HOUSING FINANCE POLICY CENTER
HOUSING FINANCE
AT A GLANCE
A MONTHLY CHARTBOOK
August 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
Ellen Seidman
Senior Fellow
Jim Parrott
Senior Fellow
Sheryl Pardo
Associate Director of Communications
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.
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
Copyright © August 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.
2
INTRODUCTION
Market developments
The economy continues to recover from the Great
Recession, with the aggregate value of the US housing
market rising along with home prices. Historically we have
also seen an expansion in mortgage debt during a
recovery like this, but the amount of mortgage debt
declined each year since 2007, according to Federal
Reserve’s latest Flow of Funds report (page 6). This
contraction in mortgage debt has been driven largely by
credit tightness, discouraging potential homebuyers and
giving a decided edge to cash bids . Some of these cash
buyers are investors, both large and small, looking to
profit from an increase in rental households amid rising
home values. The continued drop in mortgage debt
highlights the need to focus on ways to expand credit
availability, particularly for borrowers with less-thanpristine credit scores (page 14). Ongoing efforts include
the FHA’s Blueprint for Access Program and FHFA’s
attempt to clarify reps and warrants.
A combination of prepayments, liquidations, and very few
new non-agency originations (page 10) continues to
shrink the private label securities market, now at $754
billion, down from $2.3 trillion in 2007 (page 6). The
Treasury is engaged in an effort to better understand the
problems involved in reviving this market. They issued a
request for comments, with a deadline of August 8, and
received 28 responses.
Non-bank activity rising
Non-banks are playing an increasingly large role both as
originators and servicers of the mortgages that are being
made. In the first half of 2014, non-banks comprised 16 of
the 30 largest lenders. The same is true in servicing
market, with the transfer of servicing rights from banks to
non-banks becoming commonplace. In 2013, Ginnie Mae
saw $150 billion of mortgage servicer rights transferred,
representing 10 percent of their total book of business. As
a result of this rapid growth, non-bank entities have come
under increasing scrutiny, in particular Ocwen, Nationstar,
and Walter. In a recent commentary, we look at the
concerns around these non-bank entities, separating fact
from fiction.
Requirements. Both guarantee fees and PMI premiums
ultimately drive the pricing on high LTV mortgages. We
weigh in on g-fees (see page 20) in a recent commentary,
arguing that fee setting is a heavily assumption-driven
exercise, and that the FHFA should consider the GSEs’
mission and “duty to serve.”
In another request for input, the FHFA released a
proposed structure of a single security for both GSEs.
The security could be guaranteed by either Fannie Mae or
Freddie Mac, and would sport most of the pooling
features of the current Fannie Mae MBS and most of the
disclosure features of the Freddie Mac Participation
Certificates. Both legacy Fannie and Freddie securities
would be fungible with the single security. While this is a
multi-year effort, it will eventually be a win for taxpayers,
consumers, and lenders alike by closing the pricing gap
between GSE securities and enhancing liquidity in the
mortgage market.
INSIDE THIS ISSUE
•
Value of housing market increases, but mortgage
debt declines (page 6)
•
First lien originations in 2014 far below 2013 pace;
bank portfolio share increasing (page 8)
•
Refi issuance share continues to drop, expected to
fall further in 2015 (pages 11-12)
•
San Francisco Bay Area credit scores and
downpayments are the highest in the nation for
new originations (page 15)
•
$30 billion in new Freddie Mac risk-sharing
transactions, including first deal with mortgages
over 80 LTV (page 21)
•
Mortgage insurance activity increases sharply and
PMIs gain market share in Q2 2014 (page 32)
•
Quarterly feature: GSE composition, default, and
repurchase rates (pages 34-39)
FHFA Actions
The FHFA has extended the comment period for input on
guarantee fees until September 8, aligning it with the
comment period on Private Mortgage Insurance Eligibility
3
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
4
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
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
5
OVERVIEW
MARKET SIZE OVERVIEW
Fed Flow of Funds data from 2014 Q1 indicate an increase in the total value of the US residential 1-4 unit housing
market to 21.2 trillion from 20.4 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 $9.85 trillion. Agency MBS make
up 56.9 percent of the total mortgage market, private-label securities make up 7.8 percent, and unsecuritized first
liens at the GSEs, commercial banks, savings institutions, and credit unions make up 28.3 percent. Second liens
comprise the remaining 7.0 percent of the total.
Value of the US Housing Market
25
21.2
Debt, household mortgages
20
$ trillions
Total value
15
Household equity
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
Q1
Sources: Federal Reserve Flow of Funds and Urban Institute.
Size of the US Residential Mortgage Market
6
Agency MBS
5.6
5
$ trillions
4
Unsecuritized first liens
Debt,
household
mortgages,
$9,833
3
2
2.8
Private Label Securities
0.8
1
0.7
Second Liens
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Q1
Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, eMBS and Urban Institute.
Note: Unsecuritizied first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions
6
OVERVIEW
MARKET SIZE OVERVIEW
As of June 2014, debt in the private-label securitization market totaled $754 billion and was split among prime
(19.7 percent), Alt-A (43.9 percent), and subprime (36.4 percent) loans. In July 2014, outstanding securities in the
agency market totaled $5.57 trillion and were 46.8 percent Fannie Mae, 27.2 percent Freddie Mac, and 26.0
percent Ginnie Mae.
Private-Label Securities by Product Type
1.0
0.8
$ trillions
0.6
Subprime
Prime
0.4
Alt-A
0.331
0.274
0.2
0.149
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Jun-10
Dec-10
Jun-09
Dec-09
Jun-08
Dec-08
Jun-07
Dec-07
Dec-06
Jun-06
Dec-05
Jun-05
Dec-04
Jun-04
Dec-03
Jun-03
Jun-02
Dec-02
Jun-01
Dec-01
Jun-00
Dec-00
Jun-99
Dec-99
Dec-98
0.0
Sources: CoreLogic and Urban Institute.
Agency Mortgage-Backed Securities
$6
Total
5.574
$4
Fannie Mae
$3
2.604
$2
Freddie Mac
$1
1.517
1.452
Ginnie Mae
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
Jul-10
Jan-10
Jul-09
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jan-06
Jul-05
Jan-05
Jul-04
Jan-04
Jul-03
Jan-03
Jul-02
Jan-02
Jul-01
$0
Jan-01
$ trillions
$5
Sources: eMBS and Urban Institute.
7
OVERVIEW
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 23 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.
$4.0
$3.5
$3.0
$ trillions
$2.5
$2.0
$1.5
$0.135
$0.003
$0.117
$0.259
$1.0
$0.5
2014 Q1-2
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2002
PLS securitization
2003
$0.0
Bank portfolio
FHA/VA securitization
GSE securitization
100%
90%
26.2%
80%
0.5%
70%
22.8%
60%
50%
40%
30%
50.5%
20%
10%
2013
2012
2011
2010
2009
2008
2007
2006
2014 Q1-2
Sources: Inside Mortgage Finance and Urban Institute.
