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Finance and Economics Discussion Series: Data for paper 2013-30 ♣

Equity Extraction and Mortgage Default

Steven Laufer

Figure 1: Defaults by Year of Purchase

Quarter <1998 1998-1999 2000-2001 2002-2003 2004 2005 2006 2007-2009
2001.875 937 394 346 0 0 0 0 0
2002.125 1134 436 363 5 0 0 0 0
2002.375 889 355 386 27 0 0 0 0
2002.625 606 239 286 29 0 0 0 0
2002.875 608 231 266 50 0 0 0 0
2003.125 533 190 287 102 0 0 0 0
2003.375 613 265 318 185 0 0 0 0
2003.625 870 306 418 292 0 0 0 0
2003.875 661 212 283 312 0 0 0 0
2004.125 590 203 254 365 12 0 0 0
2004.375 393 110 157 264 29 0 0 0
2004.625 350 122 155 294 49 0 0 0
2004.875 407 112 171 271 129 0 0 0
2005.125 361 122 106 176 208 7 0 0
2005.375 241 69 80 127 225 22 0 0
2005.625 310 79 107 158 299 81 0 0
2005.875 350 106 100 173 248 182 0 0
2006.125 419 113 138 176 261 371 9 0
2006.375 328 120 122 175 227 560 25 0
2006.625 367 126 146 201 255 643 111 0
2006.875 367 128 182 254 271 743 692 0
2007.125 390 143 182 294 351 766 974 12
2007.375 446 161 196 297 382 891 1564 40
2007.625 589 240 286 495 610 1207 1934 254
2007.875 662 245 305 544 638 1423 1856 396
2008.125 967 396 522 890 1070 2469 2765 802
2008.375 1211 415 577 969 1123 2452 2587 825
2008.625 957 365 470 762 833 1580 1889 601
2008.875 1122 368 476 711 810 1321 1480 548
2009.125 2161 762 967 1499 1515 2329 2568 1403
2009.375 2273 758 918 1490 1452 2025 1994 1255
2009.625 2396 818 947 1520 1327 1678 1711 1181
Return to Figure 1

Figure 2: Fraction of Debt due to Equity Extraction at Default by Year of Purchase

Quarter of Purchase Mean 10% 25% 50% 75% 90%
2001.625 0.452221 0 0.2060581 0.5140054 0.6342651 0.801765
2001.875 0.4520889 0 0.2284938 0.5217985 0.621437 0.7504846
2002.125 0.4214284 0 0.1997167 0.4747897 0.5888487 0.7035382
2002.375 0.401545 0 0.1979659 0.4543768 0.5596429 0.6652442
2002.625 0.4033414 0 0.2046909 0.4431877 0.5515368 0.6926907
2002.875 0.3986049 0 0.2405978 0.4302078 0.533441 0.6733447
2003.125 0.3961535 0 0.2479394 0.4012353 0.5188056 0.713348
2003.375 0.3736408 0 0.2201827 0.3693987 0.4836601 0.6483021
2003.625 0.352583 0 0.2167263 0.3382655 0.4530095 0.6076121
2003.875 0.3091948 0 0.1669497 0.2935323 0.3997633 0.5401101
2004.125 0.2550054 0 0.119933 0.2231977 0.3329326 0.4697865
2004.375 0.2199029 0 0.0892925 0.187516 0.2864644 0.4090861
2004.625 0.1993682 0 0.0611726 0.1717186 0.2629083 0.3733839
2004.875 0.1635439 0 0 0.1303522 0.2210438 0.3299595
2005.125 0.1165174 0 0 0.0528626 0.1573973 0.2707174
2005.375 0.0838218 0 0 0 0.1050237 0.2102412
2005.625 0.0715885 0 0 0 0.071044 0.1890101
2005.875 0.0528188 0 0 0 0 0.1337058
2006.125 0.0392663 0 0 0 0 0.0832852
2006.375 0.0291125 0 0 0 0 0.021212
2006.625 0.0270545 0 0 0 0 0
2006.875 0.0325778 0 0 0 0 0
Return to Figure 2

Figure 3: LTV Distribution of Defaulters

 LTV Percent LTV, at Purchase Percent LTV at Default, Without Equity Extraction Percent LTV, at Default
0 0.01 0.19 0.63
0.05 0.04 0.19 0.1
0.1 0.05 0.34 0.15
0.15 0.09 0.39 0.19
0.2 0.24 0.6 0.23
0.25 0.06 0.86 0.23
0.3 0.1 2.01 0.33
0.35 0.06 4.1 0.49
0.4 0.19 6.3 0.74
0.45 0.19 7.38 1.04
0.5 0.33 8.59 1.64
0.55 0.36 9.2 2.28
0.6 0.89 9.55 3.08
0.65 1.22 9.06 4.14
0.7 0.77 8.45 4.68
0.75 2.81 7.49 5.09
0.8 9.4 6.78 5.3
0.85 15.19 5.9 5.63
0.9 15.04 4.62 4.79
0.95 19.82 2.21 3.99
1 32.4 1.53 3.86
1.05 0.4 1.14 3.87
1.1 0.15 0.81 3.91
1.15 0.09 0.61 3.99
1.2 0.06 0.33 3.82
1.25 0.03 0.29 3.83
1.3 0 0.23 3.75
1.35 0 0.13 3.06
1.4 0 0.17 2.99
1.45 0 0.14 2.62
1.5 0 0.1 2.51
1.55 0.01 0.06 2.29
1.6 0 0.06 1.97
1.65 0 0.06 1.61
1.7 0 0.05 1.49
1.75 0 0.02 1.54
1.8 0 0.02 1.03
1.85 0 0.02 1.18
1.9 0 0.01 1.02
1.95 0 0.01 0.77
2 0.01 0 0.72
2.05 0 0 0.65
2.1 0 0.01 0.57
2.15 0 0 0.47
2.2 0 0 0.44
2.25 0 0 0.33
2.3 0 0 0.36
2.35 0 0 0.29
2.4 0 0 0.32
Return to Figure 3

