For single-family and multifamily loans, we use this information, in conjunction with housing market and other economic data, to structure our pricing and our eligibility and underwriting criteria to reflect the current risk of loans with higher-risk characteristics, and in some cases we decide to significantly reduce our participation in riskier loan product categories. Management also uses this data together with other credit risk measures to identify key trends that guide the development of our loss mitigation strategies.

We report the delinquency status of our single-family and multifamily guaranty book of business below. We report loans receiving payment forbearance as delinquent according to the contractual terms of the loans.

For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans, based on the number of loans, that are 90 days or more past due or in the foreclosure process, and loans that have higher risk characteristics, such as high mark-to-market LTV ratios.


	As of
	March 31, 2022						December 31, 2021
	30 Days Delinquent		60 Days Delinquent		Seriously Delinquent(1)		30 Days Delinquent		60 Days Delinquent		Seriously Delinquent(1)
Percentage of single-family conventional guaranty book of business based on UPB	0.61	%	0.16	%	0.94	%	0.73	%	0.16	%	1.20	%
Percentage of single-family conventional loans based on loan count	0.72		0.19		1.01		0.86		0.20		1.25


	As of
	March 31, 2022				December 31, 2021
	Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB		Serious Delinquency Rate(1)		Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB		Serious Delinquency Rate(1)
Estimated mark-to-market LTV ratio:
80.01% to 90%	5	%	0.72	%	5	%	0.88	%
90.01% to 100%	2		0.47		2		0.51
Greater than 100%	*		10.86		*		12.41
Geographical distribution:
California	19		0.79		19		1.01
Florida	6		1.21		6		1.59
Illinois	3		1.28		3		1.55
New Jersey	3		1.49		3		1.90
New York	5		1.87		5		2.24
All other states	64		0.95		64		1.16


Vintages:
2004 and prior	1		3.12		1		3.48
2005-2008	2		5.14		2		5.87
2009-2022	97		0.81		97		1.01

For multifamily loans, management monitors the serious delinquency rate, which is the percentage of multifamily loans, based on unpaid principal balance, that are 60 days or more past due, and loans with other higher risk characteristics to determine the overall credit quality of our multifamily book of business. Higher risk characteristics include, but are not limited to, current debt service coverage ratio (“DSCR”) below 1.0 and original LTV ratios greater than 80%. We stratify multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.


	As of
	March 31, 2022(1)				December 31, 2021(1)
	30 Days Delinquent		Seriously Delinquent(2)		30 Days Delinquent		Seriously Delinquent(2)
Percentage of multifamily guaranty book of business	0.02	%	0.38	%	0.03	%	0.42	%


	As of
	March 31, 2022				December 31, 2021
	Percentage of Multifamily Guaranty Book of Business(1)		Serious Delinquency Rate(2)(3)		Percentage of Multifamily Guaranty Book of Business(1)		Serious Delinquency Rate(2)(3)
Original LTV ratio:
Greater than 80%	1	%	0.13	%	1	%	0.13	%
Less than or equal to 80%	99		0.38		99		0.42
Current DSCR below 1.0(4)	2		10.16		2		13.90

(1)Calculated based on the aggregate unpaid principal balance of multifamily loans for each category divided by the aggregate unpaid principal balance of loans in our multifamily guaranty book of business.

(3)Calculated based on the unpaid principal balance of multifamily loans that were seriously delinquent divided by the aggregate unpaid principal balance of multifamily loans for each category included in our multifamily guaranty book of business.

Mortgage Insurers. Mortgage insurance “risk in force” refers to our maximum potential loss recovery under the applicable mortgage insurance policies in force and is generally based on the loan-level insurance coverage percentage and, if applicable, any aggregate pool loss limit, as specified in the policy.

The following table displays our total mortgage insurance risk in force by primary and pool insurance, as well as the total risk-in-force mortgage insurance coverage as a percentage of the single-family conventional guaranty book of business.


	As of
	March 31, 2022			December 31, 2021
	Risk in Force		Percentage of Single-Family Conventional Guaranty Book of Business	Risk in Force		Percentage of Single-Family Conventional Guaranty Book of Business
	(Dollars in millions)
Mortgage insurance risk in force:
Primary mortgage insurance	$	176,962		$	176,587
Pool mortgage insurance	253			261
Total mortgage insurance risk in force	$	177,215	5%	$	176,848	5%

The table below displays our mortgage insurer counterparties that provided approximately 10% or more of the risk-in-force mortgage insurance coverage on mortgage loans in our single-family conventional guaranty book of business.


