HOUSING FINANCE POLICY CENTER
HOUSING FINANCE
AT A GLANCE
A MONTHLY CHARTBOOK
October 2013
1
INTRODUCTION
With a decades-long heritage of proven expertise in
housing, neighborhoods, jobs, taxes, and other social and
economic issues, the Urban Institute is poised to make
major contributions to housing finance policy. The new
Housing Finance Policy Center will provide timely,
impartial data and analysis, and will educate policymakers
and the public on how the housing finance system affects
households, communities and the broader economy. The
Center will bring together data, research, and market and
policy expertise on housing and housing finance, and will
provide a hub for dialogue based on high-quality,
evidence-based analysis.
At A Glance is our signature, monthly publication. It is
designed as a single reference for mortgage market data,
through a public policy lens. Drawing from a range of
sources that are often difficult to access and interpret, At
A Glance presents key measures of housing affordability,
credit availability, and other topics related to the
government role in the mortgage market. We present this
critical information in a comprehensive and easily
digestible format so that stakeholders from all corners of
the housing finance sphere—government, advocacy,
academia, and private markets—can contribute to datadriven policy debates. At A Glance embodies the Center’s
mission of elevating the housing finance debate, and we
hope that this publication, along with our other works, will
serve as a basis for thoughtful, well-designed housing
finance policies that meet the nation’s current and future
needs.
HOUSING FINANCE POLICY CENTER STAFF
Laurie Goodman
Center Director
Ellen Seidman
Senior Fellow
Jim Parrott
Senior Fellow
Jun Zhu
Senior Financial Methodologist
Wei Li
Senior Research Associate
Bing Bai
Research Associate I
Pamela Lee
Research Associate II
Taz George
Research Assistant
Maia Woluchem
Research Assistant
Alison Rincon
Special Assistant to the Director
INSIDE THIS ISSUE
•
Non-agency security issuance ticks up slightly
(page 8)
•
Credit box is still tight by key measures (page 10)
•
Housing affordability drops as prices and interest
rates continue to rise, but it varies widely by MSA
(page 11)
•
GSE portfolio wind-down continues; guarantee
fees rise (pages 12-14)
•
Both HAMP and HARP activity tapers off (pages
20-21)
•
Share of private mortgage insurance activity is
increasing but is still far below FHA/VA market
share
We would like to thank The Citi Foundation and The John D. and Catherine T. MacArthur Foundation for providing generous support at the
leadership level to launch the Housing Finance Policy Center. Additional support was provided by the Ford Foundation and the Open
Society Foundations. We are also especially grateful to Sarah Rosen Wartell, president of the Urban Institute, and Rolf Pendall, director of
the Metropolitan Housing and Communities Policy Center, for their creative visions and valuable insights. Lastly, we would like to thank
Lan Shi for her considerable contributions to this edition.
We welcome your feedback. Please send any comments or questions to ataglance@urban.org.
2
CONTENTS
Overview
Market Size Overview
Value of the US Residential Housing Market
Size of the US Residential Mortgage Market
Private-Label Securities by Product Type
Agency Mortgage-Backed Securities
5
5
6
6
Origination Volume and Composition
First Lien Origination Volume
First Lien Origination Share
7
7
Securitization Volume and Composition
Agency/Non-Agency Share of Residential MBS Issuance
Non-Agency MBS Issuance
Non-Agency Securitization 2.0
8
8
8
Agency Activity: Volumes and Purchase/Refi Composition
At-Issuance Balance
Percent Refi at Issuance
9
9
Credit Availability for Purchase Loans
Average Borrower FICO Score at Origination
Average Combined LTV at Origination
10
10
Housing Affordability
National Housing Affordability Over Time
Affordability Adjusted for MSA-Level DTI
11
11
GSEs under Conservatorship
GSE Portfolio Wind-Down: Fannie Mae
Fannie Mae Mortgage-Related Investment Portfolio Over Time
Fannie Mae Mortgage-Related Investments as Share of End Balance
12
12
GSE Portfolio Wind-Down: Freddie Mac
Freddie Mac Mortgage-Related Investment Portfolio Over Time
Freddie Mac Mortgage-Related Investments as Share of End Balance
13
13
Effective Guarantee Fees
Effective Guarantee Fees
Risk-Sharing Transactions
14
14
Serious Delinquency Rates
Serious Delinquency Rates – Fannie Mae
Serious Delinquency Rates – Freddie Mac
15
15
3
CONTENTS
Serious Delinquency Rates (cont.)
Serious Delinquency Rates – Single-Family Loans
Serious Delinquency Rates – Multifamily GSE Loans
16
16
Refinance Activity
Total HARP Refinance Volume
HARP Refinances
17
17
GSE Loans: Potential Refinances
Loans Meeting HARP Pay History Requirements
18
Modification Activity
HAMP Activity
New HAMP Modifications
Cumulative HAMP Modifications
19
19
Modification by Type of Action and Bearer of Risk
Changes in Loan Terms for Modifications
Type of Modification Action by Investor and Product Type
20
20
Modifications and Liquidations
Loan Modifications and Liquidations
Cumulative Modifications and Liquidations
21
21
Modification Redefault Rates by Bearer of the Risk
Redefault Rate 12 Months after Modification
Redefault Rate 24 Months after Modification
22
22
Agency Issuance
Agency Gross and Net Issuance
Agency Gross Issuance
Agency Net Issuance
23
23
Agency Gross Issuance and Fed Purchases
Monthly Gross Issuance
Fed Absorption of Agency Gross Issuance
24
24
Mortgage Insurance Activity
MI Activity since 2011
MI Market Share
25
25
Related HFPC Work
Publications and Events
26–7
4
OVERVIEW
MARKET SIZE OVERVIEW
Home values continue to improve, increasing the total value of the US residential housing market. However, the
reliance on mortgage financing is decreasing because of a sizable share of cash purchases and larger down
payments.
The total size of the mortgage market stands at $9.8 trillion as of Q2 2013. Agency mortgage-backed securities
(MBS) make up 56 percent of the total; private-label securities make up 8.6 percent; and unsecuritized first liens at
commercial banks, savings institutions, and credit unions make up 22.4 percent.
Value of the US
Residential Housing
Market
Size of the US
Residential Mortgage
Market
as of Q2 2013
as of Q2 2013
$25,000
Unsecuritized first liens at commercial
banks, savings institutions, credit unions
Fannie and Freddie Loans in portfolio
$20,000
Agency MBS
Equity,
$9,772
Private-label securities
Equity,
$9,772
Second liens
$ billions
$15,000
$10,000
$10,000
$2,208
$7,500
$ billions
$5,000
Debt,
household
mortgages,
$9,833
$537
$5,000
$5,508
$2,500
$0
Sources: Federal Reserve Flow of Funds and Urban
Institute.
$0
$849
$731
Sources: Federal Reserve Flow of Funds, Inside Mortgage
Finance, Fannie Mae, Freddie Mac, and Urban Institute.
5
OVERVIEW
MARKET SIZE OVERVIEW
Mortgage debt in the private-label securitization market is split among Alt-A (44.4 percent), subprime (35.1
percent), and prime (20.1 percent) loans. The agency market is 47.6 percent Fannie Mae, 28 percent Freddie
Mac, and 24.4 percent Ginnie Mae.
Private-Label Securities by Product Type
as of August 2013; dollars in billions
100%
90%
Subprime, $291.9
80%
70%
60%
Prime, $170.8
50%
40%
30%
Alt-A, $369.5
20%
10%
0%
Sources: CoreLogic and Urban Institute.
Agency Mortgage-Backed Securities
as of Q2 2013; dollars in billions
100%
90%
Freddie Mac, $1,545
80%
70%
60%
Ginnie Mae, $1,343
50%
40%
30%
20%
Fannie Mae, $2,620
10%
0%
Sources: Inside Mortgage Finance and Urban Institute.
6
OVERVIEW
OVERVIEW
ORIGINATION VOLUME
AND COMPOSITION
First Lien Origination Volume
First lien originations through the first half of 2013 at $973 billion were considerably higher than the first 2
quarters of 2012 at $848 billion. However, with higher interest rates and reduced refinancing volume, we
expect 2013 mortgage origination numbers to come in marginally lower than the total volume of $1.86 trillion
in 2012.
$4,000
$3,500
$ billions
$3,000
$2,500
Bank portfolio
$2,000
PLS total securitization
$1,500
FHA/VA securitization
$1,000
GSE securitization
First Lien Origination Share
2013 (Q1-2)
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
$0
2001
$500
Sources: Inside Mortgage Finance
and Urban Institute.
The GSE share of first lien originations remains elevated compared with historical levels, now sitting at 67
percent. Likewise, FHA and VA continue to hold a much larger share, with 20.5 percent of the market. While
private-label originations are less than 1 percent, that constitutes an increase from the depths of the
recession, when such originations all but disappeared.
100%
90%
Bank portfolio
80%
70%
PLS total securitization
60%
FHA/VA securitization
50%
40%
GSE securitization
30%
20%
2013
2013 (Q1-2)
(Q1-2)
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
0%
2001
10%
Sources: Inside Mortgage Finance
and Urban Institute.
7
OVERVIEW
SECURITIZATION VOLUME AND
COMPOSITION
2012
2011
2010
2009
2008
2007
2006
Non-Agency share
Sources: Inside Mortgage Finance and Urban Institute.
Non-Agency MBS
Issuance
2013 (Q1-Q3)
Agency share
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
Non-agency single-family MBS
issuance has ticked up but remains
100%
less than 2 percent of the market
for 2013 through September. Over
90%
this period, total non-agency
80%
issuance was $25.4 billion,
70%
compared with $10.3 billion in the
first three quarters of 2012. This
60%
represents significant progress, but
50%
still pales in comparison to non40%
agency numbers in the pre-bubble
years such as 2002, when issuance 30%
reached $400 billion annually. The
20%
Non-Agency Securitization 2.0
10%
graph shows that newly issued
securities are finally coming back
0%
with consistent monthly issuance,
albeit slowly.
1995
Agency/Non-Agency Share of Residential MBS Issuance
Non-Agency Securitization
2.0
$1,200
$12
$1,000
$10
$8
$600
$ billions
$400
$200
$4
Alt A
All other
Sources: 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.
8
Sep-13
Jul-13
May-13
Mar-13
Jan-13
Nov-12
Sep-12
Jul-12
May-12
Jan-12
Mar-12
Nov-11
Sep-11
Jul-11
May-11
Mar-11
Jan-11
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013 YTD (Q1-Q3)
Subprime
$0
Nov-10
$2
$0
Prime
$6
Sep-10
$ billions
$800
OVERVIEW
AGENCY ACTIVITY:
VOLUMES AND PURCHASE/REFI
COMPOSITION
Agency issuance for the first eight months of 2013 totaled $839.4 billion. The Ginnie Mae share has declined,
courtesy of large increases in FHA mortgage insurance premiums. In August, refinances represented 60–70
percent of the GSE business, down from over 80 percent in January. The Ginnie Mae market has always been
more purchase-driven, with refinance volume down from 56 percent in January to 34 percent now.
