HOUSING FINANCE POLICY CENTER
HOUSING FINANCE
AT A GLANCE
A MONTHLY CHARTBOOK
November 2014
1
ABOUT THE CHARTBOOK
HOUSING FINANCE POLICY CENTER STAFF
The Housing Finance Policy Center’s (HFPC) mission is to
produce analyses and ideas that promote sound public
policy, efficient markets, and access to economic
opportunity in the area of housing finance. At A Glance, a
monthly chartbook and data source for policymakers,
academics, journalists, and others interested in the
government’s role in mortgage markets, is at the heart of
this mission.
Laurie Goodman
Center Director
We welcome feedback from our readers on how we can
make At A Glance a more useful publication. Please email
any comments or questions to ataglance@urban.org.
Ellen Seidman
Senior Fellow
Jim Parrott
Senior Fellow
Sheryl Pardo
Associate Director of Communications
Jun Zhu
Senior Financial Methodologist
Wei Li
Senior Research Associate
Bing Bai
Research Associate I
Taz George
Research Assistant
Maia Woluchem
Research Assistant
Alison Rincon
Special Assistant to the Director
INTRODUCTION
State of the credit box
With a sweeping midterm election victory for the GOP, the
path to legislative GSE reform got considerably narrower.
Thus, the focus for reform turns to the FHFA and FHA,
where we expect significant movement in the coming
months. Over the past six months, the FHFA has asked for
input on a variety of issues, and we have commented on
them all: guarantee fees and loan level pricing adjustments,
Private Mortgage Insurance Eligibility requirements
(PMIERs), the single security, and affordable housing goals.
The FHFA has made a concerted effort to open the credit
box, strengthening the provision by which lenders are
relieved from much of their put-back risk and raising the
maximum loan-to-value ratio for some GSE loans from 95
to 97. Both will help expand access without unduly
increasing GSE risk. FHFA Director Mel Watt has
indicated in recent speeches that work is underway to
further clarify reps and warrants, with more guidance on
the sunset provision, an independent resolution process
for put-back disputes, and remedies short of a put-back for
lesser mistakes.
As our new credit availability index indicates, these actions
to open the credit box are very important. Our index shows
that post-crisis loans have half the credit risk of loans made
in the 2000-2003 period. The GSE channel is particularly
tight, with about a third of the risk of the 2000-2003
period. This is corroborated by the data in our special
feature, which shows that only 8.3 percent of recent
Fannie loans (page 34) and 7.4 percent of recent Freddie
loans (page 36) have FICOs under 700, compared to 35-37
percent in 1999-2004.
On the FHA side, there have also been initiatives to open
the credit box, as outlined in the Blueprint for Access
program. Since then, the FHA has released the initial
critical draft chapters of their guidebook and a draft of the
taxonomy of defects. Many hope to see lower mortgage
insurance premiums to broaden access and lessen the risk
of adverse selection as better credit flees to the less costly
GSEs. Given that their actuary now projects that the FHA’s
Mutual Mortgage Insurance Fund will not reach the
statutory reserve requirements until 2016, however, such
a move is far from certain.
Risk Sharing Developments
The GSEs continue to broaden their risk sharing activities,
now turning to front-end risk sharing deals. Prior to this
month, they had focused exclusively, and with much
success, on laying off risk already on their books, known as
back-end risk sharing. Fannie has laid off risk on 7.5
percent of their book of business and Freddie on 11.9
percent of theirs (page 21), both far exceeding the
requirements of the Conservatorship Scorecard. The GSEs
started including mortgages over 80 LTV in these
transactions in May.
This month saw a very meaningful step in bringing private
capital back into the mortgage market: the first front-end
risk sharing deal, JPMorgan’s Madison Avenue Securities
2014-1 (page 21). JP Morgan warehoused loans made by
JP Morgan Chase bank, then sold them in bulk into a newly
issued Fannie Mae MBS, presumably for a very meaningful
reduction in guarantee fees. JP Morgan retained the first
4.75 percent subordinated interest, and a 26.88 bps
servicing strip that absorbs losses before the subordinated
interest. The risk on the 4.75 percent subordinated
interest was sold in the capital markets in the form of
credit linked notes. Redwood Trust is also reported to be
contemplating a front-end risk sharing transaction.
Front-end risk sharing bears important similarities to the
private capital/catastrophic insurance structure
contemplated by many GSE reform proposals. It is thus an
administrative opportunity to experiment deliberately
with a truly reduced government footprint in the
conventional mortgage market.
INSIDE THIS ISSUE
•
Securitization of re-performing and non-performing
loans has taken off, accounting for the bulk of new
non-agency securitization (page 10)
•
GSEs, MBA expect refi rate to continue its decline;
housing starts and home sales to pick up in 2015
(page 12)
•
Less than 5 percent of loans are seriously
delinquent or in foreclosure, lowest since Q2 2008
(page 18)
•
GSE portfolio wind-downs have met goals, and are
beginning to slow (page 19)
•
Over 7.2 million modifications and 7.3 million
liquidations since 2007 Q3, according to Hope Now
(page 28)
•
QE3 has ended and the rate of Fed absorption of
agency issuance has fallen considerably (page 31)
•
New private mortgage insurance activity grew by
$10 billion over previous quarter (page 32)
CONTENTS
Overview
Market Size Overview
Value of the US Residential Housing Market
Size of the US Residential Mortgage Market
Private Label Securities
Agency Mortgage-Backed Securities
6
6
7
7
Origination Volume and Composition
First Lien Origination Volume & Share
8
Mortgage Origination Product Type
Composition (All Originations & Purchase Originations Only)
9
Securitization Volume and Composition
Agency/Non-Agency Share of Residential MBS Issuance
Non-Agency MBS Issuance
Non-Agency Securitization 2.0
10
10
10
Agency Activity: Volumes and Purchase/Refi Composition
Agency Gross Issuance
Percent Refi at Issuance
11
11
State of the Market
Mortgage Origination Projections
Total Originations and Refinance Shares
Housing Starts and Home Sales
12
12
Originator Profitability
Originator Profitability and Unmeasured Costs (OPUC)
13
Credit Availability for Purchase Loans
Borrower FICO Score at Origination Month
Combined LTV at Origination Month
Origination FICO and LTV by MSA
14
14
15
Housing Affordability
National Housing Affordability Over Time
Affordability Adjusted for MSA-Level DTI
16
16
Home Price Indices
National Year-Over-Year HPI Growth
Changes in CoreLogic HPI for Top MSAs
17
17
Negative Equity & Serious Delinquency
Negative Equity Share
Loans in Serious Delinquency
18
18
GSEs under Conservatorship
GSE Portfolio Wind-Down
Fannie Mae Mortgage-Related Investment Portfolio
Freddie Mac Mortgage-Related Investment Portfolio
19
19
CONTENTS
Effective Guarantee Fees & GSE Risk-Sharing Transactions
Effective Guarantee Fees
Fannie Mae Upfront Loan-Level Price Adjustment
GSE Risk-Sharing Transactions
20
20
21
Serious Delinquency Rates
Serious Delinquency Rates – Fannie Mae & Freddie Mac
Serious Delinquency Rates – Single-Family Loans & Multifamily GSE Loans
22
23
Refinance Activity
Total HARP Refinance Volume
HARP Refinances
24
24
GSE Loans: Potential Refinances
Loans Meeting HARP Pay History Requirements
25
Modification Activity
HAMP Activity
New HAMP Modifications
Cumulative HAMP Modifications
26
26
Modification by Type of Action and Bearer of Risk
Changes in Loan Terms for Modifications
Type of Modification Action by Investor and Product Type
27
27
Modifications and Liquidations
Loan Modifications and Liquidations (By Year & Cumulative)
28
Modification Redefault Rates by Bearer of the Risk
Redefault Rate after Modification (12 Months & 24 Months)
29
Agency Issuance
Agency Gross and Net Issuance
Agency Gross Issuance
Agency Net Issuance
30
30
Agency Gross Issuance & Fed Purchases
Monthly Gross Issuance
Fed Absorption of Agency Gross Issuance
31
31
Mortgage Insurance Activity
MI Activity & Market Share
FHA MI Premiums for Typical Purchase Loan
Initial Monthly Payment Comparison: FHA vs. PMI
32
33
33
Special Feature: Loan Level GSE Credit Data
Quarterly Feature: Loan Level Credit Data from the GSEs
Fannie Mae Balance & Default Rate
Freddie Mac Balance & Default Rate
Fannie Mae & Freddie Mac Cumulative Default Rate by Vintage Year
Fannie Mae & Freddie Mac Cumulative Repurchase Rate by Vintage Year
34-35
36-37
38
39
Related HFPC Work
Publications and Events
40-41
OVERVIEW
MARKET SIZE OVERVIEW
Fed Flow of Funds data from 2014 Q2 indicate a small increase in the total value of the US residential 1-4 unit
housing market to $21.3 trillion from $20.6 trillion the previous quarter. Household equity, which surged to $11.4
trillion from just under $6.6 trillion in 2011, drove this increase. Meanwhile, with credit standards tight and an
elevated cash sales share, mortgage debt has gradually declined since 2007 and now stands at $9.86 trillion, a
decrease of $39 billion from the previous quarter. Agency MBS make up 56.5 percent of the total mortgage market,
private-label securities make up 7.5 percent, and unsecuritized first liens at the GSEs, commercial banks, savings
institutions, and credit unions make up 29.0 percent. Second liens comprise the remaining 7.0 percent of the total.
Value of the US Housing Market
Debt, household mortgages
($ trillions)
Household equity
Total value
25
21.3
20
15
11.4
10
9.9
5
0
1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Q2
Sources: Federal Reserve Flow of Funds and Urban Institute.
Size of the US Residential Mortgage Market
Agency MBS
Unsecuritized first liens
Private Label Securities
Second Liens
($ trillions)
6
5.6
5
4
Debt,
household
mortgages,
$9,833
3
2.9
2
1
0
2000
0.7
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, eMBS and Urban Institute.
Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions.
2013
2014
Q2
6
OVERVIEW
MARKET SIZE OVERVIEW
As of September 2014, debt in the private-label securitization market totaled $729 billion and was split among
prime (19.8 percent), Alt-A (44.0 percent), and subprime (36.2 percent) loans. In October 2014, outstanding
securities in the agency market totaled $5.62 trillion and were 46.5 percent Fannie Mae, 27.3 percent Freddie Mac,
and 26.2 percent Ginnie Mae.
Private-Label Securities by Product Type
Alt-A
($ trillions)
Subprime
Prime
1
0.8
0.6
0.4
0.32
0.26
0.2
0.14
0
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Sources: CoreLogic and Urban Institute.
2014
September2014
Agency Mortgage-Backed Securities
Fannie Mae
Freddie Mac
Ginnie Mae
Total
($ trillions)
6
$5.62
5
4
3
$2.61
2
$1.53
$1.47
1
0
2000
2001
2002
2003
Sources: eMBS and Urban Institute.
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
October 2014
7
OVERVIEW
ORIGINATION VOLUME
AND COMPOSITION
First Lien Origination Volume and Share
First lien originations in the first half of 2014 began far below their 2013 pace, totaling only $513 billion. The share of
bank portfolio and FHA/VA originations rose to 26 percent and 22 percent each, while the GSE share dropped to 50
percent from 61 percent in 2013, reflecting the curtailment of refinancing activity. The private label origination share
remains less than one percent.
($ trillions)
GSE securitization
FHA/VA securitization
PLS securitization
Bank portfolio
$4.0
$3.5
$3.0
$2.5
$2.0
$1.5
$1.0
$0.14
$0.003
$0.12
$0.26
$0.5
$0.0
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Q1-2
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Q1-2
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Sources: Inside Mortgage Finance and Urban Institute.
8
OVERVIEW
MORTGAGE
ORIGINATION
MORTGAGE ORIGINATION
PRODUCT
PRODUCT TYPE
TYPE
Adjustable-rate mortgages (ARMs) accounted for as much as 29 percent of all new originations during the peak of the
recent housing bubble in 2005 (top chart). They fell to a historic low of 1 percent in 2009, and slowly grew to 6.3 percent
of total originations in August 2014, 35 percent higher than one year earlier. Fifteen-year FRMs, predominantly a
refinance product, comprise 15 percent of new originations. If we exclude refinances (bottom chart), the share of 30year FRMs in August 2014 stood at 85.7 percent, 15-year FRMs at 6.3 percent, and ARMs at 6.7 percent.
All Originations
Fixed-rate 30-year mortgage
Fixed-rate 15-year mortgage
Adjustable-rate mortgage
Other
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
August 2014
Sources: CoreLogic Prime Servicing and Urban Institute.
Purchase Loans Only
Fixed-rate 30-year mortgage
Fixed-rate 15-year mortgage
Adjustable-rate mortgage
Other
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
2000
2001
2002
2003
2004
2005
Sources: CoreLogic Prime Servicing and Urban Institute.
2006
2007
2008
2009
2010
2011
2012
2013
2014
August 2014
9
OVERVIEW
SECURITIZATION VOLUME AND
COMPOSITION
Agency/Non-Agency Share of Residential MBS Issuance
100%
90%
97%
Agency share
80%
70%
60%
50%
40%
Non-Agency share
30%
20%
10%
3%
Sources: Inside Mortgage Finance and Urban Institute.
Note: Year-to-date figure as of October 2014.
Non-Agency MBS Issuance
($ billions)
Non-Agency Securitization 2.0
($ billions)
Re-REMICs and other
$1,200
$6
Scratch and dent
Alt A
$1,000
2014 YTD
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
0%
1995
Non-agency single-family MBS
issuance has hovered at or below 3
percent of total issuance since
early 2011, and this share is even
lower if re-REMICs are excluded.
While total non-agency issuance is
similar in the first 10 months of
2014 ($23.9 billion) to the first 10
months of 2013 ($24.2 billion), the
composition is different. In 2014,
the $14.2 billion of scratch and
dent deals, comprised primarily of
non-performing and re-performing
loans, has far surpassed the
volume of new prime deals, which
total only $5.8 billion. For the same
period in 2013, the split was nearly
even: $12.3 billion in prime deals
versus $12.2 billion in scratch and
dent.
$5
Subprime
$800
$4
Prime
$3,370
$14,240
$374
$0
$5,804
$400
$200
1.518
$3
$600
$2
$1
Sources: Inside Mortgage Finance and Urban Institute.
Note: Monthly figures equal total non-agency MBS issuance
minus Re-REMIC issuance.
10
Oct-14
Aug-14
Jun-14
Apr-14
Feb-14
Oct-13
Dec-13
Aug-13
Jun-13
Apr-13
Feb-13
Dec-12
Oct-12
Aug-12
Jun-12
Apr-12
2014 Q1-3
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
Sources: Inside Mortgage Finance and Urban Institute.
Feb-12
$0
$-
OVERVIEW
AGENCY ACTIVITY:
VOLUMES AND PURCHASE/
REFI COMPOSITION
Agency issuance continues declining, totaling $774.1 billion in the first ten months of 2014 compared to $1.407
trillion for the same period a year ago. Annualizing production year to date, 2014 is on pace for a total production
of $928.8 billion, much less than the $1.57 trillion in 2013. In October 2014, refinances were 46 percent of the
GSEs’ business, down from the first quarter’s averages of 52 and 55 percent, respectively. The Ginnie Mae market
has always been more purchase-driven, with refinance volume of 25 percent.
Agency Gross Issuance
Fannie Mae
Freddie Mac
Ginnie Mae
($ trillions)
$2.5
$2.0
$1.5
$1.0
$0.29
$0.5
$0.26
$0.38
$0.0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Sources: eMBS and Urban Institute.
Note: Year to date as of October 2014.
2014
Ann.
Percent Refi at Issuance
Fannie Mae
Freddie Mac
Ginnie Mae
Mortgage rate
Percent refi
100%
Mortgage rate
10%
90%
9%
80%
8%
70%
7%
60%
6%
50%
5%
40%
4%
30%
3%
20%
2%
10%
1%
0%
2004
0%
2005
2006
Sources: eMBS and Urban Institute.
Note: Based on at-issuance balance.
2007
2008
2009
2010
2011
2012
2013
2014
October 2014
11
STATE OF THE MARKET
MORTGAGE ORIGINATION
PROJECTIONS
The sharp drop in mortgage originations in late 2013 and early 2014, combined with a gradual rise in interest rates
and the Fed tapering, has led to lower origination projections for the next two years from the GSEs and MBA. The
GSE projections suggest a decline in the refinance share occurring over the next 4 quarters to around 22 percent,
while the MBA foresees a less pronounced drop to around 35 percent. Home sales are expected to be slightly
softer in 2014 than in 2013, while housing starts are expected to pick up steam. Both housing starts and home sales
are expected to strengthen considerably in 2015, though originations may taper substantially towards the second
half of the year, according to the GSE projections in particular.
Total Originations and Refinance Shares
Period
2014 Q1
2014 Q2
2014 Q3
2014 Q4
2015 Q1
2015 Q2
2015 Q3
2015 Q4
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
Originations ($ billions)
Total, FNMA
Total, FHLMC
Total, MBA
estimate
estimate
estimate
250
250
247
320
320
297
350
320
300
280
260
262
280
265
270
350
340
328
270
260
318
200
185
272
1496
1492
1436
2154
2122
2044
1866
1925
1845
1098
1200
1106
1013
1100
1188
FNMA
estimate
49
38
36
33
37
27
26
30
66
72
60
39
30
Refi Share (%)
FHLMC
estimate
48
41
45
40
35
22
16
15
64
70
59
43
23
MBA
estimate
50
40
38
44
47
38
34
36
65
71
60
43
38
Sources: Mortgage Bankers Association, Fannie Mae, Freddie Mac and Urban Institute.
Note: Shaded boxes indicate forecasted figures. All figures are estimates for total single-family market; column labels indicate source of
estimate. Forecasts include interest rates as well. The yearly averages for 2011, 2012, and 2013 were 4.5%, 3.7%, and 4.0%, respectively. The
three sources project an annual average rate of 4.3% for 2014. For 2015, their projections ranged from 4.5% to 5%.
Housing Starts and Homes Sales
Housing Starts, thousands
Home Sales. thousands
Year
Total, FNMA
estimate
Total,
FHLMC
estimate
Total,
MBA
estimate
Total, FNMA
estimate
Total,
FHLMC
estimate
Total,
MBA
estimate
Existing,
MBA
estimate
New,
MBA
Estimate
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
609
781
925
997
1170
610
780
920
1000
1200
612
783
930
998
1108
4566
5028
5519
5371
5661
4570
5030
5510
5310
5600
4501
5030
5505
5359
5666
4200
4661
5073
4915
5163
301
369
432
444
503
Sources: Mortgage Bankers Association, Fannie Mae, Freddie Mac and Urban Institute.
Note: Shaded boxes indicate forecasted figures. All figures are estimates for total single-family market. Column labels indicate source of estimate.
12
STATE OF THE MARKET
ORIGINATOR PROFITABILITY
When originator profitability is high, mortgage rates tend to be less responsive to the general level of interest
rates, as originators are capacity-constrained. When originator profitability is low, mortgage rates are far more
responsive to the general level of interest rates. As interest rates have risen from the lows in 2012, and fewer
borrowers find it economical to refinance, originator profitability is lower. Originator profitability is often
measured as the spread between the rate the borrower pays for the mortgage (the primary rate) and the yield on
the underlying mortgage-backed security in the secondary market (the secondary rate). However, with guarantee
fees up dramatically from 2011 levels, the so-called primary-secondary spread has become a very imperfect
measure to compare profitability across time.
The measure used here, Originator Profitability and Unmeasured Costs (OPUC), is formulated and calculated by
the Federal Reserve Bank of New York. It looks at the price at which the originator actually sells the mortgage into
the secondary market and adds the value of retained servicing (both base and excess servicing, net of g-fees) as
well as points paid by the borrower.
