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Table 1. Variable Definitions and Univariate Descriptive Statistics
Variable Definition
Mean 2005
Stdev. 2005
Mean 2006
Stdev.
2006
dfw60p
Variable is 60 days or more delinquent, in foreclosure, bankruptcy or REO.
0.1266
0.0444
0.1692
0.0420
dfw90p
Variable is 90 days or more delinquent, in foreclosure, bankruptcy or REO.
0.0768
0.0344
0.1053
0.0335
84.160
2.5685
84.473
2.8700
620.36
10.055
620.11
9.7091
0.7359
0.0739
0.6852
0.0724
0.2967
0.1007
0.3126
0.1080
0.9429
0.0193
0.8992
0.0331
0.9278
0.0388
0.9277
0.0354
0.8702
0.1896
0.8737
0.1122
0.5102
0.0897
0.5151
0.0993
Initial interest rate (%)
7.8561
0.3568
8.8198
0.3718
emp_ratio
Year-over-year growth in employment for
the MSA
0.0173
0.0278
0.0165
0.0210
hpi_ratio*
Year-over-year proportional changes in OFHEO housing prices for the MSA
0.1124
0.0800
0.0501
0.0482
hpi_ratio_std**
Standard deviation of housing price changes by MSA for the past 12 months
0.0382
0.0342
0.0280
0.0244
msaempsize
Size of the MSA measured by the natural
logarithm of total MSA employment
11.539
1.7013
11.561
1.6952
Variable Names
Default Rates
Loan Characteristics
wtd_ltv
wtd_fico
proparm
propdoc
propfirst
propoccup
propprtype
proppurpose
propinitrt
Loan LTV ratios weighted by outstanding balance ratio of the mortgage at origination to the
total origination balance in the MSA
FICO scores weighted by outstanding balance ratio of the mortgage at origination to the
total origination balance in the MSA
Proportion of loans that are ARM weighted by outstanding balance ratio of the mortgage at
origination to the total origination balance in the MSA
Proportion of loans that have no documentation weighted by outstanding balance ratio of
the mortgage at origination to the total origination balance
in the MSA
Proportion of loans that are first mortgages weighted by outstanding balance ratio of the
mortgage at origination to the total origination balance in the MSA
Proportion of loans where borrowers declare they will occupy the house weighted by
outstanding balance ratio of the mortgage at origination to the total origination balance in
the MSA
Proportion of loans where the house is a single family detached or townhouse home
weighted by outstanding balance ratio of the mortgage at origination to the total origination
balance in the MSA
Proportion of loans where the loan is to purchase the property weighted by outstanding
balance ratio of the mortgage at origination to the total origination balance in the MSA
Market Characteristics
* Probability of less than zero for hpi_ratio assuming this variable is distributed as a normal pdf:
2005: 0.0799 and 2006: 0.1495. Thus, it is almost twice as likely to have a MSA with a housing price decline in 2006 as in 2005. ** Using these data the risk
neutral probability of default, equation (6), is less than 0.00001 for 2005 and 2006 at the mean values of wtd_ltv, hpi_ratio_std and risk free rates of 4.6 percent
for a 10-year T-Bond rate.
Gerald A. Hanweck et al. Subprime Mortgage Delinquency and Default Rates by Metropolitan Area: An Analysis by
Origination Vintages and Projections for 2007. Journal of Finance and Economics, 2014, Vol. 2, No. 1, 24-35.
doi:10.12691/jfe-2-1-4
© The Author(s) 2014. Published by Science and Education Publishing.