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Working Paper 19-02: A Quarter Century of Mortgage Risk

Published: 2/1/2019

​William Larson (FHFA), Morris Davis (Rutgers), Stephen Oliner (American Enterprise Institute), Benjamin R. Smith (University of Pennsylvania)

*Updated 10/15/2019


This paper provides a comprehensive account of the evolution of default risk for newly originated home purchase loans over the past quarter century. We bring together several data sources to produce this history, including loan-level data for the entire Enterprise (Fannie Mae and Freddie Mac) book. We use these data to track a large number of loan characteristics and a summary measure of risk, the stressed default rate. Among the many results in the paper, we show that mortgage risk had already risen in the 1990s, planting seeds of the financial crisis well before the actual event. Our results also cast doubt on explanations of the crisis that focus on low-credit-score borrowers. The aggregate series we present in this paper are available for download at https:/www.fhfa.gov/papers/wp1902.aspx.

Note: These indices are works in progress and all data, tables, figures, and other results in this working paper are subject to change. Earlier versions of this paper were posted in January and March 2019 under the title “Mortgage Risk Since 1990.”

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