2005
2004
2003
2002
0%
8
OVERVIEW
OVERVIEW
MORTGAGE
MORTGAGE ORIGINATION
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 now consist of 7
percent of total originations. Fifteen-year FRMs, predominantly a refinance product, comprise 15 percent of new
originations. If we exclude refinances (bottom chart), the share of 30-year FRMs in May 2014 stood at 85 percent, 15year FRMs at 6 percent, and ARMs at 7 percent.
All Originations
100%
90%
80%
70%
60%
Fixed-rate 30-year mortgage
Fixed-rate 15-year mortgage
50%
40%
30%
Adjustable-rate mortgage
20%
Other
10%
Oct-13
May-14
Mar-13
Aug-12
Jan-12
Jun-11
Nov-10
Apr-10
Sep-09
Jul-08
Feb-09
Dec-07
Oct-06
May-07
Mar-06
Jan-05
Aug-05
Jun-04
Nov-03
Apr-03
Sep-02
Jul-01
Feb-02
Dec-00
May-00
0%
Sources: CoreLogic Prime Servicing and Urban Institute.
Purchase Loans Only
100%
90%
80%
70%
60%
50%
Fixed-rate 30-year mortgage
40%
Fixed-rate 15-year mortgage
30%
Adjustable-rate mortgage
Other
20%
10%
Sources: CoreLogic Prime Servicing and Urban Institute.
9
May-14
Oct-13
Mar-13
Aug-12
Jan-12
Jun-11
Nov-10
Apr-10
Sep-09
Feb-09
Jul-08
Dec-07
May-07
Oct-06
Mar-06
Aug-05
Jan-05
Jun-04
Nov-03
Apr-03
Sep-02
Feb-02
Jul-01
Dec-00
May-00
0%
OVERVIEW
SECURITIZATION VOLUME AND
COMPOSITION
Agency/Non-Agency Share of Residential MBS Issuance
99%
Agency share
Non-Agency share
2014 YTD
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1%
1995
Non-agency single-family 100%
MBS issuance has
90%
hovered at or below 2
80%
percent of total issuance
since early 2011, and this
70%
share is even lower if re60%
REMICs are excluded.
The environment in 2014
50%
has not been favorable for
40%
new non-agency deals. In
the first 7 months of 2014,
30%
total non-agency issuance
was $6.8 billion,
20%
compared to $21.9 billion
10%
over the same period in
2013.
0%
Sources: Inside Mortgage Finance and Urban Institute.
Non-Agency Securitization 2.0
$1,200
$6
$1,000
$5
$800
$4
$2
Subprime
Alt A
May-14
Mar-14
Jan-14
Nov-13
Sep-13
Jul-13
Mar-13
May-13
Jan-13
Nov-12
Sep-12
$0
Jul-12
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014 Q1-2
$0
$1
May-12
$200
$3.2
$0.4
$0
$2.3
Mar-12
$400
Prime
$3
All other
Source: Inside Mortgage Finance and Urban Institute.
Sources: Inside Mortgage Finance and Urban Institute.
Note: Monthly figures equal total non-agency MBS issuance
minus Re-REMIC issuance.
10
Jul-14
$600
0.937
$ billions
$ billions
Non-Agency MBS Issuance
OVERVIEW
AGENCY ACTIVITY:
VOLUMES AND PURCHASE/REFI
COMPOSITION
Agency issuance continues declining, totaling $493.9 billion in the first seven months of 2014, compared to
$1.069 trillion for the same period a year ago. In July 2014, refinances were 36 and 42 percent of the GSEs’
business, down from the first quarter’s average of 52 and 55 percent. The Ginnie Mae market has always been
more purchase-driven, with refinance volume of 23 percent in July 2014.
Agency Gross Issuance
Fannie Mae
Freddie Mac
Ginnie Mae
$2.5
$ trillions
$2.0
$1.5
$1.0
$0.27
$0.23
$0.35
$0.5
$0.0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Ann.
Sources: eMBS and Urban Institute.
Note: Year to date as of July 2014.
Percent Refi at Issuance
Freddie Mac
Fannie Mae
Ginnie Mae
Mortgage rate
100%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
80%
60%
40%
20%
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
Jul-10
Jan-10
Jul-09
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jan-06
Jul-05
Jan-05
Jul-04
Jan-04
0%
Sources: eMBS and Urban Institute.
Note: Based on at-issuance balance.
11
OVERVIEW
STATE OF THE MARKET
MORTGAGE ORIGINATION
PROJECTIONS
The sharp drop in mortgage originations, combined with a gradual rise in interest rates and the Fed tapering, has led
to lower origination projections from the GSEs and MBA over the next two years. The GSE projections in particular
suggest a sharp decline in the refinance share occurring over the next 4 quarters to around 20 percent, while the MBA
foresees a less pronounced drop to around 35 percent. Home sales are expected to soften in 2014, while housing
starts should pick up steam. Both housing starts and home sales are expected to strengthen considerably in 2015.
Total Originations and Refinance Shares
Period
Originations ($ billions)
Total, FNMA Total, FHLMC Total, MBA
estimate
estimate
estimate
532
572
450
358
237
317
317
254
238
297
293
269
1496
2154
1913
1130
1119
2013 Q1
2013 Q2
2013 Q3
2013 Q4
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
532
572
450
350
250
345
320
260
275
350
270
190
1492
2122
1925
1250
1125
524
537
401
293
226
267
281
240
271
288
295
276
1436
2044
1755
1014
1130
FNMA
estimate
Refi Share (%)
FHLMC
estimate
73
65
52
52
48
41
36
28
34
24
23
26
66
72
62
37
26
73
65
52
51
48
41
31
30
30
22
18
17
64
70
61
40
23
MBA
estimate
74
66
51
53
49
41
41
40
38
35
34
35
65
71
63
43
35
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. The yearly averages for interest rates in 2011, 2012, and 2013 were 4.5, 3.7, and 4.0 percent, respectively. The projected average
annual rates for 2014 and 2015 range from 4.3 to 4.5 percent, and 4.5 to 5.1 percent, respectively.
Housing Starts and Homes Sales
Housing Starts, thousands
Home Sales
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
1054
1273
610
780
920
1050
1400
612
783
930
1013
1163
4566
5028
5519
5452
5833
4570
5030
5510
5400
5800
4501
5030
5505
5305
5756
4200
4661
5073
4850
5253
301
369
432
455
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 mortgage interest rates have risen 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 rising
steadily over the past few years, 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 gfees) as well as points paid by the borrower.
Originator Profitability and Unmeasured Costs
6
Dollars per $100 loan
5
4
3
$2.22
2
1
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
Jul-10
Jul-09
Jan-10
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jan-06
Jul-05
Jul-04
Jan-05
Jan-04
Jul-03
Jan-03
Jul-02
Jan-02
Jul-01
Jan-01
Jul-00
0
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 (4week moving) average.
