cat nnie 

– men

Global Markets

Analysis Report

A Monthly Publi ion of Gi

Mae’s Office of Capital Markets

Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

NOVEMBER

2021
Global Markets Analysis Report

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Global Markets Analysis Report

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A Monthly Publication of Ginnie Mae’s Office of Capital Markets

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Page i

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Table of Contents

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Table of Contents

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Highlights

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2

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1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

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4

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2.0 State of the US Housing Market

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9

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2.1 National HPI

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..............................................................................................................

9

..

2.2 Size and Value of the US Housing Market

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11

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2.3 Serious Delinquency Rates

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12

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2.4 Characteristics of Ginnie Mae Loans in Forbearance

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................. 13

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

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.........................................................

16

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2.6 Outstanding Single Family Agency MBS

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..................................................................................................

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17

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2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time

................................................................................................

............................................

18

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2.8 Origination Volume and Share Over Time

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..............................................................

......................................................................................

19

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3.0 US Agency Market, Originations

................................

............................................................................................................................................

20

4.0 High LTV Loans: Ginnie Mae vs. GSEs 24

5.0 Agency Nonbank Originators 25

5.1 Agency Nonbank Originator Share (All, Purchase, Refi) 25

5.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi) 26

5.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 27

6.0 Holders of Ginnie Mae Mortgage Servicing Rights 31

7.0 Prepayments 32

7.1 Aggregate Prepayments 32

8.0 Fixed Income Market Conditions 36

8.1 Average Daily Trading Volume and Turnover by Sector 36

9.0 MBS Ownership 37

9.1 Commercial Bank Holdings of Agency MBS 37

9.2 Bank and Thrift Residential MBS Holdings 38

9.3 Foreign Ownership of MBS 40

9.4 Foreign Ownership of Agency Debt and Agency MBS 41

9.5 Federal Reserve Absorption of Agency MBS 42
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

_ _ _ _

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 2

Highlights

In May of 2021, Ginnie Mae added Environmental, Social, and Governance (ESG) investment data disclosures to 

the Single Family (SF) Supplemental File on MBS containing low to moderate income (LMI) area loans. LMI areas 

are defined by the Department of Housing and Urban Development (HUD) (as delineated by HUD’s Community 

Development Block Grant (CDBG) Program).1 HUD’s LMI area designation is a key differentiator for Ginnie Mae 

MBS pools that contain LMI area loans. 

The new data disclosure, which is published monthly, identifies pools that include mortgage loans originated in 

LMI areas. Approximately 64% of all Ginnie Mae Single Family MBS outstanding contain LMI area loans. In fact, 

more than 16,000 Ginnie Mae MBS outstanding are fully collateralized by LMI area loans.2

The pool level disclosure data includes the number of LMI area loans in the pool; the percentage of LMI area

loans within the pool; the unpaid principal balance (UPB) of LMI area loans within the pool; and the percentage 

of LMI area loans within the pool by UPB. While each ESG investor may have their own definition of what 

constitutes an ESG investment and an overall ESG investment strategy, Ginnie Mae’s data disclosures provide an 

empirical framework to measure the impact of ESG investments in a fixed income investor’s MBS portfolio. 

ESG Data: LMI Area Loan Data

Ginnie Mae has published pool level LMI area loan data for the past seven months. That data provides a UPB 

and loan count snapshot of LMI trends within the Ginnie Mae outstanding Single Family mortgage-backed 

securities (MBS). The LMI area loan UPB outstanding from the end of April 2021 to the end of October 2021 has 

held steady around $255 billion, which is approximately 13.3% of total Ginnie Mae Single Family UPB 

outstanding. 

The number of pools containing LMI area loans has increased by 6,668 over the seven-month period ending 

October 2021, as displayed in Figure 1 below. As of the end of October 2021, there were 162,065 Ginnie Mae 

Single Family pools containing LMI area loans. 

Figure 1. Ginnie Mae Single Family Pools that Contain LMI Area Loans

The percentage of Ginnie Mae Single Family pools that contain LMI area loans has held steady just below 64%. 

1 https://catalog.data.gov/dataset/hud‐low‐and‐moderate‐income‐areas

2

Information pertaining to MBS pools was obtained via the MBS SF Portfolio Pool/Security and Pool Supplemental disclosure files found on the Ginnie 

Mae website: https://www.ginniemae.gov/data and reports/disclosure data/Pages/datadownload bulk.aspx

155,397 

156,273 

157,206 

158,393 159,596

160,970

162,065

60%

61%

62%

63%

64%

65%

 152,000

 154,000

 156,000

 158,000

 160,000

 162,000

 164,000

April May June July August September October

Number of Single Family Pools Containing LMI Area Loans % of Single Family pools that contain LMI area loans
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 3

ESG Data: LMI Area Loan Data by Pool Indicator

Ginnie Mae has three main pool indicators that differentiate Ginnie Mae pool issuances from one another. The 

three indicators are Ginnie Mae I pools, Ginnie Mae II Custom pools and Ginnie Mae II Multiple Issuer pools (X, 

C, and M, respectively).

“A Custom pool has a single-issuer that originates and administers the entire pool. A Multiple Issuer pool 

typically combines loans with similar characteristics. The resulting pool backs a single MBS issue and 

each participant is responsible for administering the mortgage loans that it contributes to the [Multiple 

Issuer] pool.”3

These pool indicators are often appended with specific pool type suffixes to further detail the composition or 

characteristics of the loans that have been placed in the pool (i.e. higher balance, ARM, etc.). Figure 2 displays 

the percentage of LMI area loan UPB by pool indicator type. 

Roughly three quarters of the outstanding Ginnie Mae LMI area loan UPB is securitized in Multiple Issuer pools.

Figure 2. Ginnie Mae Single Family LMI UPB by Pool Indicator ($ billions)

3 Excerpted from the Ginnie Mae “What We Do – Programs & Products” page of the Ginnie Mae website: 

https://www.ginniemae.gov/about_us/what_we_do/pages/programs_products.aspx#:~:text=An%20issuer%20may%20participate%20in,and%20administers

%20the%20entire%20pool. 

$14 $13 $13 $13 $13 $12 $12 

$53 $54 $54 $54 $55 $56 $57 

$192 $191 $190 $188 $187 $186 $185 

0.0%

25.0%

50.0%

75.0%

100.0%

April May June July August September October

% of LMI UPB that are G1 (X) % of LMI UPB that are G2 Custom (C) % of LMI UPB that are Multi Issuer (M)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 4

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

US Treasuries contribute approximately 39% to the Barclays US Aggregate Index. US MBS (Ginnie Mae, 

Fannie Mae, and Freddie Mac) contribute approximately 28% to the Barclays US Aggregate Index. For 

the US Aggregate Index, the month over month (MoM) changes to the index components were no 

bigger than 1%. In the Barclays Global Aggregate Index by Country, the US share of fixed income still 

represents the largest share of total outstanding issuance, representing approximately 38% of the total 

Barclays Global Aggregate Index. This is an increase of 1% from the previous month. All the other 

categories remained stable when compared to the previous month.