At-Issuance Balance
Freddie Mac
Fannie Mae
Ginnie Mae
$2,500
$ billions
$2,000
$1,500
$1,000
$500
$0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
YTD
Sources: eMBS and Urban Institute.
Note: Year to date as of August 2013.
Percent Refi at Issuance
Freddie Mac
Fannie Mae
Ginnie Mae
Aug-13
Apr-13
Dec-12
Aug-12
Apr-12
Dec-11
Apr-11
Aug-11
Dec-10
Aug-10
Apr-10
Dec-09
Apr-09
Aug-09
Dec-08
Aug-08
Apr-08
Dec-07
Apr-07
Aug-07
Dec-06
Apr-06
Aug-06
Dec-05
Aug-05
Apr-05
Dec-04
Apr-04
Aug-04
Dec-03
Aug-03
Apr-03
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Sources: eMBS and Urban Institute.
Note: Based on at-issuance balance.
9
OVERVIEW
OVERVIEW
CREDIT
CREDIT AVAILABILITY
AVAILABILITY FOR
FOR
PURCHASE LOANS
Access to credit has become extremely limited, especially for borrowers with low FICO scores. LTV levels at
origination remain relatively high, primarily due to the large number of FHA purchase originations.
Average Borrower FICO Score at Origination
750
740
FICO Score
730
720
710
700
690
680
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
Dec-01
Jun-01
670
Sources: CoreLogic Prime Servicing as of August 2013 and Urban Institute.
Note: Purchase-only loans.
Average Combined LTV at Origination
90
88
86
84
LTV
82
80
78
76
74
72
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
Dec-01
Jun-01
70
Sources: CoreLogic Prime Servicing as of August 2013 and Urban Institute.
Note: Purchase-only loans.
10
OVERVIEW
HOUSING AFFORDABILITY
In August, the US median home price reached highs last seen in December 2004. While this indicates that a
housing recovery is underway, it also suggests a shifting landscape of affordability.
National Housing Affordability Over Time
Maximum affordable price is
calculated as the house price
that a family can afford based
on the following assumptions:
20% down payment, monthly
payment of 28% of median
family income (US Census),
Freddie Mac prevailing
mortgage rate for 30-year fixedrate mortgage, and property tax
and property insurance at
1.75% of housing value.
$300,000
Housing prices
$280,000
Credit
bubble
$260,000
$240,000
$220,000
$200,000
$180,000
$160,000
$140,000
Dec-99
Jun-00
Dec-00
Jun-01
Dec-01
Jun-02
Dec-02
Jun-03
Dec-03
Jun-04
Dec-04
Jun-05
Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Jun-11
Dec-11
Jun-12
Dec-12
Jun-13
$120,000
Median
MedianSales
salesPrice
price
Max
Affordable
Max affordablePrice
price
Max
Prc at 6.0%
MaxAfd
affordable
priceRate
at 6.0% rate
Sources: CoreLogic, US Census, Freddie Mac, and Urban Institute.
LAS VEGAS-PARADISE, NV
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 today than in
2000-03.
11
DETROIT-LIVONIA-DEARBORN, MI
CLEVELAND-ELYRIA-MENTOR, OH
TAMPA-ST. PETERSBURG-CLEARWATER, FL
SACRAMENTO--ARDEN-ARCADE--ROSEVILLE, CA
CHICAGO-JOLIET-NAPERVILLE, IL
OAKLAND-FREMONT-HAYWARD, CA
CINCINNATI-MIDDLETOWN, OH-KY-IN
RIVERSIDE-SAN BERNARDINO-ONTARIO, CA
KANSAS CITY, MO-KS
ORLANDO-KISSIMMEE-SANFORD, FL
COLUMBUS, OH
PITTSBURGH, PA
MINNEAPOLIS-ST. PAUL-BLOOMINGTON, MN-WI
ST. LOUIS, MO-IL
SAN DIEGO-CARLSBAD-SAN MARCOS, CA
NASSAU-SUFFOLK, NY
DENVER-AURORA-BROOMFIELD, CO
BOSTON-QUINCY, MA
BALTIMORE-TOWSON, MD
SAN ANTONIO-NEW BRAUNFELS, TX
FORT WORTH-ARLINGTON, TX
PHOENIX-MESA-GLENDALE, AZ
ATLANTA-SANDY SPRINGS-MARIETTA, GA
NEWARK-UNION, NJ-PA
MIAMI-MIAMI BEACH-KENDALL, FL
SEATTLE-BELLEVUE-EVERETT, WA
HOUSTON-SUGAR LAND-BAYTOWN, TX
PORTLAND-VANCOUVER-HILLSBORO, OR-WA
PHILADELPHIA, PA
DALLAS-PLANO-IRVING, TX
SAN JOSE-SUNNYVALE-SANTA CLARA, CA
NEW YORK-WHITE PLAINS-WAYNE, NY-NJ
LOS ANGELES-LONG BEACH-GLENDALE, CA
1.4
1.3
1.2
1.1
1.0
0.9
0.8
0.7
WASHINGTON-ARLINGTON-ALEXANDRIA, DC-VA
Ratio
Affordability Adjusted for MSA-Level DTI
OVERVIEW
GSES UNDER CONSERVATORSHIP
GSE PORTFOLIO WIND DOWN:
GSE
PORTFOLIO
WIND-DOWN:
FANNIE
MAE
FANNIE MAE
Under conservatorship, both Fannie Mae and Freddie Mac have been ordered to begin winding down their
portfolios. This has shrunk both portfolios and shifted their mix, as the agency MBS share is shrinking more
rapidly than the less liquid assets (mortgage loans and non-agency MBS). Agency MBS now comprises 28.7
percent of the Fannie portfolio and 41.3 percent of the Freddie portfolio.