13
STATE OF THE MARKET
OVERVIEW
CREDIT
CREDIT AVAILABILITY
AVAILABILITY FOR
FOR
PURCHASE LOANS
Access to credit has become extremely tight, especially for borrowers with low FICO scores. The 10th percentile of
FICO scores, which represents the lower bound of creditworthiness needed to qualify for a mortgage, stood at 658 as
of May 2014. Prior to the housing crisis, this threshold held steady in the low 600s. LTV levels at origination remain
relatively high, averaging 86.1, which reflects the large number of FHA purchase originations.
Borrower FICO Score at Origination
850
90th percentile
FICO Score
800
801
750
745
737
Median
700
Mean
650
658
600
550
10th percentile
May-14
Nov-13
May-13
Nov-12
May-12
Nov-11
May-11
Nov-10
May-10
Nov-09
May-09
Nov-08
May-08
Nov-07
May-07
Nov-06
May-06
Nov-05
May-05
Nov-04
May-04
Nov-03
May-03
Nov-02
May-02
Nov-01
May-01
500
Sources: CoreLogic Prime Servicing and Urban Institute.
Note: Purchase-only loans.
Combined LTV at Origination
110
90th percentile
100
90
101
90
Mean
86
LTV
80
Median
70
68
60
10th percentile
50
40
May-14
Nov-13
May-13
Nov-12
May-12
Nov-11
May-11
Nov-10
May-10
Nov-09
May-09
Nov-08
May-08
Nov-07
May-07
Nov-06
May-06
Nov-05
May-05
Nov-04
May-04
Nov-03
May-03
Nov-02
May-02
Nov-01
May-01
30
Sources: CoreLogic Prime Servicing and Urban Institute.
Note: Purchase-only loans.
14
Mean origination FICO score
780
100
770
95
760
90
750
85
740
80
730
75
720
70
710
65
700
60
Sources: CoreLogic Prime Servicing as of May 2014 and Urban Institute.
Note: Purchase-only loans.
15
Origination LTV
San Francisco-Redwood City-South San Francisco CA
San Jose-Sunnyvale-Santa Clara CA
Oakland-Hayward-Berkeley CA
New York-Jersey City-White Plains NY-NJ
Los Angeles-Long Beach-Glendale CA
Newark NJ-PA
San Diego-Carlsbad CA
Seattle-Bellevue-Everett WA
Portland-Vancouver-Hillsboro OR-WA
Boston MA
Nassau County-Suffolk County NY
Washington-Arlington-Alexandria DC-VA-MD-WV
Denver-Aurora-Lakewood CO
Chicago-Naperville-Arlington Heights IL
Baltimore-Columbia-Towson MD
Minneapolis-St. Paul-Bloomington MN-WI
Dallas-Plano-Irving TX
Charlotte-Concord-Gastonia NC-SC
St. Louis MO-IL
Kansas City MO-KS
Atlanta-Sandy Springs-Roswell GA
Sacramento--Roseville--Arden-Arcade CA
Pittsburgh PA
Orlando-Kissimmee-Sanford FL
Houston-The Woodlands-Sugar Land TX
Columbus OH
Cincinnati OH-KY-IN
Philadelphia PA
Tampa-St. Petersburg-Clearwater FL
Fort Worth-Arlington TX
Miami-Miami Beach-Kendall FL
Riverside-San Bernardino-Ontario CA
Las Vegas-Henderson-Paradise NV
Phoenix-Mesa-Scottsdale AZ
Cleveland-Elyria OH
San Antonio-New Braunfels TX
Detroit-Dearborn-Livonia MI
Origination FICO
STATE OF THE MARKET
OVERVIEW
CREDIT
CREDIT AVAILABILITY
AVAILABILITY FOR
FOR
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 770, while in Detroit-Dearborn-Livonia MI it is 719. 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
Mean origination LTV
St. Louis MO-IL
Newark NJ-PA
$240,000
$200,000
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
May 2014 than in 2000-03.
16
Cleveland-Elyria OH
Credit
Bubble
Las Vegas-Henderson-Paradise NV
Columbus OH
Cincinnati OH-KY-IN
Pittsburgh PA
Tampa-St. Petersburg-Clearwater FL
Detroit-Dearborn-Livonia MI
Chicago-Naperville-Arlington Heights IL
Median sales price
Max affordable price at 6.0% rate
Nassau County-Suffolk County NY
Minneapolis-St. Paul-Bloomington MN-WI
$260,000
Denver-Aurora-Lakewood CO
May-00
Nov-00
May-01
Nov-01
May-02
Nov-02
May-03
Nov-03
May-04
Nov-04
May-05
Nov-05
May-06
Nov-06
May-07
Nov-07
May-08
Nov-08
May-09
Nov-09
May-10
Nov-10
May-11
Nov-11
May-12
Nov-12
May-13
Nov-13
May-14
$280,000
Orlando-Kissimmee-Sanford FL
San Antonio-New Braunfels TX
Kansas City MO-KS
Sacramento--Roseville--Arden-Arcade CA
Fort Worth-Arlington TX
Atlanta-Sandy Springs-Roswell GA
Riverside-San Bernardino-Ontario CA
Houston-The Woodlands-Sugar Land TX
San Diego-Carlsbad CA
Phoenix-Mesa-Scottsdale AZ
Housing prices
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.
Boston MA
Home prices are still very affordable by
historical standards, despite increases
over the last three years and a modest
rise in interest rates over the past year.
Even if interest rates rose to 6 percent,
affordability would be at the long term
historical average.
Oakland-Hayward-Berkeley CA
Charlotte-Concord-Gastonia NC-SC
Baltimore-Columbia-Towson MD
Dallas-Plano-Irving TX
Seattle-Bellevue-Everett WA
Miami-Miami Beach-Kendall FL
New York-Jersey City-White Plains NY-NJ
Portland-Vancouver-Hillsboro OR-WA
Philadelphia PA
San Francisco-Redwood City-S. San Francisco CA
San Jose-Sunnyvale-Santa Clara CA
Washington-Arlington-Alexandria DC-VA-MD-WV
Los Angeles-Long Beach-Glendale CA
Ratio
STATE OF THE MARKET
HOUSING AFFORDABILITY
National Housing Affordability Over Time
Max affordable price
$300,000
$278,432
$238,861
$220,000
$205,000
$180,000
$160,000
$140,000
$120,000
Affordability Adjusted for MSA-Level DTI
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 repeated sales HPI from CoreLogic and hedonic index from Zillow.
15.0%
CoreLogic HPI
10.0%
7.5%
6.3%
5.0%
0.0%
Zillow HVI
-5.0%
-10.0%
-15.0%
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Dec-10
Jun-10
Dec-09
Jun-09
Dec-08
Jun-08
Dec-07
Jun-07
Dec-06
Jun-06
Dec-05
Jun-05
Dec-04
Jun-04
Dec-03
Jun-03
Dec-02
Jun-02
-20.0%
Dec-01
Year-over-year growth rate
20.0%
Sources: CoreLogic, Zillow and Urban Institute.
