Finance and Economics Discussion Series: Data for paper 2010-39

# The Bank Lending Channel of Monetary Policy and Its Effect on Mortgage Lending

#### Figure 1: Core Lending Capacity and Its Effect on Loan Rates

Figure 1 describes the Core Lending Capacity and Its Effect on Loan Rates.

The x-axis is the loan-to-core deposit ratio. It runs from zero to 1.2. Each tick mark is 0.2 apart. The y-axis is the loan interest rate in terms of percentages. It runs from zero to 30. Each tick mark is 5% apart. The dark red line is the lenders with a high proportion of subprime lending. It runs from approximately 7 % to 26 %. The loan interest rate increases gradually from zero to approximately 20% until the loan-to-core deposit ratio is one. When the loan-to-core ratio is one, there is a sharp increase in the loan interest rate. The loan interest rate shoots up to around 26% and stays at 26% until the loan-to-core deposit ratio is 1.2. The dashed blue line is the lenders with a low proportion of subprime lending. It runs from approximately 4 % to 7%. The loan interest rate remains virtually flat at around 4% until the loan-to-core deposit ratio is one. When the loan-to-core deposit ratio is one, there is a sharp increase in the loan interest rate. The loan interest rate shoots up to around 7% and stays at 7% until the loan-to-core deposit ratio is 1.2.

#### Figure 2: Effect of Core Lending Capacity on the Spread

Figure 2 describes the Effect of Core Lending Capacity on the Spread.

The x-axis is the loan-to-core deposit ratio. It runs from zero to 1.4. Each tick mark is 0.2 apart. The y-axis is the multiple of the change in the loan rate relative to a change in the risk free rate. It runs from 1.2 to 1.26. Each tick mark is 0.01 apart. The dark red line is the lenders with a high proportion of subprime lending. It runs from approximately 1.221 to 1.25. The line increases gradually from 1.221 to approximately 1.24 until the loan-to-core deposit ratio is one. When the loan-to-core ratio is one, there is a sharp increase in the line. The line shoots up to around 1.25 and stays at 1.25 until the loan-to-core deposit ratio is 1.2. The dashed blue line is the lenders with a low proportion of subprime lending. It runs from approximately 1.205 to 1.212. The line slopes slightly downward until the loan-to-core deposit ratio is 0.6. When the loan-to-core deposit is 0.6, the line remains at 1.20 until the loan-to-core deposit reaches 0.8. When the loan-to-core deposit ratio reaches 0.8, the line slowly increases to 1.201. When the loan-to-core ratio is one, there is a sharp increase in the line. The line shoots up to around 1.215 and stays at 1.215 until the loan-to-core deposit ratio is 1.2.

#### Figure 3: Aggregate Mortgage Lending in Low Credit Score Tracts, 1995 to 2006 (600) Panel 1: Number of Mortgage Originations by Year

Year Total Low Credit Score Proportion Less Than or Equal to 0.25 Low Credit Score Proportion More than 0.25
1995 1681.467 1204.345 477.122
1996 2007.55 1443.068 564.482
1997 2103.679 1522.951 580.728
1998 2494.662 1808.532 686.13
1999 2637.277 1884.008 753.269
2000 2722.92 1891.807 831.113
2001 2827.847 1969.279 858.568
2002 3088.392 2133.253 955.139
2003 3645.785 2433.871 1211.914
2004 4096.188 2612.149 1484.039
2005 4665.306 2833.108 1832.198
2006 4352.775 2531.064 1821.711

#### Figure 3: Aggregate Mortgage Lending in Low Credit Score Tracts, 1995 to 2006 (600) Panel 2: Dollar Amount of Mortgage Originations by Year

