NC Mortgage TrendsMatthew Martin, Ph.D.

Regional Economist

Federal Reserve Bank of Richmond

Confidential Information 2

The National Picture: 2007 Foreclosures

Source: Realtytrac

Confidential Information 3

National Mortgage Delinquency Rates

Seriously Delinquent Mortgages

0

5

10

15

20

25

1998:Q1 2000:Q1 2002:Q1 2004:Q1 2006:Q1 2008:Q1

0

5

10

15

20

25

Subprime Fixed Rate Mortgage

Subprime Adjustable Rate Mortgage

Prime Fixed Rate Mortgage

Prime Adjustable Rate Mortgage

Percent, NSA Percent, NSA

Source: Mortgage Bankers Association/Haver Analytics

Note: Serious delinquencies are loans 90+ days past due plus those in the process of foreclosure.

The National Picture: Delinquencies

Confidential Information 4

The National Picture: 2/28 Default Rates

Source: Federal Reserve Board calculations using Loan Performance data

Confidential Information 5

The National Picture: Cumulative Defaults

Cumulative Default Rates by Vintage

0

0.02

0.04

0.06

0.08

0.1

0.12

0.14

0.16

0.18

10 20 30 40 50 60 70

Time in months

2007

20062005

2004

2003

2002

2001

Source: Federal Reserve Board calculations using Loan Performance data

Confidential Information 6

Percent Full Documentation ABS 2_28

0

20

40

60

80

100

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Combined LTV ABS 2_28

70

75

80

85

90

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Source: Federal Reserve Board calculations using Loan Performance data

Factor #1: Underwriting

Note: Fixed rate subprimes had better underwriting. (Not shown.)

Important because it means that ARMs not inherently riskier.

Confidential Information 7

Factor #2: House Prices

-15

-10

-5

0

5

10

15

20

25

1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008

-15

-10

-5

0

5

10

15

20

25

OFHEO purchase-onlyS&P/Case-Shiller National S&P/Case-Shiller 10-city

Year-to-year percent change, NSA

Source: S&P/Case-Shiller, OFHEO, Haver Analytics

Year-to-year percent change, NSA

Confidential Information 8

7.431.72West Virginia

13.075.59National

8.724.08Virginia

11.083.75South Carolina

7.433.34North Carolina

8.556.08Maryland

10.676.09Washington, DC

% in Foreclosure

or REO

% of Owner Occupied

Houses that have

Subprime loans

7.431.72West Virginia

13.075.59National

8.724.08Virginia

11.083.75South Carolina

7.433.34North Carolina

8.556.08Maryland

10.676.09Washington, DC

% in Foreclosure

or REO

% of Owner Occupied

Houses that have

Subprime loans

Fifth District Subprime Summary

Confidential Information 9

North Carolina Delinquencies

Confidential Information 10

North Carolina Foreclosures

Confidential Information 11

North Carolina Foreclosures

Confidential Information 12

Subprime Mortgages by MSA

Confidential Information 13

North Carolina: Number of Subprime Mortgages

Confidential Information 14

North Carolina: Percentage of Owner-Occupied

Homes with Subprime Mortgages

Confidential Information 15

North Carolina: % of Owner-Occupied Homes with

Subprime Mortgages 90+ days Delinquent

Confidential Information 16

North Carolina: % of Owner-Occupied Homes with

Subprime Mortgages in Foreclosure or REO

Confidential Information 17

North Carolina House Price Growth

Confidential Information 18

North Carolina House Price Growth

Confidential Information 19

North Carolina: Residential Permits

North Carolina

-40.0

-20.0

0.0

20.0

40.0

60.0

2002 2003 2004 2005 2006 2007 2008

YoY %

Chg

U.S. North Carolina

Confidential Information 20

Confidential Information 21

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Confidential Information 24

Charlotte House Price Growth

Confidential Information 25

Charlotte House Price Growth

Charlotte, NC

0.0

5.0

10.0

15.0

20.0

1999 2000 2001 2002 2003 2004 2005 2006 2007

YoY %

Chg

U.S. Charlotte, NC

Confidential Information 26

Charlotte Residential Permits

Charlotte, NC

-70.0-60.0-50.0-40.0-30.0-20.0-10.0

0.010.020.030.040.0

2002 2003 2004 2005 2006 2007 2008

YoY %

Chg

U.S. Charlotte, NC

Confidential Information 27

North Carolina Payroll Employment Growth

North Carolina

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

2002 2003 2004 2005 2006 2007 2008

YoY %

Chg

U.S. North Carolina

Confidential Information 28

North Carolina Unemployment Rate

North Carolina

2.0

3.0

4.0

5.0

6.0

7.0

8.0

2002 2003 2004 2005 2006 2007 2008

Percent

U.S. North Carolina

Addendum: Alt-A Trends

Confidential Information 30

2.620.33West Virginia

4.202.37National

4.842.45Virginia

2.820.97South Carolina

1.750.95North Carolina

2.833.07Maryland

2.325.50Washington, DC

% in Foreclosure

or REO

% of Owner Occupied

Houses that have

Alt-A loans

2.620.33West Virginia

4.202.37National

4.842.45Virginia

2.820.97South Carolina

1.750.95North Carolina

2.833.07Maryland

2.325.50Washington, DC

% in Foreclosure

or REO

% of Owner Occupied

Houses that have

Alt-A loans

Fifth District Alt-A Summary

Confidential Information 31

Alt-A Mortgages by MSA

Confidential Information 32

North Carolina: Number of Alt-A Mortgages

Confidential Information 33

North Carolina: % of Alt-A Mortgages That Are

Non-Owner Occupied

Confidential Information 34

North Carolina: Percentage of Owner-Occupied

Homes with Alt-A Mortgages

Confidential Information 35

North Carolina: % of Owner-Occupied Homes with

Alt-A Mortgages 90+ days Delinquent

Confidential Information 36

North Carolina: % of Owner-Occupied Homes with

Alt-A Mortgages in Foreclosure or REO