Changes in CoreLogic HPI for Top MSAs
Despite rising 29.2 percent from the trough, national house prices still must grow 14.8 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
2000 to peak
Peak to
trough
Trough to
current
99.3
116.4
181.8
65.5
40.8
160.1
44.3
126.2
194.4
38.1
74.1
94.2
36.2
129.1
148.9
162.8
-32.6
-20.1
-39.2
-36.6
-33.5
-33.4
-12.7
-52.8
-53.4
-13.8
-30.8
-32.1
-14.6
-25.8
-38.3
-37.1
29.2
17.4
42.6
23.4
37.3
30.4
30.8
47.9
47.7
25.1
25.4
35.0
32.5
11.5
37.2
37.6
% Rise needed
to achieve
peak
14.8
6.6
15.4
27.7
9.6
15.2
-12.4
43.2
45.2
-7.2
15.1
9.1
-11.6
20.8
18.2
15.6
Sources: CoreLogic HPIs as of June 2014 and Urban Institute.
Note: This table includes the largest 15 Metropolitan areas by mortgage count.
17
OVERVIEW
STATE OF THE MARKET
NEGATIVE EQUITY & SERIOUS
DELINQUENCY
Negative Equity Share
With housing prices appreciating through the first quarter of 2014, residential properties in negative equity (LTV
greater than 100) as a share of all residential properties with a mortgage has dropped to 12.7 percent. Residential
properties in near negative equity (LTV between 95 and 100) comprise another 3.2 percent.
35%
30%
Near or in negative
equity
25%
20%
15.9%
12.7%
15%
10%
Negative equity
5%
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.
Note: CoreLogic negative equity rate is the percent of all residential properties with a mortgage with greater than 100 percent current LTV.
Loans near negative equity refer to loans above 95 percent current LTV.
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. 5.0 percent of loans were 90 days delinquent or in foreclosure in the first quarter of
2014, down from 6.4 percent for the same quarter a year earlier.
12%
Percent of loans 90
days delinquent or in
foreclosure
Percent of loans in
foreclosure
Percent of loans 90
days delinquent
10%
8%
6%
5.0%
4%
2.7%
2%
2.4%
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
0%
Sources: Mortgage Bankers Association and Urban Institute.
18
GSES UNDER CONSERVATORSHIP
GSE PORTFOLIO WIND-DOWN
Freddie and Fannie continue to rapidly shrink their portfolios. Year over year, Fannie has contracted by 19.9
percent, and Freddie Mac by 19.4 percent. As of June 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
900
800
700
600
$ billions
Current size: $452.8 billion
Current cap: $469.625 billion
Shrinkage year-over-year: 19.9%
Shrinkage in less-liquid assets
year-over-year: 17.9%
500
400
300
200
Mortgage loans
100
Non-agency MBS
Jun-06
Oct-06
Feb-07
Jun-07
Oct-07
Feb-08
Jun-08
Oct-08
Feb-09
Jun-09
Oct-09
Feb-10
Jun-10
Oct-10
Feb-11
Jun-11
Oct-11
Feb-12
Jun-12
Oct-12
Feb-13
Jun-13
Oct-13
Feb-14
Jun-14
0
Non-FNMA agency MBS
Fannie MBS in portfolio
Sources: Fannie Mae and Urban Institute.
Freddie Mac Mortgage-Related Investment Portfolio
Composition
900
700
600
500
400
300
Non-agency MBS
200
Non-FHLMC agency MBS
100
FHLMC MBS in portfolio
Sources: Freddie Mac and Urban Institute.
0
Jun-06
Oct-06
Feb-07
Jun-07
Oct-07
Feb-08
Jun-08
Oct-08
Feb-09
Jun-09
Oct-09
Feb-10
Jun-10
Oct-10
Feb-11
Jun-11
Oct-11
Feb-12
Jun-12
Oct-12
Feb-13
Jun-13
Oct-13
Feb-14
Jun-14
Mortgage loans
800
$ billions
Current size: $419.9 billion
Current cap: $469.625 billion
Shrinkage year-over-year: 19.4%
Shrinkage in less-liquid assets
year-over-year: 21.3%
19
GSES UNDER CONSERVATORSHIP
GSES UNDER CONSERVATORSHIP
EFFECTIVE
EFFECTIVE GUARANTEE
GUARANTEE FEES
FEES AND
GSE RISK-SHARING TRANSACTIONS
Effective Guarantee Fees
Fannie’s average charged g-fee on new single-family originations was 62.6 bps in Q2 2014, down slightly from
63.0 in the previous quarter but up from 56.9 a year earlier. 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. The FHFA has asked for input about the level of g-fees and LLPAs with comments due September 8th.
70.0
Fannie Mae single-family effective gfee rate
62.6
60.0
Fannie Mae single-family average
charged g-fee on new acquisitions
50.0
40.0
40.3
Freddie Mac management and g-fee
rate
30.0
30.4
2Q14
1Q14
4Q13
3Q13
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
3Q09
2Q09
1Q09
20.0
Sources: Fannie Mae, Freddie Mae and Urban
10.0
Institute.
Note: Freddie only reports the effective g-fee on the 0.0
entire book of business.
Fannie Mae Upfront Loan-Level Price Adjustments (LLPAs)
LTV
≤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%
Credit Score
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)
Date
Reference Pool Size
($ millions)
Transaction
July 24, 2013
November 12, 2013
February 6, 2014
April 2, 2014
August 6, 2014
August 6, 2014
Freddie Mac Total Reference Collateral
STACR Series 2013 - DN1
STACR Series 2013 - DN2
STACR Series 2014 - DN1
STACR Series 2014 - DN2
STACR Series 2014 - DN3
STACR Series 2014 – HQ1
$22,584.40
$35,327.30
$32,076.80
$28,146.98
$19,746.23
$9,974.68
$147,856.39
Percent of Freddie Mac’s Total Book of Business
9.7%
Fannie Mae – Connecticut Avenue Securities (CAS)
Date
Reference Pool Size
($ millions)
Transaction
October 24, 2013
CAS 2013 - C01
January 14, 2014
CAS 2014 - C01
May 28, 2014
CAS 2014 - C02
July 25, 2014
CAS 2014 – C03
Fannie Mae Total Reference Collateral
Percent of Fannie Mae’s Total Book of Business
$26,756.40
$29,308.70
$60,818.48
$78,233.73
$195,117.31
7.5%
Details of Freddie Mac’s latest capital markets transaction, STACR Series 2014 – DN3
Class
A-H
M-1, M-1H, Total
M-2, M-2H, Total
M-3, M-3H, Total
B-H
Reference Pool Size
Amount
($ millions)
Tranche
Thickness (%)
$18,837.91
$160.00, $37.46, $197.46
$192.00, $44.95, $236.95
$320.00, $74.92, $394.92
$78.98
$19,746.23
95.4
1
1.2
2
0.4
100
CE (%)
Rating
Initial
Spread (bps)
4.6
3.6
2.4
0.4
0
NR
F: A-sf; M: A1
F: BBB-sf; M: A3
NR
NR
135
240
400
-
Details of Freddie Mac’s latest capital markets transaction, STACR Series 2014 – HQ1
A-H
M-1, M-1H, Total
M-2, M-2H, Total
M-3, M-3H, Total
B-H
Reference Pool Size
$9,326.33
$192.00, $47.39, $239.39
$124.00, $30.61, $154.61
$144.00, $35.54, $179.54
$74.81
$9,974.68
93.5
2.4
1.55
1.8
0.75
100
6.5
4.1
2.55
0.75
0
NR
F: A-sf; M: A2
F: BBB-sf; M: Baa2
NR
NR
165
250
410
-
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. “CE” = credit enhancement. Under “Rating,” “F” = Fitch, “M” = Moody’s.