Year Total Low Credit Score Proportion Less Than or Equal to 0.25 Low Credit Score Proportion More than 0.25
1995 213.179945 171.057824 42.122121
1996 261.552223 210.815713 50.73651
1997 290.777798 236.60889 54.168908
1998 361.786304 294.036369 67.749935
1999 407.670548 327.227654 80.442894
2000 438.64567 348.561631 90.084039
2001 476.025493 375.706319 100.319174
2002 560.508726 440.264743 120.243983
2003 700.998951 537.985157 163.013794
2004 846.118634 630.737947 215.380687
2005 1019.585297 730.391769 289.193528
2006 962.816232 660.873959 301.942273

#### Figure 3: Aggregate Mortgage Lending in Low Credit Score Tracts, 1995 to 2006 (600) Panel 3: Proportion by Year

Year Proportion of Mortgages by Dollar in Low Credit Score Tracts Proportion of Mortgages by Number in Low Credit Score Tracts
1995 0.1975895106 0.2837534129
1996 0.1939823314 0.2811795472
1997 0.1862896974 0.2760535234
1998 0.187265063 0.2750392638
1999 0.1973232906 0.2856237703
2000 0.2053685814 0.3052285781
2001 0.2107432805 0.3036118998
2002 0.2145265139 0.3092674116
2003 0.2325449899 0.332415104
2004 0.2545514049 0.3622975801
2005 0.283638386 0.3927283655
2006 0.3136032225 0.4185171529

#### Figure 3: Aggregate Mortgage Lending in Low Credit Score Tracts, 1995 to 2006 (600)

Figure 3 describes the Aggregate Mortgage Lending in Low Credit Score Tracts from 1995 to 2006 based on credit scores of 600. There are three separate graphs on this page.

The first graph is the number of mortgage originations by year. The x-axis is years and it runs from 1995 to 2006. Each tick marks a single year. The y-axis is number of originations in thousands. It runs from 0 to 5,000. Each tick mark is 500 apart. The total line is the total. The Low Credit Score Proportion Less than or Equal to 0.25 is the low credit score proportion less than or equal to 0.25 and the Low Credit Score Proportion more than 0.25 is the low credit score proportion more than 0.25. The Low Credit Score Proportion more than 0.25 runs from 477.122 to about 1821.711. It slowly increases from 1995 to 2002. By 2002 the number of originations increases from 477.122 to around 955.139. At 2002 there is a sharper increase until 2005. At 2005, there are approximately 1832.198 originations. In 2005, it remains flat until 2006. The Low Credit Score Proportion Less than or Equal to 0.25 line runs from 1204.345 to about 2531.064. It slowly increases from 1995 to 2002 .By 2002 the number of originations increases from 1204.345 to around 2133.253. At 2002 there is a sharper increase until 2005. At 2005, there are approximately 2833.108 originations. In 2005, it decreases to 2531.064 originations in 2006. The total line runs from 1681.467 to about 4352.775. It slowly increases from 1995 to 2002. By 2002 the number of originations increases from 1681.467 to around 3088.392. At 2002 there is a sharper increase until 2005. At 2005, there is approximately 4665.306 originations. In 2005, it decreases to 4352.775 originations in 2006.

The second graph is the dollar amount of the mortgage originations by year. The x-axis is years and it runs from 1995 to 2006. Each tick marks a single year. The y-axis is dollar amount of originations in millions. It runs from 0 to 12,000. Each tick mark is 200 apart. The total line is the total. The Low Credit Score Proportion less than or equal to 0.25 is the low credit score proportion less than or equal to 0.25 and the Low Credit Score Proportion more than 0.25 is the low credit score proportion more than 0.25. The Low Credit Score Proportion more than 0.25runs from 42.122 to about 301.942. It slowly increases from 1995 to 2005 .By 2005 the dollar amount increases from 42.122 to around 289.194. At 2005 there is a small increase to until 2006. At 2006, there is approximately 301.942 million dollars. The Low Credit Score Proportion less than or equal to 0.25 runs from 171.059 to about 730.392. It slowly increases from 1995 to 2005. By 2005 the dollar amount increases from 171.059 to around 730.392. At 2005 there is a sharper decrease until 2006. At 2006, there is approximately 625 million dollars. The total line runs from 213.180 to about 1019.585. It slowly increases from 1995 to 2005. By 2005 the dollar amount increases from 213.180 to around 1019.585. At 2005 there is a sharper decrease until 2006. At 2006, there is approximately 962.816 million dollars.