Originator Profitability and Unmeasured Costs
Dollars per $100 loan
6
5
4
3
$2.29
2
1
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
October 2014
Sources: Federal Reserve Bank of New York, updated monthly and available at this link:
http://www.ny.frb.org/research/epr/2013/1113fust.html and Urban Institute.
Note: OPUC stands for "originator profits and unmeasured costs" as discussed in Fuster et al. (2013). The OPUC series is a monthly (4-week
moving) average.
13
STATE OF THE MARKET
CREDIT
CREDIT AVAILABILITY
AVAILABILITY FOR
FOR
PURCHASE LOANS
Access to credit has become extremely tight, especially for borrowers with low FICO scores. The mean and median
FICO scores on new originations have both drifted up over the last decade by about 41 and 43 points, respectively.
The 10th percentile of FICO scores, which represents the lower bound of creditworthiness needed to qualify for a
mortgage, stood at 662 as of August 2014. Prior to the housing crisis, this threshold held steady in the low 600s. LTV
levels at origination remain relatively high, averaging 85.1, which reflects the large number of FHA and VA purchase
originations.
Borrower FICO Score at Origination
FICO Score
90th percentile
Mean
Median
10th percentile
850
800
801
749
740
750
700
662
650
600
550
500
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
Sources: CoreLogic Prime Servicing and Urban Institute.
Note: Purchase-only loans.
2014
August 2014
Combined LTV at Origination
LTV
90th percentile
Mean
Median
10th percentile
110
100
100
90
90
85
80
70
67
60
50
40
30
2001
2002
2003
2004
2005
2006
Sources: CoreLogic Prime Servicing and Urban Institute.
Note: Purchase-only loans.
2007
2008
2009
2010
2011
2012
2013
2014
August 2014
14
San Francisco-Redwood City-South San Francisco CA
San Jose-Sunnyvale-Santa Clara CA
Oakland-Hayward-Berkeley CA
San Diego-Carlsbad CA
Los Angeles-Long Beach-Glendale CA
New York-Jersey City-White Plains NY-NJ
Seattle-Bellevue-Everett WA
Portland-Vancouver-Hillsboro OR-WA
Boston MA
Nassau County-Suffolk County NY
Newark NJ-PA
Denver-Aurora-Lakewood CO
Chicago-Naperville-Arlington Heights IL
Washington-Arlington-Alexandria DC-VA-MD-WV
Minneapolis-St. Paul-Bloomington MN-WI
Charlotte-Concord-Gastonia NC-SC
Baltimore-Columbia-Towson MD
Pittsburgh PA
Sacramento--Roseville--Arden-Arcade CA
Philadelphia PA
Orlando-Kissimmee-Sanford FL
Columbus OH
Atlanta-Sandy Springs-Roswell GA
St. Louis MO-IL
Dallas-Plano-Irving TX
Tampa-St. Petersburg-Clearwater FL
Houston-The Woodlands-Sugar Land TX
Cincinnati OH-KY-IN
Riverside-San Bernardino-Ontario CA
Fort Worth-Arlington TX
Kansas City MO-KS
Las Vegas-Henderson-Paradise NV
Miami-Miami Beach-Kendall FL
Phoenix-Mesa-Scottsdale AZ
San Antonio-New Braunfels TX
Cleveland-Elyria OH
Detroit-Dearborn-Livonia MI
STATE OF THE MARKET
CREDIT AVAILABILITY
AVAILABILITY FOR
FOR
CREDIT
PURCHASE LOANS
Credit has been tight for all borrowers with less-than-stellar credit scores, but there are significant variations across
MSAs. For example, the mean origination FICO for borrowers in San Francisco- Redwood City- South San Francisco,
CA is 771, while in Detroit-Dearborn-Livonia MI it is 726. Across all MSAs, lower average FICO scores tend to be
correlated with high average LTVs, as these MSAs rely heavily on FHA/VA financing.
Origination FICO and LTV by MSA
Origination FICO
Mean origination FICO score
Mean origination LTV
Origination LTV
780
100
770
95
760
90
750
85
740
80
730
75
720
70
710
65
700
60
Sources: CoreLogic Prime Servicing as of August 2014 and Urban Institute.
Note: Purchase-only loans.
15
STATE OF THE MARKET
HOUSING AFFORDABILITY
National Housing Affordability Over Time
$300
$280
$260
$240
$220
$200
$180
$160
$140
$120
$280,133
Credit
Bubble
$238,861
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
$210,000
2001
Sources: CoreLogic, US Census, Freddie Mac and
Urban Institute.
Note: The maximum affordable price is the house
price that a family can afford putting 20 percent
down, with a monthly payment of 28 percent of
median family income, at the Freddie Mac
prevailing rate for 30-year fixed-rate mortgage,
and property tax and insurance at 1.75 percent of
housing value.
Max affordable price
Housing Prices ($ thousands)
2000
Home prices are still very affordable
by historical standards, despite
increases over the last three years.
Even if interest rates rose to 6
percent, affordability would be at the
long term historical average.
Median sales price
Max affordable price at 6.0% rate
August 2014
Affordability Adjusted for MSA-Level DTI
Ratio
Cleveland-Elyria OH
Sources: CoreLogic, US Census, Freddie Mac and UI calculations based on NAR methodology.
Note: Affordability index is calculated relative to home prices in 2000-03. A ratio above 1 indicates higher affordability in
August 2014 than in 2000-03.
16
Las Vegas-Henderson-Paradise NV
Cincinnati OH-KY-IN
Pittsburgh PA
Columbus OH
Tampa-St. Petersburg-Clearwater FL
Chicago-Naperville-Arlington Heights IL
Kansas City MO-KS
Denver-Aurora-Lakewood CO
St. Louis MO-IL
Orlando-Kissimmee-Sanford FL
Minneapolis-St. Paul-Bloomington MN-WI
Sacramento--Roseville--Arden-Arcade CA
Detroit-Dearborn-Livonia MI
San Antonio-New Braunfels TX
Nassau County-Suffolk County NY
Charlotte-Concord-Gastonia NC-SC
Houston-The Woodlands-Sugar Land TX
Fort Worth-Arlington TX
Riverside-San Bernardino-Ontario CA
Atlanta-Sandy Springs-Roswell GA
Boston MA
San Diego-Carlsbad CA
Phoenix-Mesa-Scottsdale AZ
Miami-Miami Beach-Kendall FL
Dallas-Plano-Irving TX
Baltimore-Columbia-Towson MD
Seattle-Bellevue-Everett WA
Newark NJ-PA
Oakland-Hayward-Berkeley CA
Philadelphia PA
San Francisco-Redwood-S San Francisco CA
Portland-Vancouver-Hillsboro OR-WA
San Jose-Sunnyvale-Santa Clara CA
New York-Jersey City-White Plains NY-NJ
Washington-Arlington DC-VA-MD-WV
Los Angeles-Long Beach-Glendale CA
1.4
1.3
1.2
1.1
1
0.9
0.8
0.7
STATE OF THE MARKET
HOME PRICE INDICES
National Year-Over-Year HPI Growth
The strong year-over-year house price growth through 2013 has slowed somewhat in 2014, as indicated by both
the repeat-sales HPI from CoreLogic and hedonic index from Zillow.
Year-over-year growth rate
20%
15%
CoreLogic HPI
10%
5%
0%
6.5%
5.6%
Zillow HVI
-5%
-10%
-15%
-20%
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
Sources: CoreLogic, Zillow and Urban Institute.
2013
2014
September2014
Changes in CoreLogic HPI for Top MSAs
Despite rising 29.3 percent from the trough, national house prices still must grow 14.5 percent to reach pre-crisis
peak levels. At the MSA level, three of the top 15 MSAs have reached their peak HPI– Houston, TX; Dallas, TX; and
Denver, CO. Two MSAs particularly hard hit by the boom and bust– Phoenix, AZ and Riverside, CA– would need
to rise more than 40 percent to return to peak levels.
HPI changes (%)
MSA
United States
New York-Jersey City-White Plains NY-NJ
Los Angeles-Long Beach-Glendale CA
Chicago-Naperville-Arlington Heights IL
Atlanta-Sandy Springs-Roswell GA
Washington-Arlington-Alexandria DC-VA-MD-WV
Houston-The Woodlands-Sugar Land TX
Phoenix-Mesa-Scottsdale AZ
Riverside-San Bernardino-Ontario CA
Dallas-Plano-Irving TX
Minneapolis-St. Paul-Bloomington MN-WI
Seattle-Bellevue-Everett WA
Denver-Aurora-Lakewood CO
Baltimore-Columbia-Towson MD
San Diego-Carlsbad CA
Anaheim-Santa Ana-Irvine CA
Orlando-Kissimmee-Sanford FL
Miami-Miami Beach-Kendall FL
2000 to peak
Peak to
trough
Trough to
current
% Rise needed
to achieve
peak
99.0
115.8
181.6
65.4
40.8
159.8
44.3
126.3
194.4
38.2
74.0
94.3
36.2
128.8
148.8
162.5
148.1
204.3
-32.4
-20.0
-39.1
-36.5
-33.3
-33.3
-12.7
-52.8
-53.3
-13.7
-30.5
-31.9
-14.4
-25.6
-38.2
-36.8
-55.1
-52.8
29.3
16.6
43.7
25.7
38.5
28.7
30.5
47.7
48.3
26.7
27.2
34.8
34.0
10.3
37.7
38.4
40.5
46.6
14.5
7.2
14.3
25.2
8.2
16.6
-12.2
43.4
44.4
-8.6
13.2
8.9
-12.8
21.7
17.6
14.4
58.6
44.5
Sources: CoreLogic HPIs as of September 2014 and Urban Institute.
Note: This table includes the largest 15 Metropolitan areas by mortgage count.
