HOUSING FINANCE POLICY CENTER HOUSING FINANCE AT A GLANCE A MONTHLY CHARTBOOK

Transcription

1 HOUSING FINANCE POLICY CENTER HOUSING FINANCE AT A GLANCE A MONTHLY CHARTBOOK October

2 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 any comments or questions to ataglance@urban.org. 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 I Karan Kaul Research Associate I Bhargavi Ganesh Research Assistant Sarah Strochak Research Assistant Andrea Reyes Center Administrator

3 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 Housing Affordability National Housing Affordability Over Time 19 Affordability Adjusted for MSA-Level DTI 19

4 CONTENTS First-Time Homebuyers First-Time Homebuyer Share 20 Comparison of First-time and Repeat Homebuyers, GSE and FHA Originations 20 Home Price Indices National Year-Over-Year HPI Growth 21 Changes in CoreLogic HPI for Top MSAs 21 Negative Equity & Serious Delinquency Negative Equity Share 22 Loans in Serious Delinquency 22 Modifications and Liquidations Loan Modifications and Liquidations (By Year & Cumulative) 23 GSEs under Conservatorship GSE Portfolio Wind-Down Fannie Mae Mortgage-Related Investment Portfolio 24 Freddie Mac Mortgage-Related Investment Portfolio 24 Effective Guarantee Fees & GSE Risk-Sharing Transactions Effective Guarantee Fees 25 Fannie Mae Upfront Loan-Level Price Adjustment 25 GSE Risk-Sharing Transactions and Spreads Serious Delinquency Rates Serious Delinquency Rates Fannie Mae & Freddie Mac 28 Serious Delinquency Rates Single-Family Loans & Multifamily GSE Loans 29 Agency Issuance Agency Gross and Net Issuance Agency Gross Issuance 30 Agency Net Issuance 30 Agency Gross Issuance & Fed Purchases Monthly Gross Issuance 31 Fed Absorption of Agency Gross Issuance 31 Mortgage Insurance Activity MI Activity & Market Share 32 FHA MI Premiums for Typical Purchase Loan 33 Initial Monthly Payment Comparison: FHA vs. PMI 33 Special Feature Loan Level GSE Credit Data Fannie Mae Composition & Default Rate Freddie Mac Composition & Default Rate Default Rate by Vintage 38 Repurchase by Vintage 39 Loss Severity and Components Related HFPC Work Publications and Events 42

5 INTRODUCTION Three mortgage market developments with lasting consequences Last month brought about three significant developments that could have lasting consequences for the mortgage market. ; Secretary Carson s recent comments on enforcement under the False Claims Act, the wind down of Fed s agency MBS portfolio, and continued innovation within GSE credit risk transfer. FCA Enforcement: Following the great recession, the DOJ significantly increased its enforcement of FCA for lenders originating FHA mortgages. This resulted in many lenders having to pay extremely high fines, even for small origination mistakes. Because of this, many depository lenders left FHA lending in recent years, causing a drastic shift in FHA lending towards nonbanks and contributing to the overall tightness of credit at the lower end of the credit spectrum. In recent remarks at the House Financial Services Committee, Secretary Carson said that HUD was addressing that problem and was committed to getting that resolved. This is highly noteworthy because ending the use of FCA for small origination mistakes is critical in giving depository lenders the confidence they need to resume FHA lending. If implemented, this change of direction would be an important step towards gradually improving access to credit for low- and moderate-income borrowers. coupon Ginnie Mae MBS and the average of 5 and 10- year US treasury notes narrowed by about 7 basis points, while the spread between current coupon Fannie MBS and the average US treasury note tightened by 4 basis points in the week after the announcement. CRT innovation: Lastly, Freddie Mac recently announced yet another expansion of its STACR credit risk transfer program to broaden the investor base for CRT securities. Freddie announced a new type of CRT security that is collateralized by mortgages (in contrast to existing CRT securities which are general obligations of Freddie Mac). This change would allow the new securities (called STACR-Securitized Participation Interests) to qualify as eligible assets for real estate investment trusts, which invest exclusively in real estate and real estate-backed assets. STACR- SPI is also tax friendly for foreign investors due to its REMIC election. REIT participation in the credit risk transfer market will bring another source of private capital into the mortgage market. It will also increase overall demand, and facilitate better pricing and liquidity for CRT securities, as this market continues to grow. The Fed s portfolio reduction of agency MBS: The second development came late September from the Federal Reserve. On Sep 20 th the Fed announced its decision to initiate, in October 2017, the process of reducing its holdings of agency MBS, which were accumulated during quantitative easing over the last several years. Prior to this announcement, the Fed had only said that it would begin its reductions later this year. The Fed also confirmed that the reductions in agency MBS will be capped at $4 billion initially, with caps increasing by $4 billion each quarter until they hit $20 billion in October By giving the reductions a start date, the Fed is now officially scaling back its support that helped push mortgage rates lower during the downturn. The Fed s decision, which is subject to ongoing monitoring, resolved a major source of nearterm uncertainty for MBS investors and caused spreads to tighten. The spread between the current INSIDE THIS ISSUE HCAI shows mortgage credit availability decreased from 5.4 to 5.1 in Q (Page 16). With home prices reaching pre-crisis peak levels and higher rates, national housing affordability fell closer to long-term historical average (page 19). National house prices reached the pre-crisis peak level in August 2017 (Page 21). Special quarterly feature includes GSE default, composition, loss severity, and repurchase indicators (Pages 34-41).