	Percentage of Risk-in-Force Coverage by Mortgage Insurer
	As of
	March 31, 2022		December 31, 2021

Counterparty:(1)
Arch Capital Group Ltd.	19	%	19	%
Mortgage Guaranty Insurance Corp.	19		19
Radian Guaranty, Inc.	17		17
Enact Mortgage Insurance Corp.(2)	17		17
Essent Guaranty, Inc.	16		16
National Mortgage Insurance Corp.	11		11
Others	1		1
Total	100	%	100	%

We have counterparty credit risk relating to the potential insolvency of, or non-performance by, monoline mortgage insurers that insure single-family loans we purchase or guarantee. There is risk that these counterparties may fail to fulfill their obligations to pay our claims under insurance policies. On at least a quarterly basis, we assess our mortgage insurer counterparties’ respective abilities to fulfill their obligations to us. Our assessment includes financial reviews and analyses of the insurers’ portfolios and capital adequacy. If we determine that it is probable that we will not collect all of our claims from one or more of our mortgage insurer counterparties, it could increase our loss reserves, which could adversely affect our results of operations, liquidity, financial condition and net worth.

When we estimate the credit losses that are inherent in our mortgage loans and under the terms of our guaranty obligations, we also consider the recoveries that we expect to receive from primary mortgage insurance, as mortgage insurance recoveries reduce the severity of the loss associated with defaulted loans if the borrower defaults and title to

the property is subsequently transferred. Mortgage insurance does not cover credit losses that result from a reduction in mortgage interest paid by the borrower in connection with a loan modification, forbearance of principal, or forbearance of scheduled loan payments. We evaluate the financial condition of our mortgage insurer counterparties and adjust the contractually due recovery amounts to ensure that expected credit losses as of the balance sheet date are included in our loss reserve estimate. As a result, if our assessment of one or more of our mortgage insurer counterparties’ ability to fulfill their respective obligations to us worsens, it could increase our loss reserves. As of March 31, 2022 and December 31, 2021, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of period end, reduced our loss reserves by $655 million and $559 million, respectively.

As of March 31, 2022 and December 31, 2021, we had outstanding receivables of $515 million and $533 million, respectively, recorded in “Other assets” in our condensed consolidated balance sheets related to amounts claimed on insured, defaulted loans excluding government-insured loans. As of March 31, 2022 and December 31, 2021, we assessed these outstanding receivables for collectability, and established a valuation allowance of $463 million and $479 million, respectively.

Mortgage Servicers and Sellers. Mortgage servicers collect mortgage and escrow payments from borrowers, pay taxes and insurance costs from escrow accounts, monitor and report delinquencies, and perform other required activities, including loss mitigation, on our behalf. Our mortgage servicers and sellers may also be obligated to repurchase loans or real estate owned (“REO”) properties, reimburse us for losses or provide other remedies under certain circumstances, such as if it is determined that the mortgage loan did not meet our underwriting or eligibility requirements, if certain loan representations and warranties are violated or if mortgage insurers rescind coverage. Our representation and warranty framework does not require repurchase for loans that have breaches of certain selling representations and warranties if they have met specified criteria for relief.

Our business with mortgage servicers is concentrated. The table below displays the percentage of our single-family guaranty book of business serviced by our top five depository single-family mortgage servicers and top five non-depository single-family mortgage servicers (i.e., servicers that are not insured depository institutions), and identifies one servicer that serviced 10% or more of our single-family guaranty book of business as of December 31, 2021, based on unpaid principal balance.


	Percentage of Single-Family Guaranty Book of Business
	As of
	March 31, 2022		December 31, 2021
Wells Fargo Bank, N.A. (together with its affiliates)	9	%	10	%
Remaining top five depository servicers	12		11
Top five non-depository servicers	23		23
Total	44	%	44	%

Compared with depository financial institutions, our non-depository servicers pose additional risks because they may not have the same financial strength or operational capacity, or be subject to the same level of regulatory oversight as depository financial institutions.

The table below displays the percentage of our multifamily guaranty book of business serviced by our top five multifamily mortgage servicers, and identifies two servicers that serviced 10% or more of our multifamily guaranty book of business based on unpaid principal balance.


	Percentage of Multifamily Guaranty Book of Business
	As of
	March 31, 2022		December 31, 2021
Walker & Dunlop, Inc.	13	%	12	%
Wells Fargo Bank, N.A. (together with its affiliates)	11		11
Remaining top five servicers	24		24
Total	48	%	47	%

If a significant mortgage servicer or seller counterparty, or a number of mortgage servicers or sellers, fails to meet their obligations to us, it could adversely affect our results of operations and financial condition. We mitigate these risks in several ways, including:

Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase agreements see “Note 8, Derivative Instruments” and “Note 11, Netting Arrangements.”