Figure 4: Equity Extraction by Purchase Year and Outcome

Purchase, Year New Mortgages per Year, Default  Neither  Sale
2000 0.42704502 0.29977797 0.29617799
2001 0.48852849 0.31642894 0.37873753
2002 0.54798896 0.31517733 0.4082932
2003 0.57512218 0.29575601 0.38251611
2004 0.50040072 0.27383735 0.31693532
2005 0.28760306 0.19995281 0.22130033
2006 0.09927291 0.1149865 0.17909684
2007 0.06809127 0.07965268 0.16329123
2008 0.07150901 0.07915847 0.10199871
2009 0 0.01922844 0.04395604
Return to Figure 4

Figure 5: New Mortgages

 Quarter Non-Cash-Out, Refinances New Junior, Mortgages Cash-Out, Refinances
2000.125 4.045 20.069 6.294
2000.375 4.236 18.499 6.442
2000.625 5.52 18.358 8.812
2000.875 10.697 15.396 15.663
2001.125 14.462 20.487 26.535
2001.375 12.659 23.463 25.01
2001.625 21.556 23.314 35.335
2001.875 19.305 26.297 37.757
2002.125 13.604 31.768 29.149
2002.375 24.728 29.845 39.171
2002.625 36.438 32.698 59.856
2002.875 34.035 32.008 57.119
2003.125 48.634 37.321 65.671
2003.375 47.882 40.918 72.816
2003.625 19.444 51.141 50.962
2003.875 15.773 39.278 44.936
2004.125 19.813 49.402 57.205
2004.375 6.888 56.742 44.937
2004.625 8.053 49.59 49.53
2004.875 6.462 43.727 44.916
2005.125 5.685 48.601 45.858
2005.375 6.265 47.866 52.914
2005.625 5.79 59.502 46.575
2005.875 4.597 44.505 35.857
2006.125 5.242 48.221 36.109
2006.375 5.181 50.582 34.807
2006.625 5.847 44.347 38.491
2006.875 6.015 40.328 34.129
2007.125 6.045 43.089 31.955
2007.375 4.3 39.24 21.35
2007.625 3.899 27.252 16.172
2007.875 3.914 27.375 11.62
2008.125 2.966 27.144 7.511
2008.375 1.86 15.161 3.993
2008.625 3.398 7.285 5.401
2008.875 8.484 7.331 12.654
2009.125 12.227 8.213 17.293
2009.375 9.414 8.302 12.634
2009.625 4.26 3.317 5.046
Return to Figure 5

Figure 6: Outcomes by Year of Purchase

Purchase, Year Fraction of Outcomes, Default  Sale
2000 7.18 41.17
2001 7.41 33.51
2002 7.73 31.23
2003 10.02 29.08
2004 17.05 25.89
2005 29.89 18.22
2006 40.25 9.33
2007 20.65 5.34
2008 2.47 2.6
2009 0.26 0.86
Return to Figure 6

Figure 7: CLTV at Purchase

Quarter Fraction
2000.125 0.1225084
2000.375 0.0859682
2000.625 0.0885215
2000.875 0.0781225
2001.125 0.0854115
2001.375 0.0891095
2001.625 0.1049371
2001.875 0.1299805
2002.125 0.1306002
2002.375 0.1419829
2002.625 0.1747609
2002.875 0.1962393
2003.125 0.2032944
2003.375 0.2074214
2003.625 0.2358085
2003.875 0.2628945
2004.125 0.2743017
2004.375 0.3021492
2004.625 0.3663858
2004.875 0.3894442
2005.125 0.386236
2005.375 0.3919905
2005.625 0.42736
2005.875 0.4659934
2006.125 0.4804459
2006.375 0.4940023
2006.625 0.5329531
2006.875 0.5431634
2007.125 0.4240932
2007.375 0.2618093
2007.625 0.1555223
2007.875 0.1105931
2008.125 0.0427149
2008.375 0.0222998
2008.625 0.0166874
2008.875 0.0124774
2009.125 0.0166225
2009.375 0.012242
2009.625 0.0137207
2009.875 0.0168675
Return to Figure 7