The third graph is the proportion by year. The x-axis is years. It runs from 1995 to 2006. Each tick mark is a single year. The y-axis is the proportion. It runs from 0.15 to 0.45. Each tick mark is 0.005 apart. The total line is the proportion of mortgages by number in low credit score tracts. It runs from 0.186 to 0.314. There is a slow decline in the proportion from 1995 to 1998. In 1998 it increases slowly to 0.187. It remains flat until around 2002. After 2002 there is a sharp increase. The Low Credit Score Proportion more than 0.25 shows the same pattern starting at 0.275 and ending at around 0.419.

#### Figure 4: Subprime Intensity Score Cut-offs (600)

Year High Subprime-Community Lender Cut-offs (10%) Low Subprime-Community Lender Cut-offs (5%)
1995Q1 0.1271 0.10742
1995Q2 0.1236 0.10638
1995Q3 0.1256 0.10471
1995Q4 0.12264 0.10233
1996Q1 0.12796 0.10989
1996Q2 0.12431 0.10495
1996Q3 0.12641 0.10665
1996Q4 0.12573 0.10606
1997Q1 0.1303 0.11133
1997Q2 0.12893 0.10884
1997Q3 0.12569 0.10526
1997Q4 0.12706 0.10637
1998Q1 0.12929 0.10588
1998Q2 0.12639 0.10769
1998Q3 0.12589 0.10732
1998Q4 0.13018 0.11033
1999Q1 0.12881 0.10698
1999Q2 0.12738 0.10667
1999Q3 0.12727 0.11111
1999Q4 0.12481 0.10703
2000Q1 0.13132 0.1101
2000Q2 0.13174 0.11141
2000Q3 0.13126 0.11189
2000Q4 0.13348 0.11465
2001Q1 0.12752 0.10667
2001Q2 0.13581 0.11283
2001Q3 0.12805 0.10887
2001Q4 0.13462 0.11404
2002Q1 0.13765 0.11257
2002Q2 0.13431 0.11268
2002Q3 0.13466 0.11333
2002Q4 0.13598 0.11586
2003Q1 0.13745 0.11712
2003Q2 0.13703 0.11729
2003Q3 0.13719 0.12037
2003Q4 0.13856 0.11538
2004Q1 0.14063 0.11588
2004Q2 0.13901 0.11735
2004Q3 0.14057 0.11839
2004Q4 0.14519 0.12172
2005Q1 0.14226 0.12122
2005Q2 0.14536 0.125
2005Q3 0.14273 0.11864
2005Q4 0.14275 0.11504

#### Figure 4: Subprime Intensity Score Cut-offs (600)

Figure 4 describes the subprime intensity score cut-offs based on credit scores of 600.

The x-axis is the dates. It runs from 1995 quarter 1 through 2005 Quarter 3. Each tick mark represents a quarter. The y-axis is the subprime lending intensity score. It runs from 0.08 to 0.15. Each tick mark is 0.01 apart. The High Subprime-Community Lender Cut-offs is the high subprime community lender cut-offs at the 10% level. The Low Subprime-Community Lender Cut-offs is the low subprime community lender cut-offs at the 5% level. The High Subprime-Community Lender Cut-offs runs in an up and down pattern with a slowly increasing trend. It runs from 0.127 to 0.145. The Low Subprime-Community Lender Cut-offs runs in the same up and down pattern with a slowly increasing pattern. It runs from 0.102 to 0.122.

