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Chart 12: 90-119 Day Dlq for FRE
90-119 D Dlq in # of loan terms
30Ys
5 5.5 6 6.5
Feb Mar Diff Feb Mar Diff Feb Mar Diff Feb Mar Diff
2009 0.04% 0.04% 0.00% 0.11% 0.13% 0.02% 0.21% 0.26% 0.05% N/A 0.00%
2008 0.38% 0.33% -0.05% 0.63% 0.55% -0.08% 0.89% 0.80% -0.09% 1.30% 1.14% -0.16%
2007 0.73% 0.71% -0.01% 0.94% 0.82% -0.11% 1.30% 1.13% -0.17% 1.89% 1.58% -0.31%
2006 0.74% 0.61% -0.13% 0.91% 0.79% -0.12% 1.05% 0.94% -0.10% 1.36% 1.19% -0.17%
2005 0.60% 0.50% -0.10% 0.76% 0.66% -0.10% 1.08% 0.95% -0.13% 1.50% 1.39% -0.12%
2004 and Prior 0.30% 0.24% -0.06% 0.43% 0.35% -0.08% 0.51% 0.43% -0.08% 0.52% 0.43% -0.09%
Source: Freddie Mac
Chart 13: 120+ Day Dlq for FRE
120+ D Dlq in # of loan terms
5 5.5 6 6.5
30Ys Feb Mar Diff Feb Mar Diff Feb Mar Diff Feb Mar Diff
2009 0.02% 0.02% 0.00% 0.08% 0.06% -0.02% 0.15% 0.13% -0.02% 0.43% 0.00% -0.43%
2008 0.24% 0.22% -0.02% 0.41% 0.36% -0.05% 0.61% 0.51% -0.11% 0.98% 0.76% -0.22%
2007 0.46% 0.38% -0.09% 0.65% 0.54% -0.11% 0.91% 0.74% -0.17% 1.38% 1.06% -0.32%
2006 0.53% 0.43% -0.10% 0.65% 0.53% -0.11% 0.77% 0.61% -0.16% 0.97% 0.81% -0.16%
2005 0.39% 0.33% -0.07% 0.49% 0.44% -0.05% 0.77% 0.58% -0.19% 0.96% 0.77% -0.19%
2004 and Prior 0.18% 0.15% -0.03% 0.26% 0.22% -0.05% 0.29% 0.25% -0.04% 0.29% 0.25% -0.04%
Source: Freddie Mac
Anish Lohokare/Timi Ajibola 7 May 2010
Market Mover, Non-Objective Research Section
39
www.GlobalMarkets.bnpparibas.com