Figure 8: House Price Indices

Quarter 90066 90650 91344 91406
1986 42.4175 54.26137 50.86383 54.4345
1986.25 43.43457 55.2967 52.87533 54.5599
1986.5 44.6951 57.44067 54.44447 56.14326
1986.75 46.76603 59.71537 55.93887 58.27597
1987 47.44987 61.2698 56.34903 60.05567
1987.25 48.66033 63.0169 57.57037 62.27823
1987.5 53.83053 63.92393 61.3992 63.18673
1987.75 57.04137 65.77627 64.0297 65.29383
1988 58.80877 67.47134 66.1589 68.12267
1988.25 60.88183 70.54346 68.9858 72.00423
1988.5 64.58937 73.4854 75.6502 73.5697
1988.75 68.7819 77.44427 79.69107 81.91277
1989 74.80293 82.61083 85.16987 86.65366
1989.25 79.0105 88.22073 90.45557 90.9231
1989.5 83.71964 94.2065 95.99586 95.06657
1989.75 86.63857 97.83797 96.19263 98.67963
1990 88.16343 98.11307 98.74633 101.0146
1990.25 88.92397 99.77333 96.3275 100.091
1990.5 87.7619 100.4198 96.5373 97.50746
1990.75 90.81664 100.7302 97.84196 97.10207
1991 88.87247 102.0375 97.86897 95.9912
1991.25 84.73064 100.8247 95.99633 94.99516
1991.5 86.10493 101.2928 95.53944 94.83453
1991.75 88.50967 102.2596 96.94154 94.83553
1992 86.9393 100.8506 94.3604 96.7292
1992.25 85.0036 99.10307 88.76927 92.8433
1992.5 83.57594 98.9319 91.82183 92.68896
1992.75 82.33463 99.78723 92.51566 91.63453
1993 79.91486 97.3444 89.59856 92.03373
1993.25 77.8729 96.71674 87.66807 90.42247
1993.5 76.04723 94.96957 85.47857 88.52467
1993.75 72.2906 94.18943 81.25377 86.56084
1994 72.16717 91.85867 80.6486 81.35423
1994.25 71.2365 89.4994 78.22607 79.243
1994.5 70.48316 90.35577 74.2049 78.85283
1994.75 70.50304 90.56033 74.2024 78.1852
1995 69.66753 90.29683 71.5584 76.4855
1995.25 69.50896 90.20803 73.4426 75.14304
1995.5 69.12287 89.76417 72.48393 76.73663
1995.75 69.61163 90.38094 72.83897 76.52333
1996 69.26106 89.61903 70.77897 75.87666
1996.25 69.0321 87.32423 68.9164 75.82384
1996.5 69.8032 87.5357 69.84084 76.91223
1996.75 70.62836 87.33723 70.7915 79.85873
1997 70.60343 86.23006 71.0478 79.5813
1997.25 72.58657 85.2077 71.4746 79.34644
1997.5 73.3153 85.7987 70.46313 80.143
1997.75 74.9454 85.5401 72.36874 80.9606
1998 75.6884 86.01186 74.36304 82.02783
1998.25 77.61487 86.9053 76.0244 81.93253
1998.5 81.84583 89.2061 80.1404 84.96587
1998.75 84.9996 91.36533 83.71297 86.7825
1999 86.99683 93.13763 86.36237 89.00073
1999.25 90.70287 94.40007 89.08366 91.49053
1999.5 92.52133 97.59666 90.78513 93.70143
1999.75 92.21567 98.3451 95.4258 97.2704
2000 97.718 99.4446 97.34364 98.79356
2000.25 101.0858 100.6485 100.7432 101.0259
2000.5 104.1359 103.2502 104.3307 102.3241
2000.75 108.6949 106.3788 108.8885 106.6472
2001 111.3586 109.3941 107.8015 108.8656
2001.25 113.0565 112.0448 112.1188 110.661
2001.5 118.3013 116.2273 115.2811 114.1382
2001.75 121.1594 119.6139 118.4026 118.6926
2002 121.23 123.7949 121.8806 120.36
2002.25 123.5816 127.4819 127.2074 124.9967
2002.5 128.8316 133.4529 135.8171 129.4978
2002.75 133.9625 142.5829 143.0218 136.3145
2003 132.0551 146.9537 145.0199 141.6203
2003.25 138.4583 153.8831 152.8684 148.09
2003.5 146.1276 161.8044 161.024 157.1957
2003.75 154.0505 169.6297 169.8692 166.1163
2004 161.7235 178.5951 180.8664 177.7069
2004.25 172.7654 191.0367 192.8884 191.123
2004.5 186.8869 209.4203 205.8174 206.2647
2004.75 199.6474 227.2606 221.987 221.1023
2005 206.5821 237.0853 231.3961 224.5129
2005.25 218.3464 250.2245 237.9822 236.6077
2005.5 232.2323 265.602 248.5321 252.3478
2005.75 242.0013 284.6593 272.19 268.0101
2006 249.0193 296.4329 282.547 280.7402
2006.25 260.0342 311.0142 286.3245 294.408
2006.5 265.3948 317.2927 290.9199 302.8046
2006.75 261.3759 323.9546 295.9854 304.6981
2007 259.4577 325.2984 292.9983 307.371
2007.25 247.8284 319.5579 287.0545 299.1695
2007.5 242.2603 316.4389 289.4605 298.0196
2007.75 235.6812 309.6223 276.8375 288.9848
2008 225.5318 289.0299 268.2239 277.6269
2008.25 206.9625 265.4193 247.9144 254.7684
2008.5 188.1804 235.7481 231.0428 230.7703
2008.75 177.1357 212.2311 217.5242 212.4783
2009 175.6124 197.3276 208.4129 202.3287
2009.25 159.7278 186.5157 188.3577 188.6106
2009.5 153.827 179.4088 186.0157 181.2717
2009.75 157.6489 182.0747 190.7704 186.1248
Return to Figure 8

Figure 9: Distribution of House Price Expectations

Quarter Mean 10% 25% 50% 75% 90%
2002.125 0.9496416 0.9076571 0.9724888 0.9867909 0.9923785 0.9947413
2002.375 0.9632317 0.9453624 0.9813492 0.99088 0.994662 0.9963871
2002.625 0.9731649 0.9716843 0.9895211 0.994794 0.9964928 0.9978235
2002.875 0.9815373 0.9817504 0.9933465 0.9963475 0.9976007 0.9984341
2003.125 0.9904708 0.9894931 0.995474 0.9971462 0.9982352 0.9988674
2003.375 0.9960185 0.9931705 0.9960316 0.9975072 0.998538 0.9990003
2003.625 0.9969732 0.9941251 0.9966859 0.9979603 0.9988011 0.9991633
2003.875 0.9969651 0.9940411 0.9967507 0.9981088 0.9989741 0.9993545
2004.125 0.9968993 0.9944231 0.9963263 0.9982264 0.9990624 0.9994339
2004.375 0.996694 0.9928256 0.9963483 0.9982951 0.9990922 0.9994876
2004.625 0.9957986 0.9904938 0.9952273 0.9978094 0.9990059 0.9994795
2004.875 0.9934287 0.9862155 0.9937725 0.9969488 0.9986876 0.9993461
2005.125 0.9879768 0.9759594 0.9894785 0.9948633 0.9981486 0.9991172
2005.375 0.9765261 0.9538448 0.9808577 0.9918014 0.996896 0.99852
2005.625 0.9615737 0.9199243 0.9668494 0.9864544 0.9938541 0.9967013
2005.875 0.9385298 0.8653742 0.9418061 0.9738827 0.9887616 0.9941089
2006.125 0.8948926 0.7559717 0.8746831 0.9436698 0.9769068 0.9892057
2006.375 0.7908754 0.4522778 0.7203943 0.8541354 0.943311 0.9786265
2006.625 0.5522717 0.1473174 0.2824933 0.56473 0.8304691 0.9419304
2006.875 0.278014 0.0108449 0.0279994 0.134193 0.4527937 0.8677923
2007.125 0.1316841 0.0006367 0.0019137 0.008979 0.1068407 0.5408177
2007.375 0.0620079 0.0001423 0.0003469 0.0013532 0.0130489 0.1101893
2007.625 0.0361833 3.42e-05 9.86e-05 0.0005611 0.0038734 0.0212607
2007.875 0.0224418 9.55E-06 4.59e-05 0.000361 0.002351 0.0101627
2008.125 0.0108396 2.92E-06 2.93e-05 0.0002466 0.0018337 0.0072941
2008.375 0.004735 1.90E-06 2.9e-05 0.000285 0.0013573 0.0064275
2008.625 0.0050151 3.09E-06 3.45e-05 0.0004289 0.0021152 0.0053069
2008.875 0.0105321 1.52e-05 0.0002128 0.001122 0.0047841 0.0118759
2009.125 0.0584046 0.0001087 0.001017 0.0050529 0.0277659 0.1095693
2009.375 0.2349169 0.0001745 0.00365 0.03674 0.329678 0.9505698
Return to Figure 9