Both GSEs will be well under their portfolio cap of $552.5 billion for year-end 2013. Fannie now stands at
$531.3 billion and Freddie at $511.9 billion.
Fannie Mae Mortgage-Related Investment Portfolio
900
Over Time
800
700
$ billions
Current size: $531.3 billion
Current cap: $552.5 billion
Shrinkage year to date: 14.4%
600
500
400
300
Mortgage loans
Non-agency MBS
Non-FNMA agency MBS
FNMA MBS in portfolio
200
100
Aug-13
Mar-13
Oct-12
May-12
Dec-11
Jul-11
Feb-11
Sep-10
Apr-10
Nov-09
Jun-09
Jan-09
Aug-08
Mar-08
Oct-07
May-07
Dec-06
Sources: Fannie Mae and Urban Institute.
Jul-06
Feb-06
0
Fannie Mae Mortgage-Related Investments as
Share of End Balance
60%
50%
40%
30%
20%
10%
Aug-13
Mar-13
Oct-12
May-12
Dec-11
Jul-11
Feb-11
Sep-10
Apr-10
Nov-09
Jun-09
Jan-09
Aug-08
Mar-08
Sources: Fannie Mae and Urban Institute.
Oct-07
0%
FNMA MBS in portfolio
May-07
Non-FNMA agency MBS
70%
Dec-06
Non-agency MBS
80%
Jul-06
Mortgage loans
90%
Feb-06
Less liquid assets
(mortgage loans and nonagency MBS) = 71%
Percentage of end balance
100%
12
OVERVIEW
GSES UNDER CONSERVATORSHIP
GSE PORTFOLIO WIND DOWN:
GSE
PORTFOLIO
FREDDIE
MAC WIND-DOWN:
FREDDIE MAC
Freddie Mac Mortgage-Related Investment
Portfolio Over Time 1,000
900
Current size: $511.9 billion
Current cap: $552.5 billion
Shrinkage year to date: 6.9%
800
$ billions
700
600
500
400
300
Mortgage loans
200
Non-agency MBS
100
Non-FHLMC agency MBS
May-12
Oct-12
Mar-13
May-12
Oct-12
Mar-13
Aug-13
Dec-11
Jul-11
Dec-11
Feb-11
Sep-10
Apr-10
Nov-09
Jun-09
Jan-09
Aug-08
Mar-08
Oct-07
May-07
Dec-06
Feb-06
Sources: Freddie Mac and Urban Institute.
Jul-06
0
FHLMC MBS in portfolio
Freddie Mac Mortgage-Related Investments as
Share of End Balance
60%
50%
40%
30%
20%
10%
Aug-13
Jul-11
Feb-11
Sep-10
Apr-10
Nov-09
Jun-09
Jan-09
Aug-08
Mar-08
Sources: Freddie Mac and Urban Institute.
0%
Oct-07
FHLMC MBS in portfolio
May-07
Non-FHLMC agency MBS
70%
Dec-06
Non-agency MBS
80%
Jul-06
Mortgage loans
90%
Feb-06
Less liquid assets
(mortgage loans and nonagency MBS) = 59%
Percentage of end balance
100%
13
GSES UNDER CONSERVATORSHIP
EFFECTIVE GUARANTEE FEES
Effective Guarantee Fees
60
56.9
35.8
31.6
30
20
10
Fannie Mae
single-family
effective g-fee
rate
Freddie Mac
single-family
effective
g-fee rate
1Q09
27.9
19.1
Fannie Mae
single-family
average charged
g-fee on new
acquisitions
21.0
2Q09
26.1
19.3
23.7
3Q09
29.3
18.1
24.7
4Q09
27.9
18.7
23.8
1Q10
24.4
18.1
26.9
2Q10
25.0
18.5
27.3
3Q10
25.2
19.9
25.3
4Q10
25.1
19.5
25.7
1Q11
26.0
19.1
26.1
2Q11
26.1
18.7
31.6
3Q11
26.1
20.3
31.1
4Q11
26.2
20.2
28.8
1Q12
26.8
23.2
28.9
2Q12
27.7
24.1
40.3
3Q12
28.3
26.5
41.8
4Q12
28.7
25.9
39.9
1Q13
33.5
30.4
54.4
2Q13
35.8
31.6
56.9
Quarter
2Q13
1Q13
4Q12
3Q12
2Q12
1Q12
4Q11
3Q11
2Q11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
3Q09
0
2Q09
Sources: Fannie Mae, Freddie Mac, and Urban Institute.
