Description
FHFA Mortgage Analytics Platform
12. Appendix D: Non-Performing Loan Equation
Parameters
Non-Performing Loan Equations
Multinonial Logit Lifetime Loan Resolutions with Foreclosure Complete as the Control
Variable
Constant
Credit Score Spline 1
Credit Score Spline 2
Credit Score Spline 3
Credit Score Spline 4
Credit Score Spline 5
Non Owner Occuppied
Condominium Structure
Manufactured Housing
Planned Urban Dev.
Judicial State
MI Coverage % Spline 1
MI Coverage % Spline 2
MTM LTV @ F90 Spline 1
MTM LTV @ F90 Spline 2
MTM LTV @ F90 Spline 3
MTM LTV @ F90 Spline 4
Unemployment Spline 1
Unemployment Spline 2
Unemployment Spline 3
Unemployment Spline 4
Orig. UPB Spline 1
Orig. UPB Spline 2
Orig.
UPB Spline 3 Orig. UPB Spline 4 Spline Interval Prepayment min max Coef. Std.
Err. z 6.8012 0.0817 83.24 0 0.623 -3.3696 0.1256 -26.83 0.62 0.661 -8.5704 0.2718 -31.53 0.66 0.703 -2.9533 0.2735 -10.8 0.7 0.75 0.6599 0.2999 2.2 0.75 0.85 5.7309 0.4614 12.42 -0.3727 0.0097 -38.48 0.0951 0.0102 9.32 -0.4123 0.0228 -18.12 -0.0620 0.0093 -6.64 0.3835 0.0056 68.62 0 0.25 1.0543 0.0309 34.1 0.25 0.7 -1.8812 0.1211 -15.54 0 0.68 -6.0206 0.0418 -143.9 0.68 0.82 -5.8659 0.0687 -85.36 0.82 0.99 -5.7765 0.0747 -77.31 0.99 1.2 -0.5050 0.0581 -8.69 0 5.5 -0.1839 0.0047 -38.87 5.5 7.8 -0.2614 0.0048 -54.54 7.8 10.3 -0.1101 0.0055 -19.87 10.3 14 0.0459 0.0075 6.13 0 94 0.0083 0.0002 40.84 94 150 0.0029 0.0002 15.77 150 232 -0.0031 0.0002 -20.72 232 360 0.0005 0.0001 4.75 Foreclosure Alternative Coef. Std. Err.
z -7.1386 0.1800 -39.7 3.1252 0.2491 12.55 0.9142 0.4070 2.25 3.0389 0.3247 9.36 4.6398 0.2941 15.77 5.2081 0.4209 12.37 -0.1870 0.0097 -19.4 0.1269 0.0098 12.9 -0.5082 0.0409 -12.4 0.1629 0.0089 18.34 0.5306 0.0074 72.1 -2.3442 0.0398 -58.8 0.0924 0.1711 0.54 2.2740 0.1348 16.87 3.0179 0.1201 25.13 0.9289 0.0715 12.99 1.5465 0.0284 54.47 -0.0150 0.0103 -1.46 0.1337 0.0067 19.87 0.1713 0.0050 34.49 0.1107 0.0047 23.32 0.0094 0.0005 19.81 0.0090 0.0003 31.81 0.0044 0.0002 29.05 0.0024 0.0001 29.56 Reperformance Coef. Std. Err. z 1.9469 0.1290 15.1 0.7523 0.2010 3.74 -6.7018 0.3919 -17.1 -3.6828 0.3791 -9.71 -1.0831 0.4032 -2.69 1.8918 0.6039 3.13 -0.4872 0.0139 -34.97 -0.1908 0.0150 -12.72 -0.0523 0.0296 -1.77 -0.0823 0.0133 -6.2 0.4851 0.0080 61 0.1733 0.0466 3.72 -0.5262 0.1933 -2.72 -5.5332 0.0503 -110.1 -5.5557 0.0996 -55.76 -4.0467 0.1025 -39.47 -1.7260 0.0686 -25.16 -0.1296 0.0081 -16.01 0.2916 0.0068 42.77 0.1439 0.0062 23.17 0.1886 0.0066 28.44 0.0067 0.0003 23.02 0.0003 0.0003 1.2 -0.0013 0.0002 -6.12 0.0003 0.0001 2.08 Page 65 .
UPB Spline 3 Orig. UPB Spline 4 Spline Interval Prepayment min max Coef. Std.
Err. z 6.8012 0.0817 83.24 0 0.623 -3.3696 0.1256 -26.83 0.62 0.661 -8.5704 0.2718 -31.53 0.66 0.703 -2.9533 0.2735 -10.8 0.7 0.75 0.6599 0.2999 2.2 0.75 0.85 5.7309 0.4614 12.42 -0.3727 0.0097 -38.48 0.0951 0.0102 9.32 -0.4123 0.0228 -18.12 -0.0620 0.0093 -6.64 0.3835 0.0056 68.62 0 0.25 1.0543 0.0309 34.1 0.25 0.7 -1.8812 0.1211 -15.54 0 0.68 -6.0206 0.0418 -143.9 0.68 0.82 -5.8659 0.0687 -85.36 0.82 0.99 -5.7765 0.0747 -77.31 0.99 1.2 -0.5050 0.0581 -8.69 0 5.5 -0.1839 0.0047 -38.87 5.5 7.8 -0.2614 0.0048 -54.54 7.8 10.3 -0.1101 0.0055 -19.87 10.3 14 0.0459 0.0075 6.13 0 94 0.0083 0.0002 40.84 94 150 0.0029 0.0002 15.77 150 232 -0.0031 0.0002 -20.72 232 360 0.0005 0.0001 4.75 Foreclosure Alternative Coef. Std. Err.
z -7.1386 0.1800 -39.7 3.1252 0.2491 12.55 0.9142 0.4070 2.25 3.0389 0.3247 9.36 4.6398 0.2941 15.77 5.2081 0.4209 12.37 -0.1870 0.0097 -19.4 0.1269 0.0098 12.9 -0.5082 0.0409 -12.4 0.1629 0.0089 18.34 0.5306 0.0074 72.1 -2.3442 0.0398 -58.8 0.0924 0.1711 0.54 2.2740 0.1348 16.87 3.0179 0.1201 25.13 0.9289 0.0715 12.99 1.5465 0.0284 54.47 -0.0150 0.0103 -1.46 0.1337 0.0067 19.87 0.1713 0.0050 34.49 0.1107 0.0047 23.32 0.0094 0.0005 19.81 0.0090 0.0003 31.81 0.0044 0.0002 29.05 0.0024 0.0001 29.56 Reperformance Coef. Std. Err. z 1.9469 0.1290 15.1 0.7523 0.2010 3.74 -6.7018 0.3919 -17.1 -3.6828 0.3791 -9.71 -1.0831 0.4032 -2.69 1.8918 0.6039 3.13 -0.4872 0.0139 -34.97 -0.1908 0.0150 -12.72 -0.0523 0.0296 -1.77 -0.0823 0.0133 -6.2 0.4851 0.0080 61 0.1733 0.0466 3.72 -0.5262 0.1933 -2.72 -5.5332 0.0503 -110.1 -5.5557 0.0996 -55.76 -4.0467 0.1025 -39.47 -1.7260 0.0686 -25.16 -0.1296 0.0081 -16.01 0.2916 0.0068 42.77 0.1439 0.0062 23.17 0.1886 0.0066 28.44 0.0067 0.0003 23.02 0.0003 0.0003 1.2 -0.0013 0.0002 -6.12 0.0003 0.0001 2.08 Page 65 .