21
OVERVIEW
SERIOUS
DELINQUENCY RATES AT
GSES UNDER CONSERVATORSHIP
SERIOUS
THE GSEsDELINQUENCY RATES
Serious delinquency rates of 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 June 2014, 2.05 percent of the Fannie portfolio
and 2.07 percent of the Freddie portfolio were seriously delinquent, down from 2.77 percent and 2.79 percent a
year earlier, respectively.
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%
3.91%
2%
2.05%
1.74%
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Dec-10
Jun-10
Dec-09
Jun-09
Dec-08
Jun-08
Dec-07
Dec-06
Jun-07
0%
Sources: Fannie Mae and Urban Institute.
Serious Delinquency Rates–Freddie Mac
Single-family: Non-credit enhanced
Single-family: Credit enhanced
Single-family: Total
Percentage of total loans
10%
9%
8%
7%
6%
5%
4%
3%
2%
1%
0%
4.01%
Jun-14
Dec-13
Jun-13
Dec-12
Jun-12
Dec-11
Jun-11
Dec-10
Jun-10
Dec-09
Jun-09
Dec-08
Jun-08
Dec-07
Jun-07
Dec-06
2.07%
1.78%
Sources: Freddie Mac and Urban Institute.
22
GSES UNDER CONSERVATORSHIP
SERIOUS DELINQUENCY RATES
Serious delinquencies for FHA and GSE single-family loans continue to decline, but remain high relative to
2005-2007. 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
Fannie Mae
Freddie Mac
10%
Percentage of total loans
9%
8%
7%
6.65%
6%
5%
4%
3%
2.20%
2.19%
2%
1%
1Q05
2Q05
3Q05
4Q05
1Q06
2Q06
3Q06
4Q06
1Q07
2Q07
3Q07
4Q07
1Q08
2Q08
3Q08
4Q08
1Q09
2Q09
3Q09
4Q09
1Q10
2Q10
3Q10
4Q10
1Q11
2Q11
3Q11
4Q11
1Q12
2Q12
3Q12
4Q12
1Q13
2Q13
3Q13
4Q13
1Q14
0%
Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute.
Note: Serious delinquency rate is the number of loans 90 days or more past due or in the foreclosure process, divided by the total loan count.
.
Serious Delinquency Rates–Multifamily GSE Loans
Fannie Mae
Freddie Mac
0.9%
0.7%
0.6%
0.5%
0.4%
0.3%
0.2%
Jun-14
Oct-13
Feb-14
Jun-13
Feb-13
Oct-12
Jun-12
Feb-12
Oct-11
Jun-11
Feb-11
Oct-10
Jun-10
Feb-10
Oct-09
Jun-09
Feb-09
Oct-08
Jun-08
Feb-08
Oct-07
Jun-07
Oct-06
Feb-07
0.02%
Jun-06
0.0%
Feb-06
0.10%
Oct-05
0.1%
Jun-05
Percentage of total loans
0.8%
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-the-money), and (2) a considerable number of borrowers who have already refinanced. Nonetheless, HARP
refinances total 3.171 million since the Q2 2009 program inception, accounting for 16.3 percent of all GSE
refinances in this period.
Total HARP Refinance Volume
HARP Refinance Volume - Fannie
HARP Refinance Volume - Freddie
350
300
Thousands
250
200
150
100
30.0
50
46.9
1Q14
4Q13
3Q13
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
3Q09
2Q09
-0
Sources: FHFA Refinance Report and Urban Institute.
HARP Refinances
May
2014
Year-to-date
2014
Inception to
date
2013
2012
2011
Total refinances
107,320
595,467
19,467,719
4,081,911
4,750,530
3,229,066
Total HARP refinances
16,565
113,182
3,171,138
892,914
1,074,769
400,024
Share 80–105 LTV
73.7%
70.9%
69.8%
56.4%
56.4%
85.0%
Share 105–125 LTV
16.2%
17.6%
17.3%
22.4%
22.4%
15.0%
Share >125 LTV
10.1%
11.5%
13.0%
21.2%
21%
0%
21,592
124,232
3,377,429
735,210
729,235
785,049
All other streamlined
refinances
Sources: FHFA Refinance Report and Urban Institute.
24
OVERVIEW
GSES UNDER CONSERVATORSHIP
GSE LOANS: DISTRIBUTION OF
GSE
LOANS:REFINANCES
POTENTIAL
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 934,714 eligible loans, but 42 percent are out-of-the-money because the closing cost
would exceed the long-term savings, leaving 539,126 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 7,076,355 loans in this category, 5,201,949 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, which FHFA Director Mel Watt has stated will not be extended.
Total loan count
26,751,988
Loans that do not meet pay history requirement
Loans that meet pay history requirement:
955,410
25,796,578
Pre-June 2009 origination
8,011,069
Post-June 2009 origination
17,785,509
Loans Meeting HARP Pay History Requirements
Pre-June 2009
LTV category
In-the-money
Out-of-the-money
Total
≤80
>80
Total
5,201,949
539,126
5,741,075
1,874,406
395,588
2,269,994
7,076,355
934,714
8,011,069
Post-June 2009
LTV category
In-the-money
Out-of-the-money
Total
≤80
>80
Total
1,691,880
384,193
2,076,073
13,486,605
2,222,831
15,709,436
15,178,485
2,607,024
17,785,509
Sources: CoreLogic Prime Servicing as of June 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). Striped 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, around 12,000 in both April and May.
Active permanent mods have increased 9 percent since May 2013 to 955,000 (bottom).
New HAMP Modifications
Number of mods (thousands)
180
New trial mods started
160
New permanent mods
started
140
120
100
New active permanent
mods
80
60
40
12
9
4
20
Mar-14
May-14
Jan-14
Nov-13
Sep-13
Jul-13
May-13
Mar-13
Jan-13
Nov-12
Jul-12
Sep-12
May-12
Jan-12
Mar-12
Nov-11
Sep-11
Jul-11
Mar-11
May-11
Jan-11
Nov-10
Sep-10
Jul-10
May-10
Jan-10
Mar-10
Nov-09
Jul-09
Sep-09
May-09
0
Sources: U.S. Treasury Making Home Affordable and Urban Institute.
Cumulative HAMP Modifications
Number of mods (millions)
2.5
All trials mods started
2.21
All permanent mods
started
1.38
2.0
1.5
1.0
0.95
Active permanent mods
0.5
May-14
Mar-14
Jan-14
Nov-13
Sep-13
Jul-13
May-13
Mar-13
Jan-13
Nov-12
Sep-12
Jul-12
May-12
Mar-12
Jan-12
Nov-11
Sep-11
Jul-11
May-11
Mar-11
Jan-11
Nov-10
Sep-10
Jul-10
May-10
Mar-10
Jan-10
Nov-09
Sep-09
Jul-09
May-09
0.0
Sources: U.S. Treasury Making Home Affordable and Urban Institute.
26
MODIFICATION BY TYPE OF ACTION
MODIFICATION
BYOF
TYPE
AND BY BEARER
RISKOF ACTION
AND BEARER OF RISK
MODIFICATION
ACTIVITY
OVERVIEW
The share of principal reduction modifications peaked at 20 percent in December 2012 before dropping
dramatically to 8.1 percent in Q1 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-presentvalue 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
12/31/12 03/31/13
6/30/13
9/30/13
12/31/13
3/31/14
One quarter
% change
One year
% change
Capitalization
84.6
79.3
81.6
83.5
87.7
74.3
-15.3
-5.9
Rate Reduction
73.3
80.1
81.0
78.9
76.7
73.3
-4.4
-8.5
Rate Freeze
3.9
3.7
5.2
5.5
7
6.5
-6.6
76.9
Term Extension
Principal
Reduction
Principal Deferral
58.9
60.3
67.7
69.3
75.9
78
2.7
29.2
20.0
15.2
12.2
13.6
10.5
8.1
-22.8
-46.4
20.5
18.2
20.5
25.3
30.6
25.1
-17.9
37.8
Not Reported*
1.1
0.7
1.5
2.2
0.7
-5.6
-1.7
0.7
Sources: OCC Mortgage Metrics Report for the First 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
76.0
70.0
36.5
79.2
93.6
63.7
Rate reduction
56.8
75.6
82.8
70.6
69.5
73.3
Rate freeze
9.6
4.7
6.6
3.6
7.8
6.5
Term extension
90.0
93.4
96.1
29.6
57.8
78.0
Principal reduction
0.0
0.0
0.1
15.0
37.6
8.1
Principal deferral
20.8
27.8
22.3
31.4
27.6
25.1
Not reported*
2.1
0.3
0.1
1.9
0.8
0.9
Sources: OCC Mortgage Metrics Report for the First 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
7.12 million borrowers have received a modification since Q3 2007, compared with 7.18 million liquidations in
the same period. Annualizing year-to-date numbers, we have seen sharp declines in both liquidation and
modification activity in 2014 versus 2013. In fact, in the first five months of 2014, foreclosures and short sales
dropped to their lowest rates since 2008.
Loan Modifications and Liquidations
1,400
1,200
1,000
626
800
351
600
400
156
Number of loans (thousands)
1,600
200
0
2007
(Q3-Q4)
2008
2009
2010
2011
2012
2013
2014
(Ann.)
HAMP mods
Proprietary mods
Liquidations
Sources: Hope Now Reports and
Urban Institute.
Note: Liquidations includes both
foreclosure sales and short
sales. Annualized figure based
on data from April 2014.
7.18
Cumulative Modifications and Liquidations
8
5.75
6
5
HAMP mods
4
Proprietary mods
3
Liquidations
1.38
Number of loans (millions)
7
2
1
0
2007
(Q3-Q4)
2008
2009
2010
2011
2012
2013
2014
YTD
Sources: Hope Now Reports
and Urban Institute.
Note: Liquidations includes both
foreclosure sales and short
sales.
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%
Portfolio Loans
20%
Overall
10%
0%
2008
2009
2010
2011
Year of modification
2012
2013
Sources: OCC Mortgage Metrics Report for the First Quarter of 2014 and Urban Institute.
Redefault Rate 24 Months after Modification
80%
70%
Fannie Mae
Freddie Mac
Government-guaranteed
Private
Portfolio loans
Redefault rate
60%
50%
40%
30%
20%
Overall
10%
0%
2008
2009
2010
Year of modification
2011
2012
Sources: OCC Mortgage Metrics Report for the First Quarter of 2014 and Urban Institute.
29
AGENCY ISSUANCE
AGENCY GROSS AND NET ISSUANCE
With refinancing activity falling off amid rising interest rates, newly issued agency securities (agency gross
issuance) have fallen off as well. Agency gross issuance totaled $494 billion in July 2014, a 53.8 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 during 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
$337.6
$156.3
$493.9
2014 YTD
-$6.6
$31.2
$24.6
%Change
year-over-year
-58.3%
-39.7%
-53.8%
%Change
year-over-year
-119.3%
-39.8%
-71.4%
2014 (Ann.)
$578.71
$267.96
$846.67
2014 (Ann.)
-$11.29
$53.45
$42.15
Sources: eMBS and Urban Institute.
Note: Dollar amounts are in billions.
Year-to-date figure as of July 2014.
Sources: eMBS and Urban Institute.
Note: Dollar amounts are in billions.
Year-to-date figure as of July 2014.
30
OVERVIEW
AGENCY
ISSUANCE
OVERVIEW
AGENCY GROSS AND NET ISSUANCE
AGENCY
GROSS
ISSUANCE
&
FED
BY MONTH
PURCHASES
Monthly Gross Issuance
Fannie Mae
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 28 percent of total
agency issuance in 2010,
declined to 25 percent in 2013,
and has since risen to 32 percent
in July 2014.
Freddie Mac
Ginnie Mae
250
$ billions
200
150
100
50
Jul-01
Jan-02
Jul-02
Jan-03
Jul-03
Jan-04
Jul-04
Jan-05
Jul-05
Jan-06
Jul-06
Jan-07
Jul-07
Jan-08
Jul-08
Jan-09
Jul-09
Jan-10
Jul-10
Jan-11
Jul-11
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
0
Sources: eMBS, Federal Reserve Bank of
New York and Urban Institute.
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. In Q2 2014, gross issuance
increased and the Fed continued to taper. In July, gross issuance edged up to $86.88 billion, while total Fed
purchases declined further to $33.7 billion, yielding 39 percent Fed absorption of gross issuance. This share is
expected to fall further as the Fed announced plans in July’s meeting to further trim its bond-buying program by
$10 billion. The program is expected to end in October 2014.
Gross issuance
Total Fed purchases
250
$ billions
200
150
100
50
Sources: eMBS, Federal Reserve Bank of New York and Urban Institute.