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

Sources: Bloomberg. Note: Data as of October 2021. Numbers in chart may not add to 100 % due to rounding.

Barclays Global Aggregate Index by Country

Sources: Bloomberg. Note: Data as of October 2021. Figures in charts may not add to 100 % due to rounding.

39%

28%

16%

8%

2% 2%

2% 1% 1% 1% 0% Treasury - 39%

MBS Passthrough - 28%

Industrial - 16%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

Local Authority - 1%

ABS - 0%

38%

8% 13%

6%

5%

4%

4%

3%

2% 2% 15%

United States - 38%

Japan - 13%

China - 8%

France - 6%

United Kingdom - 5%

Germany - 4%

Canada - 4%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 15%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 5

1.2 Global 10‐Year Treasury Yields

The US 10‐year Treasury yield moved to 1.56% in October 2021, an increase MoM of 7 bps. US Treasury yields 

remain the highest of all the government treasury yields depicted in the figure below. The yield on the Italian 

10‐year note increased to 1.17% in October, an increase MoM of 31 bps. The yields on the German 10‐year and 

the UK 10-year notes increased by 9 bps to -0.11%, and 1 bp to 1.03%, respectively. The yield on the Japanese 

10‐year government notes increased to 0.09% in September, a slight increase MoM of 3 bps. At the end of 

October 2021, the hedged yield for the 10‐year Treasury JPY held at 2.60%, a slight decrease of 1 bp from the 

previous month. The hedged yield for the 10‐year Treasury EUR held at 1.48%, a slight decrease of 1 bp from 

the previous month.

Global 10‐Year Treasury Yields

7– 10yr Total Return Hedged Index, JPY

Sources: Bloomberg. Note: Data as of October 2021

6 – 10yr Total Return Hedged Index, EUR

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

US 10 YR UK 10 YR GER 10 YR IT 10 YR JPY 10 YR

219

239

259

279

120

130

140

150

160

170
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 6

1.3 Ginnie Mae Yields– USD

Ginnie Mae MBS yields increased slightly in October 2021. Ginnie Mae II yields were at 1.84% and Ginnie Mae I 

yields at 2.02%, up by 6 bps and 4 bps, respectively, from the prior month. At the end of October, Ginnie Mae II 

SF yields were 29 bps higher than the US 10‐year Treasury yield, representing a decrease in spread of 1 bp since 

last month. The yields on the Ginnie Mae I SF were 47 bps higher than the US 10‐year Treasury yield at the end 

of October, representing a decrease in spread of 3 bps since last month.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of October 2021

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 7

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and Ginnie Mae II 30‐year OAS increased when compared 

to the previous month, ending at 0.29%, an increase of 4 bps since the previous month. The Ginnie Mae II 30‐

year OAS slightly decreased by 1 bp since the previous month. The US Intermediate credit OAS has increased by 

3 bps since last month.

US Ginnie Mae II 30yr MBS OAS versus US Intermediate Credit OAS

Spread between US Intermediate Credit and US Ginnie Mae II 30yr MBS OAS

Sources: Bloomberg. Note: Data as of October 2021.

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

US GNMA 30yr II - OAS U.S. Intermediate Credit - OAS

0

0.5

1

1.5

2

2.5

3

3.5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 8

1.5 Global Treasury Yield Per Duration

Ginnie Mae MBS continue to offer a higher yield in comparison to other government fixed income 

securities of various tenors with similar or longer duration. Prepayment risk is a feature of MBS. The 

Ginnie Mae MBS 2.5% and 3% products have increased their yield and duration in October. The Ginnie 

Mae II 2.5% securities duration and yield increased by 0.20 units and 8 bps, respectively, when 

compared to the previous month. Additionally, the Ginnie Mae II 3% securities duration and yield 

increased by 0.05 units and 24 bps when compared to the previous month.

Yield vs. Duration

Sources: Bloomberg. Note: Yield and modified duration for GNMA II securities is from illustrative TBA using base prepayment assumptions and an assumed 

settlement of 11/19. All other data is as of October 2021. Yields are in base currency of security and unhedged.

Security Duration Yield

US 5y

US 10y

4.85

9.14

1.19

1.56

JPY 5y 4.91 ‐0.73

JPY 10y

GER 5y

9.82

4.97

0.09

‐0.39

GER 10y

ITA 5y

9.81

4.75

‐0.11

0.43

ITA 10y

UK 5y

9.52

4.92

1.17

0.83

UK 10y

GNMA II 2%

9.58

5.46

1.03

1.73

GNMA II 2.5%

GNMA II 3%

4.99

3.53

1.90

1.87

US 5y

US 10y

JPY 5y

JPY 10y

GER 5y

GER 10y

ITA 5y

ITA 10y

UK 5y

UK 10y

GNMA II 2%

GNMA II 3% GNMA II 2.5%

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Yield

Duration
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 9

2.0 State of the US Housing Market

2.1 National HPI

Home prices have increased rapidly during the pandemic, with Compound Annual Growth Rate (CAGR) for HPI at 

15.1% between March 2020 to August 2021. Over that period, the Mountain region has had the greatest home 

price appreciation (19.7% CAGR), while the East and West North Central regions’ increases in home values have

been slowest (12.8%). Prices have not increased this rapidly at any time in our observation period (1991 to 

present), with the prior maximum having been 10.7% CAGR (between ‘04 and ‘05) as the housing bubble was 

developing. The Pacific region is the only region for which the current HPI appreciation pace is not recordbreaking; between May 2004 and April 2005, prices in the Pacific states increased 22.4%, 1.3% greater than the 

HPI increase during the Pandemic months.

U.S. Census Subregion New 

England

Middle 

Atlantic

East North 

Central

East South 

Central

South 

Atlantic

West 

North 

Central

West South 

Central Mountain Pacific National

2000 to Peak CAGR 10.5% 8.7% 4.0% 4.6% 8.7% 5.0% 4.3% 8.3% 13.9% 7.1%

Peak to Trough CAGR -8.3% -5.3% -9.7% -5.5% -14.1% -5.7% -2.1% -15.1% -17.9% -9.7%

Trough to Pandemic CAGR 3.7% 3.6% 4.8% 4.5% 5.9% 4.7% 5.1% 8.3% 8.1% 5.5%

Pandemic CAGR 15.3% 13.5% 12.8% 15.3% 16.4% 12.8% 13.5% 19.7% 16.9% 15.1%

12-Month Period of Max HPI 

Growth During Pandemic

7-2020 to

6-2021

8-2020 to

7-2021

7-2020 to

6-2021

9-2020 to

8-2021

9-2020 to

8-2021

6-2020 to

5-2021

8-2020 to

7-2021

9-2020 to 8-

2021

8-2020 to

7-2021

8-2020 to

7-2021

Max 12-Month Period Change, 

During Pandemic 21.7% 18.1% 17.1% 18.8% 20.6% 16.3% 17.8% 25.8% 22.1% 19.2%

12-Month Period of Max HPI 

Growth, Pre-Pandemic

12-2001 to

11-2002

12-2003 to

11-2004

2-2017 to

1-2018

2-2005 to

1-2006

9-2004 to

8-2005

4-1993 to

3-1994

3-2005 to

2-2006

11-2004 to

10-2005

5-2004 to

4-2005

10-2004

to 9-2005

Max 12-Month HPI Growth, PrePandemic 14.0% 12.4% 6.9% 8.5% 15.3% 7.4% 7.5% 18.0% 22.4% 10.7%

Sources: HPI data from FHFA.US Census Subregions as defined by the US Census Bureau.

