This annual report describes FHFA's accomplishments, as well as challenges, the agency faced in meeting the strategic goals and objectives during the past fiscal year.
Read about the agency’s 2022 examinations of Fannie Mac, Freddie Mac and the Home Loan Bank System.
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As conservator, FHFA is focused on ensuring that each Enterprise builds capital and improves its safety and soundness.
1.
Operate the business in a safe and sound manner.
2.
Promote sustainable and equitable access to affordable housing.
2023 Scorecard
FHFA experts provide reliable data, including all states, about activity in the U.S. mortgage market through its House Price Index, Refinance Report, Foreclosure Prevention Report, and Performance Report.
Source: FHFA
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Alex Bogin, LaRhonda Ealey, Kirsten Landeryou, Scott Smith, and Andrew Tsai
We explore the impact of geographic disaggregation of house price stress paths on single-family credit risk measurement. Specifically, we focus on the value added of moving from national, to state-level, to core-based statistical area (CBSA)-level house price paths on estimates of mortgage credit related stress losses. To ensure the robustness of our results, we estimate losses across two different loan portfolios and three credit models. We find that CBSA-level paths provide additional insight on localized credit risk and can be reliably constructed using quarterly house price indices. Further, the variation in results across credit models suggests an implicit confidence interval around any one stress loss estimate. Accounting for this uncertainty through a model risk add-on could potentially offer a more conservative view of portfolio credit risk.
A revised version of this paper has been accepted for publication and is forthcoming at the Journal of Fixed Income.