The National Mortgage Risk Index (NMRI) measures how government guaranteed loans with a first payment date in a given month would perform if subjected to the same stress as in the financial crisis that began in 2007. This is similar to stress tests routinely performed to ascertain an automobile’s crashworthiness or a building’s ability to withstand severe hurricane force winds. An NMRI value of 10%, for example, indicates that 10% of the loans in a given group would be expected to default in a severe stress event, based on the actual performance of loans with the same risk characteristics after the financial crisis. The NMRI is published monthly utilizing a nearly complete census of loan level data for loans guaranteed by Fannie, Freddie, FHA, VA, and Rural Housing, This same data are also used to track loan volume and other characteristics.
*Please note that the NMRI is now reported based on month of origination, not month of first payment as it was before October 2016. Please see the methodology for more details.
With the addition of the data for July 2016, the NMRI covers 22.9 million Agency loans dating back to September 2012, comprised of over 10.3 million Agency purchase loans and over 12.5 million Agency refinance loans. The NMRI is published for purchase loans (with separate indices for first-time and repeat buyers), refinance loans (with separate indices for no-cash-out and cash-out refinance loans), and the composite of purchase and refinance loans.
For presentation and full audio recording please click below:
Listen to the full audio recording of the October briefing call with Edward Pinto and Tobias Peter: