Staff Working Papers

Working Paper 02-1: Patterns of Default and Prepayment for Prime and Nonprime Mortgages

Author(s): ​Anthony Pennington-Cross, Senior Economist

Abstract: Using data from Fannie Mae and Freddie Mac, this paper estimates a competing risks proportional hazard model popularized by McCall (1996). The analysis examines the performance 30-year fixed rate mortgages from February 1995 to the end of 1999 and compares nonprime and prime loan default and prepayment behavior. Nonprime loans are identified by relatively higher mortgage interest rates.