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Concentrations of Credit Risk

3 Months Ended

Mar. 31, 2025

Risk Characteristics of our Guaranty Book of Business

One of the measures by which management gauges our credit risk is the delinquency status of the mortgage loans in our guaranty book of business.

For single-family and multifamily loans, management uses this information, in conjunction with housing market data, other economic data, our capital requirements and our mission objectives, to help inform changes to our eligibility and underwriting criteria. 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.

Single-Family Credit Risk Characteristics

For single-family loans, management monitors the serious delinquency rate, which is the percentage of single-family loans, based on 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.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our single-family conventional guaranty book of business.


	As of
	March 31, 2025						December 31, 2024
	30 Days Delinquent		60 Days Delinquent		Seriously Delinquent		30 Days Delinquent		60 Days Delinquent		Seriously Delinquent
Percentage of single-family conventional guaranty book of business based on UPB	0.84	%	0.24	%	0.60	%	1.00	%	0.28	%	0.60	%
Percentage of single-family conventional loans based on loan count	0.90		0.24		0.56		1.05		0.29		0.56


	As of
	March 31, 2025				December 31, 2024
	Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB		Serious Delinquency Rate		Percentage of Single-Family Conventional Guaranty Book of Business Based on UPB		Serious Delinquency Rate
Estimated mark-to-market LTV ratio:
80.01% to 90%	6	%	1.00	%	6	%	0.97	%
90.01% to 100%	3		0.83		3		0.77
Greater than 100%	*		3.26		*		2.82
Geographical distribution:
California	19		0.43		19		0.41
Florida	6		0.96		6		0.96
Illinois	3		0.69		3		0.69
New York	4		0.77		4		0.79
Texas	8		0.69		8		0.73
All other states	60		0.50		60		0.51

* Represents less than 0.5% of single-family conventional guaranty book of business.

Multifamily Credit Risk Characteristics

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 ratio greater than 80%. We stratify multifamily loans into different internal risk categories based on the credit risk inherent in each individual loan.

The following tables display the delinquency status and serious delinquency rates for specified loan categories of our multifamily guaranty book of business.


	As of
	March 31, 2025(1)				December 31, 2024(1)
	30 Days Delinquent		Seriously Delinquent(2)		30 Days Delinquent		Seriously Delinquent(2)
Percentage of multifamily guaranty book of business	0.17	%	0.63	%	0.10	%	0.57	%


	As of
	March 31, 2025				December 31, 2024
	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	%	0.11	%	1	%	0.12	%
Less than or equal to 80%	99		0.63		99		0.58
Current DSCR below 1.0(4)	5		5.38		6		4.94

(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.

(2)Consists of multifamily loans that were 60 days or more past due as of the dates indicated.

(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.

(4)Our estimates of current DSCRs are based on the latest available income information including the related debt service covering a 12-month period, from quarterly and annual statements for these properties.

Other Concentrations

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, 2025			December 31, 2024
	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	$	201,699		$	202,277
Pool mortgage insurance	52			53
Total mortgage insurance risk in force	$	201,751	6%	$	202,330	6%

The table below displays our mortgage insurer counterparties that provided 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, 2025		December 31, 2024
Counterparty:(1)
Mortgage Guaranty Insurance Corp.	19	%	19	%
Radian Guaranty, Inc.	18		18
Arch Capital Group Ltd.	17		17
Enact Mortgage Insurance Corp.	17		17
Essent Guaranty, Inc.	16		16
National Mortgage Insurance Corp.	13		13
Total	100	%	100	%

(1)Insurance coverage amounts provided for each counterparty may include coverage provided by affiliates and subsidiaries of the counterparty.

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, 2025 and December 31, 2024, our estimated benefit from mortgage insurance, which is based on estimated credit losses as of period end, reduced our loss reserves by $886 million and $1.0 billion, respectively.

As of March 31, 2025 and December 31, 2024, we had outstanding receivables of $476 million and $472 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, 2025 and December 31, 2024, we assessed these outstanding receivables for collectability, and established a valuation allowance of $403 million.

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 foreclosed 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 conventional 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) based on unpaid principal balance. These concentrations are based on loans for which the servicer is contractually responsible directly to us and exclude loans serviced by the counterparty on behalf of another servicer. On this basis, there were no servicers that serviced 10% or more of our single-family guaranty book of business as of March 31, 2025 or December 31, 2024.


	Percentage of Single-Family Conventional Guaranty Book of Business
	As of
	March 31, 2025		December 31, 2024
Top five depository servicers	21	%	21	%
Top five non-depository servicers	30		30
Total	51	%	51	%

As of March 31, 2025 and December 31, 2024, 42% of our single-family conventional guaranty book of business was serviced by depository servicers, and 58% of our single-family conventional guaranty book of business was serviced by non-depository servicers.

The table below displays the percentage of our multifamily guaranty book of business serviced by our top five depository multifamily mortgage servicers and top five non-depository multifamily mortgage servicers. As of March 31, 2025, one servicer serviced 10% or more of our multifamily guaranty book of business, Walker & Dunlop, Inc. As of March 31, 2025 and December 31, 2024, Walker & Dunlop, Inc. serviced 14% of our multifamily guaranty book of business based on unpaid principal balance. Walker & Dunlop, Inc. is a non-depository servicer.


	Percentage of Multifamily Guaranty Book of Business
	As of
	March 31, 2025		December 31, 2024
Top five depository servicers	25	%	26	%
Top five non-depository servicers	45		44
Total	70	%	70	%

As of March 31, 2025, 30% of our multifamily guaranty book of business was serviced by depository servicers and 70% of our multifamily guaranty book of business was serviced by non-depository servicers. As of December 31, 2024, 31% of our multifamily guaranty book of business was serviced by depository servicers and 69% of our multifamily guaranty book of business was serviced by non-depository servicers.

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.

Derivatives Counterparties. For information on credit risk associated with our derivative transactions and repurchase agreements see “Note 9, Derivative Instruments” and “Note 12, Netting Arrangements.”