Notes: HPI data as of August 2021. Peak refers to the month when HPI reached the highest level for each state/US during the housing boom period, ranging 

from 2005 to 2008. Trough represents the month when HPI fell to the lowest level for each region/US after the housing bust, ranging from 2009 to 2012. 

Pandemic Period refers to March 2020 to the current period, 8/2021. CAGR = (End Value/Starting Value) ^(1/n) - 1
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 10

Nationally, home prices exceed their pre-crisis peak on a nominal basis by 45.3% through June 2021. As shown in 

both the tables above and below, the extent of HPI increases since the trough has varied from region to region 

and state to state. Nationally, home prices exceed the trough by 84.2%. As shown in the regional HPI table 

above, much of this asset appreciation has taken place during the pandemic.

Source: FHFA Notes: HPI State-level data is provided quarterly by FHFA and presented here as of June 2021. Peak refers to the month when HPI reached the 

highest level for each state/US during the housing boom period, ranging from 2005 to 2008. Trough represents the month when HPI fell to the lowest level 

for each state/US after the housing bust, ranging from 2009 to 2012.

State 2000 to Peak Peak to Trough Trough to Current YOY Current HPI % Above Peak

National 59.6% -21.1% 84.2% 10.5% 45.3%

AK 66.9% -5.2% 37.4% 6.4% 30.3%

AL 41.7% -15.0% 60.6% 10.0% 36.5%

AR 39.8% -11.0% 52.7% 10.3% 35.8%

AZ 110.3% -49.5% 167.9% 16.4% 35.3%

CA 144.8% -47.0% 132.1% 13.8% 23.0%

CO 32.4% -10.2% 134.5% 13.1% 110.6%

CT 72.9% -19.6% 34.9% 13.7% 8.4%

DC 162.7% -11.8% 114.6% 10.2% 89.3%

DE 88.7% -23.5% 50.4% 12.0% 15.1%

FL 130.2% -46.5% 135.8% 12.8% 26.0%

GA 35.9% -27.1% 106.5% 11.2% 50.6%

HI 138.9% -26.9% 91.0% 8.9% 39.6%

IA 27.9% -5.4% 51.6% 8.0% 43.4%

ID 73.3% -32.3% 190.6% 23.8% 96.6%

IL 49.9% -23.8% 44.0% 8.7% 9.7%

IN 19.1% -8.6% 73.5% 11.0% 58.5%

KS 31.0% -7.7% 63.6% 10.8% 51.1%

KY 28.9% -5.5% 60.7% 9.9% 51.9%

LA 51.6% -6.6% 42.7% 6.5% 33.3%

MA 69.9% -18.1% 73.4% 12.1% 41.9%

MD 126.4% -26.4% 50.2% 10.2% 10.5%

ME 72.0% -12.4% 71.3% 14.6% 50.1%

MI 18.4% -31.5% 107.0% 11.6% 41.8%

MN 52.6% -23.0% 81.1% 10.4% 39.5%

MO 39.2% -15.0% 71.2% 11.2% 45.5%

MS 38.9% -12.9% 40.8% 7.7% 22.7%

MT 79.3% -13.8% 91.1% 14.8% 64.8%

NC 39.8% -14.1% 78.0% 12.3% 52.9%

ND 51.8% -0.8% 66.7% 5.8% 65.3%

NE 24.4% -6.0% 73.9% 10.6% 63.5%

NH 72.7% -21.9% 76.8% 14.5% 38.0%

NJ 102.2% -22.6% 48.1% 12.8% 14.6%

NM 66.7% -18.0% 52.7% 10.5% 25.3%

NV 117.4% -59.2% 192.8% 13.0% 19.4%

NY 75.8% -10.5% 53.8% 11.4% 37.6%

OH 19.6% -16.5% 74.8% 11.3% 45.9%

OK 36.9% -4.7% 56.2% 8.8% 48.8%

OR 85.7% -28.6% 124.6% 13.6% 60.4%

PA 69.0% -10.9% 54.7% 10.7% 37.9%

RI 108.2% -28.0% 75.4% 14.4% 26.2%

SC 40.6% -16.0% 79.8% 11.0% 51.1%

SD 40.1% -2.4% 68.1% 11.7% 64.2%

TN 38.5% -12.6% 93.7% 13.4% 69.3%

TX 35.8% -3.0% 92.0% 11.4% 86.3%

UT 65.2% -26.1% 144.5% 19.1% 80.7%

VA 95.2% -18.8% 57.2% 10.6% 27.7%

VT 78.2% -10.2% 51.6% 14.0% 36.1%

WA 83.5% -27.3% 139.2% 14.8% 73.9%

WI 38.6% -14.2% 66.5% 10.4% 43.0%

WV 39.2% -5.8% 37.9% 8.9% 29.9%

WY 84.7% -9.6% 50.5% 8.9% 36.0%
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 11

Size of the US Residential Mortgage Market

Value of the US Housing Market

2.2 Size and Value of the US Housing Market

The total value of the single-family housing market reached $34.9 trillion in Q2 2021. The value of household 

equity has continued to trend upward into Q2 2021, but as mentioned in Section 2.1 above, the unprecedented

pace of asset appreciation during the pandemic is driving much of the increase in the overall value of real estate 

as an asset class. The total value of the US housing market is up 83% from its trough in 2011. Mortgage debt 

outstanding has remained relatively flat, increasing from $11.0 trillion in Q1 2021 to $11.3 trillion in Q2 2021. 

Agency MBS account for a growing percentage of the total mortgage debt outstanding, up to 66% of total 

mortgage debt which represents an increase of almost 2% from the prior quarter. 

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q2 2021.

11.3

23.6

34.9

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q2

$ Trillions

Debt Household equity Total Value

$0.39

$0.41

$8.01

$3.22 

0

1

2

3

4

5

6

7

8

9

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021

$ Trillions

Private Label Securities Home Equity loans Agency MBS Unsecuritized first liens
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 12

2.3 Serious Delinquency Rates

Serious delinquency rates for single family GSE, FHA, and VA loans all fell sharply in Q3 2021. From Q2 2021 to

Q3 2021, Fannie and Freddie decreased 46 and 40 bps, respectively, or 22% each, as a percentage change. 

Ginnie Mae collateral’s serious delinquency rates decreased more than the GSE rates in absolute terms, with 

FHA and VA dropping 144 and 54 bps respectively. This decline in serious delinquency rates is consistent with 

the decrease in the number of loans in forbearance captured in Section 2.4 below.