Figure 10: Aggregate Rates of Equity Extraction Sale and Default

Quarter Fraction Extracting Equity Data Fraction Extracting Equity Model Fraction Selling Data Fraction Selling Model Fraction Defaulting Data Fraction Defaulting Model
2002.1 0.043447 0.015328 0.014957 0.0065812 0.0014245 0.0050712
2002.4 0.028669 0.014999 0.009972 0.0072566 0 0.0025641
2002.6 0.032743 0.015708 0.010091 0.0080805 0.00020593 0.002987
2002.9 0.040734 0.017294 0.010261 0.0089673 0.0010883 0.0023942
2003.1 0.059949 0.022951 0.014158 0.010232 0.0020408 0.0024814
2003.4 0.068001 0.03278 0.014299 0.011416 0.0022243 0.0020445
2003.6 0.083565 0.046498 0.013478 0.013052 0.0025159 0.0021484
2003.9 0.07523 0.061566 0.013692 0.013944 0.0023339 0.0019622
2004.1 0.1045 0.077276 0.018624 0.015657 0.001265 0.0016369
2004.4 0.11101 0.088775 0.019761 0.016513 0.0018427 0.0015143
2004.6 0.10104 0.096256 0.019425 0.017179 0.0016139 0.0015361
2004.9 0.086357 0.10145 0.018463 0.0177 0.0020751 0.0015154
2005.1 0.096478 0.11022 0.023875 0.019193 0.0017364 0.00090635
2005.4 0.11061 0.11778 0.02309 0.020316 0.0030601 0.00082584
2005.6 0.12045 0.1228 0.020084 0.020694 0.0024535 0.00085943
2005.9 0.091508 0.12231 0.016505 0.021764 0.0020996 0.00086226
2006.1 0.089338 0.11913 0.01883 0.021557 0.002079 0.00091987
2006.4 0.08898 0.11673 0.017942 0.0214 0.0027276 0.0012082
2006.6 0.085718 0.11387 0.016933 0.020704 0.0020394 0.0019724
2006.9 0.074671 0.081637 0.013411 0.019168 0.0039665 0.00356
2007.1 0.065636 0.048143 0.013165 0.015218 0.0035151 0.0051278
2007.4 0.051876 0.029803 0.011622 0.01144 0.006233 0.0073002
2007.6 0.036293 0.018655 0.0048083 0.008212 0.0069161 0.0088529
2007.9 0.029291 0.012147 0.003653 0.0057407 0.010162 0.01078
2008.1 0.02143 0.0080066 0.0052907 0.0046081 0.012189 0.012257
2008.4 0.010967 0.0053729 0.005416 0.0037785 0.0090718 0.013599
2008.6 0.0070007 0.0039286 0.0034317 0.0031618 0.0098147 0.015628
2008.9 0.0069242 0.0031082 0.0028389 0.0028097 0.019596 0.016978
2009.1 0.0076757 0.0027559 0.0049543 0.0026395 0.020306 0.017303
2009.4 0.0083815 0.0031807 0.0057755 0.0026536 0.016552 0.017015
Return to Figure 10

Figure 12a: Total Spending by Expected Price Growth Increasing Prices when Spending = 1.0

Liquid Assets LTV Ratio
1.267 2
1.5 1.8793
1.7494 1.75
2 1.6202
2.2319 1.5
2.5 1.3611
2.5213 1.35
2.5 1.3348
2.3108 1.2
2.5 1.102
2.5038 1.1
2.5 1.0995
2.1003 1.05
2.1968 1
2 0.97562
1.8966 0.95
1.8897 0.9
1.9862 0.85
1.5827 0.8
1.5 0.77306
1.4551 0.7
1.3937 0.6
1.4095 0.3
1.4253 0

Figure 12b: Total Spending by Expected Price Growth Increasing Prices when Spending = 1.5

Liquid Assets LTV Ratio
2.0211 0
2 0.065553
1.9095 0.3
1.9922 0.6
2 0.6024
2.5 0.60388
3 0.61021
4 0.66584
4.5513 0.7
5 0.7278
5.5827 0.8
5.9724 0.85
5.7795 0.9
5.7932 0.95
6 0.97562
6.3935 1
6.2005 1.05
6.0076 1.1
6.6216 1.2
7.0427 1.35
7.4638 1.5
7.4989 1.75
7.068 2

Figure 12c: Total Spending by Expected Price Growth Increasing Prices when Spending = 2.0

Liquid Assets LTV Ratio
2.4378 0
2.5 0.078849
3 0.078849
4 0.078849
5 0.2661
6 0.2661
6.0952 0.3
8 0.50106
10 0.50106
11.406 0.6
10.827 0.7
13 0.78975
13.331 0.8
13 0.84286
12.959 0.85
13 0.85076
16.559 0.9
16.173 0.95
16.191 1
17 1.0168
18.801 1.05
18.511 1.1
20 1.1615
21.554 1.2
20.107 1.35
20 1.3525
17 1.3611
14.855 1.5
15.998 1.75
15.136 2

Figure 12d: Total Spending by Expected Price Growth Increasing Prices when Spending = 2.5

Liquid Assets LTV Ratio
7.7012 0
8 0.058327
10 0.058327
13 0.058327
15.476 0.3
17 0.44873
20 0.44873
21.937 0.6
21.551 0.7
25 0.77474

Figure 12e: Total Spending by Expected Price Growth Increasing Prices when Spending = 3.0

Liquid Assets LTV Ratio
16.402 0
17 0.058327
20 0.058327
23.095 0.3
25 0.44873

Figure 12f: Total Spending by Expected Price Growth Decreasing Prices when Spending = 1.0

