Recently, as part of his Climate Action Plan, the Obama administration proposed that energy efficiency should be factored into mortgage underwriting upon the sale or refinancing of new and existing homes. Unfortunately, there is little empirical evidence on the relationship between energy efficiency and mortgage risks. Utilizing a unique dataset, we examine this relationship. More narrowly, we examine the performance of mortgages backed by Energy Star certified homes. We find that default and prepayment risks are significantly lower in certified homes. Even for Energy Star certified homes, more energy efficiency is associated with even lower loan risks. These results offer support for taking energy efficiency into consideration in the mortgage underwriting process. Being the first of its kind, further research needs to replicate the present study with other data sets, over different time periods, and with alternative methodologies.