#### Figure 5: Median of Total Assets by Subprime-Community Lender Group, 1995:Q1-2005:Q1 (600)

Date Low Subprime-Community Lenders Medium Subprime-Community Lenders High Subprime-Community Lenders
1995 91723 133043.5 98485
1996 115966 120385 114952
1997 111691 152783 129259
1998 148015 138392 143396
1999 172844 150643 144193
2000 139409 157707.5 154156
2001 134067 164818 170967
2002 194687 183735.5 176558.5
2003 164530 174368 205499.5
2004 156779.5 178185 199812
2005 189430 212525 213404

#### Figure 5: Median of Total Assets by Subprime-Community Lender Group, 1995:Q1 - 2005:Q1 (600)

Figure 5 represents the median of total assets by subprime-community lender group based on credit scores of 600 from 1995 quarter 1 to 2005 quarter 1.

This is a bar chart with each year consisting of three different bars. The first bars are the low subprime community lenders. The second bars are the medium subprime community lenders. The third bars are the high subprime community lenders. The y-axis is the total assets in thousands of dollars. Each tick mark is 50,000 apart. The x-axis is years from 1995 to 2005. There is no obvious pattern across the lender groups in each year except the assets increase for all three groups from 1995 to 2005.

#### Figure 6: Loan-to-Core Deposit Ratios by Subprime-Community Lender Group Panel 1: 25th Percentile

Year Low Subprime-Community Lenders Medium Subprime-Community Lenders High Subprime-Community Lenders
1995Q1 0.7669 0.807 0.74304
1995Q2 0.82988 0.81006 0.74357
1995Q3 0.79344 0.84381 0.75245
1995Q4 0.80779 0.84725 0.75222
1996Q1 0.83425 0.84912 0.75651
1996Q2 0.87387 0.83348 0.77854
1996Q3 0.85614 0.84655 0.78923
1996Q4 0.88505 0.85102 0.80542
1997Q1 0.81438 0.81738 0.81993
1997Q2 0.86204 0.89982 0.83119
1997Q3 0.91733 0.92782 0.83184
1997Q4 0.93057 0.92034 0.84773
1998Q1 0.97226 0.89144 0.83979
1998Q2 0.91637 0.95642 0.84822
1998Q3 0.88196 0.92593 0.86301
1998Q4 0.8762 0.87031 0.84281
1999Q1 0.89716 0.87913 0.84538
1999Q2 0.89436 0.97793 0.87099
1999Q3 0.94341 0.9368 0.89147
1999Q4 0.94768 0.99172 0.9043
2000Q1 1.02043 0.95262 0.9096
2000Q2 1.05002 1.00022 0.94227
2000Q3 1.05008 0.97929 0.94683
2000Q4 1.017 1.0064 0.95198
2001Q1 1.06374 1.01647 0.95479
2001Q2 1.0487 1.08993 0.95931
2001Q3 1.09147 1.07133 0.96357
2001Q4 1.07177 0.99004 0.96779
2002Q1 1.06725 1.02386 0.96377
2002Q2 1.07141 1.0413 0.98708
2002Q3 1.13127 1.12427 0.98776
2002Q4 1.12531 1.05955 0.99136
2003Q1 1.09001 1.05529 0.9834
2003Q2 1.19413 1.10558 0.99344
2003Q3 1.19575 1.17116 1.00519
2003Q4 1.14841 1.23577 1.02492
2004Q1 1.14876 1.14232 1.01215
2004Q2 1.12746 1.18243 1.0565
2004Q3 1.26872 1.2594 1.05936
2004Q4 1.25314 1.17328 1.06779
2005Q1 1.25594 1.28193 1.08053
2005Q2 1.32496 1.25796 1.11817
2005Q3 1.27428 1.36579 1.1198
2005Q4 1.37554 1.24054 1.12977