40
1Q09
FNMA
Effective
G-Feeg-fee
FannieSingle-Family
Mae single-family
effective
Rate
rate
FannieSingle-Family
Mae single-family
average
FNMA
Average
Charged
G-Fee
on g-fee
New Acquisitions
charged
on new acquisitions
FreddieManagement
Mac management
and g-fee
FHLMC
and G-Fee
Raterate
50
Basis points
Effective g-fees on new Fannie acquisitions
rose to 56.9 bps in Q2, and we expect the
increases to continue. Freddie does not
report the g-fee on new acquisitions, only
the effective g-fee on the entire book of
business. This is up to 31.6 bps. These gfee increases have not yet begun to shift
significant amounts of activity away from the
GSEs, but we expect that g-fees are close
to the point where this will occur.
Risk-Sharing Transactions
As part of its strategic plan for 2013–17, the
Federal Housing Finance Agency directed
Fannie Mae and Freddie Mac to pursue risksharing transactions, with the goal of ultimately
reducing taxpayer exposure to credit risk. In
July, Freddie Mac completed its first risksharing deal, issuing $500 million in debt as
part of a Structured Agency Credit Risk
(STACR) bond to 50 different buyers. Freddie
plans to issue its second STACR bond toward
the end of the year. In early October, Fannie
Mae completed its own risk-sharing
transaction, Connecticut Avenue Securities.
The $675 million deal was structured very
similarly to the Freddie deal. The biggest
difference was that the M-1 bond in the Fannie
deal was rated. The Fannie deal priced much
tighter than the Freddie deal, and both deals
are currently trading tighter than original
pricing levels, indicating investors are
developing a level of comfort taking on new
mortgage credit risk.
Sources: Fannie Mae, Freddie Mac, and Urban Institute.
Note: G-fees are in basis points.
14
OVERVIEW
SERIOUS
DELINQUENCY RATES AT
GSES UNDER CONSERVATORSHIP
SERIOUS
THE GSEsDELINQUENCY RATES
Serious delinquency rates at the GSEs continue to decline as the legacy portfolio is resolved and the pristine,
post-2009 book of business exhibits very low default rates. Currently 2.61 percent of the Fannie portfolio and
2.64 percent of the Freddie portfolio are seriously delinquent, down from 3.44 percent and 3.36 percent a year
earlier, respectively .
Serious Delinquency Rates–Fannie Mae
Percentage of total loans
16%
14%
12%
10%
8%
Single-family: Non-credit
enhanced
6%
4%
Single-family: Credit
enhanced
2%
Single-family: Total
Jan-04
Jun-04
Nov-04
Apr-05
Sep-05
Feb-06
Jul-06
Dec-06
May-07
Oct-07
Mar-08
Aug-08
Jan-09
Jun-09
Nov-09
Apr-10
Sep-10
Feb-11
Jul-11
Dec-11
May-12
Oct-12
Mar-13
Aug-13
0%
Sources: Fannie Mae and Urban Institute.
Serious Delinquency Rates–Freddie Mac
10%
8%
7%
6%
5%
Single-family: Non-credit
enhanced
4%
Single-family: Credit
enhanced
3%
2%
Single-family: Total
1%
0%
Jan-04
Jun-04
Nov-04
Apr-05
Sep-05
Feb-06
Jul-06
Dec-06
May-07
Oct-07
Mar-08
Aug-08
Jan-09
Jun-09
Nov-09
Apr-10
Sep-10
Feb-11
Jul-11
Dec-11
May-12
Oct-12
Mar-13
Aug-13
Percentage of total loans
9%
Sources: Freddie Mac and Urban Institute.
15
GSES UNDER CONSERVATORSHIP
SERIOUS DELINQUENCY RATES
As the housing market heals, the serious delinquency rates on both FHA and GSE single-family loans continue
to decline, albeit from a much higher starting point for the FHA loans. GSE multifamily delinquency rates are
also declining from an already very low level.
Serious Delinquency Rates–Single-Family Loans
FHA
Fannie Mae
Freddie Mac
Percentage of total loans
10%
9%
8%
7%
6%
5%
4%
3%
2%
1%
2Q13
1Q13
4Q12
3Q12
2Q12
4Q11
Dec-11
1Q12
3Q11
2Q11
Aug-11
1Q11
4Q10
3Q10
2Q10
1Q10
4Q09
3Q09
2Q09
1Q09
4Q08
3Q08
2Q08
1Q08
4Q07
3Q07
2Q07
1Q07
4Q06
3Q06
2Q06
1Q06
4Q05
3Q05
2Q05
1Q05
0%
Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey, and Urban Institute.
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%
Sources: Fannie Mae, Freddie Mac, and Urban Institute.
16
Aug-13
Apr-13
Dec-12
Aug-12
Apr-12
Apr-11
Dec-10
Aug-10
Apr-10
Dec-09
Aug-09
Apr-09
Dec-08
Aug-08
Apr-08
Dec-07
Aug-07
Apr-07
Dec-06
Aug-06
Apr-06
Dec-05
Aug-05
Apr-05
Dec-04
Aug-04
Apr-04
0.0%
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. There have been
over 18 million refinances of GSE loans since Q2 2009, 2.9 million of these through HARP. As a result, the pool
of eligible loans remaining is much lower.
Total HARP Refinance Volume
HARP refinance volume - Fannie
HARP refinance volume - Freddie
350,000
300,000
250,000
200,000
150,000
100,000
50,000
0
2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13
Sources: FHFA Refinance Report and Urban Institute.
