Technical Appendix
It is estimated that approximately 75 percent of subprime and 90 percent of alt-A mortgages originated in 2006 were securitized. Thus, the data summarized below represents a sizable portion of, but not all, alt-A and subprime loans. Additionally, for comparability, we restrict our analysis to first lien mortgages. That is, second mortgages and home equity lines of credit are not counted here.

Information on a mortgage loan remains in the data set as long as the security into which it was placed remains active. Data are current as of the first day of the referenced month. We report the most complete data available at the time of release. If more information later becomes available for a particular month, we will release a revised set of tables for that month.

Compared with prime mortgage loans, subprime mortgages are typically of smaller value and made to borrowers with some blemish on their credit history or who may provide only limited documentation of their income or assets. Alt-A mortgages are typically larger value loans made to borrowers who might have past credit problems or who, for a variety of reasons, may not choose to obtain a prime mortgage. The database consists of information on all subprime and alt-A mortgage loans that have been securitized, and the individual loans are categorized as subprime or alt-A based on the grade assigned to the security.

In our spreadsheets, the subprime and alt-A categories are subdivided into the following groups: fixed rate mortgages (FRM), adjustable rate mortgages (ARM) and mortgages of other types. ARM balloon loans are placed in the ARM group.

Several key characteristics of these loans are listed along the left-hand side of the spreadsheets. The raw number of first lien mortgage loans in each category is listed in the row labeled number of observations and is additionally expressed per 100 housing units in the relevant geographic area. The spreadsheets also include relevant percentages and mean values, such as the mean outstanding loan balance, that serve as summary statistics for the data set.

Current status reflects the payment status of the loan as of the month in question. “Current” means that payments are up to date. “60+ days delinquent” means that the loan payment is 60 or more days past due. “Foreclosure” means that the lender has initiated the foreclosure process, while “REO” (real estate owned) indicates that the lender has taken legal title to the property. For brevity, we exclude the percentage of loans that are 30 to 59 days past due. However, this percentage can be calculated by subtracting the other categories from 100 percent.

The index reports the interest rate index to which the adjustable rate mortgages are tied. In the interest rates section, the mean at origination represents the mean original interest rate on each type of loan. The fully indexed rate is the sum of the relevant month’s index value and the margin.

Loan to value (LTV) is the ratio of the loan amount to the value of the property at origination. For properties with multiple liens at origination, we also report combined loan to value (combined LTV), the sum of all known liens against the property in question divided by the property value.

The back-end ratio is reported for those loans with income documentation. This is the ratio of all debt service, including this mortgage, to income reported at the origination date.

FICO is a credit bureau risk score. Typically, a score of 660 or above is required to obtain prime financing (based on conversations with market dealers). We report borrower FICO scores as of origination date.

A prepayment penalty means that the loan included, at origination, a penalty for paying off early. The term is the period in months that the prepayment penalty remains in effect. The data set does not report the level of prepayment penalties.

Single family residence means that the loan was made for a single-unit housing structure, rather than for another type of building, such as a condo, co-op or multi-unit structure.

Not owner occupied means that the unit is a second home, an investment property or is not occupied by the owner for some other reason. This information is as reported by the borrower, as of origination.

Full documentation means that the borrower was required to provide full verification of income and assets in order to receive the mortgage.

Revisions to the Tables
We now report the number of relevant mortgages per 100 housing units, rather than as a percentage of mortgaged homes. We believe this provides a better sense of the scale of the nonprime mortgage issue in each geographic area. For the U.S. 1 percent sample, we report the number per 10,000 housing units so that comparable numbers will be of the same magnitude.

We now assume that all back-end debt-to-income ratios reported as zero are errors in the data and do not use them to calculate this average. Additionally, we now report the percentage of loans with full documentation status.

Tables posted for months prior to March contained an error in the calculation of percentage in REO and interest rate at origination for ARMs. This has been corrected in the revised tables.

We calculate the fully-indexed interest rate using the previous month's data.