17
STATE OF THE MARKET
NEGATIVE EQUITY & SERIOUS
DELINQUENCY
Negative Equity Share
With housing prices appreciating through the first half of 2014, residential properties in negative equity (LTV
greater than 100) as a share of all residential properties with a mortgage has dropped to 10.7 percent. Residential
properties in near negative equity (LTV between 95 and 100) comprise another 2.7 percent.
35%
30%
25%
Near or in negative
equity
20%
13.4%
15%
10%
Negative equity
10.7%
5%
2Q14
1Q14
4Q13
3Q13
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
3Q09
0%
Sources: CoreLogic and Urban Institute.
Loans in Serious Delinquency/Foreclosure
Serious delinquencies and foreclosures continue to decline with the housing recovery, but remain quite high
relative to the early 2000s. Loans 90 days delinquent or in foreclosure totaled 4.7 percent in the third quarter
of 2014, down from 5.7 percent for the same quarter a year earlier.
10%
9%
Percent of loans 90
days delinquent or in
foreclosure
Percent of loans in
foreclosure
8%
7%
6%
4.7%
5%
4%
Percent of loans 90
days delinquent
3%
2.4%
2%
2.3%
1%
3Q00
1Q01
3Q01
1Q02
3Q02
1Q03
3Q03
1Q04
3Q04
1Q05
3Q05
1Q06
3Q06
1Q07
3Q07
1Q08
3Q08
1Q09
3Q09
1Q10
3Q10
1Q11
3Q11
1Q12
3Q12
1Q13
3Q13
1Q14
3Q14
0%
Sources: Mortgage Bankers Association and Urban Institute.
18
GSES UNDER CONSERVATORSHIP
GSE PORTFOLIO WIND-DOWN
Freddie and Fannie continue to shrink their portfolios, albeit at a slower rate than at any point over the past 4
years. Year-over-year, Fannie has contracted by 15.1 percent, and Freddie Mac by 16.9 percent. As of
September 2014, they were both below their year-end 2014 portfolio cap. They are shrinking their less liquid
assets (mortgage loans and non-agency MBS) at close to the same pace that they are shrinking their entire
portfolio.
Fannie Mae Mortgage-Related Investment Portfolio Composition
Fannie MBS in portfolio
Non-FNMA agency MBS
Non-agency MBS
Mortgage loans
($ billions)
900
Current size: $438.1 billion
Current cap: $469.625 billion
Shrinkage year-over-year: 15.1%
Shrinkage in less-liquid assets yearover-year: 12.8%
800
700
600
500
400
300
200
100
0
2006
2007
2008
2009
2010
2011
2012
Sources: Fannie Mae and Urban Institute.
2013
2014
800
700
600
500
400
300
200
100
0
2012
2013
2014
September 2014
September 2014
Freddie Mac Mortgage-Related Investment Portfolio Composition
FHLMC MBS in portfolio
Non-FHLMC agency MBS
Non-agency MBS
Mortgage loans
($ billions)
Current size: $413.6 billion
Current cap: $469.625 billion
Shrinkage year-over-year: 16.9%
Shrinkage in less-liquid assets yearover-year: 19.5%
900
800
700
600
500
400
300
200
100
0
2006
2007
2008
2009
2010
Sources: Freddie Mac and Urban Institute.
2011
2012
2013
2014
September 2014
700
600
500
400
300
200
100
0
2012
2013
2014
September 2014
19
GSES UNDER CONSERVATORSHIP
EFFECTIVE GUARANTEE FEES AND
GSE RISK-SHARING TRANSACTIONS
Effective Guarantee Fees
Fannie’s average charged g-fee on new single-family originations was 63.5 bps in Q3 2014, up from both the
previous quarter (62.6) and from a year earlier (56.9). This is a marked increase over 2012 (39.9 bps) and 2011
(28.8 bps), and has contributed to the GSEs’ profits. Fannie’s 2014 loan-level price adjustments (LLPAs) are
shown in the second table. The 25 bp Adverse Market Delivery Charge has been added to these upfront
numbers.
70.0
Fannie Mae single-family effective gfee rate
Fannie Mae single-family average
charged g-fee on new acquisitions
Freddie Mac management and g-fee
rate
63.5
60.0
50.0
40.0
41.2
30.0
32.4
20.0
10.0
0.0
1Q09
2Q09
3Q09
4Q09
1Q10
2Q10
3Q10
4Q10
1Q11
2Q11
3Q11
4Q11
1Q12
2Q12
3Q12
4Q12
1Q13
2Q13
3Q13
4Q13
1Q14
2Q14
3Q14
Sources: Fannie Mae, Freddie Mae and Urban
Institute.
Note: Freddie only reports the effective g-fee
on the entire book of business.
Fannie Mae Upfront Loan-Level Price Adjustments (LLPAs)
LTV
Credit Score
≤60
60.01 – 70
70.01 – 75
75.01 – 80
80.01 – 85
85.01 – 90
90.01 – 95
> 740
0.000%
0.250%
0.250%
0.500%
0.500%
0.500%
0.500%
720 – 739
0.000%
0.250%
0.500%
0.750%
0.750%
0.750%
0.750%
700 – 719
0.000%
0.750%
1.000%
1.250%
1.250%
1.250%
1.250%
680 – 699
0.250%
0.750%
1.500%
2.000%
1.750%
1.500%
1.500%
660 – 679
0.250%
1.250%
2.250%
2.750%
3.000%
2.500%
2.500%
640 – 659
0.750%
1.500%
2.750%
3.250%
3.500%
3.000%
3.000%
620 – 639
0.750%
1.750%
3.250%
3.250%
3.500%
3.500%
3.500%
< 620
0.750%
1.750%
3.250%
3.250%
3.500%
3.500%
3.500%
Product Feature (Cumulative)
Investment Property
1.750%
1.750%
1.750%
3.000%
3.750%
N/A
N/A
2-unit property
1.000%
1.000%
1.000%
1.000%
1.000%
N/A
N/A
2-4 unit property
1.000%
1.000%
1.000%
1.000%
1.000%
N/A
N/A
Condominiums
0.000%
0.000%
0.000%
0.750%
0.750%
0.750%
0.750%
Sources: Fannie Mae and Urban Institute.
Note: Adverse Market Delivery Charge (AMDC) of 0.250% has been added to the LLPA numbers in the matrix by LTV and credit score. Freddie Mac
charges very comparable LLPAs.
20
GSES UNDER CONSERVATORSHIP
GSE RISK-SHARING
TRANSACTIONS
Freddie Mac – Structured Agency Credit Risk (STACR)
Transaction
Reference Pool Size
($ millions)
July 24, 2013
STACR Series 2013 - DN1
$22,584.40
November 12, 2013
STACR Series 2013 - DN2
$35,327.30
February 6, 2014
STACR Series 2014 - DN1
$32,076.80
April 2, 2014
STACR Series 2014 - DN2
$28,146.98
August 6, 2014
STACR Series 2014 - DN3
$19,746.23
August 6, 2014
STACR Series 2014 – HQ1
$9,974.68
September 10, 2014
STACR Series 2014 – HQ2
$33,434.43
Date
Freddie Mac Total Reference Collateral
$181,290.82
Percent of Freddie Mac’s Total Book of Business
11.9%
Fannie Mae – Connecticut Avenue Securities (CAS)
Transaction
Reference Pool Size
($ millions)
October 24, 2013
CAS 2013 - C01
$26,756.40
January 14, 2014
CAS 2014 - C01
$29,308.70
May 28, 2014
CAS 2014 - C02
$60,818.48
July 25, 2014
CAS 2014 – C03
$78,233.73
Date
Fannie Mae Total Reference Collateral
$195,117.31
Percent of Fannie Mae’s Total Book of Business
7.5%
New Front-end Transaction: JP Morgan Madison Avenue Securities Trust, Series 2014-1
Amount
($ millions)
Tranche Thickness
(%)
CE (%)
Rating
Coupon
A-H
$942.15
95.25
4.75
NR
N/A
M-1
$19.78
2.00
2.75
F: BBB-sf
1mL +225 bps
M-2
$27.20
2.75
2.00
NR
1mL +425 bps
X-IO
Reference Pool Size
$989.13
$989.13
NA
100
NA
NR
26.88 bps
Class
Sources: Fannie Mae, Freddie Mac and Urban Institute.
Note: Classes A-H, M-1H, M-2H, and B-H are reference tranches only. These classes are not issued or sold. The risk is retained by Fannie Mae and
Freddie Mac. Class X-IO is an interest-only class and is not entitled to principal distributions. “CE” = credit enhancement. Under “Rating,” “F” = Fitch,
“M” = Moody’s.
21
SERIOUS
DELINQUENCY
GSES UNDER CONSERVATORSHIP
SERIOUS
RATES
RATES ATDELINQUENCY
THE GSEs
Serious delinquency rates of single-family GSE loans continue to decline as the legacy portfolio is resolved and the
pristine, post-2009 book of business exhibits very low default rates. As of August 2014, 1.96 percent of both the
Fannie portfolio and the Freddie portfolio were seriously delinquent, down from 2.55 percent for Fannie and 2.58
percent for Freddie in September 2013.
Serious Delinquency Rates–Fannie Mae
Single-family: Non-credit enhanced
Single-family: Credit enhanced
Single-family: Total
Percentage of total loans
16%
14%
12%
10%
8%
6%
4%
3.66%
1.96%
2%
1.68%
0%
2006
2007
2008
2009
2010
2011
2012
2013
2014
September 2014
Sources: Fannie Mae and Urban Institute.
Serious Delinquency Rates–Freddie Mac
Single-family: Non-credit enhanced
Single-family: Credit enhanced
Single-family: Total
PMI Credit Enhanced*
Percentage of total loans
10%
9%
8%
7%
6%
5%
4%
3%
2%
1%
0%
2006
3.89%
2.84%
1.96%
1.80%
2007
2008
2009
2010
2011
2012
2013
2014
September 2014
Sources: Freddie Mac and Urban Institute.
Note*: Following a change in Freddie reporting in September 2014, we switched from reporting credit enhanced delinquency rates to PMI
credit enhanced delinquency rates.
