FRB: Monetary Policy Report to the Congress--February 27, 2008

Monetary Policy Report submitted to the Congress on February 27, 2008, pursuant to section 2B of the Federal Reserve Act

Table for figure of Cumulative Defaults on Subprime 2/28 Loans, by Year of Origination, 2001-07
Percent
Loan age (months)	2001-04	2005	2006	2007
0	0.00	0.00	0.00	0.00
1	0.01	0.00	0.00	0.00
2	0.06	0.04	0.09	0.32
3	0.17	0.13	0.36	1.71
4	0.34	0.36	0.91	4.42
5	0.55	0.70	1.76	8.31
6	0.80	1.08	2.74	ND
7	1.06	1.49	3.79	ND
8	1.33	1.93	4.94	ND
9	1.62	2.38	6.11	ND
10	1.91	2.86	7.31	ND
11	2.21	3.36	8.56	ND
12	2.51	3.86	9.89	ND
13	2.82	4.38	11.30	ND
14	3.12	4.91	12.83	ND
15	3.43	5.45	14.40	ND
16	3.75	6.04	16.01	ND
17	4.04	6.65	17.68	ND
18	4.35	7.28	ND	ND
19	4.66	7.95	ND	ND
20	4.95	8.68	ND	ND
21	5.24	9.36	ND	ND
22	5.54	10.05	ND	ND
23	5.83	10.76	ND	ND
24	6.12	11.49	ND	ND
25	6.42	12.26	ND	ND
26	6.72	13.09	ND	ND
27	7.04	13.98	ND	ND
28	7.33	14.75	ND	ND
29	7.62	15.45	ND	ND
30	7.89	16.02	ND	ND
31	8.15	16.66	ND	ND
32	8.42	ND	ND	ND
33	8.66	ND	ND	ND
34	8.89	ND	ND	ND
35	9.11	ND	ND	ND
36	9.31	ND	ND	ND

Table for figure of Cumulative Defaults on Subprime 2/28 Loans, by Year of Origination, 2001-07
Percent

Loan age (months)

2001-04

2005

2006

2007

0.00

0.01

0.00

0.06

0.04

0.09

0.32

0.17

0.13

0.36

1.71

0.34

0.36

0.91

4.42

0.55

0.70

1.76

8.31

0.80

1.08

2.74

1.06

1.49

3.79

1.33

1.93

4.94

1.62

2.38

6.11

1.91

2.86

7.31

2.21

3.36

8.56

2.51

3.86

9.89

2.82

4.38

11.30

3.12

4.91

12.83

3.43

5.45

14.40

3.75

6.04

16.01

4.04

6.65

17.68

4.35

7.28

4.66

7.95

4.95

8.68

5.24

9.36

5.54

10.05

5.83

10.76

6.12

11.49

6.42

12.26

6.72

13.09

7.04

13.98

7.33

14.75

7.62

15.45

7.89

16.02

8.15

16.66

8.42

8.66

8.89

9.11

9.31

Note: The data are monthly and extend through November 2007. Each series represents the fraction of loans originated in the indicated year that had defaulted by the indicated loan age; for example, roughly 6 percent of all loans originated sometime in the years 2001 to 2004 had defaulted by the time they were twenty-four months old. The last nine values for the three series covering 2005-07 are based on incomplete data. A 2/28 loan is a thirty-year loan with a fixed rate for the first two years and an adjustable rate for the remaining twenty-eight years.

Source: Staff calculations based on data from First American LoanPerformance.

ND No data. Return to table