions
	National house price appreciation	California, Florida, Arizona, Nevada house price appreciation	Ohio, Michigan, Indiana house price appreciation	30-year fixed-rate mortgage rate	Fed funds rate	National unemployment rate	California, Florida, Arizona, Nevada unemployment rate	Ohio, Michigan, Indiana unemployment rate	Oil price
2000Q1	7.2	9.87	6.2	8.26	5.68	4.03	4.57	3.41	28.87
2000Q2	6.86	9.62	4.45	8.32	6.27	3.94	4.58	3.63	28.93
2000Q3	6.56	10.71	4.65	8.03	6.52	4	4.5	3.81	31.65
2000Q4	6.96	12.95	3.26	7.64	6.47	3.9	4.45	3.82	32.05
2001Q1	7.48	12.19	4.54	7.01	5.6	4.23	4.51	4.23	28.76
2001Q2	6.83	10.62	3.84	7.13	4.33	4.4	4.84	4.5	27.92
2001Q3	6.41	9.66	3.37	6.97	3.5	4.83	5.19	4.87	26.79
2001Q4	6.28	9.93	4.54	6.78	2.13	5.49	6.06	5.4	20.45
2002Q1	6.78	11.94	3.96	6.97	1.73	5.7	6.31	5.79	21.59
2002Q2	7.42	14.21	1.96	6.81	1.75	5.83	6.35	5.95	26.29
2002Q3	8.08	15.15	3.73	6.29	1.74	5.73	6.3	5.81	28.25
2002Q4	8.06	14.45	3.61	6.08	1.44	5.86	6.3	5.92	28.29
2003Q1	7.05	14.35	3.8	5.83	1.25	5.86	6.31	6.28	34.07
2003Q2	6.48	12.63	2.76	5.51	1.25	6.13	6.32	6.57	29.08
2003Q3	8.28	15.36	4.18	6.01	1.02	6.13	6.24	6.56	30.23
2003Q4	8.48	20.11	3.37	5.92	1	5.83	6.09	6.39	31.19
2004Q1	8.88	19.5	3.67	5.61	1	5.7	5.87	6.4	35.27
2004Q2	8.73	23.15	3.16	6.13	1.01	5.6	5.7	6.34	38.34
2004Q3	9.77	26.78	2.69	5.89	1.43	5.43	5.52	6.46	43.83
2004Q4	9.76	20.99	3.2	5.73	1.95	5.43	5.35	6.47	48.17
2005Q1	9.06	23.93	3.13	5.76	2.47	5.26	5.13	6.46	49.88
2005Q2	9.9	24.84	2.41	5.72	2.94	5.07	4.94	6.3	53.12
2005Q3	9.95	22.81	1.47	5.76	3.46	5	4.78	6.17	63.2
2005Q4	8.77	14.51	2.07	6.22	3.98	4.93	4.65	6.05	59.96
2006Q1	6.87	8.55	-1.09	6.24	4.46	4.7	4.45	6.02	63.32
2006Q2	3.77	1.76	0.14	6.6	4.91	4.67	4.39	5.99	70.58
2006Q3	1.85	-3.88	-0.36	6.56	5.25	4.64	4.35	6.11	70.6
2006Q4	3.1	-1.61	-4.08	6.24	5.25	4.43	4.37	6.08	60
2007Q1	3.43	-2.6	-1.32	6.22	5.26	4.5	4.5	6.06	58.06
2007Q2	1.92	-7.64	-1.85	6.37	5.25	4.53	4.71	6.12	64.91
2007Q3	-2.13	-14	-5.49	6.55	5.07	4.7	4.93	6.17	75.17
2007Q4	-5.13	-19.51	-8.49	6.23	4.5	4.83	5.2	6.32	90.75
2008Q1	-6.74	-26.13	-4.16	5.88	3.17	4.93	5.4	6.15	97.77
2008Q2	-7.7	-28.8	-4.5	6	2.07	5.3	5.8	6.3	125
2008Q3	-5.4	-22.4	-3.7	6.2	2	5.6	6.2	6.6	135
2008Q4	-4.7	-20.4	-3.4	6.3	2	5.6	6.2	6.6	136
2009Q1	-5	-21.2	-3.5	6.4	2	5.7	6.3	6.7	137
2009Q2	-4.8	-20.7	-3.4	6.5	2.17	5.6	6.2	6.6	136
2009Q3	-4.4	-19.6	-3.2	6.6	2.71	5.6	6.2	6.6	136
2009Q4	-3.6	-17.3	-2.9	6.6	3.21	5.6	6.2	6.6	136
2010Q1	-2.5	-14.2	-2.6	6.6	3.5	5.5	6.1	6.5	136
2010Q2	-1.5	-11.4	-2.2	6.5	3.75	5.5	6.1	6.5	136
2010Q3	-0.5	-8.6	-1.8	6.5	4	5.4	5.9	6.4	135
2010Q4	0	-7.1	-1.6	6.5	4.25	5.4	5.9	6.4	135

Return to Figure 6

Figure 7: Baseline Simulation