22
GSES UNDER CONSERVATORSHIP
SERIOUS DELINQUENCY RATES
Serious delinquencies for FHA and GSE single-family loans continue to decline, but remain high relative to 20052007. FHA delinquencies are declining from a higher relative starting point. GSE multifamily delinquencies have
declined to pre-crisis levels, though they did not reach problematic levels even in the worst years.
Serious Delinquency Rates–Single-Family Loans
FHA
Percentage of total loans
Fannie Mae
Freddie Mac
10%
9%
8%
7%
6.22%
6%
5%
4%
3%
2.07%
2.05%
2%
1%
0%
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2Q2014
Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute.
Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process.
Serious Delinquency Rates–Multifamily GSE Loans
Fannie Mae
Freddie Mac
Percentage of total loans
0.9%
0.8%
0.7%
0.6%
0.5%
0.4%
0.3%
0.2%
0.1%
0.0%
2005
0.09%
0.03%
2006
2007
2008
2009
2010
2011
2012
2013
2014
September 2014
Sources: Fannie Mae, Freddie Mac and Urban Institute.
Note: Multifamily serious delinquency rate is the unpaid balance of loans 60 days or more past due, divided by the total unpaid balance.
23
GSES UNDER CONSERVATORSHIP
REFINANCE ACTIVITY
The Home Affordable Refinance Program (HARP) refinances have begun to slow. Two factors are responsible for
this: (1) higher interest rates, leaving fewer eligible loans where refinancing is economically advantageous (in-themoney), and (2) a considerable number of borrowers who have already refinanced. Nonetheless, HARP refinances
total 3.2 million since the Q2 2009 program inception, accounting for 16.3 percent of all GSE refinances in this
period.
Total HARP Refinance Volume
Fannie Mae
(thousands)
160
Freddie Mac
Total
140
120
100
80
60
40
14
9
5
20
0
Apr-12
Jul-12
Oct-12
Jan-13
Apr-13
Jul-13
Oct-13
Jan-14
Apr-14
Jul-14
August 2014
Sources: FHFA Refinance Report and Urban Institute.
HARP Refinances
August
2014
Year-to-date
2014
Inception to
date
2013
2012
2011
Total refinances
131,075
966,132
19,838,384
4,081,911
4,750,530
3,229,066
Total HARP refinances
14,066
160,706
3,218,662
892,914
1,074,769
400,024
Share 80–105 LTV
71.8%
71.7%
69.8%
56.4%
56.4%
85.0%
Share 105–125 LTV
18.0%
17.4%
17.2%
22.4%
22.4%
15.0%
Share >125 LTV
10.1%
10.9%
12.9%
21.2%
21%
0%
All other streamlined
refinances
19,002
189,419
3,439,618
735,210
729,235
785,049
Sources: FHFA Refinance Report and Urban Institute.
24
GSES UNDER CONSERVATORSHIP
GSE LOANS:
POTENTIAL REFINANCES
To qualify for HARP, a loan must be originated before the June 2009 cutoff date, have a marked-to-market loan-tovalue (MTM LTV) ratio above 80, and have no more than one delinquent payment in the past year and none in the
past six months. There are 829,359 eligible loans, but 43 percent are out-of-the-money because the closing cost
would exceed the long-term savings, leaving 470,245 loans where a HARP refinance is both permissible and
economically advantageous for the borrower. Loans below the LTV minimum but meeting all other HARP
requirements are eligible for GSE streamlined refinancing. Of the 6,909,943 loans in this category, 5,421,496 are
in-the-money.
More than two thirds of the GSE book of business that meets the pay history requirements was originated after the
June, 2009 cutoff date. FHFA Director Mel Watt announced in May 2014 that they are not planning to extend the
date, as too few borrowers (523,458 by our estimate) would benefit from the change.
Total loan count
26,823,087
Loans that do not meet pay history requirement
Loans that meet pay history requirement:
925,941
25,897,146
Pre-June 2009 origination
7,739,302
Post-June 2009 origination
18,157,844
Loans Meeting HARP Pay History Requirements
Pre-June 2009
LTV category
In-the-money
Out-of-the-money
Total
≤80
5,421,496
1,488,447
6,909,943
>80
470,245
359,114
829,359
Total
5,891,741
1,847,561
7,739,302
LTV category
In-the-money
Out-of-the-money
Total
≤80
2,630,881
12,918,150
15,549,031
>80
523,458
2,085,355
2,608,813
Total
3,154,339
15,003,505
18,157,844
Post-June 2009
Sources: CoreLogic Prime Servicing as of September 2014.
Note: Figures are scaled up from source data to account for data coverage of the GSE active loan market (based on MBS data from eMBS).
Shaded box indicates HARP-eligible loans that are in-the-money.
25
MODIFICATION ACTIVITY
HAMP ACTIVITY
New HAMP trial mods have tapered off as new defaults have declined. Meanwhile, modification success rates are
improving, so the number of new permanent modifications remains stable, at 10,000 in June compared to 12,000 in
each of the two months prior. Active permanent mods have increased 8 percent since June 2013 to 959,000 (bottom).
New HAMP Modifications
New trial mods started
New permanent mods started
New active permanent mods
Number of mods
(thousands)
180
160
140
120
100
80
60
40
10.0
9.0
4.3
20
0
2009
2010
2011
2012
2013
2014
June 2014
Sources: U.S. Treasury Making Home Affordable and Urban Institute.
Cumulative HAMP Modifications
Number of mods
(millions)
2.5
All trials mods started
2.2
2.0
All permanent mods
started
1.5
1.4
1.0
1.0
Active permanent mods
0.5
0.0
2009
2010
2011
Sources: U.S. Treasury Making Home Affordable and Urban Institute.
2012
2013
2014
June 2014
26
MODIFICATION ACTIVITY
MODIFICATION BY TYPE OF
ACTION AND BEARER OF RISK
The share of principal reduction modifications peaked at 20 percent in December 2012 before dropping
dramatically to 5 percent in Q2 2014. This is to be expected, as increasing home prices have increased equity,
reducing the need for principal reduction and making such modifications less likely to be net-present-value
positive. Portfolio loans are the most likely candidates for principal reduction, followed by private investor loans,
because the GSEs and FHA/VA generally do not allow this type of modification.
Changes in Loan Terms for Modifications
Modification Quarter
13Q1
13Q2
13Q3
13Q4
14Q1
14Q2
One quarter
% change
One year
% change
Capitalization
79.3
81.6
83.5
87.7
74.3
59
-20.6
-27.7
Rate reduction
80.1
81.0
78.9
76.7
73.3
71.9
-1.9
-11.3
Rate freeze
3.7
5.2
5.5
7
6.5
7.1
8.7
36.9
Term extension
60.3
67.7
69.3
75.9
78
84
7.7
24.1
Principal reduction
15.2
12.2
13.6
10.5
8.1
5
-38.4
-58.8
Principal deferral
18.2
20.5
25.3
30.6
25.1
11.5
-54.1
-43.8
Not reported*
0.7
1.5
2.2
0.7
0.7
0.7
5.0
-52.1
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2014 and Urban Institute.
Note: This table presents modifications of each type as a share of total modifications. Columns sum to over 100% because loans often receive
modifications with multiple features.
*Processing constraints at some servicers prevented them from reporting specific modified term(s).
Type of Modification Action by Investor and Product Type
Fannie Mae
Freddie Mac
Governmentguaranteed
Private
Investor
Portfolio
Overall
Capitalization
97.3%
96.6%
21.8%
91.0%
94.1%
59.0%
Rate reduction
52.1%
70.0%
78.0%
73.3%
72.1%
71.9%
Rate freeze
10.2%
5.7%
6.8%
4.1%
8.5%
7.1%
Term extension
93.0%
94.0%
96.6%
31.9%
59.2%
84.0%
Principal reduction
0.1%
0.0%
0.1%
16.2%
25.5%
5.0%
Principal deferral
13.5%
18.5%
3.9%
23.1%
22.1%
11.5%
Not reported*
0.6%
0.2%
0.8%
1.2%
0.3%
0.7%
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2014 and Urban Institute.
Note: This table presents modifications of each type as a share of total modifications. Columns sum to over 100% because loans often receive
modifications with multiple features.
*Processing constraints at some servicers prevented them from reporting specific modified term(s).
27
MODIFICATION ACTIVITY
MODIFICATIONS AND
LIQUIDATIONS
Total modifications (HAMP and proprietary) are now roughly equal to total liquidations. Hope Now reports show
7,236,907 borrowers have received a modification since Q3 2007, compared with 7,323,459 liquidations in the
same period. Both liquidation and modification activity are on pace to end significantly below their 2013 totals,
and we expect to see even sharper declines as 2014 comes to a close.
Loan Modifications and Liquidations
Number of loans (thousands)
1,600
1,400
1,200
611.6
1,000
800
147.3
340.1
600
400
200
2008
2009
2010
2011
2012
2013
Proprietary mods
Liquidations
0
2007 (Q3Q4)
HAMP mods
2014
(Ann.)
Sources: Hope Now Reports and
Urban Institute.
Note: Liquidations includes both
foreclosure sales and short sales.
Annualized figure based on data
from August 2014.
Cumulative Modifications and Liquidations
Number of loans (millions)
7.3
8
5.8
7
6
HAMP mods
5
Proprietary mods
4
Liquidations
3
1.4
2
1
Sources: Hope Now Reports and
Urban Institute.
Note: Liquidations includes both
foreclosure sales and short sales.
0
2007 (Q3Q4)
2008
2009
2010
2011
2012
2013
2014 YTD
28
MODIFICATION ACTIVITY
MODIFICATION REDEFAULT
RATES BY BEARER OF THE RISK
Redefault rates on modified loans have come down dramatically from 2008 to 2013. For the period as a whole,
the steepest drops have been on private label modifications. More recently, there have been sharp declines in the
redefault rates on government-guaranteed modifications, although this product type still has higher redefault
rates than others.