Liquid Assets LTV Ratio
1.267 2
1.3747 1.75
1.5 1.6862
2 1.6202
2.2319 1.5
2.5 1.3611
2.5213 1.35
2.5 1.3348
2.3108 1.2
2.5 1.102
2.5038 1.1
2.5 1.0995
2.1003 1.05
2.1968 1
2.2932 0.95
2 0.91366
1.9449 0.9
1.9931 0.85
2 0.84286
2.0827 0.8
2 0.77306
1.7757 0.7
1.5 0.66584
1.3937 0.6
1.4095 0.3
1.4253 0

Figure 12g: Total Spending by Expected Price Growth Decreasing Prices when Spending = 1.5

Liquid Assets LTV Ratio
2.0633 0
2.5 0.2845
3 0.29257
3.0952 0.3
4 0.39551
5 0.44736
5.9373 0.6
6 0.61021
7.1027 0.7
6.3308 0.8
6.9724 0.85
6.7795 0.9
6.5865 0.95
6.787 1
7.2005 1.05
7.0075 1.1
7.2432 1.2
7.0427 1.35
6.9275 1.5
6.4989 1.75
6 1.8793
5.534 2

Figure 12h: Total Spending by Expected Price Growth Decreasing Prices when Spending = 2.0

Liquid Assets LTV Ratio
5.6265 0
6 0.078849
8 0.2661
10 0.2661
10.143 0.3
13 0.50106
14.875 0.6
17 0.66584
17.827 0.7
20 0.78975
20.413 0.8
20 0.84286
19.959 0.85
19.779 0.9
20 0.9061
23.966 0.95
23.484 1
23.001 1.05
25 1.0721
14.068 2
14.996 1.75
14.855 1.5
17 1.3611
17.064 1.35
17.932 1.2
20 1.1422
25 1.1422

Figure 12i: Total Spending by Expected Price Growth Decreasing Prices when Spending = 2.5

Liquid Assets LTV Ratio
12.552 0
13 0.058327
17 0.058327
18.857 0.3
20 0.44873
25 0.53427
25 1.871
23.747 1.75
25 1.6202

Figure 12j: Total Spending by Expected Price Growth Decreasing Prices when Spending = 3.0

Liquid Assets LTV Ratio
19.552 0
20 0.058327
23.095 0.3
25 0.36463
Return to Figure 12

Figure 13a: Default Probabilities Probability=0.0001

Liquid Assets LTV Ratio
0.365 0.85001
0.399 0.85001
0.432 0.85001
0.466 0.85001
0.5 0.85001
0.75 0.85001
0.99998 0.9
0.99998 0.95
1 0.95999
1.4001 1
1.4974 1.05
1.5 1.08
1.7002 1.1
2 1.1084
2.4582 1.2
2.5 1.2007
3 1.2025
4 1.2022
5 1.2012
6 1.2008

Figure 13b: Default Probabilities Probability = 0.015

Liquid Assets LTV Ratio
0.365 0.85075
0.399 0.85075
0.432 0.85075
0.466 0.85075
0.5 0.85075
0.75 0.85075
0.99625 0.9
0.99625 0.95
0.99637 1
1 1.0387
1.1101 1.05
1.2316 1.1
1.5 1.159
1.7136 1.2
2 1.2779
2.5 1.2994
2.7306 1.35
3 1.4116
4 1.4084
5 1.3714
6 1.366

Figure 13c: Default Probabilities Probability = 0.025

Liquid Assets LTV Ratio
0.365 0.85125
0.399 0.85125
0.432 0.85125
0.466 0.85125
0.5 0.85125
0.75 0.85125
0.99375 0.9
0.99375 0.95
0.99387 1
0.99853 1.05
1 1.0836
1.0507 1.1
1.5 1.1988
1.5062 1.2
2 1.3344
2.2695 1.35
2.5 1.4188
3 1.4808
4 1.4803
5 1.4721
6 1.4711

Figure 13d: Default Probabilities Probability = 1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.5 0.9
0.466 0.9
0.432 0.9
0.399 0.9
0.365 0.9
Return to Figure 13

Figure 14a: Probability of Default by Expected Price Growth Decreasing Prices when Probability=0.0001

Liquid Assets LTV Ratio
0.365 0.70001
0.399 0.70001
0.432 0.70001
0.466 0.70001
0.5 0.70001
0.75 0.70001
1 0.70321
1.4839 0.8
1.5 0.80856
1.9144 0.85
2 0.86384
2.3616 0.9
2.5 0.91285
2.9001 0.95
3 0.95812
3.1998 0.95
4 0.91285
4.1713 0.9
5 0.85856
6 0.85045

Figure 14b: Probability of Default by Expected Price Growth Decreasing Prices when Probability=0.015

Liquid Assets LTV Ratio
0.365 0.7015
0.399 0.7015
0.432 0.7015
0.466 0.7015
0.5 0.7015
0.75 0.7015
0.99702 0.8
1 0.83383
1.1414 0.85
1.321 0.9
1.5 0.92466
1.7068 0.95
2 0.99257
2.0697 1
2.4793 1.05
2.5 1.0524
2.9181 1.1
3 1.113
3.2274 1.1
4 1.0682
4.3195 1.05
5 1.0076
5.2734 1
6 0.98173

Figure 14c: Probability of Default by Expected Price Growth Decreasing Prices when Probability=0.025

Liquid Assets LTV Ratio
0.365 0.7025
0.399 0.7025
0.432 0.7025
0.466 0.7025
0.5 0.7025
0.75 0.7025
0.99451 0.8
0.9989 0.85
1 0.88195
1.0629 0.9
1.2469 0.95
1.5 0.97732
1.6122 1
2 1.0463
2.0296 1.05
2.3798 1.1
2.5 1.1233
3 1.1855
4 1.1599
4.7121 1.1
5 1.081
6 1.052

Figure 14d: Probability of Default by Expected Price Growth Decreasing Prices when Probability=1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.75 0.85
0.75 0.8
0.5 0.8
0.466 0.8
0.432 0.8
0.399 0.8
0.365 0.8

Figure 14e: Probability of Default by Expected Price Growth Increasing Prices when Probability=0.0001