6 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 Q2 was no different. While total debt and mortgages was stable at $10.4 trillion, household equity reached a new high of $14.7 trillion, bringing the total value of the housing market to $25.1 trillion, surpassing the pre-crisis peak of $23.9 trillion in Agency MBS make up 59.6 percent of the total mortgage market, private-label securities make up 4.7 percent, and unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 30.1 percent. Second liens comprise the remaining 5.6 percent of the total. Value of the US Housing Market Debt, household mortgages Household equity Total value ($ trillions) $25.1 $14.7 $ Q2 Sources: Federal Reserve Flow of Funds and Urban Institute. Last updated September Size of the US Residential Mortgage Market ($ trillions) 7 6 Agency MBS Unsecuritized first liens Private Label Securities Second Liens $ Debt, household mortgages, $9,833 $ $ Q2 Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, embs and Urban Institute. Last updated September Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. 6 $0.59

7 OVERVIEW MARKET SIZE OVERVIEW As of August 2017, debt in the private-label securitization market totaled $513 billion and was split among prime (18.1 percent), Alt-A (39.0 percent), and subprime (42.9 percent) loans. In September 2017, outstanding securities in the agency market totaled $6.29 trillion and were 44.0 percent Fannie Mae, 27.3 percent Freddie Mac, and 28.8 percent Ginnie Mae. Ginnie Mae has had more outstanding securities than Freddie Mac since May Private-Label Securities by Product Type ($ trillions) Alt-A Subprime Prime Sources: CoreLogic and Urban Institute. August Agency Mortgage-Backed Securities ($ trillions) Fannie Mae Freddie Mac Ginnie Mae Total Sources: embs and Urban Institute. September

8 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 $840 billion in the first half of 2017, down 6 percent from the same period last year, mostly due to the elevated interest rates. The share of portfolio originations was 28 percent, down slightly from 30 percent in 2016, despite an increase in Q The GSE share stayed at about 46 percent. The FHA/VA share was slightly up: 25 percent for the first half of 2017 versus 24 percent in Origination of private-label securities was well under 1 percent in both periods. ($ trillions) $4.0 $3.5 $3.0 $2.5 $2.0 $1.5 GSE securitization FHA/VA securitization PLS securitization Portfolio $0.234 $1.0 $0.006 $0.5 $0.210 $0.0 $ Q1- Sources: Inside Mortgage Finance and Urban Institute. Last updated September Q2 (Share, percent) 100% 90% 80% 70% 60% 50% 40% 27.9% 0.71% 25.0% 46.4% 30% 20% 10% 0% Q1- Q2 Sources: Inside Mortgage Finance and Urban Institute. Last updated September

9 OVERVIEW MORTGAGE MORTGAGE ORIGINATION ORIGINATION PRODUCT PRODUCT TYPE Adjustable-rate TYPEmortgages (ARMs) accounted for as much as 42 percent of all new originations during the peak of the 2005 housing bubble (top chart). The ARMs fell to an historic low of 1 percent in 2009, and then slowly grew to a high of 6 percent in April Since then, ARMs have began to decline again to 3.5 percent in July The 15- year fixed-rate mortgage (FRM), predominantly a refinance product, accounted for 14.1 percent of new originations in July If we exclude refinances (bottom chart), the share of 30-year FRMs in July 2017 stood at 89.6 percent, 15-year FRMs at 5.8 percent, and ARMs at 3.1 percent. All Originations 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% Fixed-rate 30-year mortgage Fixed-rate 15-year mortgage Adjustable-rate mortgage Other 0% Sources: Corelogic, embs, HMDA, SIFMA and Urban Institute. July 2017 Purchase Loans Only Fixed-rate 30-year mortgage Fixed-rate 15-year mortgage Adjustable-rate mortgage Other 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Sources: Corelogic, embs, HMDA, SIFMA and Urban Institute. July

10 Q1-Q3 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug YTD OVERVIEW SECURITIZATION VOLUME AND COMPOSITION Agency/Non-Agency Share of Residential MBS Issuance The non-agency share of mortgage securitizations in the first nine months of 2017 was 100% 2.9 percent, compared to % percent in all of 2016 and 4.5 percent in all of The nonagency 80% securitization volume 70% totaled $40.0 billion in the first three quarters of 2017, a 12 60% percent increase over the same period in Much of the 50% volume was in non-performing 40% and re-performing (scratch and dent) deals. The volume of prime 30% securitizations in the first three 20% quarters of 2017 totaled $7.45 billion, just below the $ % billion in Q Nonagency 0% securitizations continue to be tiny compared to pre-crisis levels. Sources: Inside Mortgage Finance and Urban Institute. Note: Based on data from September ($ billions) $1,400 $1,200 Non-Agency MBS Issuance Re-REMICs and other Scratch and dent Alt A Subprime Prime Agency share ($ billions) $12 $10 Non-Agency share Monthly Non-Agency Securitization 97.13% 2.87% $1,000 $8 $800 $600 $400 $200 $0 $3.04 $23.86 $4.10 $1.33 $7.45 $6 $4 $2 $1.4 $- $0 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. Last updated August