	2000-2004 cumulative prepayments	2005 cumulative prepayments	2006 cumulative prepayments	2007 cumulative prepayments	2000-2004 cumulative defaults	2005 cumulative defaults	2006 cumulative defaults	2007 cumulative defaults
Loan age: 1	0.1382806	0.2237452	0.2171488	0.328644	0	0.000198885	0	0
Loan age: 2	0.4772663	0.7434308	0.7706783	1.080506	0.00734405	0.00198885	0	0
Loan age: 3	1.1265379	1.7531682	1.8737407	1.8843835	0.0498622	0.0427602	0.0905897	0.0638373
Loan age: 4	2.1020397	3.2040318	3.3231753	2.8301218	0.1321928	0.1350427	0.3323841	0.5769003
Loan age: 5	3.4266736	5.0017502	5.1219797	3.8940773	0.2859346	0.3494403	0.8066477	1.5581038
Loan age: 6	4.9620622	6.9639462	6.9364374	4.9887694	0.4773629	0.6326521	1.418461	2.8159357
Loan age: 7	6.613796	8.8632946	8.5703818	6.1496631	0.7061879	0.9281947	2.0066277	4.028845
Loan age: 8	8.4527063	10.838617	9.9641971	8.0624187	0.9303746	1.2372614	2.6171088	5.3883438
Loan age: 9	10.5336802	12.9261104	11.2620939	9.2516846	1.1454778	1.5457315	3.2788796	6.2867951
Loan age: 10	12.9630131	15.1876278	12.5839703	10.1974229	1.3459896	1.8551961	4.0022647	7.1923395
Loan age: 11	15.988953	17.8314015	14.1053438	11.190448	1.5637019	2.1841513	4.7562905	8.3130394
Loan age: 12	19.476988	20.5320562	15.7749246	12.2047523	1.7990978	2.5610377	5.5692661	9.5023052
Loan age: 13	22.8551522	22.9608356	17.1567501	13.1173898	2.0544	2.9206212	6.4958119	10.9540135
Loan age: 14	25.9548225	25.108591	18.2198465	14.0536706	2.3056437	3.2965132	7.5149456	12.3371557
Loan age: 15	28.6990797	27.0988298	19.138066	14.9615794	2.5612358	3.6914981	8.6486486	13.8621586
Loan age: 16	31.1224214	28.8784497	19.9763534	15.8032864	2.8475569	4.0854886	9.8582871	15.4935572
Loan age: 17	33.3231225	30.4971719	20.7996536	16.7395673	3.1326219	4.4963843	11.2511032	17.1367774
Loan age: 18	35.2698743	31.9339146	21.9107092	17.5836387	3.4119855	4.912451	12.9899585	18.9431375
Loan age: 19	36.9729198	33.2129418	23.3031923	18.4773614	3.6904794	5.3229489	14.8973373	20.7353115
Loan age: 20	38.6082261	34.3660751	25.057701	19.3876345	3.9538987	5.7133595	16.8889777	22.5487646
Loan age: 21	40.2049762	35.4770447	26.1264592	20.0638373	4.1924836	6.0826883	18.8176716	24.3078378
Loan age: 22	41.8295563	36.7141073	26.8485121	20.7093037	4.4288459	6.4886119	20.736041	26.1874926
Loan age: 23	44.8633235	39.9887431	27.3097867	21.1443433	4.6660779	6.9261581	22.3989609	28.2184655
Loan age: 24	49.2975807	44.5147612	31.4832392	23.9579146	4.8986715	7.4325184	23.0144377	29.0932734
Loan age: 25	52.8398264	47.6263116	32.2725683	24.6222958	5.1436341	8.0259902	24.640056	30.6608346
Loan age: 26	55.2699323	49.4198535	33.5371601	25.7382669	5.4014487	8.6819118	25.7800869	31.7744414