Liquid Assets LTV Ratio
0.365 0.85001
0.399 0.85001
0.432 0.85001
0.466 0.85001
0.5 0.85001
0.75 0.85001
0.99998 0.9
0.99998 0.95
1 0.95999
1.4001 1
1.4974 1.05
1.5 1.08
1.7002 1.1
2 1.1084
2.4582 1.2
2.5 1.2007
3 1.2025
4 1.2022
5 1.2012
6 1.2008

Figure 14f: Probability of Default by Expected Price Growth Increasing Prices when Probability=0.015

Liquid Assets LTV Ratio
0.365 0.85075
0.399 0.85075
0.432 0.85075
0.466 0.85075
0.5 0.85075
0.75 0.85075
0.99625 0.9
0.99625 0.95
0.99637 1
1 1.0387
1.1101 1.05
1.2316 1.1
1.5 1.159
1.7136 1.2
2 1.2779
2.5 1.2994
2.7306 1.35
3 1.4116
4 1.4084
5 1.3714
6 1.366

Figure 14g: Probability of Default by Expected Price Growth Increasing Prices when Probability=0.025

Liquid Assets LTV Ratio
0.365 0.85125
0.399 0.85125
0.432 0.85125
0.466 0.85125
0.5 0.85125
0.75 0.85125
0.99375 0.9
0.99375 0.95
0.99387 1
0.99853 1.05
1 1.0836
1.0507 1.1
1.5 1.1988
1.5062 1.2
2 1.3344
2.2695 1.35
2.5 1.4188
3 1.4808
4 1.4803
5 1.4721
6 1.4711

Figure 14h: Probability of Default by Expected Price Growth Increasing Prices when Probability=1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.5 0.9
0.466 0.9
0.432 0.9
0.399 0.9
0.365 0.9
Return to Figure 14

Figure 15a: Probability of Default Baseline with Probability = 0.0001

Liquid Assets LTV Ratio
0.365 0.85001
0.399 0.85001
0.432 0.85001
0.466 0.85001
0.5 0.85001
0.75 0.85001
0.99998 0.9
0.99998 0.95
1 0.95999
1.4001 1
1.4974 1.05
1.5 1.08
1.7002 1.1
2 1.1084
2.4582 1.2
2.5 1.2007
3 1.2025
4 1.2022
5 1.2012
6 1.2008

Figure 15b: Probability of Default Baseline with Probability = 0.015

Liquid Assets LTV Ratio
0.365 0.85075
0.399 0.85075
0.432 0.85075
0.466 0.85075
0.5 0.85075
0.75 0.85075
0.99625 0.9
0.99625 0.95
0.99637 1
1 1.0387
1.1101 1.05
1.2316 1.1
1.5 1.159
1.7136 1.2
2 1.2779
2.5 1.2994
2.7306 1.35
3 1.4116
4 1.4084
5 1.3714
6 1.366

Figure 15c: Probability of Default Baseline with Probability = 0.025

Liquid Assets LTV Ratio
0.365 0.85125
0.399 0.85125
0.432 0.85125
0.466 0.85125
0.5 0.85125
0.75 0.85125
0.99375 0.9
0.99375 0.95
0.99387 1
0.99853 1.05
1 1.0836
1.0507 1.1
1.5 1.1988
1.5062 1.2
2 1.3344
2.2695 1.35
2.5 1.4188
3 1.4808
4 1.4803
5 1.4721
6 1.4711

Figure 15d: Probability of Default Baseline with Probability = 1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.5 0.9
0.466 0.9
0.432 0.9
0.399 0.9
0.365 0.9

Figure 15e: Probability of Default with 80% Refinancing Limits and Probability = 0.0001

Liquid Assets LTV Ratio
0.365 0.70001
0.399 0.70001
0.432 0.70001
0.466 0.70001
0.5 0.70001
0.75 0.70001
0.99998 0.8
0.99998 0.85
0.99998 0.9
0.99998 0.95
1 0.95088
1.4878 1
1.4981 1.05
1.5 1.0523
1.9769 1.1
2 1.1013
2.5 1.1514
2.7431 1.2
3 1.2008
4 1.2008
4.8993 1.2
5 1.1899
6 1.1514

Figure 15f: Probability of Default with 80% Refinancing Limits and Probability = 0.015

Liquid Assets LTV Ratio
0.365 0.7015
0.399 0.7015
0.432 0.7015
0.466 0.7015
0.5 0.7015
0.75 0.7015
0.99625 0.8
0.99625 0.85
0.99625 0.9
0.99626 0.95
0.99727 1
1 1.0248
1.2124 1.05
1.2497 1.1
1.5 1.1504
1.82 1.2
2 1.2535
2.5 1.282
3 1.3255
4 1.3245
5 1.2994
6 1.3001

Figure 15g: Probability of Default with 80% Refinancing Limits and Probability = 0.025

Liquid Assets LTV Ratio
0.365 0.7025
0.399 0.7025
0.432 0.7025
0.466 0.7025
0.5 0.7025
0.75 0.7025
0.99375 0.8
0.99375 0.85
0.99375 0.9
0.99376 0.95
0.99476 1
1 1.0475
1.0206 1.05
1.0546 1.1
1.5 1.1897
1.5667 1.2
2 1.3289
2.5 1.3374
2.6216 1.35
3 1.4574
4 1.4568
5 1.4196
6 1.4225

Figure 15h: Probability of Default with 80% Refinancing Limits and Probability = 1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.75 0.85
0.75 0.8
0.5 0.8
0.466 0.8
0.432 0.8
0.399 0.8
0.365 0.8
Return to Figure 15