11 Mar-04 Sep-04 Mar-05 Sep-05 Mar-06 Sep-06 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 OVERVIEW AGENCY ACTIVITY: VOLUMES AND PURCHASE/ REFI COMPOSITION Agency issuance totaled $986.9 billion for the first 9 months of the year, $1.315 trillion on an annualized basis. This is down about 6 percent from the first 9 months of The refinance share edged up a bit in September, a typical seasonal effect associated with lower purchase volume attributable to the end of the heavy summer purchase activity. Agency Gross Issuance ($ trillions) Fannie Mae Freddie Mac Ginnie Mae $0.46 $ $ Ann. Sources: embs and Urban Institute. Note: Annualized figure based on data from September Percent Refi at Issuance Freddie Mac Fannie Mae Ginnie Mae Mortgage rate Percent refi 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Mortgage rate 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Sources: embs and Urban Institute. Note: Based on at-issuance balance. Figure based on data from September

12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 OVERVIEW NONBANK ORIGINATION SHARE Though nonbank origination share has increased for all three agencies since 2013, the percentage has remained steady month-over-month. This month, Freddie and Fannie had nonbank originator shares between percent, while Ginnie Mae s nonbank share was at 76 percent. The nonbank originator share is higher for refinance than for purchases across all three agencies. Nonbank Origination Share: All Loans All Fannie Freddie Ginnie 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 76% 60% 52% 51% Sources: embs and Urban Institute. 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% Nonbank Origination Share: Purchase Loans 0% All Fannie Freddie Ginnie Nonbank Origination Share: Refi Loans 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% All Fannie Freddie Ginnie Sources: embs and Urban Institute Sources: embs and Urban Institute 12

13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 OVERVIEW NONBANK CREDIT BOX Nonbank originators have played a key role in opening up access to credit. The median GSE and the median Ginnie Mae FICO scores for loans originated by nonbanks are lower than their bank counterparts. Within the GSE space, both bank and nonbank FICOs have declined since 2014 with further relaxation in FICOs in In contrast, within the Ginnie Mae space, FICO scores for bank originations have increased since 2014 while nonbank FICOs have declined. This largely reflects the sharp cut-back in FHA lending by many banks. Agency FICO: Bank vs. Nonbank FICO All Median FICO Bank Median FICO Nonbank Median FICO Sources: embs and Urban Institute. GSE FICO: Bank vs. Nonbank All Median FICO Bank Median FICO Nonbank Median FICO FICO Ginnie Mae FICO: Bank vs. Nonbank FICO All Median FICO Nonbank Median FICO Bank Median FICO Sources: embs and Urban Institute. Sources: embs and Urban Institute. 13

14 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 OVERVIEW NONBANK CREDIT BOX The median LTV ratios for loans originated by nonbanks are similar to their bank counterparts, while the median DTIs for nonbank loans are higher, indicating that nonbanks are more accommodating in this as well as in the FICO dimension. Note that in 2017 there has been a measurable increase in DTIs. This is true for both Ginnie Mae and GSE loans, banks and nonbank originators. LTV GSE LTV: Bank vs. Nonbank All Median LTV Nonbank Median LTV Bank Median LTV Ginnie Mae LTV: Bank vs. Nonbank LTV All Median LTV Nonbank Median LTV Bank Median LTV Sources: embs and Urban Institute. Sources: embs and Urban Institute. GSE DTI: Bank vs. Nonbank Ginnie Mae DTI: Bank vs. Nonbank DTI 42 All Median DTI Nonbank Median DTI Bank Median DTI DTI 42 All Median DTI Nonbank Median DTI Bank Median DTI Sources: embs and Urban Institute. Sources: embs and Urban Institute. 14

15 STATE OF THE MARKET MORTGAGE ORIGINATION PROJECTIONS Origination volume for calendar year 2016 was close to $2.0 trillion. In 2017, Fannie Mae, Freddie Mac and MBA expect origination volume to be in the $1.55-$1.65 trillion range, owing to a sharp decline in refinance activity due to rising interest rates. In 2017, the share of refinances is expected to be in the percent range, representing a drop from the 48 percent refi share in Fannie, Freddie, and MBA all forecast 2017 housing starts to total 1.21 to 1.24 million units, an increase from Home sales forecasts for 2017 range from million, a rise from 2016 levels. Total Originations and Refinance Shares Originations ($ billions) Refi Share (%) Period Total, FNMA Total, FHLMC Total, MBA FNMA FHLMC MBA estimate estimate estimate estimate estimate estimate 2017 Q Q Q Q Q Q Q Q FY FY FY FY FY Sources: Fannie Mae, Freddie Mac, Mortgage Bankers Association and Urban Institute. Note: Shaded boxes indicate forecasted figures. All figures are estimates for total single-family market. Column labels indicate source of estimate. Regarding interest rates, the yearly averages for 2014, 2015,and 2016 were 3.6%, 3.7%, and 3.6%. For 2017, the respective projections for Fannie, Freddie, and MBA are 4.1%, 4.2%, and 4.2%. Housing Starts and Homes Sales Housing Starts, thousands Home Sales. thousands Year Total, FNMA estimate Total, FHLMC estimate Total, MBA estimate Total, FNMA estimate Total, FHLMC estimate Total, MBA estimate Existing, MBA estimate New, MBA Estimate FY FY FY FY FY 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. 15