Loan age: 27	57.123724	50.5592636	33.8435663	26.1071049	5.6674771	9.4589542	27.9126076	33.8314222
Loan age: 28	58.5778449	51.4146665	34.1543022	26.4404776	5.941236	10.4225503	29.1212469	35.0679749
Loan age: 29	59.8418904	52.1807702	34.6012556	26.8967963	6.2020463	11.3907208	30.4377945	36.4463885
Loan age: 30	60.987948	53.4631785	35.2263909	27.6037357	6.454063	12.4837909	31.8655809	37.7869725
Loan age: 31	61.9852887	54.388191	35.4595261	27.8141624	6.6850139	13.6715301	33.0635626	38.8793002
Loan age: 32	62.8833882	55.4388987	35.7073154	28.0671474	6.9011801	14.6436783	34.1699555	39.8746897
Loan age: 33	63.6994469	56.1988369	35.9567701	28.3532332	7.1085527	15.4207206	35.2287223	40.9315522
Loan age: 34	64.4664165	56.7600894	36.1865747	28.6629625	7.3023969	16.1812555	36.1839103	41.8441896
Loan age: 35	65.5521756	57.222894	36.3950642	28.9514127	7.4862879	16.8449336	37.0458444	42.7237262
Loan age: 36	66.8841535	58.5975847	36.9352717	29.5235843	7.6715318	17.4423831	37.7469151	43.3620995
Loan age: 37	67.9576403	59.017828	37.1374332	29.7481972	7.8688547	18.3594403	38.7094303	44.4236907
Loan age: 38	68.7964076	59.5237906	37.3818921	30.041376	8.0742947	18.9258638	39.3775291	45.0242345
Loan age: 39	69.484622	59.8229131	37.5554112	30.2612602	8.2756761	19.6692946	40.1468752	45.6744296
Loan age: 40	70.0672173	60.1246211	37.7026194	30.4480435	8.483242	20.2733073	40.7563571	46.326989
Loan age: 41	70.5919301	60.4975299	37.8571548	30.615912	8.6909046	20.8383386	41.3738322	46.9842771
Loan age: 42	71.1288184	60.8258884	37.991374	30.738858	8.9303591	21.4192807	41.935688	47.4666036
Loan age: 43	71.6521783	61.131773	38.1462424	30.8145171	9.1640157	21.9662135	42.4998751	47.6983095
Loan age: 44	72.1446158	61.4004662	38.3184293	30.8168814	9.374384	22.522295	43.0187674	47.7101312
Loan age: 45	72.5827461	61.6385311	38.4852875		9.5424273	23.0376051	43.5120148
Loan age: 46	72.9975881	61.8712262	38.640822		9.7003243	23.5296457	43.9826148
Loan age: 47	73.360152	62.076674	38.7893624		9.8528099	23.9974225	44.4092521
Loan age: 48	73.749483	62.271581	38.9369036		10.0103203	24.4439185	44.8209022
Loan age: 49	74.1121436	62.4471961	39.0727881		10.1616463	24.8462622	45.2112371
Loan age: 50	74.4271645	62.6140603	39.1946845		10.3087205	25.2253363	45.561606
Loan age: 51	74.7250815	62.7628261	39.297264		10.4632353	25.5757711	45.9136401
Loan age: 52	75.0447407	62.9042331	39.3895189		10.6119522	25.9220293	46.2456912
Loan age: 53	75.3206256	63.0277404	39.4508002		10.7595096	26.2295049	46.5530965
Loan age: 54	75.6520739	63.1510489	39.496095		10.9328677	26.5296219	46.7595877
Loan age: 55	75.9735692	63.2669987	39.5084178		11.1021673	26.8144247	46.8355231
