1. Table 1. Variable Definitions and Univariate Descriptive Statistics 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. Variable NamesVariable DefinitionMean 2005Stdev. 2005Mean 2006 Stdev. 2006 Default Rates dfw60pVariable is 60 days or more delinquent, in foreclosure, bankruptcy or REO.0.12660.04440.16920.0420 dfw90pVariable is 90 days or more delinquent, in foreclosure, bankruptcy or REO.0.07680.03440.10530.0335 Loan Characteristics wtd_ltv Loan LTV ratios weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA 84.1602.568584.4732.8700 wtd_fico FICO scores weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA 620.3610.055620.119.7091 proparm Proportion of loans that are ARM weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA 0.73590.07390.68520.0724 propdoc 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 0.29670.10070.31260.1080 propfirst Proportion of loans that are first mortgages weighted by outstanding balance ratio of the mortgage at origination to the total origination balance in the MSA0.94290.01930.89920.0331 propoccup 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 0.92780.03880.92770.0354 propprtype 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 0.87020.18960.87370.1122 proppurpose 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 0.51020.08970.51510.0993 propinitrtInitial interest rate (%)7.85610.35688.81980.3718 Market Characteristics emp_ratio Year-over-year growth in employment for the MSA 0.01730.02780.01650.0210 hpi_ratio*Year-over-year proportional changes in OFHEO housing prices for the MSA0.11240.08000.05010.0482 hpi_ratio_std**Standard deviation of housing price changes by MSA for the past 12 months0.03820.03420.02800.0244 msaempsize Size of the MSA measured by the natural logarithm of total MSA employment 11.5391.701311.5611.6952 * 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.