16 STATE OF THE MARKET CREDIT AVAILABILITY AND ORIGINATOR PROFITABILITY Housing Credit Availability Index (HCAI) HFPC s Housing Credit Availability Index (HCAI) assesses lenders tolerance for both borrower risk and product risk, calculating the share of owner-occupied purchase loans that are likely to default. The index shows that credit availability decreased slightly to 5.1 in the second quarter of 2017 (Q2 2017), down from 5.4 in Q1 2017, the highest level since This decline was mostly driven by a shift in market composition from Q1 to Q2 2017, with the government channel losing market share to the portfolio channel, where lending standards are tighter. In the meantime, credit continued to expand within the GSE and government channels, thanks to higher interest rates and lower refinance volumes. More information about the HCAI, including the breakdown by market segment, is available here. Percent Sources: embs, Corelogic, HMDA, IMF, and Urban Institute. Q Note: Default is defined as 90 days or more delinquent at any point. Last updated October Originator Profitability and Unmeasured Costs When originator profits are higher, mortgage volumes are less responsive to changes in interest rates, because originators are at capacity. Originator Profitability and Unmeasured Costs (OPUC), formulated and calculated by the Federal Reserve Bank of New York, is a good relative measure of originator profitability. OPUC uses the sales price of the mortgage in the secondary market (less par) and adds two additional sources of profitability; retained servicing (both base and excess servicing, net of g-fees) and points paid by the borrower. With interest rates higher after the 2016 presidential election, OPUC rose sharply to $3.21 in July With the post-election high interest rates, OPUC now stands at $2.4. Dollars per $100 loan 6 Reasonable lending standards Product risk Total default risk Borrower risk Sources: Federal Reserve Bank of New York, updated monthly and available at this link: and Urban Institute. Note: OPUC is a is a monthly (4-week moving) average as discussed in Fuster et al. (2013). September

17 STATE OF THE MARKET CREDIT AVAILABILITY FOR PURCHASE LOANS Access to credit has become extremely tight, especially for borrowers with low FICO scores. The mean and median FICO scores on new purchase originations have both drifted up about 21 and 20 points over the last decade, respectively. The 10th percentile of FICO scores, which represents the lower bound of creditworthiness needed to qualify for a mortgage, stood at 649 as of July Prior to the housing crisis, this threshold held steady in the low 600s. Mean LTV levels at origination remain relatively high, averaging 86.7, which reflects the large number of FHA purchase originations. Borrower FICO Score at Origination FICO Score th percentile Mean Median 10th percentile Sources: CoreLogic, embs, HMDA, SIFMA and Urban Institute. Note: Includes owner-occupied purchase loans only. July 2017 Combined LTV at Origination LTV th percentile Mean Median 10th percentile Sources: Corelogic, embs, HMDA, SIFMA and Urban Institute. Note: Includes owner-occupied purchase loans only. July

18 San Francisco-Redwood City-South San Francisco CA San Jose-Sunnyvale-Santa Clara CA Oakland-Hayward-Berkeley CA Los Angeles-Long Beach-Glendale CA Seattle-Bellevue-Everett WA Washington-Arlington-Alexandria DC-VA-MD-WV Portland-Vancouver-Hillsboro OR-WA San Diego-Carlsbad CA Newark NJ-PA Denver-Aurora-Lakewood CO Pittsburgh PA Chicago-Naperville-Arlington Heights IL Philadelphia PA Sacramento--Roseville--Arden-Arcade CA Nassau County-Suffolk County NY St. Louis MO-IL Baltimore-Columbia-Towson MD Minneapolis-St. Paul-Bloomington MN-WI Columbus OH Charlotte-Concord-Gastonia NC-SC Tampa-St. Petersburg-Clearwater FL Orlando-Kissimmee-Sanford FL Kansas City MO-KS Dallas-Plano-Irving TX Houston-The Woodlands-Sugar Land TX San Antonio-New Braunfels TX Fort Worth-Arlington TX Atlanta-Sandy Springs-Roswell GA Cincinnati OH-KY-IN Cleveland-Elyria OH Phoenix-Mesa-Scottsdale AZ Las Vegas-Henderson-Paradise NV Detroit-Dearborn-Livonia MI Miami-Miami Beach-Kendall FL Riverside-San Bernardino-Ontario CA STATE OF THE MARKET CREDIT AVAILABILITY FOR PURCHASE LOANS Credit has been tight for all borrowers with less-than-stellar credit scores--especially in MSAs with high housing prices. For example, the mean origination FICO for borrowers in San Francisco- Redwood City- South San Francisco, CA is 771, while in Riverside-San Bernardino-Ontario CA it is 736. 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 Origination FICO Mean origination FICO score Mean origination LTV Origination LTV Sources: CoreLogic, embs, HMDA, SIFMA and Urban Institute. Note: Includes owner-occupied purchase loans only. Data as of July

