Board of Governors of the Federal Reserve System FEDS Paper Data

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Finance and Economics Discussion Series: 2008-59 Screen Reader version ^♣

The Rise in Mortgage Defaults

Chris Mayer, Karen Pence, and Shane M. Sherlund

Figure 1: Share of Option Adjustable-Rate Mortgages with Balances Larger than At Origination By year of origination
Month since origination	2004	2005	2006	2007
1	0	0	0	0
2	0	0	0	0.151438667
3	2.378298031	0.460799585	0.552956189	4.598509352
4	7.410217501	17.25199131	13.87969925	21.24280969
5	6.579756488	25.2177642	23.90922537	33.08351658
6	7.968241821	35.06945073	41.52823386	49.84007392
7	9.980793854	37.91233105	52.94929887	54.95875592
8	12.00767144	42.86253192	60.76980697	72.174071
9	26.87817775	47.7698361	54.80102566	79.08069201
10	25.42451733	52.59484778	64.62442268	77.50960762
11	39.70789247	57.18432068	68.1499195	80.75837701
12	35.0369013	62.01756291	74.30732438	81.41682055
13	43.05132412	63.34422714	71.01578843	83.34866828
14	57.85110086	68.6457534	77.65018968	82.39929734
15	60.84750649	70.22052913	77.79405279	81.84459326
16	60.43683725	74.14144417	82.3610683	80.52639435
17	65.59886956	72.85547881	81.28167456	78.11343554
18	63.22830215	75.86023707	82.06254658	77.3465175
19	58.8983838	75.65657773	81.37392796
20	66.65352886	75.72292485	81.73102157
21	66.27591673	75.98053548	81.6339059
22	66.89410011	74.95965226	79.61157391
23	67.08963963	76.11217442	80.70031822
24	68.6509524	75.32126253	79.19387455
25	68.41500216	73.99770354	78.77538313
26	69.1954023	76.10306342	77.86260034
27	69.47671924	75.5583013	76.85003788
28	67.62556507	75.18679739	75.4797131
29	69.64663917	74.972622	73.24313815
30	67.39410699	74.68666711	72.08127694
31	69.6999126	73.13596491
32	70.2501459	74.20794569
33	71.35654212	73.7674178
34	70.22591738	71.57638114
35	69.67849098	72.77906625
36	70.13404443	71.01367521
37	69.93393992	70.13619773
38	70.36388352	68.88611226
39	70.0174682	66.72381616
40	68.82911847	65.11746078
41	69.47575162	62.8156012
42	68.92029216	60.8677686
43	68.80644946
44	68.86679781
45	67.95822724
46	68.55076346
47	66.66933515
48	67.11157895
49	66.34114008
50	65.17975727
51	63.76530661
52	62.12452079
53	61.12437811

Return to Figure 1

Figure 2: Share of Subprime Loans with Early Payment Defaults By year of origination
Month since origination	2004	2005	2006	2007
0	0.000	0.000	0.000	0.000
1	0.001	0.002	0.000	0.000
2	0.020	0.032	0.074	0.073
3	0.069	0.106	0.265	0.403
4	0.183	0.280	0.612	0.990
5	0.336	0.531	1.103	1.708
6	0.528	0.809	1.656	2.516
7	0.713	1.114	2.240	3.440
8	0.902	1.432	2.869	4.397
9	1.108	1.759	3.552	5.465
10	1.314	2.099	4.245	6.649
11	1.538	2.460	4.998	7.941
12	1.743	2.830	5.824	9.277

Return to Figure 2

Figure 3: Percent of Nonprime Loans with Negative Equity By Type of Loan and Area of the Country
Date	Subprime Loans in California, Florida, Arizona, or Nevada	Subprime Loans in Ohio, Michigan, or Indiana	Subprime Loans in the rest of the United States	Alt-A Loans in California, Florida, Arizona, or Nevada	Alt-A Loans in Ohio, Michigan, or Indiana	Alt-A Loans in the Rest of the United States
1-1-05	0	0.1	0	0	1.1	0.3
2-1-05	0	0.1	0	0	1.1	0.3
3-1-05	0	0.1	0	0	0.9	0.2
4-1-05	0	0.1	0	0	0.8	0.2
5-1-05	0	0.1	0	0	0.6	0.1
6-1-05	0	0.1	0	0	0.9	0.2
7-1-05	0	0.3	0	0	1	0.1
8-1-05	0	0.4	0.1	0	1.4	0.2
9-1-05	0	0.3	0	0	1.1	0.1
10-1-05	0	0.2	0	0	0.9	0.1
11-1-05	0	0.2	0	0	0.7	0.1
12-1-05	0	0.3	0	0	0.7	0.1
1-1-06	0	0.7	0	0	1.4	0.1
2-1-06	0	1.1	0.2	0	1.9	0.2
3-1-06	0	1.5	0.2	0	2.4	0.2
4-1-06	0.1	2.8	0.3	0.1	4.3	0.3
5-1-06	0.2	3.4	0.4	0.2	4.7	0.4
6-1-06	0.7	4.3	0.6	0.6	5.5	0.6
7-1-06	2	4.7	0.8	1.4	5.9	0.8
8-1-06	3.8	5.4	1.2	2.2	6.4	1.2
9-1-06	5.2	6.4	1.7	2.9	7.4	1.6
10-1-06	6	7.3	1.8	3.3	8.5	1.8
11-1-06	5.8	8.1	2	3.1	9.5	1.9
12-1-06	7.4	9.6	2.2	4	11	2.1
1-1-07	7.8	10.4	2.4	4.3	12.1	2.4
2-1-07	9.3	11.1	2.5	5.1	12.6	2.4
3-1-07	11	11.2	2.5	6	12.9	2.5
4-1-07	13.2	12.2	3	7.2	14	3.1
5-1-07	14.9	13.3	3.3	8.1	15.2	3.4
6-1-07	16.5	14.8	3.4	8.9	16.8	3.6
7-1-07	18.6	15	3.5	10.1	17	3.7
8-1-07	20.7	15.8	3.7	11.6	17.8	4
9-1-07	22.7	17	4.1	13.7	19.2	4.3
10-1-07	26.3	19.3	4.6	17.2	21.7	4.9
11-1-07	29.9	22.3	5.5	21.6	24.2	5.9
12-1-07	32.8	24.7	6.3	24.5	25.8	6.8
1-1-08	36.7	26.5	7.6	27.6	28	8.2
2-1-08	41.8	28.7	8.6	32.9	30.4	9.4
3-1-08	47.7	29.9	9.3	40.6	32.3	10.2
4-1-08	51.7	30.2	9.7	45.4	33	10.7
5-1-08	54.7	31.4	9.9	49.3	34.3	11.2
6-1-08	57.2	32.2	10	52.7	35.1	11.4

Return to Figure 3

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