31
Jul-14
Jan-14
Jul-13
Jan-13
Jul-12
Jan-12
Jul-11
Jan-11
Jul-10
Jan-10
Jul-09
Jan-09
Jul-08
Jan-08
Jul-07
Jan-07
Jul-06
Jan-06
Jul-05
Jan-05
Jul-04
Jan-04
Jul-03
Jan-03
Jul-02
Jan-02
Jul-01
Jan-01
0
AGENCY ISSUANCE
MORTGAGE INSURANCE ACTIVITY
MI Activity
150
$ billions
Overall mortgage insurance
activity bounced back from
three consecutive quarters
of declining volume,
reaching $106.7 billion in Q2
2014. Private mortgage
insurers regained their slight
loss in market share from
the previous quarter,
accounting for 40.0 percent
of the market in the first half
of the year. The FHA share
dropped to 35.8 percent, its
lowest since the recession.
200
$106.7
Total
100
FHA
50
$44.2
Total private primary MI
$36.0
$26.5
VA
2Q14
1Q14
4Q13
3Q13
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
0
Sources: Inside Mortgage Finance and Urban Institute.
MI Market Share
Total private primary MI
FHA
VA
24.2%
100%
90%
80%
35.8%
70%
60%
50%
40%
40.0%
30%
20%
10%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Q1-2
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
$250,000
$237,500
95
4.29%
4.00%
620 - 639
640 - 659
660 - 679
680 - 699
700 - 719
720 - 739
740 - 759
760 +
FHA UFMIP
1.75
1.75
1.75
1.75
1.75
1.75
1.75
1.75
FHA MIP*
1.30
1.30
1.30
1.30
1.30
1.30
1.30
1.30
GSE AMDC & LLPA
3.50
3.00
2.50
1.50
1.25
0.75
0.50
0.50
PMI Annual MIP
1.15
1.15
1.15
0.89
0.89
0.62
0.62
0.54
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
$1,411
$1,501
$1,487
$1,472
$1,392
$1,385
$1,318
$1,311
FHA MI Premiums
PMI
Monthly Payment
FHA
$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 CREDIT DATA FROM THE GSEs
FANNIE MAE COMPOSITION
Since 2008, the composition of loans purchased by Fannie Mae has shifted towards borrowers with higher FICO
scores. For example, 66.1 percent of loans originated from 2011 to Q2 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 Only
Origination
Year
1999-2004
2005
2006
2007
2008
2009-2010
2011-2Q13
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%
17.9%
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
3.6%
4.8%
0.4%
0.5%
9.3%
700 to 750
7.1%
12.9%
2.4%
2.3%
24.6%
>750
22.2%
34.1%
5.5%
4.2%
66.1%
Total
32.8%
51.8%
8.4%
7.0%
100.0%
36.7%
46.5%
9.5%
7.4%
100.0%
Total
Sources: Fannie Mae and Urban Institute.
Note: Fannie Mae loan level credit data includes loans originated from Q1 1999 to Q2 2013. The percentages are weighted by
origination balance.
34
SPECIAL FEATURE: LOAN LEVEL CREDIT DATA FROM THE GSEs
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 Only
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
3.3%
1.0%
0.4%
1.4%
12.7%
5.5%
2.0%
6.6%
16.9%
7.9%
2.8%
9.2%
18.1%
7.7%
2.6%
9.2%
12.9%
4.4%
1.2%
4.8%
2.6%
0.6%
0.1%
0.5%
0.9%
0.2%
0.0%
0.2%
2.6%
70 to 80
4.2%
1.7%
0.8%
2.4%
16.4%
8.9%
4.2%
10.0%
21.4%
12.5%
5.7%
13.3%
22.5%
13.1%
5.9%
13.7%
16.1%
7.7%
2.8%
6.6%
3.6%
1.3%
0.4%
0.8%
1.2%
0.4%
0.1%
0.3%
4.1%
80 to 90
5.8%
2.7%
1.5%
3.9%
19.2%
11.7%
7.0%
14.3%
25.1%
15.6%
9.1%
18.6%
30.5%
19.6%
11.6%
23.0%
23.0%
12.9%
6.5%
12.9%
3.9%
1.8%
0.8%
1.3%
0.9%
0.4%
0.2%
0.3%
7.2%
>90
6.5%
2.8%
1.7%
4.5%
20.7%
12.0%
8.0%
15.4%
26.5%
15.8%
9.5%
19.6%
31.0%
18.3%
11.5%
22.9%
22.8%
12.4%
7.1%
13.5%
4.3%
2.1%
1.1%
1.7%
1.1%
0.5%
0.3%
0.4%
7.1%
Total
4.5%
1.7%
0.7%
2.4%
15.6%
8.0%
3.5%
9.3%
20.5%
11.3%
4.8%
12.5%
23.2%
12.5%
5.4%
13.9%
16.7%
8.0%
2.9%
7.3%
3.1%
1.1%
0.3%
0.7%
1.1%
0.3%
0.1%
0.2%
4.1%
Sources: Fannie Mae and Urban Institute.
Note: Fannie Mae loan level credit data includes loans originated from Q1 1999 to Q2 2013, with performance information on these loans
through Q1 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 CREDIT DATA FROM THE GSEs
FREDDIE MAC COMPOSITION
Since 2008, the composition of loans purchased by Freddie Mac has shifted towards borrowers with higher FICO
scores. For example, 70.2 percent of loans originated from 2011 to Q1 2013 were for borrowers with FICO scores
above 750, compared to 38.8 percent in 2007 and 33.2 percent from 1999-2004.
Balance on 30-year, Fixed-rate, Full-doc, Amortizing Loans Only
Origination
Year
1999-2004
2005
2006
2007
2008
2009-2010
2011-2012
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
7.7%
8.9%
13.6%
30.2%
10.6%
9.3%
15.8%
35.7%
10.0%
8.3%
14.3%
32.6%
9.1%
7.4%
14.2%
30.8%
7.3%
9.1%
21.5%
38.0%
3.9%
9.3%
32.4%
45.7%
3.0%
7.4%
27.8%
70 to 80
16.6%
15.9%
15.5%
48.0%
17.0%
15.5%
18.9%
51.3%
17.3%
16.2%
20.7%
54.2%
15.5%
14.4%
19.5%
49.3%
8.7%
13.1%
21.5%
43.2%
3.2%
11.9%
31.0%
46.1%
3.0%
10.7%
32.4%
80 to 90
5.5%
3.4%
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%
0.5%
2.2%
5.2%
>90
5.6%
3.2%
1.8%
10.6%
3.0%
1.7%
1.4%
6.0%
3.3%
1.5%
1.4%
6.2%
4.9%
2.7%
2.6%
10.2%
2.2%
2.5%
2.6%
7.3%
0.2%
0.9%
1.4%
2.5%
0.6%
2.5%
4.8%
35.4%
31.4%
33.2%
100.0%
33.8%
28.5%
37.7%
100.0%
34.0%
27.9%
38.1%
100.0%
34.1%
27.0%
38.8%
100.0%
21.3%
28.3%
50.3%
100.0%
7.7%
23.8%
68.4%
100.0%
7.1%
22.7%
70.2%
38.2%
35.0%
46.0%
47.9%
7.9%
9.1%
7.9%
7.9%
100.0%
100.0%
Sources: Freddie Mac and Urban Institute.
Note: Freddie Mac loan level credit data includes loans originated from Q1 1999 to Q1 2013. The percentages are weighted by
origination balance.