Loan age: 56	76.2585375	63.3773797	39.5087509		11.2592912	27.0620361	46.8378545
Loan age: 57	76.4608852	63.4825896			11.3996011	27.3040787
Loan age: 58	76.6534732	63.5868052			11.5295714	27.5240452
Loan age: 59	76.8511826	63.6790877			11.6654362	27.729493
Loan age: 60	77.0485055	63.759636			11.79502	27.9240022

Return to Figure 7

Figure 8: Worse House Price Simulation
	2000-2004 cumulative prepayments	2005 cumulative prepayments	2006 cumulative prepayments	2007 cumulative prepayments	2000-2004 cumulative defaults	2005 cumulative defaults	2006 cumulative defaults	2007 cumulative defaults
Loan age: 1	0.1382806	0.2237452	0.2171488	0.328644	0	0.000198885	0	0
Loan age: 2	0.4772663	0.7434308	0.7706783	1.080506	0.00734405	0.00198885	0	0
Loan age: 3	1.1265379	1.7531682	1.8737407	1.8843835	0.0498622	0.0427602	0.0905897	0.0638373
Loan age: 4	2.1020397	3.2040318	3.3231753	2.8301218	0.1321928	0.1350427	0.3323841	0.5769003
Loan age: 5	3.4266736	5.0017502	5.1219797	3.8940773	0.2859346	0.3494403	0.8066477	1.5581038
Loan age: 6	4.9620622	6.9639462	6.9364374	4.993498	0.4773629	0.6326521	1.418461	2.8183
Loan age: 7	6.613796	8.8632946	8.5703818	6.1449344	0.7061879	0.9281947	2.0066277	4.0548528
Loan age: 8	8.4527063	10.838617	9.9641971	8.0316822	0.9303746	1.2372614	2.6171088	5.4403594
Loan age: 9	10.5336802	12.9261104	11.2620939	9.1854829	1.1454778	1.5457315	3.2788796	6.4877645
Loan age: 10	12.9630131	15.1876278	12.5839703	10.0981203	1.3459896	1.8551961	4.0022647	7.6297435
Loan age: 11	15.988953	17.8314015	14.1053438	10.9894787	1.5637019	2.1841513	4.7562905	9.0956378
Loan age: 12	19.476988	20.5320562	15.7749246	11.9186665	1.7990978	2.5610377	5.5692661	10.7743232
Loan age: 13	22.8551522	22.9608356	17.1567501	12.7485518	2.0544	2.9206212	6.4958119	12.8691335
Loan age: 14	25.9548225	25.108591	18.2198465	13.5902589	2.3060302	3.2965132	7.5159448	15.0703393
Loan age: 15	28.6990797	27.0986309	19.138066	14.3870434	2.5623954	3.6914981	8.65098	17.5079797
Loan age: 16	31.1224214	28.8782508	19.9763534	15.1010758	2.8503593	4.0854886	9.8626168	20.2080624
Loan age: 17	33.3231225	30.496973	20.7993206	15.8789455	3.136004	4.496782	11.2527685	22.7639201
Loan age: 18	35.2698743	31.9337157	21.9030491	16.5598771	3.4167205	4.9134454	13.0868762	25.4474524
Loan age: 19	36.9729198	33.2123452	23.2895372	17.3424755	3.6954077	5.32454	15.2230604	28.0293179
Loan age: 20	38.6082261	34.3656773	24.9950875	17.9170115	3.9571842	5.7165416	17.5720637	30.7081215
Loan age: 21	40.2049762	35.476647	26.0478593	18.467904	4.1959623	6.0892515	19.8651147	33.0417307
Loan age: 22	41.8294597	36.7137095	26.7469318	18.905308	4.4321314	6.4963684	21.9616659	35.4439059