19 San Francisco-Redwood City-South San Francisco CA San Jose-Sunnyvale-Santa Clara CA Los Angeles-Long Beach-Glendale CA Miami-Miami Beach-Kendall FL Philadelphia PA Seattle-Bellevue-Everett WA Portland-Vancouver-Hillsboro OR-WA Dallas-Plano-Irving TX Riverside-San Bernardino-Ontario CA Orlando-Kissimmee-Sanford FL Oakland-Hayward-Berkeley CA Denver-Aurora-Lakewood CO San Diego-Carlsbad CA Phoenix-Mesa-Scottsdale AZ Washington-Arlington-Alexandria DC-VA-MD-WV Fort Worth-Arlington TX Boston MA Tampa-St. Petersburg-Clearwater FL Sacramento--Roseville--Arden-Arcade CA Charlotte-Concord-Gastonia NC-SC Detroit-Dearborn-Livonia MI Las Vegas-Henderson-Paradise NV New York-Jersey City-White Plains NY-NJ Atlanta-Sandy Springs-Roswell GA Baltimore-Columbia-Towson MD Nassau County-Suffolk County NY Houston-The Woodlands-Sugar Land TX San Antonio-New Braunfels TX Minneapolis-St. Paul-Bloomington MN-WI Kansas City MO-KS Chicago-Naperville-Arlington Heights IL St. Louis MO-IL Columbus OH Newark NJ-PA Pittsburgh PA Cincinnati OH-KY-IN Cleveland-Elyria OH STATE OF THE MARKET HOUSING AFFORDABILITY National Housing Affordability Over Time Home prices remain affordable by historic standards, despite increases over the last five years and the recent interest rate hikes. Even if interest rates rise to 4.75 percent, affordability would still be at the long-term historical average. 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 fixedrate mortgage, and property tax and insurance at 1.75 percent of housing value Housing Prices ($ thousands) $320 $270 $220 $170 $120 Median sales price Max affordable price at 4.75% rate Affordability Adjusted for MSA-Level DTI Ratio Credit Bubble Max affordable price July 2017 $317,763 $279,016 $250,000 Sources: CoreLogic, US Census, Freddie Mac and Urban Institute calculations based on NAR methodology. Note: Index is calculated relative to home prices in A ratio above 1 indicates higher affordability in July 2017 than in

20 STATE OF THE MARKET FIRST-TIME HOMEBUYERS First-Time Homebuyer Share In July 2017, the first-time homebuyer share of GSE purchase loans fell for the third consecutive month to 45.9 percent, after hitting the highest level in recent history in April (48.1 percent). The FHA has always been more focused on first-time homebuyers, with its first-time homebuyer share hovering around 80 percent; it stood at 82.0 percent in July The bottom table shows that based on mortgages originated in July 2017, the average first-time homebuyer was more likely than an average repeat buyer to take out a smaller loan and have a lower credit score and higher LTV and DTI, thus requiring a higher interest rate. 90% 80% 70% GSEs FHA GSEs and FHA % 50% 40% % 20% Sources: embs, Federal Housing Administration (FHA ) and Urban Institute. Note: All series measure the first-time homebuyer share of purchase loans for principal residences. July 2017 Comparison of First-Time and Repeat Homebuyers, GSE and FHA Originations GSEs FHA GSEs and FHA Characteristics First-time Repeat First-time Repeat First-time Repeat Loan Amount ($) 227, , , , , ,166 Credit Score LTV (%) DTI (%) Loan Rate (%) Sources: embs and Urban Institute. Note: Based on owner-occupied purchase mortgages originated in July

21 STATE OF THE MARKET HOME PRICE INDICES National Year-Over-Year HPI Growth While the strong year-over-year home price growth from 2012 to 2013 has slowed somewhat, home price appreciation remains robust as measured by the repeat sales index from CoreLogic and hedonic index from Zillow. We will continue to closely monitor how rising mortgage rates impact this strong growth. Year-over-year growth rate 20% 15% 10% 5% 0% -5% -10% -15% CoreLogic HPI -20% Sources: CoreLogic, Zillow, and Urban Institute. August 2017 Changes in CoreLogic HPI for Top MSAs After rising 49.9 percent from the trough, national house prices have now reached pre-crisis peak levels. At the MSA level, Nine of the top 15 MSAs have reached their peak HPI: New York, NY; Los Angeles, CA; Atlanta, GA; Houston, TX; Dallas, TX; Minneapolis, MN; Seattle, WA; Denver, CO and San Diego, CA. Two MSAs particularly hard hit by the boom and bust Phoenix, AZ and Riverside, CA would need to rise 21 and 22 percent to return to peak levels, respectively. MSA 2000 to peak HPI changes (%) Peak to trough Trough to current % Rise needed to achieve peak United States % 0.0% New York-Jersey City-White Plains NY-NJ % -9.1% Los Angeles-Long Beach-Glendale CA % -3.8% Chicago-Naperville-Arlington Heights IL % 13.6% Atlanta-Sandy Springs-Roswell GA % -7.3% Washington-Arlington-Alexandria DC-VA-MD-WV % 10.2% Houston-The Woodlands-Sugar Land TX % -20.1% Phoenix-Mesa-Scottsdale AZ % 21.4% Riverside-San Bernardino-Ontario CA % 22.1% Dallas-Plano-Irving TX % -27.1% Minneapolis-St. Paul-Bloomington MN-WI % -1.2% Seattle-Bellevue-Everett WA % -22.3% Denver-Aurora-Lakewood CO % -34.0% Baltimore-Columbia-Towson MD % 13.3% San Diego-Carlsbad CA % -1.0% Anaheim-Santa Ana-Irvine CA % 0.6% 6.9% Sources: CoreLogic HPIs and Urban Institute. Data as of August Note: This table includes the largest 15 Metropolitan areas by mortgage count. 21