Redefault Rate 12 Months after Modification
80%
70%
Fannie Mae
Freddie Mac
Government-guaranteed
Private
Redefault rate
60%
50%
40%
30%
20%
Portfolio Loans
10%
Overall
0%
2008
2009
2010
2011
2012
2013
Year of modification
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2014 and Urban Institute.
Redefault Rate 24 Months after Modification
80%
70%
Fannie Mae
Freddie Mac
Government-guaranteed
Private
Portfolio loans
Overall
Redefault rate
60%
50%
40%
30%
20%
10%
0%
2008
2009
2010
2011
2012
Year of modification
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2014 and Urban Institute.
29
AGENCY ISSUANCE
AGENCY GROSS AND
NET ISSUANCE
With refinancing activity falling off with rising interest rates, newly issued agency securities (agency gross issuance)
have fallen off as well. Agency gross issuance year-to-date (through October) totaled $774 billion, a 45 percent
decline year-over-year. Net issuance, which excludes repayments, prepayments, and refinances on outstanding
mortgages, remains low and dominated by Ginnie Mae. This is unsurprising, given the increased role of FHA and VA
since the crisis.
Agency Gross Issuance
Agency Net Issuance
Issuance
Year
GSEs
Ginnie Mae
Total
Issuance
Year
GSEs
Ginnie Mae
Total
2000
$360.6
$102.2
$462.8
2000
$159.8
$29.3
$189.1
2001
$885.1
$171.5
$1,056.6
2001
$367.8
-$9.9
$357.9
2002
$1,238.9
$169.0
$1,407.9
2002
$357.6
-$51.2
$306.4
2003
$1,874.9
$213.1
$2,088.0
2003
$335.0
-$77.6
$257.4
2004
$872.6
$119.2
$991.9
2004
$83.3
-$40.1
$43.2
2005
$894.0
$81.4
$975.3
2005
$174.4
-$42.2
$132.1
2006
$853.0
$76.7
$929.7
2006
$313.6
$0.3
$313.8
2007
$1,066.2
$94.9
$1,161.1
2007
$514.7
$30.9
$545.5
2008
$911.4
$267.6
$1,179.0
2008
$314.3
$196.4
$510.7
2009
$1,280.0
$451.3
$1,731.3
2009
$249.5
$257.4
$506.8
2010
$1,003.5
$390.7
$1,394.3
2010
-$305.5
$198.2
-$107.3
2011
$879.3
$315.3
$1,194.7
2011
-$133.4
$149.4
$16.0
2012
$1,288.8
$405.0
$1,693.8
2012
-$46.5
$118.4
$71.9
2013
$1,176.6
$393.6
$1,570.1
2013
$66.5
$85.8
$152.3
2014 YTD
$530.9
$243.2
$774.1
2014 YTD
$19.0
$51.8
$70.8
%Change
year-over-year
-49.9%
-30.2%
-45.0%
%Change
year-over-year
-66.6%
-31.1%
-46.4%
2014 (Ann.)
$637.10
$291.78
$928.88
2014 (Ann.)
$22.76
$62.20
$84.96
Sources: eMBS and Urban Institute.
Note: Dollar amounts are in billions.
Year-to-date figure as of October 2014.
Sources: eMBS and Urban Institute.
Note: Dollar amounts are in billions.
Year-to-date figure as of October 2014.
30
AGENCY GROSS AND NET
AGENCY GROSS
ISSUANCE &
ISSUANCE
BY MONTH
FED PURCHASES
AGENCY ISSUANCE
Monthly Gross Issuance
While government and GSE
lending have dominated the
mortgage market since the crisis,
there has been a change in the
mix. The Ginnie Mae share
reached a peak of 28 percent of
total agency issuance in 2010,
declined to 25 percent in 2013,
and has since then risen to 31
percent in October 2014. The
recent increase in the Ginnie Mae
share reflects the decline in
refinance activity, as Ginnie Mae
is less impacted by this decline.
Fannie Mae
Freddie Mac
Ginnie Mae
($ billions)
250
200
150
100
50
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
0
Sources: eMBS, Federal Reserve Bank of New York and Urban Institute.
October 2014
Fed Absorption of Agency Gross Issuance
In 2013, the Fed absorbed nearly 50 percent of agency gross issuance. In Q1 2014, the Fed began to taper, but gross
issuance dropped even more, and Fed absorption reached 74 percent. More recently, gross issuance increased and
the Fed has continued to taper, resulting in the Fed absorbing a lower percent of gross issuance. In October, Fed
announced the end of its purchase program. However, buying will continue at a much reduced level, as the Fed is
likely to keep reinvesting funds from pay downs on mortgages and agency debentures into the mortgage market. In
the program’s last month, total Fed purchase declined to $ 25.5 billion, yielding 27 percent Fed absorption of gross
issuance, down from September’s 33 percent.
Gross issuance
($ billions)
Total Fed purchases
250
200
150
100
50
0
2001
2002
2003
2004
2005
2006
2007
2008
Sources: eMBS, Federal Reserve Bank of New York and Urban Institute.
2009
2010
2011
2012
2013
2014
October 2014
31
AGENCY ISSUANCE
MORTGAGE INSURANCE
ACTIVITY
MI Activity
Overall mortgage insurance activity experienced a second consecutive quarter of significant increase in Q3
2014, reaching $123 billion. Private mortgage insurers lead the way, with a $10 billion quarterly increase and a
jump in market share to 44 percent (41 percent for 2014 overall). The FHA share dropped to 30.8 percent for
the quarter, and 34 percent for 2014 overall, despite an uptick in endorsements to $38 billion from $36 billion in
Q2 2014.
200
150
Total, $123.0
100
Private, $54.0
50
FHA, $38.0
VA, $31.1
0
1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14
Sources: Inside Mortgage Finance and Urban Institute.
MI Market Share
Total private primary MI
FHA
VA
24.7%
100%
90%
80%
34.0%
70%
60%
50%
40%
41.3%
30%
20%
10%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Q1-3
Sources: Inside Mortgage Finance and Urban Institute.
32
AGENCY ISSUANCE
MORTGAGE INSURANCE
ACTIVITY
The top table depicts the history of FHA mortgage insurance premiums since 2001. Annual premiums have more
than doubled since 2008, as FHA has worked to shore up its finances. The most recent change increased the
annual premium by 10 bps and kept the upfront premium at 1.75 percent. The bottom table compares FHA and
GSE execution. For a 95 LTV mortgage, borrowers with a FICO score below 680 will find FHA a more attractive
product, while those above 680 will find GSE execution with PMI to be more favorable.
FHA MI Premiums for Typical Purchase Loan
Case number date
Upfront mortgage insurance premium
(UFMIP) paid
Annual mortgage insurance
premium (MIP)
1/1/2001 - 7/13/2008
7/14/2008 - 9/30/2008*
10/1/2008 - 4/4/2010
4/5/2010 - 10/3/2010
10/4/2010 - 4/17/2011
4/18/2011 - 4/8/2012
4/9/2012 - 6/10/2012
6/11/2012 - 3/31/2013a
4/1/2013 - presentb
150
175
175
225
100
100
175
175
175
50
55
55
55
90
115
125
125
135
Sources: Ginnie Mae and Urban Institute.
Note: A typical purchase loan has an LTV over 95 and a loan term longer than 15 years. Mortgage insurance premiums are listed in basis points.
* For a short period the FHA used a risk based FICO/LTV matrix for MI. This table assumes the average FICO for 2008 purchase originations, ~630.
a
Applies to purchase loans less than or equal to $625,500. Those over that amount have an annual premium of 150 bps.
b
Applies to purchase loans less than or equal to $625,500. Those over that amount have an annual premium of 155 bps.
Initial Monthly Payment Comparison: FHA vs. PMI
Assumptions
Property Value
Loan Amount
LTV
Base Rate
Conforming
FHA
FICO
620 - 639
$250,000
$237,500
95
4.29%
4.00%
640 - 659
660 - 679
680 - 699
700 - 719
720 - 739
740 - 759
760 +
FHA MI Premiums
1.75
1.75
1.75
1.75
1.75
1.75
1.75
1.75
FHA UFMIP
1.30
1.30
1.30
1.30
1.30
1.30
1.30
1.30
FHA MIP*
PMI
3.50
3.00
2.50
1.50
1.25
0.75
0.50
0.50
GSE AMDC & LLPA
1.15
1.15
1.15
0.89
0.89
0.62
0.62
0.54
PMI Annual MIP
Monthly Payment
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
FHA
$1,501
$1,487
$1,472
$1,392
$1,385
$1,318
$1,311
$1,295
PMI
($90)
($76)
($61)
$19
$26
$93
$100
$116
PMI Advantage
Sources: Genworth Mortgage Insurance, Ginnie Mae and Urban Institute.
Note: Mortgage insurance premiums listed in percentage points. LLPA= Loan Level Price Adjustment, described in detail on page 20. FHA
MIP=1.3 percent for <95 LTV mortgages. Orange shade indicates FHA monthly payment is more favorable, while light blue indicates PMI is
more favorable.
33
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
FANNIE MAE COMPOSITION
Since 2008, the composition of loans purchased by Fannie Mae has shifted towards borrowers with higher FICO
scores. For example, 68.5 percent of loans originated from 2011 to Q3 2013 were for borrowers with FICO scores
above 750, compared to 36.5 percent of borrowers in 2007 and 32.4 percent from 1999-2004.