Loan age: 23	44.8631302	39.9887431	27.1639107	19.1535643	4.6692667	6.9343124	23.8856972	38.0825157
Loan age: 24	49.296711	44.5127724	30.9350386	21.1538007	4.9015705	7.441866	24.8678623	39.3167041
Loan age: 25	52.8376038	47.6235273	31.6667499	21.6101194	5.1466297	8.0359345	27.1579158	41.0568625
Loan age: 26	55.2674199	49.4184613	32.7701454	22.4376404	5.4036712	8.6932483	29.0146709	42.4400047
Loan age: 27	57.1212115	50.556877	33.0472432	22.6764393	5.6696996	9.4716828	31.5155451	44.5584584
Loan age: 28	58.5753325	51.4118822	33.3000283	22.8821374	5.9430721	10.4350801	33.1694726	46.0550893
Loan age: 29	59.8392814	52.1781847	33.7246674	23.1895023	6.2038823	11.4054383	34.789762	47.4004019
Loan age: 30	60.9847592	53.4540298	34.2448918	23.5796193	6.4557057	12.506066	36.3637575	48.7977302
Loan age: 31	61.9822931	54.3742691	34.3791111	23.6316349	6.6867533	13.7206546	37.7169406	49.7576546
Loan age: 32	62.8788464	55.4086682	34.5319811	23.7593096	6.9030161	14.7383473	39.0431467	50.8263388
Loan age: 33	63.6940355	56.1429503	34.6868495	23.8609765	7.1107753	15.5875848	40.3267223	51.7697127
Loan age: 34	64.4605219	56.6948553	34.8034171	24.0099303	7.303943	16.4710305	41.5493497	52.6587067
Loan age: 35	65.5432854	57.1612398	34.9109923	24.1470623	7.4885104	17.2675635	42.6091156	53.3892895
Loan age: 36	66.8747802	58.4657242	35.2157333	24.3858612	7.6736577	18.0050278	43.5183427	53.9449107
Loan age: 37	67.9484603	58.860908	35.3013272	24.4898924	7.871657	19.0746295	44.5581256	54.822083
Loan age: 38	68.7859713	59.3479765	35.4065711	24.6364819	8.0774835	19.8373521	45.409402	55.3824329
Loan age: 39	69.4729295	59.6224374	35.4761786	24.7215983	8.2805077	20.7886174	46.2466903	55.9900697
Loan age: 40	70.0547518	59.8811863	35.5324641	24.7996217	8.4905861	21.6145854	46.9307755	56.5196832
Loan age: 41	70.5779184	60.2069594	35.5744284	24.8729164	8.7022106	22.448111	47.5669015	57.0185601
Loan age: 42	71.114227	60.4855968	35.6257181	24.9438468	8.9527778	23.2784544	48.1400809	57.4039485
Loan age: 43	71.636234	60.7268439	35.6740104	24.9722189	9.2003494	24.051718	48.6566419	57.6427474
Loan age: 44	72.1267389	60.9430315	35.7412866	24.9769476	9.4277249	24.7490076	49.1089241	57.6640265
Loan age: 45	72.564386	61.1285909	35.8045661		9.6129688	25.3961782	49.539225
Loan age: 46	72.9753627	61.304206	35.8738406		9.7888394	26.0127207	49.9232319
Loan age: 47	73.3346411	61.4563528	35.9327905		9.9576558	26.5536869	50.2912524
Loan age: 48	73.7183675	61.6005441	35.9864116		10.127825	27.0572629	50.6372916
Loan age: 49	74.078129	61.728427	36.0353699		10.2947088	27.5230507	50.9523572
Loan age: 50	74.3856126	61.8499455	36.0726716		10.4585003	27.9607959	51.2684218