Figure 16: Aggregate Rates with Tighter Refinancing Limits

 Quarter Fraction Extracting Equity, Baseline Fraction Extracting Equity, Refinance with LTV<.8 Fraction Extracting Equity, Refinance with LTV<.6 Fraction Extracting Equity, No Refinancing Fraction Selling, Baseline Fraction Selling, Refinance with LTV<.8 Fraction Selling, Refinance with LTV<.6 Fraction Selling, No Refinancing Fraction Defaulting, Baseline Fraction Defaulting, Refinance with LTV<.8 Fraction Defaulting, Refinance with LTV<.6 Fraction Defaulting, No Refinancing
2002.1 0.015328 0.0049573 0.0090028 0 0.0065812 0.0091738 0.013989 0.0149 0.0050712 0.004245 0.0048718 0.0045584
2002.4 0.014999 0.0076608 0.011338 0 0.0072566 0.0094545 0.014434 0.014675 0.0025641 0.0029397 0.0034587 0.0033347
2002.6 0.015708 0.0093849 0.013496 0 0.0080805 0.010787 0.015378 0.015448 0.002987 0.0028616 0.002918 0.0027612
2002.9 0.017294 0.011215 0.014033 0 0.0089673 0.011627 0.01631 0.01645 0.0023942 0.0020845 0.0020748 0.0019808
2003.1 0.022951 0.014863 0.015337 0 0.010232 0.013078 0.017285 0.017365 0.0024814 0.0020163 0.0018601 0.0018189
2003.4 0.03278 0.021342 0.016461 0 0.011416 0.013848 0.018016 0.018118 0.0020445 0.0019971 0.0017099 0.0017015
2003.6 0.046498 0.031304 0.017037 0 0.013052 0.015444 0.019378 0.019558 0.0021484 0.0021454 0.0016572 0.0015917
2003.9 0.061566 0.044705 0.018528 0 0.013944 0.016304 0.019736 0.019935 0.0019622 0.0019373 0.0017101 0.0015643
2004.1 0.077276 0.060216 0.020568 0 0.015657 0.017588 0.020715 0.020847 0.0016369 0.0016237 0.0013547 0.0012743
2004.4 0.088775 0.07109 0.02354 0 0.016513 0.018576 0.021663 0.021896 0.0015143 0.001509 0.0012262 0.0011354
2004.6 0.096256 0.079824 0.028037 0 0.017179 0.018951 0.022045 0.022143 0.0015361 0.0014249 0.0012201 0.0011876
2004.9 0.10145 0.085928 0.03266 0 0.0177 0.019394 0.022463 0.022488 0.0015154 0.0012842 0.0010393 0.00094599
2005.1 0.11022 0.096034 0.040026 0 0.019193 0.020881 0.024129 0.024003 0.00090635 0.00075838 0.00053996 0.0004955
2005.4 0.11778 0.10325 0.047016 0 0.020316 0.02201 0.025688 0.02559 0.00082584 0.00080866 0.00056734 0.0004988
2005.6 0.1228 0.10618 0.052743 0 0.020694 0.022316 0.025974 0.02623 0.00085943 0.00080468 0.00048397 0.00039704
2005.9 0.12231 0.10743 0.05552 0 0.021764 0.023493 0.027238 0.02759 0.00086226 0.0007699 0.00042231 0.00036204
2006.1 0.11913 0.10406 0.056541 0 0.021557 0.023564 0.027615 0.028324 0.00091987 0.0008634 0.00047651 0.00040722
2006.4 0.11673 0.10141 0.051552 0 0.0214 0.023463 0.028212 0.029042 0.0012082 0.00095877 0.00046731 0.00039625
2006.6 0.11387 0.10219 0.04317 0 0.020704 0.02312 0.032468 0.03293 0.0019724 0.0010533 0.00050476 0.00038193
2006.9 0.081637 0.074805 0.034646 0 0.019168 0.022164 0.038039 0.038079 0.00356 0.0018205 0.0005546 0.00047139
2007.1 0.048143 0.047421 0.02778 0 0.015218 0.018174 0.031778 0.032606 0.0051278 0.0030691 0.00081156 0.000666
2007.4 0.029803 0.030425 0.021622 0 0.01144 0.014614 0.026912 0.028521 0.0073002 0.0047604 0.0009529 0.00069478
2007.6 0.018655 0.020956 0.017451 0 0.008212 0.011586 0.024157 0.025457 0.0088529 0.0058441 0.0011245 0.00095124
2007.9 0.012147 0.014766 0.015014 0 0.0057407 0.0087673 0.021279 0.023098 0.01078 0.0069858 0.0015547 0.0011818
2008.1 0.0080066 0.010641 0.01324 0 0.0046081 0.0072087 0.018916 0.021512 0.012257 0.0082862 0.0019541 0.0014273
2008.4 0.0053729 0.0081184 0.010817 0 0.0037785 0.0062857 0.016176 0.019589 0.013599 0.0096182 0.0022569 0.0016658
2008.6 0.0039286 0.0063549 0.009542 0 0.0031618 0.0055341 0.014052 0.018296 0.015628 0.011695 0.0029234 0.002071
2008.9 0.0031082 0.0054365 0.0090018 0 0.0028097 0.0049725 0.013008 0.016444 0.016978 0.012636 0.0031175 0.002226
2009.1 0.0027559 0.0047721 0.008409 0 0.0026395 0.0047142 0.012382 0.01583 0.017303 0.013079 0.0030328 0.0021646
2009.4 0.0031807 0.0051936 0.0090235 0 0.0026536 0.0048461 0.012597 0.016169 0.017015 0.012903 0.0029285 0.0021233
Return to Figure 16