HARP Refinances
August 2013
Year to date
2013
Inception to date
2012
2011
2010
Total refinances
302,373
3,340,221
18,130,561
4,750,530
3,229,066
3,604,640
Total HARP refinances
68,340
721,813
2,886,856
1,074,769
400,024
431,647
Share >80–105 LTV
62.7%
58.4%
70.0%
56.4%
85.0%
93.4%
Share >105–125 LTV
20.6%
21.6%
17.1%
22.4%
15.0%
6.6%
Share >125 LTV
16.6%
20.0%
12.9%
21.2%
0%
0%
54,310
585,155
2,908,093
729,235
785,049
763,477
All other streamlined
refinances
Sources: FHFA Refinance Report and Urban Institute.
17
OVERVIEW
GSES UNDER CONSERVATORSHIP
GSE LOANS: DISTRIBUTION OF
GSE
LOANS:REFINANCES
POTENTIAL
POTENTIAL REFINANCES
To qualify for HARP, a loan must be originated before June 2009, have a marked-to-market loan-to-value (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 1,617,838 eligible loans, but 34 percent are out-of-the-money because the closing cost would
exceed the long-term savings, leaving 1,073,985 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 7,857,302 loans in this category, 5,171,731 are
in-the-money.
More than half the GSE book of business was originated after the cutoff date. Of these loans, 2,192,865 meet the
other HARP criteria, but 91 percent are out-of-the-money, leaving only 188,840 loans that, if there was a change in
the eligibility date, would be potential HARP candidates at current interest rate levels.
Total loan count
24,221,940
Loans that don't meet pay history requirement
2,128,518
Loans that meet pay history requirement:
22,093,422
Pre-June 2009 origination
9,475,140
Post-June 2009 origination
12,618,282
Loans Meeting HARP Pay History Requirements
LTV category
Pre-June 2009
In-the-money
Out-of-the-money
Total
≤80
5,171,731
2,685,571
7,857,302
≥80
1,073,985
543,853
1,617,838
Total
6,245,716
3,229,424
9,475,140
LTV category
In-the-money
Out-of-the-money
Total
≤80
529,903
9,895,514
10,425,417
≥80
188,840
2,004,025
2,192,865
Total
718,743
11,899,539
12,618,282
Post-June 2009
Source: CoreLogic prime servicing data as of August 2013.
Note: Figures are scaled up from source data by a factor of 1/.65 to account for data coverage. Striped box indicates HARP-eligible
loans that are in-the-money.
18
MODIFICATION ACTIVITY
HAMP ACTIVITY
HAMP modification activity has tapered off as new defaults have declined. However, modification success rates
are improving so the number of new active permanent modifications remains fairly stable.
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
20
Aug-13
Jun-13
Apr-13
Feb-13
Dec-12
Oct-12
Aug-12
Jun-12
Apr-12
Feb-12
Dec-11
Oct-11
Aug-11
Jun-11
Apr-11
Feb-11
Dec-10
Oct-10
Aug-10
Jun-10
Apr-10
Feb-10
Dec-09
Oct-09
Aug-09
Jun-09
0
Sources: US Treasury Making Home Affordable Program and Urban Institute.
Cumulative HAMP Modifications
Number of mods (thousands)
All trials mods started
All permanent mods started
Active permanent mods
2,500
2,000
1,500
1,000
500
Aug-13
Jun-13
Apr-13
Feb-13
Dec-12
Oct-12
Aug-12
Jun-12
Apr-12
Feb-12
Dec-11
Oct-11
Aug-11
Jun-11
Apr-11
Feb-11
Dec-10
Oct-10
Aug-10
Jun-10
Apr-10
Feb-10
Dec-09
Oct-09
Aug-09
Jun-09
0
Sources: US Treasury Making Home Affordable Program and Urban Institute.
19
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 and has dropped in the
past two quarters. This is to be expected, as increasing home prices have, in turn, increased equity, reducing
the need for principal reduction and making such modifications less likely to be net-present-value positive.
Principal reduction is more likely to be done on private investor loans, followed by portfolio loans. The GSEs
and FHA/VA do not allow this type of modification.
Changes in Loan Terms for Modifications
One quarter
% change
3.0
One year
% change
4.4
6/30/12
9/30/12
12/31/12
3/31/13
6/30/13
Capitalization
78.3
88.2
84.6
79.3
81.7
Rate reduction
78.7
77.1
73.3
80.1
81.0
1.1
2.8
Rate freeze
6.3
7.1
3.9
3.7
5.2
40.5
-17.1
Term extension
62.1
64.9
58.9
60.3
67.7
12.2
9.0
Principal
reduction
15.4
17.2
20.0
15.2
12.1
-20.0
-21.4
19.7
19.0
20.5
18.2
20.5
12.4
3.9
0.7
0.4
1.1
0.6
1.4
117.4
89.2
Principal deferral
a
Not reported
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2013 and Urban Institute.
Note: This table represents percentage of total modifications in each category.
a. Processing constraints at some servicers prevented them from reporting specific modified term(s).
Type of Modification Action by Investor and Product Type
96.2
Governmentguaranteed
75.6
Private
investor
86.1
66.2
85.4
96.1
11.8
3.4
82.9
Fannie Mae
Freddie Mac
Capitalization
87.6
Rate reduction
Rate freeze
Term extension
Principal
reduction
Principal deferral
Not reported
Portfolio
Overall
69.9
81.7
73.2
79.4
81.0
0.3
6.1
5.7
5.2
90.2
95.6
19.8
47.2
67.7
0.0
0.0
0.2
27.5
36.5
12.1
24.8
41.0
0.2
36.8
16.6
20.5
2.9
0.3
0.3
1.8
1.8
1.4
a
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2013 and Urban Institute.