Balance on 30-year, Fixed-rate, Full-doc, Amortizing Loans
Origination
Year
1999-2004
2005
2006
2007
2008
2009-2010
2011-3Q13
LTV
Origination
FICO
≤70
70 to 80
80 to 90
>90
Total
≤700
10.3%
16.8%
5.0%
5.0%
37.1%
700 to 750
9.6%
14.4%
3.4%
3.1%
30.4%
>750
14.1%
14.1%
2.3%
1.9%
32.4%
Total
34.0%
45.3%
10.7%
10.0%
100.0%
≤700
13.7%
17.4%
3.8%
2.6%
37.4%
700 to 750
10.0%
13.5%
2.1%
1.3%
27.0%
>750
15.9%
16.6%
1.8%
1.2%
35.6%
Total
39.6%
47.5%
7.7%
5.1%
100.0%
≤700
13.7%
18.2%
3.9%
2.5%
38.3%
700 to 750
9.1%
13.8%
2.2%
1.2%
26.3%
>750
14.4%
17.8%
2.1%
1.2%
35.4%
Total
37.2%
49.8%
8.2%
4.9%
100.0%
≤700
11.6%
16.9%
5.9%
3.5%
37.9%
700 to 750
8.1%
12.8%
3.0%
1.7%
25.6%
>750
13.9%
18.0%
2.9%
1.8%
36.5%
Total
33.5%
47.7%
11.8%
7.0%
100.0%
≤700
8.2%
8.1%
3.3%
2.4%
22.0%
700 to 750
8.3%
12.8%
4.4%
2.8%
28.3%
>750
17.7%
23.8%
5.2%
3.0%
49.7%
Total
34.3%
44.7%
12.9%
8.2%
100.0%
≤700
4.0%
3.2%
0.3%
0.2%
7.7%
700 to 750
9.0%
11.9%
1.8%
0.9%
23.7%
>750
31.1%
32.2%
3.8%
1.5%
68.6%
Total
44.1%
47.4%
5.9%
2.7%
100.0%
≤700
2.9%
3.8%
0.7%
0.9%
8.3%
700 to 750
6.8%
10.7%
2.6%
3.1%
23.2%
>750
26.0%
31.1%
5.9%
5.5%
68.5%
Total
35.7%
45.5%
9.2%
9.6%
100.0%
36.6%
46.2%
9.4%
7.9%
100.0%
Total
Sources: Fannie Mae and Urban Institute.
Note: Fannie Mae loan level credit data includes loans originated from Q1 1999 to Q3 2013. The percentages are weighted by origination
balance.
34
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
FANNIE MAE DEFAULT RATE
While the composition of loans originated in 2007 was similar to that of 2004 and earlier vintage years, 2007 loans
experienced a much higher default rate due to the sharp drop in home values in the recession. Originations from
2009 and later have pristine credit characteristics and a more favorable home price environment, contributing to
very low default rates.
Default Rate on 30-year, Fixed-rate, Full-doc, Amortizing Loans
Origination
Year
Origination
FICO
≤700
700 to 750
1999-2004
>750
Total
≤700
700 to 750
2005
>750
Total
≤700
700 to 750
2006
>750
Total
≤700
700 to 750
2007
>750
Total
≤700
700 to 750
2008
>750
Total
≤700
700 to 750
2009-2010
>750
Total
≤700
700 to 750
2011-3Q13
>750
Total
Total
LTV
≤70
3.3%
1.0%
0.4%
1.5%
12.8%
5.6%
2.0%
6.6%
17.0%
7.9%
2.8%
9.3%
18.3%
7.8%
2.7%
9.3%
13.1%
4.4%
1.2%
4.8%
2.7%
0.6%
0.2%
0.5%
0.4%
0.1%
0.0%
0.1%
2.1%
70 to 80
4.3%
1.7%
0.8%
2.4%
16.5%
8.9%
4.3%
10.1%
21.5%
12.5%
5.8%
13.4%
22.7%
13.1%
5.9%
13.8%
16.2%
7.8%
2.8%
6.7%
3.7%
1.4%
0.4%
0.9%
0.5%
0.1%
0.0%
0.1%
3.4%
80 to 90
5.8%
2.7%
1.5%
3.9%
19.3%
11.8%
7.0%
14.4%
25.3%
15.7%
9.1%
18.7%
30.7%
19.7%
11.7%
23.2%
23.1%
12.9%
6.6%
13.0%
4.0%
1.8%
0.9%
1.3%
0.4%
0.2%
0.1%
0.1%
5.8%
>90
6.6%
2.8%
1.7%
4.5%
20.8%
12.0%
8.1%
15.5%
26.6%
15.9%
9.5%
19.7%
31.1%
18.4%
11.6%
23.1%
23.0%
12.6%
7.1%
13.6%
4.5%
2.1%
1.1%
1.8%
0.4%
0.2%
0.1%
0.1%
5.4%
Total
4.5%
1.7%
0.7%
2.4%
15.7%
8.1%
3.5%
9.3%
20.6%
11.4%
4.9%
12.6%
23.3%
12.6%
5.4%
14.0%
16.8%
8.1%
2.9%
7.4%
3.2%
1.1%
0.3%
0.8%
0.4%
0.1%
0.0%
0.1%
3.3%
Sources: Fannie Mae and Urban Institute.
Note: Fannie Mae loan level credit data includes loans originated from Q1 1999 to Q3 2013, with performance information on these loans
through Q2 2014. Default is defined as more than six months delinquent or disposed of via short sales, third-party sales, deeds-in-lieu of
foreclosure, or real estate owned (REO acquisitions).
35
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
FREDDIE MAC COMPOSITION
Since 2008, the composition of loans purchased by Freddie Mac has shifted towards borrowers with higher FICO
scores. For example, 69.5 percent of loans originated from 2011 to Q2 2013 were for borrowers with FICO scores
above 750, compared to 38.9 percent in 2007 and 33.3 percent from 1999-2004.
Balance on 30-year, Fixed-rate, Full-doc, Amortizing Loans
Origination
Year
1999-2004
2005
2006
2007
2008
2009-2010
2011-2Q13
Origination
FICO
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
≤700
700 to 750
>750
Total
Total
LTV
Total
≤70
7.8%
8.9%
13.6%
30.3%
10.6%
9.3%
15.8%
35.7%
10.0%
8.3%
14.3%
32.6%
9.1%
7.5%
14.3%
30.8%
7.3%
9.1%
21.6%
38.0%
3.9%
9.3%
32.4%
45.7%
3.0%
7.3%
26.9%
70 to 80
16.6%
16.0%
15.6%
48.2%
16.9%
15.5%
18.9%
51.3%
17.3%
16.2%
20.7%
54.2%
15.5%
14.4%
19.5%
49.4%
8.7%
13.1%
21.5%
43.3%
3.2%
11.9%
31.0%
46.1%
3.1%
10.8%
32.0%
80 to 90
5.5%
3.5%
2.3%
11.2%
3.3%
2.0%
1.7%
7.0%
3.4%
1.9%
1.7%
7.1%
4.6%
2.6%
2.5%
9.7%
3.1%
3.7%
4.7%
11.5%
0.3%
1.7%
3.6%
5.6%
0.6%
2.3%
5.4%
>90
5.7%
3.2%
1.8%
10.6%
3.0%
1.7%
1.4%
6.0%
3.3%
1.5%
1.4%
6.2%
4.9%
2.6%
2.6%
10.1%
2.2%
2.5%
2.6%
7.3%
0.2%
0.9%
1.4%
2.5%
0.7%
2.7%
5.1%
35.5%
31.5%
33.3%
100.0%
33.8%
28.5%
37.7%
100.0%
34.0%
27.9%
38.1%
100.0%
34.1%
27.0%
38.9%
100.0%
21.3%
28.3%
50.4%
100.0%
7.7%
23.8%
68.4%
100.0%
7.4%
23.1%
69.5%
37.3%
35.0%
45.9%
47.7%
8.2%
9.2%
8.6%
8.0%
100.0%
100.0%
Sources: Freddie Mac and Urban Institute.
Note: Freddie Mac loan level credit data includes loans originated from Q1 1999 to Q2 2013. The percentages are weighted by
origination balance.
36
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
FREDDIE MAC DEFAULT RATE
While the composition of loans originated in 2007 was similar to that of 2004 and earlier vintage years, 2007 loans
experienced a much higher default rate due to the sharp drop in home values in the recession. Originations from
2009 and later have pristine credit characteristics and a more favorable home price environment, contributing to
very low default rates.
Default Rate on 30-year, Fixed-rate, Full-doc, Amortizing Loans
Origination
Year
Origination
FICO
≤700
700 to 750
1999-2004
>750
Total
≤700
700 to 750
2005
>750
Total
≤700
700 to 750
2006
>750
Total
≤700
700 to 750
2007
>750
Total
≤700
700 to 750
2008
>750
Total
≤700
700 to 750
2009-2010
>750
Total
≤700
700 to 750
2011-2Q13
>750
Total
Total
LTV
≤70
2.5%
0.9%
0.3%
1.0%
10.3%
4.9%
1.7%
5.1%
13.6%
7.0%
2.4%
7.0%
14.2%
6.7%
2.3%
6.9%
10.8%
3.9%
1.1%
3.7%
2.0%
0.5%
0.1%
0.4%
0.2%
0.1%
0.0%
0.0%
1.9%
70 to 80
3.6%
1.4%
0.7%
1.9%
14.1%
8.1%
3.9%
8.5%
18.1%
11.0%
5.2%
11.1%
19.2%
11.7%
5.5%
11.6%
14.2%
7.1%
2.8%
6.4%
2.9%
1.1%
0.4%
0.8%
0.3%
0.1%
0.0%
0.1%
3.6%
80 to 90
5.6%
2.3%
1.2%
3.7%
16.6%
10.7%
6.2%
12.4%
21.0%
13.3%
7.7%
15.7%
24.1%
15.3%
8.7%
17.7%
19.7%
11.0%
5.8%
11.2%
3.3%
1.4%
0.7%
1.1%
0.2%
0.1%
0.0%
0.1%
5.7%
>90
6.1%
2.5%
1.5%
4.2%
18.0%
11.1%
7.1%
13.6%
23.0%
13.1%
8.3%
17.3%
26.4%
15.6%
9.9%
19.3%
18.8%
9.7%
5.3%
10.8%
3.4%
1.6%
0.8%
1.3%
0.3%
0.1%
0.1%
0.1%
6.3%
Total
4.1%
1.5%
0.6%
2.1%
13.5%
7.4%
3.2%
7.9%
17.6%
10.1%
4.4%
10.4%
19.6%
11.0%
4.8%
11.5%
14.3%
6.8%
2.5%
6.2%
2.5%
0.9%
0.3%
0.6%
0.2%
0.1%
0.0%
0.1%
3.4%
Sources: Freddie Mae and Urban Institute.
Note: Freddie Mac loan level credit data includes loans originated from Q1 1999 to Q2 2013, with performance information on these loans
through Q4 2013. Default is defined as six months delinquent or disposed of via short sales, third-party sales, deeds-in-lieu of foreclosure, or
real estate owned (REO acquisitions).
37
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
DEFAULT RATE BY VINTAGE
With cleaner books of business and the housing recovery underway, default rates for the GSEs are much lower than
they were just a few years ago. For Fannie Mae and Freddie Mac’s 1999-2003 vintages, cumulative defaults total
around 2 percent, while cumulate defaults for the 2007 vintage are above 14 percent and 12 percent respectively.
For both Fannie Mae and Freddie Mac, cumulative defaults from 2009-10 and 2011-2013 are on pace to fall below
pre-2003 levels. For Fannie loans 40 months after origination, the cumulative default rate from 2009-10 and 2011Q3 2013 are about 0.54 and 0.08 percent, respectively, compared to the cumulative default rate from 1999-2003 of
0.59 percent. For Freddie loans 34 months after origination, the cumulative default rates total 0.34 percent from
2009-10 and 0.05 percent from 2011-Q2 2013, compared to the rate from 1999-2003 of 0.38 percent.
Fannie Mae Cumulative Default Rate by Vintage Year
16%
14%
1999-2003
12%
2004
2005
10%
2006
8%
2007
6%
2008
4%
2009-2010
2%
2011-2013Q3
0%
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Loan age in years
Sources: Fannie Mae and Urban Institute.
Freddie Mac Cumulative Default Rate by Vintage Year
14%
1999-2003
12%
2004
10%
2005
8%
2006
2007
6%
2008
4%
2009-2010
2%
2011-2013Q2
0%
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Loan age in years
Sources: Freddie Mac and Urban Institute.
38
SPECIAL FEATURE: LOAN LEVEL GSE CREDIT DATA
REPURCHASE RATE BY VINTAGE
These figures show the cumulative percentage of fixed-rate, full documentation, amortizing 30-year loans of a given
vintage that Fannie and Freddie have put back to lenders due to rep and warrant violations. Note that the put-backs
are generally quite small, with the exception of the 2006-2008 vintages. These numbers exclude loans put back
through global settlements, which are not done at the loan level. Moreover, lenders’ attitudes are formed by the total
share of put-backs on their books. The database used in this analysis, while very characteristic of new production,
excludes many loans that are likely to be put back, including limited documentation loans, non-traditional products
(such as interest-only loans), and loans with pool insurance policies.
Fannie Mae Cumulative Repurchase Rate by Vintage Year
1.8%
1.6%
1999-2003
1.4%
2004
1.2%
2005
1.0%
2006
0.8%
2007
0.6%
2008
0.4%
2009-2010
0.2%
2011-2013Q3
0.0%
0
1
2
3
4
5
6
7
8
9
10
11
12 13
Loan age in years
Sources: Fannie Mae and Urban Institute.
Freddie Mac Cumulative Repurchase Rate by Vintage Year
1.8%
1999-2003
1.6%
1.4%
2004
1.2%
2005
1.0%
2006
0.8%
2007
0.6%
2008
0.4%
2009-2010
0.2%
2011-2013Q2
0.0%
0
1
2
3
4
5
6
7
8
9
10
11
12 13
Loan age in years
Sources: Freddie Mac and Urban Institute.
39
RELATED HFPC WORK
PUBLICATIONS AND EVENTS
Upcoming Events
December 17– Data Talk on Senior Housing
Visit our events page as more information becomes available.
Publications
Blog Posts
Measuring Mortgage Credit Availability Using Ex-Ante Three trends that signal hard times for renters in 2015
Probability of Default
Author: Ellen Seidman
Authors: Wei Li and Laurie Goodman
Date: November 18, 2014
Date: November 18, 2014
The 15-year mortgage is not a silver bullet for lowMeasuring Mortgage Credit Accessibility
income borrowers
Authors: Wei Li, Laurie Goodman, Ellen Seidman, Jim
Author: Ellen Seidman, Laurie Goodman, and Jun Zhu
Parrott, Jun Zhu, and Bing Bai
Date: November 13, 2014
Date: November 3, 2014
Uncertainty ahead for housing finance reform with
Comment Letter on the CFPB’s HMDA mortgage
Republican surge
data proposal
Author: Zach McDade and Sheryl Pardo
Authors: Ellen Seidman, Laurie Goodman, Wei Li
Date: November 5, 2014
Jim Parrott, Kathryn L.S. Pettit, Carlos Martin,
and Peter Tatian
Why the Government Sponsored Enterprises’ support
Date: October 22, 2014
of low-down payment loans again is no big deal
Author: Taz George, Laurie Goodman, and Jun Zhu
Assessing the Proposed Housing Goals
Date: November 4, 2014
Authors: Jim Parrott, Laurie Goodman, Wei Li
Ellen Seidman, and Jun Zhu
Six reasons to celebrate the Housing Finance Policy
Date: October 22, 2014
Center’s one-year anniversary
Author: Laurie Goodman
A New View of the Housing Boom and Bust
Date: October 24, 2014
Authors: Bing Bai and Taz George
Date: September 17, 2014
The six things we like most in the CFPB’s new mortgage
data proposal
Charting the Course to a Single Security
Author: Ellen Seidman
Authors: Laurie Goodman and Lewis Ranieri
Date: October 20, 2014
Date: September 3, 2014
Is there a ticking time bomb in the housing market?
HARP Significantly Reduced Mortgage
Author: Maia Woluchem
Default Rates
Date: October 16, 2014
Author: Jun Zhu
Date: September 3, 2014
Incomplete OIG report overstates the risks of FHFA
sunset plan
Putting Mortgage Insurers on Solid Ground
Authors: Laurie Goodman and Jun Zhu
Authors: Mark Zandi, Jim Parrott, and Cristian
Date: October 10, 2014
deRitis
Date: August 26, 2014
40
RELATED HFPC WORK
PUBLICATIONS AND EVENTS
Publications
Blog Posts
A Realistic Assessment of Housing Finance Reform
Authors: Laurie Goodman
Date: August 18, 2014
Five cities with the most racially uneven housing market
recoveries
Authors: Bing Bai and Taz George
Date: October 6, 2014
Guarantee Fees- An Art Not a Science
Authors: Laurie Goodman, Ellen Seidman,
Jim Parrott, and Jun Zhu
Date: August 14, 2014
Ten things I like about the $17 billion BOA settlement
Author: Ellen Seidman
Date: September 30, 2014
Nonbank Specialty Servicers: What the Big Deal?
Author: Pamela Lee
Date: August 4, 2014
A surprising disparity in the newest mortgage data
Authors: Bing Bai and Taz George
Date: September 25, 2014
VA Loans Outperform FHA Loans. Why?
And What Can We Learn?
Authors: Laurie Goodman, Ellen Seidman, and Jun Zhu
Date: July 16, 2014
The single-family rental securitization market won’t
exceed $20 billion
Author: Laurie Goodman
Date: September 24th, 2014
A Johnson-Crapo Dialogue
Authors: Jim Parrott, Ellen Seidman,
and Laurie Goodman
Date: July 14, 2014
Interactive map shows 12 years and more than 100
million new mortgages in 24 seconds
Authors: Bing Bai and Taz George
Date: September 17th, 2014
Supplementing the Compare Ratio: An Important Step
Toward Opening the Credit Box
Author: Laurie Goodman
Date: June 9, 2014
The $400 million case for a single GSE security
Author: Laurie Goodman
Date: September 5, 2014
Why Long Term GSE Reform Requires Congress
Author: Jim Parrott
Date: May 22, 2014
Data show surprisingly little impact of new mortgage
rules
Authors: Laurie Goodman, Ellen Seidman, Jim Parrott, and
Bing Bai
Date: August 21, 2014
HAMP Modifications: Is Reset Risk an Issue?
Authors: Laurie Goodman and Jun Zhu
Date: May 14, 2014
Why it’s no easy task to determine what the GSEs should
charge for their guarantee
Authors: Laurie Goodman, Ellen Seidman, Jim Parrott, and
Johnson Crapo GSE Discussion Draft: A Few Suggestions Jun Zhu
for Improvement
Date: August 14, 2014
Authors: Laurie Goodman and Ellen Seidman
Date: April 15, 2014
Toward a better Bank of America settlement
Author: HFPC Staff
National Mortgage Settlement: Lessons Learned
Date: August 8, 2014
Authors: Laurie Goodman and Maia Woluchem
Date: April 15, 2014
41
Copyright © November 2014. The Urban Institute. All rights reserved. Permission is granted for reproduction of this file, with attribution to
the Urban Institute.
The Urban Institute is a nonprofit, nonpartisan policy research and educational organization that examines the social, economic, and
governance problems facing the nation. The views expressed are those of the authors and should not be attributed to the Urban Institute, its
trustees, or its funders. The Urban Institute’s Housing Finance Policy Center (HFPC) was launched with generous support at the leadership
level from the Citi Foundation and John D. and Catherine T. MacArthur Foundation. Additional support was provided by The Ford Foundation
and The Open Society Foundations.
Ongoing support for HFPC is also provided by the Housing Finance Council, a group of firms and individuals supporting high-quality
independent research that informs evidence-based policy development. Funds raised through the Council provide flexible resources, allowing
HFPC to anticipate and respond to emerging policy issues with timely analysis. This funding supports HFPC’s research, outreach and
engagement, and general operating activities. Funders do not determine research findings or influence scholars’ conclusions. Scholars are
independent and empowered to share their evidence-based views and recommendations shaped by research. The Urban Institute does not
take positions on issues.
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