#### Figure 6: Loan-to-Core Deposit Ratios by Subprime-Community Lender Group Panel 2: Medians

Year Low Subprime-Community Lenders Medium Subprime-Community Lenders High Subprime-Community Lenders
1995Q1 0.94494 0.97377 0.87297
1995Q2 1.00103 0.94912 0.87926
1995Q3 0.95792 0.94473 0.8782
1995Q4 0.937 0.95159 0.88407
1996Q1 0.97795 0.95626 0.8855
1996Q2 1.00615 0.92987 0.91113
1996Q3 1.01842 0.97116 0.92586
1996Q4 1.04681 0.96757 0.93956
1997Q1 0.92796 0.98508 0.95095
1997Q2 1.05378 1.02321 0.97447
1997Q3 1.02864 1.06803 0.98235
1997Q4 1.10091 1.03077 0.98986
1998Q1 1.11661 1.0395 0.9805
1998Q2 1.07567 1.06732 0.98761
1998Q3 1.03838 1.03348 1.00329
1998Q4 1.12194 1.03095 0.9786
1999Q1 1.1019 1.00215 0.9996
1999Q2 1.08395 1.14632 1.02206
1999Q3 1.14292 1.14697 1.0534
1999Q4 1.16968 1.19425 1.06332
2000Q1 1.18684 1.14141 1.07759
2000Q2 1.31991 1.23193 1.1166
2000Q3 1.3127 1.21712 1.12714
2000Q4 1.2318 1.26195 1.1271
2001Q1 1.28866 1.20661 1.1236
2001Q2 1.2256 1.36005 1.14896
2001Q3 1.3081 1.25192 1.14876
2001Q4 1.35958 1.1907 1.15881
2002Q1 1.31509 1.31257 1.16971
2002Q2 1.32187 1.25575 1.19716
2002Q3 1.45507 1.29222 1.20516
2002Q4 1.40596 1.2553 1.21193
2003Q1 1.41712 1.31193 1.20528
2003Q2 1.45257 1.30912 1.22703
2003Q3 1.44047 1.45282 1.24317
2003Q4 1.42931 1.52017 1.27082
2004Q1 1.50426 1.33208 1.24559
2004Q2 1.44129 1.52091 1.29569
2004Q3 1.63898 1.49456 1.32138
2004Q4 1.58714 1.48781 1.32107
2005Q1 1.58886 1.53684 1.34198
2005Q2 1.59051 1.57389 1.37662
2005Q3 1.64197 1.64182 1.38878
2005Q4 1.72565 1.58013 1.37995

#### Figure 6: Loan-to-Core Deposit Ratios by Subprime-Community Lender Group Panel 3: 75th Percentile

Year Low Subprime-Community Lenders Medium Subprime-Community Lenders High Subprime-Community Lenders
1995Q1 1.10215 1.13413 1.00584
1995Q2 1.16954 1.16051 1.0104
1995Q3 1.18856 1.07143 1.0121
1995Q4 1.11053 1.09456 1.01718
1996Q1 1.14457 1.08818 1.01707
1996Q2 1.23638 1.03052 1.04811
1996Q3 1.21342 1.14325 1.06215
1996Q4 1.27205 1.15815 1.08279
1997Q1 1.18157 1.23097 1.09001
1997Q2 1.261 1.19603 1.11657
1997Q3 1.23409 1.26606 1.12431
1997Q4 1.33597 1.24946 1.13508
1998Q1 1.40179 1.25588 1.1263
1998Q2 1.34572 1.35483 1.14429
1998Q3 1.3103 1.22923 1.16179
1998Q4 1.3713 1.18034 1.15334
1999Q1 1.382 1.22912 1.1805
1999Q2 1.32956 1.45035 1.20295
1999Q3 1.39331 1.3518 1.24492
1999Q4 1.43909 1.39179 1.26761
2000Q1 1.46053 1.39855 1.27541
2000Q2 1.60353 1.57053 1.30937
2000Q3 1.66655 1.56909 1.32407
2000Q4 1.61589 1.59793 1.31978
2001Q1 1.64782 1.51295 1.33917
2001Q2 1.62529 1.6333 1.37204
2001Q3 1.7332 1.55217 1.37541
2001Q4 1.7956 1.49294 1.40053
2002Q1 1.76559 1.61612 1.40863
2002Q2 1.73101 1.612 1.43543
2002Q3 1.80275 1.66661 1.45829
2002Q4 1.78413 1.74438 1.48179
2003Q1 1.79931 1.66603 1.45746
2003Q2 1.85431 1.75007 1.48273
2003Q3 1.90604 1.78479 1.51978
2003Q4 1.91961 1.9243 1.55695
2004Q1 1.97873 1.7087 1.5333
2004Q2 2.13823 1.8486 1.5952
2004Q3 2.24567 1.93384 1.63452
2004Q4 2.12117 1.81998 1.65005
2005Q1 2.10232 2.06315 1.68013
2005Q2 2.08103 2.05483 1.72048
2005Q3 2.2762 1.97514 1.7289
2005Q4 2.35826 2.04057 1.72859