Note: This table represents percentage of total modifications in each category.
a. Processing constraints at some servicers prevented them from reporting specific modified term(s).
20
MODIFICATION ACTIVITY
MODIFICATIONS AND LIQUIDATIONS
Total modifications (HAMP and proprietary) are now roughly equal to total liquidations. Hope Now numbers
show 6,724,422 borrowers have received a modification since Q3 2007, compared with 6,676,474 liquidations
in the same period.
Loan Modifications and Liquidations
Number of loans
1,600,000
HAMP permanent mods
1,400,000
Proprietary mods completed
1,200,000
Total liquidations
1,000,000
800,000
600,000
400,000
200,000
0
2007
(Q3-Q4)
2008
2009
2010
2011
2012
2013
YTD
Sources: Hope Now and Urban
Institute.
Notes: Total liquidations includes
both foreclosure sales and short
sales. 2013 figures are through
August.
Cumulative Modifications and Liquidations
7,000,000
HAMP mods
Number of loans
6,000,000
Proprietary mods
Liquidations
5,000,000
4,000,000
3,000,000
2,000,000
1,000,000
0
2007
2007
(Q3Q4)
(Q3-Q4)
2008
2009
2010
2011
2012
2013
2013
YTD
YTD
Sources: Hope Now and
Urban Institute.
Notes: Total liquidations
includes both foreclosure sales
and short sales. 2013 figures
are through August.
21
MODIFICATION ACTIVITY
MODIFICATION REDEFAULT RATES BY
BEARER OF THE RISK
Redefault rates have come down across each sector, especially on private-label modifications. Governmentguaranteed mortgages have much higher redefault rates than other product types.
Redefault Rate 12 Months after Modification
80%
70%
Fannie Mae
Governmentguaranteed
Private
Redefault rate
Freddie Mac
60%
50%
40%
30%
Portfolio loans
20%
Overall
10%
0%
2008
2009
2010
Year of modification
2011
2012
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2013 and Urban Institute.
Redefault Rate 24 Months after Modification
80%
Fannie Mae
70%
Freddie Mac
Private
Portfolio loans
Overall
Redefault rate
Governmentguaranteed
60%
50%
40%
30%
20%
10%
0%
2008
2009
2010
Year of modification
2011
Sources: OCC Mortgage Metrics Report for the Second Quarter of 2013 and Urban Institute.
22
AGENCY ISSUANCE
AGENCY GROSS AND NET ISSUANCE
While newly issued agency securities (agency gross issuance) have been robust year to date, much of the
issuance has been driven by refinancing. As that activity falls off with rising interest rates, we expect the volume of
new issuance to fall off as well. 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
($ billions)
Agency Net Issuance
($ billions)
Year
GSE
GNMA
Total
Year
GSE
GNMA
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
893.9
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
1,279.9
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
(Ann.)
1,365.5
439.3
1,804.7
2013
(Ann.)
63.3
88.8
152.1
2013 YTD
910.3
292.8
1,203.2
2013 YTD
42.2
59.2
101.4
Sources: eMBS, Federal Reserve Bank of New York, and
Urban Institute.
Note: Year to date through August 2013.
Sources: eMBS, Federal Reserve Bank of New York, and
Urban Institute.
Note: Year to date through August 2013.
23
OVERVIEW
AGENCY
ISSUANCE
OVERVIEW
AGENCY GROSS AND NET ISSUANCE
AGENCY
GROSS
ISSUANCE
AND
FED
BY MONTH
PURCHASES
Monthly Gross Issuance
$250
$200
$ billions
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% of total agency issuance
in 2010, and that share has
declined to 24% over the first
8 months of 2013. It should
begin to rise again as we
move from a refinance market
to a purchase market. August
showed a Ginnie Mae share of
25.1%.
$150
$100
$50
Ginnie Mae
Fannie Mae
$0
Sources: eMBS, Federal Reserve Bank of New
York, and Urban Institute.
Feb-05
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Feb-08
May-08
Aug-08
Nov-08
Feb-09
May-09
Aug-09
Nov-09
Feb-10
May-10
Aug-10
Nov-10
Feb-11
May-11
Aug-11
Nov-11
Feb-12
May-12
Aug-12
Nov-12
Feb-13
May-13
Aug-13
Freddie Mac
Fed Absorption of Agency Gross Issuance
The Fed has absorbed 46 percent of gross issuance this year. This number is expected to rise as the Fed continues
to react to slow improvement in the labor market, as they announced in September.
Gross issuance
Fed purchases
$250
$ billions
$200
$150
$100
$50
Aug-00
Dec-00
Apr-01
Aug-01
Dec-01
Apr-02
Aug-02
Dec-02
Apr-03
Aug-03
Dec-03
Apr-04
Aug-04
Dec-04
Apr-05
Aug-05
Dec-05
Apr-06
Aug-06
Dec-06
Apr-07
Aug-07
Dec-07
Apr-08
Aug-08
Dec-08
Apr-09
Aug-09
Dec-09
Apr-10
Aug-10
Dec-10
Apr-11
Aug-11
Dec-11
Apr-12
Aug-12
Dec-12
Apr-13
Aug-13
$0
Sources: eMBS, Federal Reserve Bank of New York, and Urban Institute.