Sources: Fannie Mae and Freddie Mac Monthly Summary Reports, and MBA Delinquency Survey.

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q3 2021.

8.18%

1.62%

1.46%

4.48%

0%

2%

4%

6%

8%

10%

12%

3Q051Q063Q061Q073Q071Q083Q081Q093Q091Q103Q101Q113Q111Q123Q121Q133Q131Q143Q141Q153Q151Q163Q161Q173Q171Q183Q181Q193Q191Q203Q201Q213Q21

Serious Delinquency Rates

FHA Fannie Mae Freddie Mac VA

Serious Delinquency Rates: Single Family Loans
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 13

2.4 Characteristics of Ginnie Mae Loans in Forbearance

211,636 Ginnie Mae loans were in forbearance as of the end of September 2021. This represents a 4% decrease 

MoM, continuing the trend of decline in forbearance observed since May 2020. 6,642 of loans in forbearance 

were removed from pools and 204,994 still actively remain in pools. Most liquidated loans (5,080) were FHA and 

within that subset, 2,775 of those loans were originated by nonbanks. Almost 97% of the loans in forbearance 

are due to COVID-19 circumstances, down from over 98% from the prior month. 

All Loans in Forbearance – September 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 658 3.7 $ 169,551.97 76.8 67.3 211,636 

Bank 672 4.0 $ 123,285.79 75.0 78.9 33,296 

Nonbank 657 3.6 $ 178,113.33 77.0 66.1 178,340 

FHA 653 3.8 $ 164,000.00 79.3 73.0 148,209 

Bank 665 4.1 $ 113,428.98 78.3 82.4 25,039 

Nonbank 652 3.7 $ 174,422.90 79.4 72.0 123,170 

VA 669 3.4 $ 221,211.55 65.2 47.3 44,424 

Bank 684 3.6 $ 182,173.00 65.4 70.0 6,470 

Nonbank 667 3.3 $ 227,210.75 65.2 44.3 37,954 

Loans in Forbearance and Removed from Pools – September 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 662 3.9 $ 137,243.65 73.5 68.4 6,642 

Bank 679 4.0 $ 109,610.18 74.7 81.2 2,899 

Nonbank 655 3.9 $ 161,764.85 72.8 63.1 3,743 

FHA 657 4.1 $ 130,174.37 75.8 74.7 5,080 

Bank 674 4.1 $ 106,100.00 77.3 84.2 2,305 

Nonbank 649 4.1 $ 153,493.44 74.9 70.5 2,775 

VA 677 3.5 $ 192,346.88 59.3 45.9 1,184 

Bank 695 3.6 $ 145,435.22 60.0 65.4 408 

Nonbank 672 3.5 $ 217,981.77 59.0 40.0 776 

Loans in Forbearance that Remain in Pools – September 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 658 3.7 $ 170,564.46 76.9 67.3 204,994 

Bank 671 4.0 $ 124,847.23 75.0 78.7 30,397 

Nonbank 657 3.6 $ 178,502.67 77.1 66.1 174,597 

FHA 653 3.8 $ 165,217.49 79.4 72.9 143,129 

Bank 664 4.1 $ 114,189.87 78.4 82.2 22,734 

Nonbank 652 3.7 $ 174,902.75 79.5 72.0 120,395 

VA 669 3.4 $ 221,915.41 65.3 47.4 43,240 

Bank 684 3.6 $ 185,203.48 65.6 70.2 6,062 

Nonbank 667 3.3 $ 227,356.89 65.3 44.4 37,178 

Sources: Ginnie Mae loan level MBS disclosure and forbearance file and Ginnie Mae Issuer Operational Performance Profile (IOPP) -Peer Group Listings. 

Notes: Data as of September 2021; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 14

Number of Loans Removed from Pools: Bank Number of Loans Removed from Pools: Nonbank

The current forbearance rate stands at just under 2% as of the end of September, down from a peak of 11% in 

May of 2020 just after the CARES Act Mortgage Payment Forbearance Program was first introduced. The 

forbearance rate still remains significantly higher than the forbearance rate prevailing in the period prior to the 

pandemic between Jan 2019 and February 2020 (approximately 0.1%) but may decline substantially as the first 

batch of forborne borrowers exits their forbearance plans in October 2021.

4

closure he

Sources: eMBS and Urban Institute. Data beginning May 2021 sourced from Ginnie Mae forbearance disclosure files and IOPP Peer Group list. Notes: Data 

as of September 2021.

Sources: eMBS and Urban Institute. Data beginning June 2021 sourced from Ginnie Mae Loan Level MBS disclosure files and IOPP Peer Group list. Notes:

Data as of September 2021.

4

Baseline forbearance rate source: Khater, Sam, et al. “Mortgage Forbearance Rates during the COVID-19 Crisis.” Freddie Mac, 

http://www.freddiemac.com/research/insight/20201117_mortgage_forbearance_rate_during_COVID-19.page.

0%

2%

4%

6%

8%

10%

12%

14%

Bank Forbearance Nonbank Forbearance All Forbearance

Additionally, a small number of loans were removed due to ‘Fore with Claim’ and 'Ot r' reasons in September 2021.

Share of Ginnie Mae Loans in Forbearance

0

50000

100000

150000

200000

250000

2/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

50000

100000

150000

200000

250000

300000

2/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 15

Number of Loans Removed from Pools: FHA

Number of Loans Removed from Pools by Coupon

Number of Loans Removed from Pools: VA

Of the Ginnie Mae loans that were liquidated from pools due to mortgage delinquency (these counts include all 

delinquent buyouts, regardless of forbearance status), a higher share of the loans were FHA versus VA loans (top 

charts, yellow areas). Liquidated loans across FHA and VA are also more likely to have coupons greater than or 

equal to 3.5% (bottom charts: “Number of Loans Removed from Pools by Coupon”). In September 2021, the 

number of loans repurchased due to delinquency increased 16% to 21,560 for FHA and 13% to 4,240 for VA 

loans. High refinance activity (blue areas) continues to be driving the repurchase activity for both FHA and VA.

Sources: eMBS and Urban Institute. Data beginning June 2021 sourced from Ginnie Mae Loan Level MBS disclosure files, Ginnie Mae Pool Level MBS 

disclosure files and IOPP Peer Group list. Notes: Data as of September2021.

Additionally, a small number of loans were removed due to ‘Foreclosure with Claim’ and 'Other' reasons in September 2021.

0

50000

100000

150000

200000

250000

300000

2/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

20000

40000

60000

80000

100000

120000

140000

160000

2/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

20000

40000

60000

80000

100000

120000

140000

160000

180000

2/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

<3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan <3.5 Loss Mitigation

0

50000

100000

150000

200000

250000

300000

350000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/20218/1/20219/1/2021

>=3.5 Mortgagor Payoff >=3.5 Repurchase of Delinquent Loan >=3.5 Loss Mitigation
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 16

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 23% of new Agency issuance over the past year. The share of Ginnie 

Mae outstanding varies across states, with the highest Ginnie Mae share in Alaska (48%) and the lowest in the 

District of Columbia (13%). The difference between Ginnie Mae share of Agency Issuance (23%) over the past 

year and Ginnie Mae’s share of overall outstanding Agency MBS (26%) is reflective of ebbs and flows in FHA and 

VA first lien origination market share, discussed in Section 2.8 below.

Agency Issuance (past 1 year) Agency Outstanding

National

GNMA 

Share

GNMA Loan 

Count

GNMA Avg. Loan 

Size (000)

GSE Avg. Loan 

Size (000) GNMA Share by UPB GNMA Loan Count

GNMA Avg. Loan Size

(000)

GSE Avg. Loan Size

(000)

23% 3,027,544 273.33 294.65 26% 10,651,066 186.01 215.38

AK 51% 10,913 328.23 288.91 48% 36,859 251.65 215.65

AL 36% 59,849 211.11 228.37 41% 232,976 145.11 170.13

AR 33% 31,727 173.10 206.64 40% 136,179 123.18 153.36

AZ 23% 103,909 273.17 275.06 26% 281,231 197.27 209.80

CA 16% 262,183 423.59 413.98 17% 684,906 307.23 312.62

CO 23% 87,034 356.29 339.11 24% 217,471 268.09 263.99

CT 22% 26,593 261.91 279.61 26% 103,752 193.15 205.09

DC 11% 2,884 480.87 461.89 13% 8,699 359.30 348.30

DE 28% 14,370 260.28 269.46 32% 50,349 194.46 202.97

FL 31% 264,034 266.39 263.46 33% 835,282 194.36 196.92

GA 30% 138,561 237.24 263.34 35% 493,938 164.74 194.17

HI 37% 14,663 580.86 461.93 32% 32,772 446.15 347.77

IA 18% 18,074 192.85 198.10 22% 82,213 126.33 146.25

ID 21% 21,005 286.36 276.43 24% 66,906 192.84 207.07

IL 18% 86,956 217.51 242.38 22% 350,266 152.36 175.16

IN 26% 66,624 185.73 197.25 31% 280,246 124.10 143.81

KS 25% 23,053 197.62 219.21 30% 97,369 132.26 158.27

KY 29% 40,668 193.16 204.62 35% 162,375 134.26 149.78

LA 35% 46,949 198.45 233.27 40% 189,876 150.31 173.50

MA 14% 35,536 356.80 356.46 16% 112,030 266.85 264.36

MD 31% 92,125 348.04 325.86 34% 283,944 254.19 244.10

ME 21% 10,627 215.04 249.18 27% 37,950 166.64 184.22

MI 16% 65,146 186.55 209.15 21% 276,779 125.03 151.62

MN 15% 40,369 249.85 256.25 19% 161,876 172.93 192.44

MO 24% 58,709 196.66 212.09 30% 246,204 133.15 156.49

MS 41% 25,861 198.48 211.21 48% 117,479 133.88 155.42

MT 21% 10,162 234.78 276.07 25% 33,770 194.11 204.44

NC 26% 119,075 234.97 260.10 30% 417,455 162.08 190.34

ND 23% 5,130 249.23 238.76 23% 16,441 185.37 182.12

NE 20% 14,954 194.47 208.59 27% 66,210 138.93 155.41

NH 20% 11,766 290.68 278.80 24% 39,441 213.80 206.52

NJ 18% 63,461 312.01 335.20 22% 225,974 226.85 248.48

NM 34% 23,523 229.43 234.63 39% 94,840 156.33 170.17

NV 30% 49,291 305.54 287.09 32% 132,119 228.49 220.15

NY 16% 54,592 311.92 341.30 20% 304,251 196.90 239.89

OH 24% 92,129 182.71 201.92 30% 421,131 122.58 143.56

OK 37% 40,511 198.39 211.08 44% 188,931 132.28 154.80

OR 19% 39,625 319.96 318.19 20% 113,130 235.66 240.82

PA 20% 83,329 210.19 245.65 27% 388,437 143.52 176.06

RI 25% 10,319 268.81 273.01 30% 34,777 216.25 205.79

SC 32% 70,202 235.07 245.06 35% 228,449 169.33 182.31

SD 26% 8,021 227.38 223.31 30% 29,379 161.76 171.64

TN 28% 74,050 239.58 256.05 34% 277,555 160.66 191.06

TX 29% 280,119 250.58 270.93 33% 1,064,493 168.61 198.36

UT 18% 36,759 321.52 313.49 20% 100,965 233.60 247.37

VA 34% 146,271 343.14 330.60 36% 436,523 244.94 245.63

VT 17% 3,218 235.81 249.60 19% 12,241 174.77 174.07

WA 21% 86,902 364.39 367.80 22% 238,757 263.45 276.79

WI 15% 33,673 209.02 217.33 17% 123,919 147.89 158.99

WV 39% 13,856 195.27 197.31 44% 56,800 136.90 140.50

WY 34% 8,184 257.61 251.17 36% 25,151 196.07 195.36

Sources: eMBS, Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files. Notes: Outstanding balance is based on loan balance as of 

September 2021. Ginnie Mae issuance is based on the last 12 months, from October 2020 to September 2021.
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 17

Outstanding Agency Mortgage-Backed Securities

2.6 Outstanding Single Family Agency MBS 

As of September 2021, outstanding single family securities in the Agency market totaled $7.53 trillion: 39.9% 

Fannie Mae, 33.6% Freddie Mac, and 26.5% Ginnie Mae MBS. Over the past twelve months Freddie Mac’s total 

outstanding issuance has increased by approximately 17%, while Fannie and Freddie have decreased 

outstanding issuance by 4% and 3% respectively. Despite this, Fannie outstanding remains larger than either

Freddie or Ginnie.

Ginnie Mae MBS collateral composition has changed dramatically over the past ten years. In September 2011, 

close to 77% of Ginnie Mae outstanding collateral was FHA and under 20% was VA. In September 2021, FHA 

collateral comprised 53% of Ginnie Mae MBS outstanding and VA collateral comprised 41% of Ginnie Mae MBS 

outstanding.

Sources: Data beginning in May 21 is based on outstanding balances in the Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files. Note: 

Data as of September 2021. Beginning with the October 2021 GMAR, the Fannie Mae and Freddie Mac data within the Outstanding Agency MBS graph

have been updated to reflect the Current UPB of the portfolio. July 2021 through September 2021 GMAR reflect the UPB at Security issuance for Fannie 

Mae and Freddie Mac for data from May 2021 through July 2021.