#### Figure 6: Loan-to-Core Deposit Ratios by Subprime-Community Lender Group (600)

Figure 6 describes the loan-to-core deposit ratios by subprime-community lender group based on credit scores of 600. There are three graphs on this page.

The first graph is for the 25 percentiles. The x-axis is the date. It runs from 1995 quarter 1 to 2005 Quarter 4. Each tick mark is a single year. The y-axis is the loan-to-core deposit ratio. It runs from 0.5 to 1.4. Each tick mark is 0.1 apart. The Low Subprime-Community Lenders is the first line in the legend. The Medium Subprime-Community Lenders is the second line in the legend. The High Subprime-Community Lenders is the third line in the legend. All three lines show an up and down pattern that slowly increases. The High Subprime-Community Lenders has a consistently lower loan-to-core deposit ratio. The pink and the Low Subprime-Community Lenders cross each other multiple times. The Low Subprime-Community Lenders runs from 0.77 to 1.38. The Medium Subprime-Community Lenders runs from 0.8 to 1.37. The High Subprime-Community Lenders runs from 0.74 to 1.13.

The second graph is for the median percentiles. The x-axis is the date. It runs from 1995 quarter 1 to 2005 Quarter 4. Each tick mark is a single year. The y-axis is the loan-to-core deposit ratio. It runs from 0.5 to 1.9. Each tick mark is 0.2 apart. The Low Subprime-Community Lenders is the first line in the legend. The Medium Subprime-Community Lenders is the second line in the legend. The High Subprime-Community Lenders is the third line in the legend. All three lines show an up and down pattern that slowly increases. The High Subprime-Community Lenders has a consistently lower loan-to-core deposit ratio. The pink and the Low Subprime-Community Lenders cross each other multiple times. The Low Subprime-Community Lenders runs from 0.94 to 1.73. The Medium Subprime-Community Lenders runs from 0.93 to 1.58. The High Subprime-Community Lenders runs from 0.88 to 1.38.

The third graph is for the 75th percentiles. The x-axis is the date. It runs from 1995 quarter 1 to 2005 Quarter 4. Each tick mark is a single year. The y-axis is the loan-to-core deposit ratio. It runs from 0.5 to 2.5. Each tick mark is 0.2 apart. The Low Subprime-Community Lenders is the first line in the legend. The Medium Subprime-Community Lenders is the second line in the legend. The High Subprime-Community Lenders is the third line in the legend. All three lines show an up and down pattern that slowly increases. The High Subprime-Community Lenders has a consistently lower loan-to-core deposit ratio. The pink and the Low Subprime-Community Lenders cross each other multiple times. The Low Subprime-Community Lenders runs from 1.1 to 2.36. The Medium Subprime-Community Lenders runs from 1.1 to 2.1. The High Subprime-Community Lenders runs from 1.0 to 1.7.

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