24
AGENCY ISSUANCE
MORTGAGE INSURANCE ACTIVITY
MI Activity since 2011
$180,000
$160,000
$140,000
$120,000
$ millions
In the years of the housing
crisis, private mortgage
insurers lost much of their
share of the market to FHA
and VA. Thanks to the
recovery of the market and
FHA’s recently heightened
mortgage insurance
premium, the private
mortgage insurance share
is now increasing, albeit
slowly.
$100,000
$80,000
$60,000
$40,000
$20,000
VA
FHA
$0
Total private primary MI
1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13
Sources: Inside Mortgage Finance and Urban Institute.
MI Market Share
Total private primary MI
FHA
VA
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Q1-Q2
Sources: Inside Mortgage Finance and Urban Institute.
25
RELATED HFPC WORK
PUBLICATIONS AND EVENTS
Issue Papers and Briefs
Reps and Warrants: Lessons from the GSEs Experience
Authors: Laurie Goodman, Jun Zhu
October 24, 2013
GSE credit has become very tight, with a significant increase in the average credit score of approved loans. How
Fannie Mae and Freddie Mac are enforcing their Representations and Warranties (Reps and Warrants) rights is
playing a significant role in this phenomenon. In this paper, we use the recently released Freddie Mac and Fannie Mae
loan level credit data and find that put-backs are having an outsized chilling effect on lower FICO/higher LTV loans.
The GSE Reform Debate: How Much Capital Is Enough?
Authors: Laurie Goodman, Jun Zhu
October 24, 2013
This paper shows that collateral composition, house price experience, and diversification significantly affect credit risk,
and thus the amount of private capital needed in front of any government catastrophic guarantee of mortgages in the
secondary market.
Eminent Domain: The Debate Distracts from Pressing Problems
Author: Pamela Lee
October 24, 2013
Richmond, CA, has taken steps to become the first city in the nation to vote to use its powers of eminent domain to
seize underwater loans and, the city argues, prevent foreclosures and neighborhood blight. We look at several cities
that have considered this controversial strategy, evaluating what they have in common, and whether the plan, as
proposed, will address the problems they face.
QRM Comment Letter: Credit Risk Retention
Author: Laurie Goodman
October 24, 2013
On August 22, the six regulatory agencies proposed rules for risk retention under Section 941 of the Dodd Frank Act.
In this comment letter, we focused on one aspect of the proposal, the Qualified Residential Mortgage (QRM) definition
for residential mortgage backed securities.
Opening the Credit Box
Authors: Jim Parrott, Mark Zandi
September 30, 2013
A sustained recovery of the housing market is critical to the recovery of the broader economy. Yet overly tight credit is
hampering housing demand and slowing this market's return to health. Mark Zandi and Jim Parrott discuss what is
driving this tightness in lending and what policymakers can (and can't) do to address the challenge.
Upcoming
The Impact of Mortgage Rate Increases on Housing Affordability
Author: Lan Shi
To measure the impact of the housing recovery on home affordability, we adapt the methodology used by the National
Association of Realtors (NAR) in its Housing Affordability Index (HAI). We measure affordability in the United States
and across the 37 largest Metropolitan Statistical Areas (MSAs).
26
RELATED HFPC WORK
PUBLICATIONS AND EVENTS
Upcoming Events
Data, Demand, and Demographics: A Symposium on Housing Finance
The Urban Institute and CoreLogic are pleased to host a symposium on November 20, 2013 addressing a diverse range
of future housing market issues and opportunities confronting consumers, businesses, and policy makers. The
symposium will feature keynote addresses from Gene Sperling, director of the National Economic Council, and Ed
Glaeser, Fred and Eleanor Glimp Professor of Economics at Harvard University.
The program also includes the following panel discussions: Demographics of US Households, Greater Transparency in
the Agency and Non-Agency MBS Markets, Challenges of the Rental Market, and Credit Access.
Blog Posts
Webcasts
Lunchtime Data Talk: Mortgage Origination Data—
Pricing and Volume: More than You Ever Wanted to
Know
QRM vs. alternative QRM: quantifying the comparison Presenters: Frank Nothaft (Chief Economist, Freddie Mac)
and Michael Fratantoni (Vice President, Single Family
Authors: Laurie Goodman, Ellen Seidman, Jun Zhu
Research and Policy Development, Mortgage Bankers
What HMDA data say about the state of the mortgage Association)
October 16, 2013
market
Author: Ellen Seidman
Lunchtime Data Talk: Home Price Indices: Appreciating
Fannie Mae reduces its max LTV to 95: Does the data the Differences
Presenters: Mark Fleming (Chief Economist, CoreLogic)
support the move?
and Stan Humphries (Chief Economist, Zillow)
Authors: Laurie Goodman, Taz George
September 16, 2013
HARP has been a huge success; further action on the
Lunchtime Data Talk: The National Mortgage Database
refinancing front is unlikely
Presenters: Bob Avery (Project Director, National Mortgage
Author: Laurie Goodman
Database, Federal Housing Finance Agency) and Peter M.
The President’s speech in Phoenix: what it means and Zorn (Vice President, Housing Analysis and Research,
Mission, Models and Research Division, Freddie Mac)
why it matters
June 11, 2013
Author: Jim Parrott
QRM, alternative QRM: loan default rates
Authors: Laurie Goodman, Ellen Seidman, Jun Zhu
Copyright © October 2013. 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.
27