Figure 17: Aggregate Rates with Full Recourse

 Quarter Fraction Extracting Equity, Model (Baseline) Fraction Extracting Equity, Model (Recourse) Fraction Selling, Model (Baseline) Fraction Selling, Model (Recourse) Fraction Defaulting, Model (Baseline) Fraction Defaulting, Model (Recourse)
2002.1 0.015328 0.012877 0.0065812 0.0091738 0.0050712 0.002735
2002.4 0.014999 0.012809 0.0072566 0.0093985 0.0025641 0.0019295
2002.6 0.015708 0.013468 0.0080805 0.010799 0.002987 0.0020182
2002.9 0.017294 0.014402 0.0089673 0.011573 0.0023942 0.00172
2003.1 0.022951 0.019082 0.010232 0.013007 0.0024814 0.0016085
2003.4 0.03278 0.026663 0.011416 0.013667 0.0020445 0.0014879
2003.6 0.046498 0.036743 0.013052 0.015187 0.0021484 0.0017699
2003.9 0.061566 0.04972 0.013944 0.015968 0.0019622 0.0015295
2004.1 0.077276 0.064433 0.015657 0.017315 0.0016369 0.0013618
2004.4 0.088775 0.075244 0.016513 0.018153 0.0015143 0.0012594
2004.6 0.096256 0.084128 0.017179 0.018575 0.0015361 0.0011799
2004.9 0.10145 0.090873 0.0177 0.018965 0.0015154 0.0011135
2005.1 0.11022 0.10009 0.019193 0.020372 0.00090635 0.00073358
2005.4 0.11778 0.10889 0.020316 0.021323 0.00082584 0.0007783
2005.6 0.1228 0.11294 0.020694 0.021648 0.00085943 0.00074814
2005.9 0.12231 0.11344 0.021764 0.022747 0.00086226 0.0007048
2006.1 0.11913 0.1094 0.021557 0.022621 0.00091987 0.00083367
2006.4 0.11673 0.10423 0.0214 0.022421 0.0012082 0.0010659
2006.6 0.11387 0.097287 0.020704 0.022165 0.0019724 0.0015287
2006.9 0.081637 0.07326 0.019168 0.021107 0.00356 0.0026838
2007.1 0.048143 0.047688 0.015218 0.017499 0.0051278 0.0038368
2007.4 0.029803 0.031423 0.01144 0.014287 0.0073002 0.0051469
2007.6 0.018655 0.021766 0.008212 0.011503 0.0088529 0.0055575
2007.9 0.012147 0.015092 0.0057407 0.0086991 0.01078 0.0060708
2008.1 0.0080066 0.010953 0.0046081 0.0071713 0.012257 0.0062605
2008.4 0.0053729 0.0081808 0.0037785 0.0061942 0.013599 0.0065115
2008.6 0.0039286 0.0062739 0.0031618 0.0054025 0.015628 0.0069022
2008.9 0.0031082 0.0054932 0.0028097 0.0049128 0.016978 0.0069207
2009.1 0.0027559 0.0047225 0.0026395 0.0045564 0.017303 0.0071223
2009.4 0.0031807 0.0053095 0.0026536 0.0047243 0.017015 0.0072395
Return to Figure 17

Figure 18a: Probability of Default Baseline with Probability = 0.0001

Liquid Assets LTV Ratio
0.365 0.85001
0.399 0.85001
0.432 0.85001
0.466 0.85001
0.5 0.85001
0.75 0.85001
0.99998 0.9
0.99998 0.95
1 0.95999
1.4001 1
1.4974 1.05
1.5 1.08
1.7002 1.1
2 1.1084
2.4582 1.2
2.5 1.2007
3 1.2025
4 1.2022
5 1.2012
6 1.2008

Figure 18b: Probability of Default Baseline with Probability = 0.015

Liquid Assets LTV Ratio
0.365 0.85075
0.399 0.85075
0.432 0.85075
0.466 0.85075
0.5 0.85075
0.75 0.85075
0.99625 0.9
0.99625 0.95
0.99637 1
1 1.0387
1.1101 1.05
1.2316 1.1
1.5 1.159
1.7136 1.2
2 1.2779
2.5 1.2994
2.7306 1.35
3 1.4116
4 1.4084
5 1.3714
6 1.366

Figure 18c: Probability of Default Baseline with Probability = 0.025

Liquid Assets LTV Ratio
0.365 0.85125
0.399 0.85125
0.432 0.85125
0.466 0.85125
0.5 0.85125
0.75 0.85125
0.99375 0.9
0.99375 0.95
0.99387 1
0.99853 1.05
1 1.0836
1.0507 1.1
1.5 1.1988
1.5062 1.2
2 1.3344
2.2695 1.35
2.5 1.4188
3 1.4808
4 1.4803
5 1.4721
6 1.4711

Figure 18d: Probability of Default Baseline with Probability = 1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.5 0.9
0.466 0.9
0.432 0.9
0.399 0.9
0.365 0.9

Figure 18e: Probability of Default Recourse with Probability = 0.0001

Liquid Assets LTV Ratio
5.1343 1.75
5 1.7248
4 1.5692
3 1.5038
2.5 1.5009
2.4144 1.5
2 1.3757
1.9881 1.35
1.5 1.2036
1.5 1.2
1.4863 1.1
1 1.0514
0.99998 1.05
0.99998 1
0.99998 0.95
0.99998 0.9
0.75 0.85001
0.5 0.85001
0.466 0.85001
0.432 0.85001
0.399 0.85001
0.365 0.85001

Figure 18f: Probability of Default Recourse with Probability = 0.015

Liquid Assets LTV Ratio
2.796 1.75
2.5 1.6376
2 1.6324
1.7352 1.5
1.5 1.4187
1.4946 1.35
1.4925 1.2
1 1.1011
0.99715 1.1
0.99625 1.05
0.99625 1
0.99625 0.95
0.99625 0.9
0.75 0.85075
0.5 0.85075
0.466 0.85075
0.432 0.85075
0.399 0.85075
0.365 0.85075

Figure 18g: Probability of Default Recourse with Probability = 0.025

Liquid Assets LTV Ratio
2.5542 1.75
2.5 1.7294
2 1.7243
1.5514 1.5
1.5 1.4822
1.4896 1.35
1.4875 1.2
1 1.1021
0.99464 1.1
0.99375 1.05
0.99375 1
0.99375 0.95
0.99375 0.9
0.75 0.85125
0.5 0.85125
0.466 0.85125
0.432 0.85125
0.399 0.85125
0.365 0.85125

Figure 18h: Probability of Default Recourse with Probability = 1

Liquid Assets LTV Ratio
1 1.75
1 1.5
1 1.35
1 1.2
0.75 1.1
0.75 1.05
0.75 1
0.75 0.95
0.75 0.9
0.5 0.9
0.466 0.9
0.432 0.9
0.399 0.9
0.365 0.9
Return to Figure 18

Figure 19: Purchase Policies

Liquid Assets House Size(H'/P) LTV Ratio (M'/H')
0 9 1
1 17 1
2 19.3 1
3 21.9 1
4 21.9 1
6 15 0.8
8 17 0.7
10 19.3 0.7
12 21.9 0.7
14 21.9 0.7
16 24.9 0.7
20 21.9 0.3
24 24.9 0.3
32 28.3 0
Return to Figure 19
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Last update: July 3, 2013