HOUSING FINANCE AT A GLANCE - Urban Institute

HOUSING FINANCE POLICY CENTER

HOUSING FINANCE AT A GLANCE

A MONTHLY CHARTBOOK

February 2018

1

ABOUT THE CHARTBOOK

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.

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@.

To receive regular updates from the Housing Finance Policy Center, please visit here to sign up for our bi-weekly newsletter.

HOUSING FINANCE POLICY CENTER STAFF

Laurie Goodman Center Co-Director

Alanna McCargo Center Co-Director

Edward Golding Senior Fellow

Jim Parrott Senior Fellow

Sheryl Pardo Associate Director of Communications

Todd Hill Policy & Research Program Manager

Jun Zhu Senior Research Associate

Bing Bai Research Associate

Karan Kaul Research Associate

Jung Choi Research Associate

Bhargavi Ganesh Research Analyst

Sarah Strochak Research Assistant

Andrea Reyes Center Administrator

CONTENTS

Overview

Market Size Overview

Value of the US Residential Housing Market

6

Size of the US Residential Mortgage Market

6

Private Label Securities

7

Agency Mortgage-Backed Securities

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

10

Non-Agency MBS Issuance

10

Non-Agency Securitization

10

Agency Activity: Volumes and Purchase/Refi Composition

Agency Gross Issuance

11

Percent Refi at Issuance

11

Non-bank Origination Share

Nonbank Origination Share: All Loans

12

Nonbank Origination Share: Purchase Loans

12

Nonbank Origination Share: Refi Loans

12

Non-bank Credit Box

Agency FICO: Bank vs. Nonbank

13

GSE FICO: Bank vs. Nonbank

13

Ginnie Mae FICO: Bank vs. Nonbank

13

GSE LTV: Bank vs. Nonbank

14

Ginnie Mae LTV: Bank vs. Nonbank

14

GSE DTI: Bank vs. Nonbank

14

Ginnie Mae DTI: Bank vs. Nonbank

14

State of the Market

Mortgage Origination Projections

Total Originations and Refinance Shares

15

Housing Starts and Home Sales

15

Credit Availability and Originator Profitability

Housing Credit Availability Index (HCAI)

16

Originator Profitability and Unmeasured Costs (OPUC)

16

Credit Availability for Purchase Loans

Borrower FICO Score at Origination Month

17

Combined LTV at Origination Month

17

Origination FICO and LTV by MSA

18

CONTENTS

Housing Affordability National Housing Affordability Over Time Affordability Adjusted for MSA-Level DTI

First-Time Homebuyers First-Time Homebuyer Share Comparison of First-time and Repeat Homebuyers, GSE and FHA Originations

Home Price Indices National Year-Over-Year HPI Growth Changes in CoreLogic HPI for Top MSAs

Negative Equity & Serious Delinquency Negative Equity Share Loans in Serious Delinquency

Modifications and Liquidations Loan Modifications and Liquidations (By Year & Cumulative)

GSEs under Conservatorship

GSE Portfolio Wind-Down Fannie Mae Mortgage-Related Investment Portfolio Freddie Mac Mortgage-Related Investment Portfolio

Effective Guarantee Fees & GSE Risk-Sharing Transactions Effective Guarantee Fees Fannie Mae Upfront Loan-Level Price Adjustment GSE Risk-Sharing Transactions and Spreads

Serious Delinquency Rates Serious Delinquency Rates ? Fannie Mae & Freddie Mac Serious Delinquency Rates ? Single-Family Loans & Multifamily GSE Loans

Agency Gross and Net Issuance Agency Gross Issuance Agency Net Issuance

Agency Gross Issuance & Fed Purchases Monthly Gross Issuance Fed Absorption of Agency Gross Issuance

Agency Issuance

Mortgage Insurance Activity MI Activity & Market Share FHA MI Premiums for Typical Purchase Loan Initial Monthly Payment Comparison: FHA vs. PMI

Publications and Events

Related HFPC Work

19 19

20 20

21 21

22 22

23

24 24

25 25 26-27

28 29

30 30

31 31

32 33 33

34

INTRODUCTION

Continued impact of fall hurricanes on mortgage delinquencies

The three hurricanes ? Harvey, Irma and Maria that hit Texas, Florida and Puerto Rico last fall continue to take their toll on mortgage delinquencies, per latest data from the Mortgage Bankers Association for Q4 2017. The previous release of this data (Q3 2017) had showed a large (and expected) increase in the 30 day delinquency rate in the affected areas, as we had discussed in the November chartbook introduction.

Hurricane Maria. As of Q4 2017, 5.85 percent of all mortgages in Puerto Rico were 30 to 59 days delinquent, 6.05 percent were 60 to 89 days delinquent, 18.5 percent were 90 days more delinquent and another 6.05 percent were in foreclosure. Thus, a total of 36.9 percent of all mortgages in Puerto Rico were in some stage of nonperformance. The high 90-day delinquency rate in particular is concerning because it suggests that a large number of Puerto Rican homeowners were unable to resume payments even after three months.

The updated delinquency data for Q4 2017 is very useful in studying the delinquency pattern beyond the initial 30 days. At the nationwide level, the D30 rate declined from Q3 to Q4 2017 for all loans (from 2.84 to 2.75 percent), likely because some borrowers resumed monthly payments after the initial shock, and others became 60 or more days delinquent; indeed, D60 and D90 rates increased from 0.86 to 0.99 percent and from 1.29 to 1.72 percent respectively. This general pattern held across all three channels conventional, FHA and VA. Although serious delinquency rates will remain elevated for some time as these mortgages get resolved, the decline in the 30 day delinquency indicates that fewer borrowers became newly delinquent in the fourth quarter, further suggesting that the worst might be over. More recent data from Ginnie Mae, for FHA and VA delinquencies confirms that we have seen the highs in the delinquency rate.

Loans 90 days or more delinquent

Percent 20 18 16 14 12 10 8 6 4 2 0

Puerto Rico Florida

Texas United States

18.5

4.5

2.6 1.7

Source: Mortgage Bankers Association and Urban Institute.

That said, the data also paint a very bleak picture of delinquencies in Puerto Rico, which experienced the most property damage and destruction from

The 90-day DQ rate, while elevated in Florida and Texas, is orders of magnitude higher in Puerto Rico. We expect these delinquency rates to decline next quarter, as these loans get resolved, many through reperformance. But that won't necessarily be the end of the problem, especially for Puerto Rico. Only 40 percent of homes in Puerto Rico have mortgages, compared with 64 percent in the US. Many residents already have or will become homeless; others will be forced to live in unsafe structures. Weakness in the local economy and high unemployment rate will persist, forcing many more to migrate to the mainland and start from the scratch. Indeed, Hurricane Maria will continue to take a toll on the people of Puerto Rico long after the current delinquency cycle improves.

INSIDE THIS ISSUE

? Ginnie Mae's nonbank share edged up to new high in January 2018; Freddie Mac and Fannie Mae also saw increases in their non-bank share, leaving them just a touch off their all-time highs (page 12).

? Ginnie Mae median DTI continued to increase in January 2018 (page 14)

? Originator profitability measure continued to fall in January 2018 as rates went up (page 16)

? Serious delinquencies for single-family GSE loans, FHA loans and VA loans all moved up in Q4 2017, mostly due to the recent hurricanes (pages 22, 28 and 29).

? Both Fannie and Freddie's average g-fees on new acquisitions continued to decline in Q4 2017 (page 25).

? FHA, VA and PMI's mortgage insurance activities all decreased in Q4 2017, while VA lost market share to FHA and PMI in 2017 (page 32).

OVERVIEW

MARKET SIZE OVERVIEW

Since 2012, the Federal Reserve's Flow of Funds report has consistently indicated an increasing total value of the housing market, driven by growing household equity and 2017 Q3 was no different. While total debt and mortgages was stable at $10.5 trillion, household equity reached a new high of $14.9 trillion, bringing the total value of the housing market to $25.4 trillion, surpassing the pre-crisis peak of $23.9 trillion in 2006. Agency MBS make up 59.7 percent of the total mortgage market, private-label securities make up 4.6 percent, and unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 30.3 percent. Second liens comprise the remaining 5.5 percent of the total.

Value of the US Housing Market

($ trillions) 30

Debt, household mortgages

25

Household equity

Total value

$25.4

20

15

$14.9

10

$10.5

5

0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 22001177 QQ33

Sources: Federal Reserve Flow of Funds and Urban Institute. Last updated December 2017.

Size of the US Residential Mortgage Market

($ trillions) 7 6

Agency MBS

Unsecuritized first liens

Private Label Securities

Second Liens $6.29

5

Debt,

household

4

mortgages,

$9,833

3

$3.19

2

1

$0.58

$0.48 0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Q3

Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, eMBS and Urban Institute. Last updated December 2017. Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions.

6

OVERVIEW

MARKET SIZE OVERVIEW

As of December 2017, debt in the private-label securitization market totaled $497 billion and was split among prime (18.3 percent), Alt-A (38.2 percent), and subprime (43.4 percent) loans. In January 2018, outstanding securities in the agency market totaled $6.40 trillion and were 43.8 percent Fannie Mae, 27.4 percent Freddie Mac, and 28.9 percent Ginnie Mae. Ginnie Mae has had more outstanding securities than Freddie Mac since May 2016.

Private-Label Securities by Product Type

($ trillions) 1

Alt-A

Subprime

Prime

0.8

0.6

0.4

0.2

0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

0.22 0.19

0.09

Sources: CoreLogic and Urban Institute.

December 2017

Agency Mortgage-Backed Securities

($ trillions) 7 6

Fannie Mae

Freddie Mac

Ginnie Mae

Total

6.4

5

4

3

2.8

2

1.8

1

0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Sources: eMBS and Urban Institute.

January 2018

7

OVERVIEW

ORIGINATION VOLUME AND COMPOSITION

First Lien Origination Volume

After a record high origination year in 2016 ($2.1 trillion), the first lien originations totaled $1.3 trillion in the first three quarters of 2017, down 9 percent from the same period last year, mostly due to elevated interest rates. The share of portfolio originations was 29 percent, down slightly from 30 percent in 2016. The GSE share was around 45 percent, down from 46 percent in 2016. The FHA/VA share was slightly up: 25 percent for the first three quarters of 2017 versus 24 percent in 2016. Origination of private-label securities was well under 1 percent in both periods.

($ trillions) $4.0

GSE securitization

FHA/VA securitization

PLS securitization

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0 2001

2003

2005

2007

2009

2011

2013

Sources: Inside Mortgage Finance and Urban Institute. Last updated January 2018.

Portfolio 2015

$0.388 $0.007 $0.334 $0.606

2017 Q1Q3

(Share, percent)

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2001

2003

2005

2007

2009

2011

Sources: Inside Mortgage Finance and Urban Institute. Last updated January 2018.

2013

29.1% 0.56% 25.0%

45.4%

2015

2017 Q1Q3

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