22 2Q02 4Q02 2Q03 4Q03 2Q04 4Q04 2Q05 4Q05 2Q06 4Q06 2Q07 4Q07 2Q08 4Q08 2Q09 4Q09 2Q10 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 2Q15 4Q15 2Q16 4Q16 2Q17 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12 3Q12 4Q12 1Q13 2Q13 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 STATE OF THE MARKET NEGATIVE EQUITY & SERIOUS DELINQUENCY Negative Equity Share Negative equity Near or in negative equity With housing prices continuing to appreciate, residential properties in negative equity (LTV greater than 100) as the share of all residential properties with a mortgage continued to decline and stood at 5.4 percent as of Q Residential properties in near negative equity (LTV between 95 and 100) comprise another 1.4 percent.. 35% 30% 25% 20% 15% 10% 5% 0% 6.8% 5.4% Sources: CoreLogic and Urban Institute. Note: CoreLogic negative equity rate is the percent of all residential properties with a mortgage in negative equity. Loans with negative equity refer to loans above 100 percent LTV. Loans near negative equity refer to loans above 95 percent LTV. Last updated September Loans in Serious Delinquency/Foreclosure 90 day delinquencies continued their decline from 1.37 to 1.2 percent in Q The percent of loans in foreclosure continued to edge down to 1.29 percent. The combined delinquencies totaled 2.49 percent in Q2 2017, down from 2.76 percent in Q and 3.11 percent for the same quarter a year earlier. Percent of loans 90 days delinquent or in foreclosure Percent of loans 90 days delinquent Percent of loans in foreclosure 12% 10% 8% 6% 4% 2% 0% 2.5% 1.3% 1.2% Sources: Mortgage Bankers Association and Urban Institute. Last updated September

23 STATE OF THE MARKET MODIFICATIONS AND LIQUIDATIONS Total modifications (HAMP and proprietary) are now roughly equal to total liquidations. Hope Now reports show 8,242,918 borrowers have received a modification since Q3 2007, compared with 8,422,434 liquidations in the same period. Modifications and liquidations have slowed significantly over the past few years. In the first five months of 2017, there were just 142,640 modifications and 132,369 liquidations. Loan Modifications and Liquidations Number of loans (thousands) 1,600 1,400 1,200 1, (Q3- Q4) May 2017 HAMP mods Proprietary mods Liquidations Sources: Hope Now and Urban Institute. Note: Liquidations include both foreclosure sales and short sales. Cumulative Modifications and Liquidations Number of loans (millions) (Q3-Q4) May 2017 HAMP mods Proprietary mods Liquidations Sources: Hope Now and Urban Institute. Note: Liquidations includes both foreclosure sales and short sales. 23

24 GSES UNDER CONSERVATORSHIP GSE PORTFOLIO WIND-DOWN Both GSEs continue to contract their portfolios. Since August 2016, Fannie Mae has contracted by 21.6 percent and Freddie Mac by 13.2 percent. They are shrinking their less-liquid assets (mortgage loans and non-agency MBS) faster than they are shrinking their entire portfolio. As of August 2017, both Fannie Mae and Freddie Mac are below their year-end 2017 portfolio cap. Fannie Mae is also below the long run portfolio cap of $250 billion that each GSE is required to reach by year-end Fannie Mae Mortgage-Related Investment Portfolio Composition ($ billions) FNMA MBS in portfolio Non-FNMA agency MBS Non-agency MBS Mortgage loans Current size: $ billion 2017 cap: $ billion Shrinkage year-over-year: 21.6% Shrinkage in less-liquid assets yearover-year: 21.7% August 2017 Sources: Fannie Mae and Urban Institute. Freddie Mac Mortgage-Related Investment Portfolio Composition ($ billions) FHLMC MBS in portfolio Non-FHLMC agency MBS Non-agency MBS Mortgage loans Sources: Freddie Mac and Urban Institute. Current size:$ billion 2017 cap: $ billion Shrinkage year-over-year: 13.2% Shrinkage in less-liquid assets yearover-year: 19.2% August

25 2Q09 4Q09 2Q10 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 2Q15 4Q15 2Q16 4Q16 2Q17 GSES UNDER CONSERVATORSHIP EFFECTIVE GUARANTEE FEES Guarantee Fees Charged on New Acquisitions The latest 10-K indicates that Fannie s average g-fees on new acquisitions decreased from 58.7 to 58.0 bps in Q and Freddie s remained flat at 54 bps. This is a marked increase over 2012 and 2011, and has contributed to the GSEs profits. The GSE s latest Loan-Level Pricing Adjustments (LLPAs) took effect in September 2015; the bottom table shows the Fannie Mae LLPAs, which are expressed as upfront charges. Note that the September 2015 changes were very modest, and did not have a material impact on GSE pricing. In particular, the Adverse Market Delivery Charge (ADMC) of 0.25 percent was eliminated, and LLPAs for some borrowers were slightly increased to compensate for the revenue loss. Sources: Fannie Mae, Freddie Mae and Urban Institute. Last updated August Fannie Mae Upfront Loan-Level Price Adjustments (LLPAs) Credit Score > % 0.25% 0.25% 0.50% 0.25% 0.25% 0.25% 0.75% % 0.25% 0.50% 0.75% 0.50% 0.50% 0.50% 1.00% % 0.50% 1.00% 1.25% 1.00% 1.00% 1.00% 1.50% % 0.50% 1.25% 1.75% 1.50% 1.25% 1.25% 1.50% % 1.00% 2.25% 2.75% 2.75% 2.25% 2.25% 2.25% % 1.25% 2.75% 3.00% 3.25% 3.75% 2.75% 2.75% % 1.50% 3.00% 3.00% 3.25% 3.25% 3.25% 3.50% < % 1.50% 3.00% 3.00% 3.25% 3.25% 3.25% 3.75% Product Feature (Cumulative) Basis points High LTV 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Investment Property 2.125% 2.125% 2.125% 3.375% 4.125% N/A N/A N/A Sources: Fannie Mae and Urban Institute. Note: For whole loans purchased on or after September 1, 2015, or loans delivered into MBS pools with issue dates on or after September 1, Fannie Mae single-family average charged g-fee on new acquisitions Freddie Mac single-family guarantee fees charged on new acquisitions LTV

