Macro and Housing Market SlidesMacro and Housing Market Slides

ASF PanelJanuary 31, 2006 – Las Vegas, Nevada

Mike FratantoniSenior Director, Single Family Research and Economics

Mortgage Bankers Association

Real Gross Domestic ProductReal Gross Domestic Product

Source: Bureau of Economic Analysis.

Payroll EmploymentPayroll EmploymentMonthly Change

Source: Bureau of Labor Statistics.

Unemployment RateUnemployment Rate

3

4

5

6

7

8

9

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

Percent, Seasonally AdjustedPercent, Seasonally Adjusted

Nov5.0

Source: BLS Household Survey.

Current Account BalanceShare of GDP

Q1.1960 Q1.1970 Q1.1980 Q1.1990 Q1.2000

0

2

-2

-4

-6

-8

Percent

Percent of US Long-term Securities Percent of US Long-term Securities Held InternationallyHeld Internationally

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

55%

Treasury 12.0% 13.5% 22.0% 19.4% 35.2% 40.7% 45.5% 52.0%

Agency 2.8% 2.6% 4.1% 5.4% 7.3% 10.2% 11.3% 10.5%

Corporate Debt 1.0% 2.5% 7.3% 7.8% 12.3% 15.7% 15.7% 17.0%

Equity 4.7% 4.9% 5.9% 5.1% 6.9% 7.8% 8.7% 9.2%

1978 1984 1989 1994 2000 2002 2003 2004

Source: U.S. Department of the Treasury.

Consumer PricesConsumer Prices(PCE Chain Price Index)(PCE Chain Price Index)

Source: Federal Reserve Board.

Federal Funds RateFederal Funds RateFederal Funds [effective] Rate

% p.a.

0504030201Source: Federal Reserve Board

8

6

4

2

0

8

6

4

2

0

Percent

Source: Federal Reserve Board.

Corporate Baa minus 10-Year TreasuryCorporate Baa minus 10-Year Treasury

Source: U.S. Department of the Treasury.

Low Grade Bonds minus 10-yr. TreasuryLow Grade Bonds minus 10-yr. Treasury

Source: U.S. Department of the Treasury.

Yield Spread:Yield Spread:30-Year Fixed Mortgages and 10-Year Treasuries30-Year Fixed Mortgages and 10-Year Treasuries

0

100

200

300

400

500

Source: Federal Reserve Board.

Basis Points

Yield Spread:Yield Spread:30-Year Fixed Mortgages and 10-Year Treasuries30-Year Fixed Mortgages and 10-Year Treasuries

120

145

170

195

220

245

Jan 4 2002 Sep 13 2002 May 23 2003 Jan 30 2004 Oct 8 2004 Jun 17 2005

Source: Federal Reserve Board.

Basis Points

State-level House Price Appreciation State-level House Price Appreciation at State-Level: Q3 2005at State-Level: Q3 2005

Source: Office of Federal Housing Enterprise Oversight (OFHEO).

Employment vs. House Price GrowthEmployment vs. House Price Growth

Population vs. HPGPopulation vs. HPG

Home Purchase Loans for Second Homes and Home Purchase Loans for Second Homes and Investor PropertiesInvestor Properties

2.0 2.3 2.0

3.54.3

5.56.3

5.8 6.0

7.07.8

8.8

6.97.6

6.87.3

11.3

7.5

0

2

4

6

8

10

12

1999 2000 2001 2002 2003 2004

Perc

en

t

Second Homes (LP) Investors (LP) Non-owner-occupied (HMDA)

Source: LoanPerformance and HMDA.

Growth in Condo and Single-Family Growth in Condo and Single-Family Detached Prices at the National LevelDetached Prices at the National Level

Housing Inventory/Sales RatioHousing Inventory/Sales Ratio

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

19

90

19

91

19

92

19

93

19

94

19

95

19

96

19

97

19

98

19

99

20

00

20

01

20

02

20

03

20

04

20

05

Sa

les

pe

r m

on

th

0

1

2

3

4

5

6

7

8

9

10

Mo

nth

s s

up

ply

(S

A)

Sales per month Months supply

Sources: Census Bureau and National Association of Realtors (NAR)

Note: Months it would take to sell all available homes at the current pace of sales.