Loan age: 51	74.6765721	61.9541611	36.1046444		10.6262538	28.3762659	51.5521806
Loan age: 52	74.9834759	62.0538023	36.1319545		10.8020277	28.7392304	51.8279462
Loan age: 53	75.2479582	62.1377316	36.1422791		10.9845659	29.0753455	52.084728
Loan age: 54	75.568777	62.2170866	36.1539358		11.2085593	29.3792412	52.2459243
Loan age: 55	75.875101	62.2918672	36.1562672		11.4433755	29.6626518	52.3195284
Loan age: 56	76.1407428	62.3604824	36.1566002		11.6814772	29.9235885	52.3221928
Loan age: 57	76.3333308	62.4308876			11.9132977	30.1596646
Loan age: 58	76.5182847	62.4969173			12.1290774	30.3734656
Loan age: 59	76.6994701	62.5545938			12.3397355	30.5685715
Loan age: 60	76.888386	62.6003373			12.5493307	30.7660639

Return to Figure 8

Figure 9: Subprime Mortgage Default Simulations
	Baseline total	Baseline variable-rate	Baseline fixed-rate	Worse house price total	Worse house price variable-rate	Worse house price fixed-rate
2007M12	81333	63333	18000	81333	63333	18000
2008M01	105035	83533	21502	115570	92917	22595
2008M02	112469	91066	21403	131211	107715	23382
2008M03	114190	91784	22406	141298	114828	26346
2008M04	130039	102023	28016	146788	112408	34807
2008M05	127832	98324	29508	153934	115025	39164
2008M06	124747	93616	31131	162885	116475	46900
2008M07	133347	97221	36126	174206	119189	55595
2008M08	129944	92099	37845	172621	114188	59256
2008M09	126249	86760	39489	175313	109635	66810
2008M10	122838	81857	40981	156024	93202	64151
2008M11	119110	76848	42262	153065	88032	66169
2008M12	115579	72314	43266	147302	80692	68219
2009M01	111061	67623	43438	136385	72285	65423
2009M02	107749	63906	43843	131910	67824	65456
2009M03	104345	60426	43919	129500	63063	68159
2009M04	99749	56888	42861	121420	58966	63540
2009M05	95816	53727	42090	115306	55463	60489
2009M06	91979	50758	41221	112027	52809	59820
2009M07	86441	47322	39118	105737	49405	56783
2009M08	82408	44642	37765	102053	47403	54934
2009M09	78493	42047	36446	97293	45243	52098
2009M10	73174	38705	34469	87317	40510	46829
2009M11	69000	36057	32943	80562	36795	43731
2009M12	65226	33674	31553	75055	33998	40953
2010M01	61713	31459	30254	68624	31080	37479
2010M02	58133	29283	28851	63965	28768	35132
2010M03	54884	27340	27544	59452	26518	32846
2010M04	51970	25754	26216	55449	24757	30588
2010M05	49191	24201	24990	51746	23061	28552
2010M06	46604	22748	23856	48502	21626	26754
2010M07	44118	21387	22731	45248	20167	24968
2010M08	41789	20087	21702	42252	18786	23352
2010M09	39588	18859	20729	39488	17566	21817
2010M10	37760	17824	19936	37001	16387	20523
2010M11	35757	16706	19051	34576	15228	19266
2010M12	33924	15673	18250	32730	14261	18388

Return to Figure9

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