$1,059 

$824 

$112 

 $-

 $500

 $1,000

 $1,500

Sep-00Sep-01Sep-02Sep-03Sep-04Sep-05Sep-06Sep-07Sep-08Sep-09Sep-10Sep-11Sep-12Sep-13Sep-14Sep-15Sep-16Sep-17Sep-18Sep-19Sep-20Sep-21

$ in billions

FHA VA Other

Composition of Outstanding Ginnie Mae Mortgage-Backed Securities

$3,009

$2,530

$1,995

$7,534

$0

$2,000

$4,000

$6,000

$8,000

Sep-00Sep-01Sep-02Sep-03Sep-04Sep-05Sep-06Sep-07Sep-08Sep-09Sep-10Sep-11Sep-12Sep-13Sep-14Sep-15Sep-16Sep-17Sep-18Sep-19Sep-20Sep-21

$ in billions

Fannie Mae Freddie Mac Ginnie Mae Total
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 18

Outstanding Ginnie MBS Balance, by Coupon

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time

As of September 2021, the weighted average coupon on outstanding Ginnie Mae pools was 2.98%, down 3 bps 

since August. The share of outstanding MBS pools with coupons below 3.0% (46% as of September 2021) began 

a rapid expansion in 2020. The bottom chart illustrates that loans originated since 2014 comprise almost 90% of 

Ginnie MBS collateral outstanding, with loans originated since 2019 accounting for 66% of Ginnie MBS collateral 

outstanding. Approximately 24% of the outstanding MBS coupons are between 2.5 and 3.0%, 21% has coupons 

between 2.0 and 2.5%, while approximately half a percent (0.45%) have coupons under 2.0%.

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: August 2021 data points reflect the current composition of balances by coupon and vintage; 

factor data is not applied to prior date balance compositions. Average coupon is weighted by remaining principal balance.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Pre-2008 2008-2013 2014-2018 2019-Present

Outstanding Ginnie MBS Balance, by Vintage

2.70%

2.90%

3.10%

3.30%

3.50%

3.70%

3.90%

4.10%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Avg Coupon

<3.0 3.0-3.49 3.5-4.0 >4.0 Average Coupon
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 19

First Lien Origination Volume & Share

2.8 Origination Volume and Share Over Time

Strong origination volume trends have continued in Q3 2021, with $3.73 trillion in originations year to date, 

which outpaces Q1-Q3 2020 issuance by approximately 32%. Ginnie Mae collateral continued to decrease as a 

percentage of total originations, with Ginnie Mae’s share of total origination declining to under 15% in Q3 2021. 

Source: Inside Mortgage Finance. Note: Data as of Q3 2021.

$0.60

$0.17 

$0.03 

$0.39 

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

50.6%

14.3%

2.7%

32.5%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 20

3.0 US Agency Market, Originations

Securitized first lien originations, comprised of GSE, Ginnie Mae, and Private Label securitizations, declined as a 

percentage of total originations from 75% to 68% from Q2 to Q3 2021. MoM, Agency gross MBS issuance 

decreased 1.6% (from August to September), driven by a decline in both Fannie and Freddie Issuance. Ginnie 

Mae MBS gross issuance increased approximately 2% in September. Ginnie Mae gross issuance through 

September outpaces that of the first nine months of 2020 by approximately 18.6%, $656.0 billion to $553.3

billion. Agency net issuance in September was approximately $75.1 billion, which represents a 3% decline in net 

issuance relative to August. Ginnie Mae net issuance has decreased to below zero year-to-date in 2021. As noted 

in Section 2.6, VA production continues to outpace FHA.

Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

2000 $202.8 $157.9 $360.6 $102.2 $462.8

2001 $506.9 $378.2 $885.1 $171.5 $1,056.6

2002 $710.0 $529.0 $1,238.9 $169.0 $1,407.9

2003 $1,174.4 $700.5 $1,874.9 $213.1 $2,088.0

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

2007 $633.0 $433.3 $1,066.2 $94.9 $1,161.1

2008 $562.7 $348.7 $911.4 $267.6 $1,179.0

2009 $817.1 $462.9 $1,280.0 $451.3 $1,731.3

2010 $626.6 $377.0 $1,003.5 $390.7 $1,394.3

2011 $578.2 $301.2 $879.3 $315.3 $1,194.7

2012 $847.6 $441.3 $1,288.8 $405.0 $1,693.8

2013 $749.9 $426.7 $1,176.6 $393.6 $1,570.2

2014 $392.9 $258.0 $650.9 $296.3 $947.2

2015 $493.9 $351.9 $845.7 $436.3 $1,282.0

2016 $600.5 $391.1 $991.6 $508.2 $1,499.8

2017 $531.3 $345.9 $877.3 $455.6 $1,332.9

2018 $480.9 $314.1 $795.0 $400.6 $1,195.6

2019 $597.4 $445.2 $1,042.6 $508.6 $1,551.2

2020 $1,343.4 $1,064.1 $2,407.5 $775.4 $3,182.9

2021 YTD $1,096.3 $975.8 $2,072.1 $656.0 $2,728.1

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $80.2 $18.8 $3.2 $102.2

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 YTD $295.0 $341.5 $19.6 $656.1
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 21

Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

2001 $216.6 $151.8 $368.4 -$9.9 $358.5

2002 $218.9 $138.3 $357.2 -$51.2 $306.1

2003 $293.7 $41.1 $334.9 -$77.6 $257.3

2004 $32.3 $50.2 $82.5 -$40.1 $42.4

2005 $62.5 $111.7 $174.2 -$42.2 $132.0

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

2010 -$156.4 -$146.8 -$303.2 $198.3 -$105.0

2011 -$32.6 -$95.8 -$128.4 $149.6 $21.2

2012 $32.9 -$75.3 -$42.4 $119.1 $76.8

2013 $53.5 $11.8 $65.3 $89.6 $154.9

2014 -$4.0 $30.0 $26.0 $61.6 $87.7

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 YTD $287.0 $381.7 $668.8 -$8.0 $660.7

Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

2002 -$22.5 -$28.7 $0.0 -$51.2

2003 -$56.5 -$21.1 $0.0 -$77.6

2004 -$45.2 $5.1 $0.0 -$40.1

2005 -$37.3 -$12.1 $7.2 -$42.2

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 YTD -$62.0 $59.3 -$5.3 -$8.0
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 22

Agency Gross Issuance Amount (in $ Billions) Agency Net Issuance Amount (in $ Billions)

Month Fannie Mae Freddie Mac Ginnie Mae GSEs Total Fannie Mae Freddie Mac Ginnie Mae GSEs Total