Annual Mortgage ProductionAnnual Mortgage Production

Billions of Dollars

Source: Mortgage Bankers Association and Department of Housing and Urban Development.

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007

Purchase Refinance

2002-5 Purchase Index: 2002-5 Purchase Index: Four Week Moving Average, S.A.Four Week Moving Average, S.A.

SourceSource: Mortgage Bankers Association.: Mortgage Bankers Association.

300

350

400

450

500

550

Dec Jan

Feb

Mar

Apr

May Ju

l

Aug Sep Oct

Nov

SA

Pu

rch

as

e In

de

x

2005

2004

2003

2002

2002-05 Refinance Index: 2002-05 Refinance Index: Four Week Moving Average, S.A.Four Week Moving Average, S.A.

SourceSource: Mortgage Bankers Association.: Mortgage Bankers Association.

0

2000

4000

6000

8000

10000

Dec Jan Feb Mar Apr May Jul Aug Sep Oct Nov

SA

Pu

rch

as

e In

de

x

2003

2002

2004

2005

Originations by Loan TypeOriginations by Loan Type

Source:Source: MBA’s 2005 Mortgage Originations Survey MBA’s 2005 Mortgage Originations Survey

Originations by amortization typeOriginations by amortization type

Source:Source: MBA’s 2005 Mortgage Originations Survey MBA’s 2005 Mortgage Originations Survey

RMBS Issuance Market ShareRMBS Issuance Market Share

RMBS Issuance Market Share

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

2003Q1

2003Q2

2003Q3

2003Q4

2004Q1

2004Q2

2004Q3

2004Q4

2005Q1

2005Q2

2005Q3

Calculations based on data from Inside MBS&ABS

Ginnie Freddie Fannie Private Label

Source: Calculations based on data from Inside MBS & ABS.

Alt-A Issuance by DocumentationAlt-A Issuance by Documentation

Source: Standard and Poor’s.

Total Delinquencies:1979-PresentTotal Delinquencies:1979-Present

Prime

All Loans

VA

Subprime

FHA

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

19

79

:Q1

19

80

:Q1

19

81

:Q1

19

82

:Q1

19

83

:Q1

19

84

:Q1

19

85

:Q1

19

86

:Q1

19

87

:Q1

19

88

:Q1

19

89

:Q1

19

90

:Q1

19

91

:Q1

19

92

:Q1

19

93

:Q1

19

94

:Q1

19

95

:Q1

19

96

:Q1

19

97

:Q1

19

98

:Q1

19

99

:Q1

20

00

:Q1

20

01

:Q1

20

02

:Q1

20

03

:Q1

20

04

:Q1

20

05

:Q1

Quarter/Year

SA

To

tal P

ast

Du

e

Source: MBA National Delinquency Survey

Delinquency Rate vs. Employment GrowthDelinquency Rate vs. Employment Growth

FRM vs. ARM Total Delinquency Rates: FRM vs. ARM Total Delinquency Rates: Q1 1992-Q2 2004Q1 1992-Q2 2004

Nominal Oil Price and MortgageNominal Oil Price and Mortgage Delinquency Rate Delinquency Rate

0

10

20

30

40

50

60

70

1975 -Q1

1978 -Q1

1981 -Q1

1984 -Q1

1987 -Q1

1990 -Q1

1993 -Q1

1996 -Q1

1999 -Q1

2002 -Q1

2005 -Q1

We

st

Te

xa

s In

term

ed

iate

($

/ba

rre

l)

0

1

2

3

4

5

6

7

To

tal p

as

t d

ue

ra

te

Nominal oil prices Total past due, US, SA

Source: MBA National Delinquency Survey

Homeowning Household Distribution Homeowning Household Distribution by Mortgage Typeby Mortgage Type