36
SPECIAL FEATURE: LOAN LEVEL CREDIT DATA FROM THE GSEs
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 Only
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
2011-2012
>750
Total
Total
LTV
≤70
2.5%
0.8%
0.3%
1.0%
10.2%
4.9%
1.7%
5.1%
13.5%
6.9%
2.3%
6.9%
14.1%
6.7%
2.3%
6.8%
10.6%
3.8%
1.1%
3.6%
1.9%
0.5%
0.1%
0.3%
0.2%
0.0%
0.0%
0.0%
2.0%
70 to 80
3.6%
1.4%
0.7%
1.9%
14.1%
8.1%
3.9%
8.5%
18.0%
11.0%
5.2%
11.0%
19.1%
11.7%
5.5%
11.6%
14.1%
7.1%
2.8%
6.4%
2.7%
1.1%
0.4%
0.7%
0.3%
0.1%
0.0%
0.0%
3.7%
80 to 90
5.6%
2.3%
1.2%
3.7%
16.6%
10.7%
6.3%
12.4%
21.0%
13.4%
7.8%
15.7%
24.2%
15.7%
9.0%
18.0%
19.8%
11.1%
5.9%
11.3%
3.2%
1.3%
0.7%
1.0%
0.2%
0.1%
0.0%
0.1%
5.8%
>90
6.0%
2.5%
1.5%
4.2%
18.0%
11.0%
7.1%
13.6%
23.0%
13.1%
8.3%
17.3%
26.7%
16.1%
10.3%
19.7%
18.7%
9.8%
5.5%
10.9%
3.4%
1.5%
0.7%
1.3%
0.4%
0.1%
0.1%
0.1%
6.5%
Total
4.0%
1.4%
0.6%
2.1%
13.4%
7.4%
3.2%
7.9%
17.5%
10.1%
4.4%
10.4%
19.5%
11.1%
4.9%
11.6%
14.2%
6.8%
2.5%
6.2%
2.3%
0.9%
0.3%
0.6%
0.2%
0.1%
0.0%
0.0%
3.5%
Sources: Freddie Mae and Urban Institute.
Note: Freddie Mac loan level credit data includes loans originated from Q1 1999 to Q1 2013, with performance information on these loans
through Q3 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 CREDIT DATA FROM THE GSEs
DEFAULT RATE BY VINTAGE YEAR
With cleaner books of business and home prices rising, GSE default rates 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 nearly 14 percent and 12 percent respectively.
Cumulative defaults from 2009-10 and 2011-2013 are on pace to fall below pre-2003 levels. For Fannie loans 37
months after origination, the cumulative default rate from 2009-10 and 2011-Q2 2013 are about 0.48 and 0.25
percent, respectively, compared to the cumulative default rate from 1999-2003 of 0.55 percent. For Freddie loans
28 months after origination, the cumulative default rates total 0.28 percent from 2009-10 and 0.05 percent from
2011-Q1 2013, compared to the rate from 1999-2003 of 0.33 percent.
Fannie Mae Cumulative Default Rate by Vintage Year
16%
2007
14%
2006
12%
2009-2010
2005
10%
2008
8%
6%
2004
2011-2013Q2
4%
1999-2003
2%
0%
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Loan age in years
Sources: Fannie Mae and Urban Institute.
Freddie Mac Cumulative Default Rate by Vintage Year
14%
2007
12%
2006
2009-2010
10%
2005
8%
2008
6%
2004
2011-2013 Q1
4%
1999-2003
2%
0%
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
15
SPECIAL
SPECIAL FEATURE:
FEATURE: LOAN
LOAN LEVEL
LEVEL CREDIT
CREDIT DATA
DATA FROM
FROM THE
THE GSEs
GSEs
REPURCHASE
RATE BY
BY VINTAGE
REPURCHASE RATE
VINTAGE
YEAR
YEAR
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, nontraditional products (such as interest-only loans), and loans with pool insurance policies.
Fannie Mae Cumulative Repurchase Rate by Vintage Year
0.9%
2007
0.8%
0.7%
2008
0.6%
0.5%
2006
0.4%
2009-2010
2011-2013Q2
0.3%
2005
2004
0.2%
1999-2003
0.1%
0.0%
0
1
2
3
4
5
6
7
Loan age in years
8
9
10
11
12
Sources: Fannie Mae and Urban Institute.
Freddie Mac Cumulative Repurchase Rate by Vintage Year
1.6%
2007
1.4%
2008
1.2%
1.0%
2006
0.8%
0.6%
2011-2013Q1
2009-2010
0.4%
2005
1999-2003
0.2%
2004
0.0%
0
1
2
3
4
5
6
7
Loan age in years
8
9
10
11
12 13
Sources: Freddie Mac and Urban Institute.
39
RELATED HFPC WORK
PUBLICATIONS AND EVENTS
Upcoming Events
October 6—October Lunchtime Data Talk
November 5—Housing Symposium
More details to follow on our events page.
Publications
Blog Posts
A Realistic Assessment of Housing Finance
Reform
Authors: Laurie Goodman
Date: August 18, 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 Jun Zhu
Date: August 14, 2014
Guarantee Fees- An Art Not a Science
Authors: Laurie Goodman, Ellen Seidman,
Jim Parrott and Jun Zhu
Date: August 14, 2014
Toward a better Bank of America settlement
Author: HFPC Staff
Date: August 8, 2014
Nonbank Specialty Servicers: What the Big Deal? Specialty mortgage servicers: what’s the big
Author: Pamela Lee
deal?
Date: August 4, 2014
Author: Pamela Lee
Date: August 7, 2014
VA Loans Outperform FHA Loans. Why? And
What Can We Learn?
Dodd-Frank: Can we really calculate the cost?
Authors: Laurie Goodman, Ellen Seidman, and Jun Author: Ellen Seidman
Zhu
Date: July 25, 2014
Date: July 16, 2014
Is student debt hindering homeownership?
A Johnson-Crapo Dialogue
Authors: Maia Woluchem and Taz George
Authors: Jim Parrott, Ellen Seidman, and Laurie
Date: July 17, 2014
Goodman
Date: July 14, 2014
Is residual income the key to the superior
performance of VA loans?
Supplementing the Compare Ratio: An Important Authors: Laurie Goodman, Ellen Seidman, and Jun
Step Toward Opening the Credit Box
Zhu
Author: Laurie Goodman
Date: July 16, 2014
Date: June 9, 2014
Senate GSE reform: What we learned from
Why Long Term GSE Reform Requires Congress Johnson-Crapo
Author: Jim Parrott
Authors: Laurie Goodman, Jim Parrott, Ellen Seidman
Date: May 22, 2014
Date: July 15, 2014
HAMP Modifications: Is Reset Risk an Issue?
Authors: Laurie Goodman and Jun Zhu
Date: May 14, 2014
Move over, Freddie Mac: Ginnie Mae will be
number 2 soon
Author: Laurie Goodman
Date: July 2, 2014
40