Feb-17 $37.6 $27.4 $33.1 $65.0 $98.1 $2.5 $6.5 $9.4 $9.0 $18.5

Mar-17 $39.5 $24.4 $31.3 $63.9 $95.2 $9.7 $6.2 $9.7 $15.9 $25.6

Apr-17 $39.3 $21.2 $36.4 $60.6 $97.0 $3.3 $0.4 $11.7 $3.7 $15.4

May-17 $40.3 $22.6 $36.4 $62.9 $99.3 $7.7 $2.7 $13.3 $10.4 $23.8

Jun-17 $45.7 $25.1 $39.9 $70.8 $110.7 $7.9 $2.4 $13.3 $10.3 $23.5

Jul-17 $45.3 $27.6 $40.6 $72.9 $113.5 $5.6 $3.5 $12.3 $9.2 $21.5

Aug-17 $49.1 $29.3 $42.8 $78.4 $121.1 $12.0 $6.7 $15.4 $18.7 $34.1

Sep-17 $47.3 $27.9 $40.2 $75.3 $115.5 $7.7 $3.8 $10.6 $11.4 $22.0

Oct-17 $42.9 $34.6 $38.4 $77.6 $115.9 $5.5 $12.5 $11.0 $17.9 $28.9

Nov-17 $43.5 $37.2 $37.8 $80.7 $118.5 $3.9 $13.6 $8.3 $17.5 $25.8

Dec-17 $45.3 $30.0 $36.2 $75.3 $111.5 $9.2 $8.1 $7.0 $17.4 $24.4

Jan-18 $47.4 $21.4 $35.4 $68.8 $104.2 $12.1 $0.2 $7.7 $12.3 $20.0

Feb-18 $40.3 $21.5 $32.0 $61.8 $93.8 $8.3 $2.2 $7.1 $10.5 $17.6

Mar-18 $35.6 $21.3 $29.1 $56.9 $86.0 $4.9 $3.0 $6.3 $7.9 $14.1

Apr-18 $36.3 $26.2 $32.8 $62.5 $95.3 $1.7 $6.0 $8.8 $7.7 $16.5

May-18 $38.9 $27.5 $33.8 $66.4 $100.2 $5.1 $7.2 $10.5 $12.3 $22.8

Jun-18 $38.2 $28.8 $35.6 $67.0 $102.6 $2.5 $6.8 $10.3 $9.3 $19.6

Jul-18 $40.3 $26.2 $35.6 $66.5 $102.2 $4.2 $3.7 $10.4 $7.8 $18.3

Aug-18 $50.4 $29.9 $37.5 $80.3 $117.8 $15.8 $7.9 $12.5 $23.6 $36.1

Sep-18 $41.8 $30.1 $34.8 $71.8 $106.6 $5.9 $6.2 $9.0 $12.1 $21.1

Oct-18 $39.8 $27.4 $33.2 $67.1 $100.3 $9.7 $7.1 $11.4 $16.8 $28.2

Nov-18 $35.1 $30.1 $32.4 $65.2 $97.6 $3.6 $11.0 $9.8 $14.6 $24.4

Dec-18 $36.9 $23.9 $28.4 $60.7 $89.1 $8.2 $6.4 $8.2 $14.6 $22.8

Jan-19 $33.3 $19.2 $29.0 $52.6 $81.6 $5.9 $2.5 $9.2 $8.3 $17.6

Feb-19 $27.3 $19.9 $23.5 $47.2 $70.7 $1.4 $3.4 $4.6 $4.7 $9.3

Mar-19 $29.6 $27.3 $26.6 $56.9 $83.5 $1.8 $10.3 $5.6 $12.0 $17.6

Apr-19 $33.1 $30.8 $32.9 $63.9 $96.8 $1.3 $10.8 $8.3 $12.0 $20.4

May-19 $44.5 $34.3 $38.8 $78.8 $117.6 $6.7 $9.8 $9.4 $16.6 $26.0

Jun-19 $44.6 $34.0 $43.3 $78.6 $121.9 $1.9 $5.9 $9.0 $7.8 $16.8

Jul-19 $51.7 $36.9 $45.9 $88.6 $134.5 $10.9 $10.1 $11.0 $21.0 $32.0

Aug-19 $71.1 $50.4 $51.2 $121.4 $172.6 $20.8 $17.1 $8.7 $37.9 $46.6

Sep-19 $67.1 $43.0 $52.0 $110.1 $162.1 $14.1 $7.5 $6.5 $21.5 $28.0

Oct-19 $65.0 $46.2 $58.4 $111.2 $169.6 $7.4 $7.1 $11.9 $14.6 $26.5

Nov-19 $68.1 $50.7 $54.3 $118.7 $173.1 $5.2 $8.6 $4.1 $13.8 $18.0

Dec-19 $62.1 $52.5 $52.7 $114.6 $167.3 $10.1 $17.3 $7.4 $27.3 $34.7

Jan-20 $61.7 $51.4 $56.0 $113.1 $169.0 $9.1 $16.5 $8.6 $25.6 $34.2

Feb-20 $56.5 $39.5 $51.2 $96.0 $147.2 $9.4 $7.9 $7.1 $17.4 $24.4

Mar-20 $69.5 $41.4 $53.0 $110.8 $163.9 $17.9 $6.3 $8.8 $24.2 $33.0

Apr-20 $101.6 $76.3 $61.4 $177.9 $239.3 $30.5 $27.5 $10.2 $58.0 $68.2

May-20 $124.3 $70.6 $60.8 $194.9 $255.7 $35.2 $8.2 $5.7 $43.4 $49.1

Jun-20 $118.9 $78.1 $58.5 $197.0 $255.4 $30.0 $15.9 $1.3 $45.9 $47.2

Jul-20 $125.0 $108.1 $66.5 $233.1 $299.5 $23.4 $38.0 -$15.5 $61.4 $45.9

Aug-20 $137.6 $113.6 $73.6 $251.3 $324.8 $34.2 $43.4 -$4.1 $77.6 $73.5

Sep-20 $122.9 $102.1 $72.4 $225.0 $297.5 $16.5 $29.9 $1.0 $46.5 $47.5

Oct-20 $142.3 $124.8 $72.6 $267.1 $339.7 $28.9 $48.3 -$0.3 $77.2 $76.9

Nov-20 $152.4 $131.5 $72.6 $283.9 $356.5 $31.4 $48.4 -$4.5 $79.8 $75.3

Dec-20 $130.8 $126.7 $76.9 $257.5 $334.4 $22.8 $53.1 $1.7 $75.8 $77.5

Jan-21 $141.6 $117.3 $78.2 $258.9 $337.1 $25.9 $37.9 -$6.5 $63.8 $57.3

Feb-21 $118.8 $115.5 $72.3 $234.3 $306.6 $16.8 $44.3 -$0.9 $61.1 $60.2

Mar-21 $143.9 $118.9 $76.9 $262.8 $339.7 $37.6 $44.0 $1.0 $81.6 $82.6

Apr-21 $148.0 $142.3 $85.6 $290.3 $375.9 $26.2 $57.0 -$4.2 $83.3 $79.0

May-21 $132.3 $91.4 $71.7 $223.7 $295.4 $64.9 $38.8 -$3.1 $103.7 $100.6

Jun-21 $108.5 $91.2 $67.7 $199.7 $267.4 $34.0 $33.7 $2.6 $67.8 $70.4

Jul-21 $95.4 $84.6 $69.0 $180.0 $249.0 $27.6 $31.9 -$1.4 $59.5 $58.0

Aug-21 $104.8 $109.3 $66.6 $214.1 $280.8 $27.5 $48.5 $1.4 $76.1 $77.4

Sep-21 $102.9 $105.3 $68.0 $208.3 $276.3 $26.4 $45.6 $3.1 $72.0 $75.1

Source: Beginning May 2021, data for Gross and Net Issuance was sourced from Fannie Mae, Freddie Mac, and Ginnie Mae loan level disclosure files. Net 

issuance is defined here as the difference between prior period UPB and current period UPB. Data as of September 2021. Beginning with the October 2021 

GMAR, the Fannie Mae and Freddie Mac net issuance data have been updated to reflect the current UPB of the portfolios. July 2021 through September 

2021 GMAR net issuance data reflect the UPB at security issuance for Fannie Mae and Freddie Mac for data from May 2021 through July 2021.
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 23

Percent Refi at Issuance

The total Ginnie Mae refinance share stood at 42% in September. The FHA refinance share stood at 33% in 

September 2021, below the 64% share for Fannie, the 57% refi share for Freddie originations, and the 53% share 

for the VA. Refinances as a share of all Agency originations have continued their rebound to 56% in September

after having dropped from 57% to 51% from June to July. This interrupts the trend of refinances representing a 

decreasing proportion of overall issuance since recent refinance peaks in early 2021 and mid-2020.