26 GSES UNDER CONSERVATORSHIP GSE RISK-SHARING TRANSACTIONS Fannie Mae and Freddie Mac have been laying off back-end credit risk through CAS and STACR deals as well as through reinsurance transactions. They have also done a few front-end transactions with originators and experimented with deep mortgage insurance coverage with private mortgage insurers. FHFA s 2017 scorecard requires the GSEs to lay off credit risk on 90 percent of newly acquired loans in categories targeted for transfer. Fannie Mae's CAS issuances to date cover 33 percent of its outstanding guarantees, while Freddie's STACR covers 48 percent. In October 2017, Freddie Mac issued a $600M STACR deal, its last planned high LTV deal of the year. Fannie Mae Connecticut Avenue Securities (CAS) Date Transaction Reference Pool Size ($ m) Amount Issued ($m) % of Reference Pool Covered 2013 CAS 2013 deals $26,756 $ % 2014 CAS 2014 deals $227, 234 $5, % 2015 CAS 2015 deals $187,126 $5, % February 2016 CAS 2016 C01 $28,882 $ % March 2016 CAS 2016 C02 $35,004 $1, % April 2016 CAS 2016 C03 $36,087 $1, % July 2016 CAS 2016 C04 $42,179 $1, % August 2016 CAS C05 $38,668 $1, % November 2016 CAS C06 $33,124 $1, % December 2016 CAS 2016 C07 $22,515 $ % January 2017 CAS 2017 C01 $43,758 $1, % March 2017 CAS 2017 C02 $39,988 $1, % May 2017 CAS 2017 C03 $41,246 $1, % May 2017 CAS 2017 C04 $30,154 $1, % July 2017 CAS 2017 C05 $43,751 $1, % August 2017 CAS 2017 C06 $31,900 $1, % Total $908,372 $26, % Percent of Fannie Mae s Total Book of Business 32.79% Freddie Mac Structured Agency Credit Risk (STACR) Date Transaction Reference Pool Size ($ m) Amount Issued ($m) % of Reference Pool Covered 2013 STACR 2013 deals $57,912 $1, % 2014 STACR 2014 deals $147,120 $4, % 2015 STACR 2015 deals $209,521 $6, % January 2016 STACR Series 2016 DNA1 $35,700 $ % March 2016 STACR Series 2016 HQA1 $17,931 $ % May 2016 STACR Series 2016 DNA2 $30,589 $ % May 2016 STACR Series 2016 HQA2 $18,400 $ % June 2016 STACR Series 2016 DNA3 $26,400 $ % September 2016 STACR Series 2016 HQA3 $15,709 $ % September 2016 STACR Series 2016 DNA4 $24,845 $ % October 2016 STACR Series HQA4 $13,847 $ % January 2017 STACR Series 2017 DNA1 $33, 965 $ % February 2017 STACR Series 2017 HQA1 $29,700 $ % April 2017 STACR Series 2017 DNA2 $60,716 $1, % June 2017 STACR Series 2017 HQA2 $31,604 $ % September 2017 STACR Series 2017 DNA3 $56,151 $1, % October 2017 STACR Series 2017 HQA3 $21,641 $ % Total $769,668 $23, % Percent of Freddie Mac s Total Book of Business 48.15% 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. 26

27 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 GSES UNDER CONSERVATORSHIP GSE RISK-SHARING SPREADS CAS and STACR spreads have moved around considerably since 2013, with the bottom mezzanine tranche and the first loss bonds experiencing considerably more volatility than the top mezzanine bonds. Tranche B in particular has been highly volatile because of its first loss position. Spreads widened especially during Q due to falling oil prices, concerns about global economic growth and the slowdown in China. Since then spreads have resumed their downward trend but remain volatile. Secondary market spreads, not reflected here, show some widening post Hurricanes Harvey and Irma. Fannie Mae CAS Spreads at-issuance (basis points over 1-month LIBOR) Basis points (bps) 1400 Low-LTV Pools (61 to 80 %) Basis points (bps) 1400 High-LTV Pools (81 to 95 %) 1200 Tranche 1B 1200 Tranche 2B Tranche 1M-2 Tranche 1B Tranche 2M-2 Tranche 2B Tranche 1M Tranche 2M Freddie Mac STACR Spreads at-issuance (basis points over 1-month LIBOR) Basis points (bps) Low-LTV Pools (61 to 80 %) Tranche B Tranche B-2 Basis points (bps) High-LTV Pools (81 to 95 %) Tranche B Tranche B Tranche M-3 Tranche B Tranche M-3 Tranche B Tranche M-2 Tranche M Tranche M Tranche M-1 0 Sources: Fannie Mae, Freddie Mac Press Releases and Urban Institute. 27

28 SERIOUS GSES UNDER CONSERVATORSHIP DELINQUENCY RATES SERIOUS AT DELINQUENCY THE GSEs RATES Serious delinquency rates of GSE loans continue to decline as the legacy portfolio is resolved and the pristine, post book of business exhibits very low default rates. As of August 2017, 0.99 percent of the Fannie portfolio and 0.84 percent of the Freddie portfolio were seriously delinquent, down from 1.24 percent for Fannie and 1.03 percent for Freddie in August Serious Delinquency Rates Fannie Mae Percentage of total loans 16% 14% 12% 10% 8% 6% 4% Single-family: Non-credit enhanced (including credit risk transfer) Single-family: Total Credit Risk Transfer Single-family: Credit enhanced (PMI and other) Single-Family: Non-credit enhanced (Excluding credit risk transfer) 1.64% 2% 1.02% 0.99% 0% 0.15% Sources: Fannie Mae and Urban Institute. August 2017 Note*: Following a change in Fannie reporting in March 2017, we started to report the credit risk transfer category and a new non-credit enhanced category that excludes loans covered by either primary MI or credit risk transfer transactions. Fannie reported these two new categories going back to January Serious Delinquency Rates Freddie Mac Single-family: Non-credit enhanced Single-family: Credit enhanced Single-family: Total PMI Credit Enhanced* Credit Enhanced: Other* Freddie Mac: Multifamily Total Percentage of total loans 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% August % 0.90% 0.84% 0.32% Sources: Freddie Mac and Urban Institute. Note*: Following a change in Freddie reporting in September 2014, we switched from reporting credit enhanced delinquency rates to PMI and other credit enhanced delinquency rates. Freddie reported these two categories for credit-enhanced loans going back to August The other category includes single-family loans covered by financial arrangements (other than primary mortgage insurance) including loans in reference pools covered by STACR debt note transactions as well as other forms of credit protection. 28

29 2Q05 4Q05 2Q06 4Q06 2Q07 4Q07 2Q08 4Q08 2Q09 4Q09 2Q10 4Q10 2Q11 4Q11 2Q12 4Q12 2Q13 4Q13 2Q14 4Q14 2Q15 4Q15 2Q16 4Q16 2Q17 GSES UNDER CONSERVATORSHIP SERIOUS DELINQUENCY RATES Serious delinquencies for GSE single-family loans continued to decline. After the seasonal uptick in Q4 2016, both FHA and VA delinquencies resumed their decline to 3.78 and 2.03 percent through Q GSE delinquencies remain higher relative to , while FHA and VA delinquencies (which are higher than their GSE counterparts) are at levels lower than GSE multifamily delinquencies have declined to pre-crisis levels, although they did not reach problematic levels even in the worst years of the crisis. Serious Delinquency Rates Single-Family Loans Fannie Mae Freddie Mac FHA VA 10% 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% 3.78% 2.03% 1.02% 0.85% Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute. Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Not seasonally adjusted. Serious Delinquency Rates Multifamily GSE Loans Percentage of total loans Fannie Mae Freddie Mac 1.0% 0.9% 0.8% 0.7% 0.6% 0.5% 0.4% 0.3% 0.2% 0.1% 0.0% % 0.03% August 2017 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. 29

30 AGENCY ISSUANCE AGENCY GROSS AND NET ISSUANCE The agency gross issuance totaled $986.9 billion in the first three quarters of 2017, a 6.4 percent decrease year-over-year. When measured on a monthly basis, the agency gross issuance was lower year-over-year for seven consecutive months since March. If we annualize year to date gross issuance, volume is down from Net issuance (which excludes repayments, prepayments, and refinances on outstanding mortgages) was up 35.7 percent versus the same period in 2016, on track to become the most robust net issuance year in recent history. Issuance Year Agency Gross Issuance GSEs Ginnie Mae Total 2000 $360.6 $102.2 $462.8 Issuance Year Agency Net Issuance GSEs Ginnie Mae Total 2000 $159.8 $29.3 $ $885.1 $171.5 $1, $1,238.9 $169.0 $1, $1,874.9 $213.1 $2, $872.6 $119.2 $ $894.0 $81.4 $ $853.0 $76.7 $ $1,066.2 $94.9 $1, $911.4 $267.6 $1, $1,280.0 $451.3 $1, $1,003.5 $390.7 $1, $879.3 $315.3 $1, $1,288.8 $405.0 $1, $1,176.6 $393.6 $1, $650.9 $296.3 $ $845.7 $436.3 $1, $991.6 $508.2 $1, YTD $643.7 $343.3 $ $ $9.9 $ $ $51.2 $ $ $77.6 $ $82.5 -$40.1 $ $ $42.2 $ $313.6 $0.2 $ $514.9 $30.9 $ $314.8 $196.4 $ $250.6 $257.4 $ $303.2 $ $ $128.4 $149.6 $ $42.4 $119.1 $ $69.1 $87.9 $ $30.5 $61.6 $ $75.1 $97.3 $ $135.5 $125.3 $ YTD $112.6 $105.5 $ YTD %Change YOY -6.4% -6.4% -6.4% 2017 YTD %Change YOY 35.7% 11.3% 22.7% 2017 Ann $858.2 $457.7 $1, Ann $150.1 $140.7 $290.8 Sources: embs and Urban Institute. Note: Dollar amounts are in billions. Annualized figure based on data from September