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: Data as of 

September 2021.

57%

64%

42%

33%

53%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

5/1/20139/1/20131/1/20145/1/20149/1/20141/1/20155/1/20159/1/20151/1/20165/1/20169/1/20161/1/20175/1/20179/1/20171/1/20185/1/20189/1/20181/1/20195/1/20199/1/20191/1/20205/1/20209/1/20201/1/20215/1/20219/1/2021

Freddie Fannie Ginnie FHA VA
High LTV Loans: Ginnie Mae vs. 

GSEs

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 24

4.0 High LTV Loans: Ginnie Mae vs. GSEs

The share of high-LTV Agency loans going to borrowers with FICO scores above 750 has increased by 4%

between periods August - October 2019 and August - October 2021. The share of borrowers with DTIs below 

35% has decreased by approximately 2% over the same period. The share of high-LTV loans decreased in both

the Ginnie Mae guarantee book and the GSE portfolios by approximately 3% and 24%, respectively, from August 

to October 2019 to August to October 2021. Still, Ginnie Mae maintains its key role of expanding credit access to 

low-to-moderate income borrowers as it continues to dominate high-LTV lending, with 62.55% of its issuances 

between August and October 2021 having LTVs of 95 or above, compared to 5.08% for the GSEs.

Share of Loans with LTV > 95

Ginnie Mae GSE All

Aug 2019 - Oct 2019 64.62% 6.65% 26.68%

Aug 2021 - Oct 2021 62.55% 5.08% 21.32%

Agency Market Share by DTI and FICO for Loans with LTV > 95

Aug 2019-Oct 2019

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 4.47% 6.16% 3.39% 4.96% 1.29% 20.28%

35-45 6.66% 8.71% 4.26% 4.30% 0.20% 24.13%

≥45 5.26% 8.03% 4.06% 3.46% 0.13% 20.93%

NA 5.52% 7.08% 4.27% 5.90% 11.89% 34.66%

All 21.91% 29.98% 15.98% 18.62% 13.51% 100.00%

Aug 2021-Oct 2021

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 4.37% 6.00% 3.17% 5.17% 1.16% 19.85%

35-45 6.48% 8.52% 3.86% 3.96% 0.23% 23.06%

≥45 5.17% 7.92% 3.70% 3.14% 0.16% 20.10%

NA 5.01% 6.60% 4.30% 7.15% 13.94% 36.99%

All 21.02% 29.05% 15.03% 19.40% 15.50% 100.00%

Sources: eMBS, Recursion and Ginnie Mae. Data as of September 2021
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 25

5.0 Agency Nonbank Originators

Total Agency nonbank origination share rebounded in September after two consecutive months of decline, up

approximately 3% from August 2021. This increase in nonbank origination share was driven primarily by Freddie 

Mac (nonbank origination share up 6% MoM). The Ginnie Mae nonbank share has been consistently higher than 

the GSEs, at 88.6% in September 2021. Ginnie Mae nonbank origination share of refinance mortgage loans

(91.2%) has continued to drive Ginnie Mae’s relatively higher nonbank origination share (88.6%). The nonbank 

originator share of Ginnie Mae’s refinance loans is significantly higher than for purchase loans. GSE nonbank 

origination share differs less on the basis of loan purpose.

5.1 Agency Nonbank Originator Share (All, Purchase, Refi) 

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: Data as of 

September 2021.

78.8%

77.8%

74.1%

88.6%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Fannie Freddie Ginnie

0%

20%

40%

60%

80%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Fannie Freddie Ginnie

0%

20%

40%

60%

80%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Fannie Freddie Ginnie

Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 26

Ginnie Mae’s total nonbank originator share increased slightly in September, up 0.17% MoM. This increase in 

Ginnie Mae nonbank origination share was driven primarily by FHA and PIH- and RD- insured (“Other”) 

origination, while VA-insured loans decreased their nonbank origination share in September MoM. In September

2021 there was a slight increase in nonbank origination share for both purchase and refi loans. The increase in 

nonbank origination share for refi loans was primarily driven by “Other” loans, with an approximately 8.5% 

increase MoM.

5.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi) 

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “Other" refers to

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of September 2021.

92.2%

85.5%

88.3%

88.6%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

FHA VA Other All

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All FHA VA Other

Ginnie Mae Nonbank Share: Purchase Loans Ginnie Mae Nonbank Share: Refi Loans
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 27

5.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI)

The mortgage loan originations of nonbanks continue to have a lower median FICO score than their bank 

counterparts across the Agencies. The spread between nonbank and bank FICO scores dropped by 2 points from 

August 2021 to September 2021 to 17 points, approximately 8 points below the 5-year average spread. The 

Agency median FICO increased 1 bp to 746 MoM. Ginnie median FICO is down 19 points since January.

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: Data as of 

September 2021.

Agency FICO: Bank vs. Nonbank

GSE FICO: Bank vs. Nonbank Ginnie Mae FICO: Bank vs. Nonbank

680

690

700

710

720

730

740

750

760

770

780

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median FICO Bank Median FICO

Nonbank Median FICO

640

650

660

670

680

690

700

710

720

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median FICO Bank Median FICO

Nonbank Median FICO

746

759

742

680

690

700

710

720

730

740

750

760

770

780

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

FICO All Median FICO Bank Median FICO Nonbank Median FICO
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 28

The median LTV for GSE bank and nonbank originators declined again in September 2021. Ginnie Mae median 

LTV also had another slight MoM decline to 97%. The decline in the GSEs’ median LTV in September is 

attributable to the high volume of refis in the GSE space (see Section 3.0). Ginnie Mae median DTI experienced a 

slight MoM decrease in September 2021, driven evenly by declines in DTI for bank and nonbank originations. 

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: Data as of 

September 2021.

GSE LTV: Bank vs Nonbank Ginnie Mae LTV: Bank vs. Nonbank

GSE DTI: Bank vs Nonbank Ginnie Mae DTI: Bank vs. Nonbank

64

66

68

70

72

74

76

78

80

82

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median LTV Bank Median LTV Nonbank Median LTV

90

92

94

96

98

100

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median LTV Bank Median LTV Nonbank Median LTV

30

32

34

36

38

40

42

44

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median DTI Bank Median DTI Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median DTI Bank Median DTI Nonbank Median DTI
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 29

September 2021 marked the seventh consecutive month of decline in the median FICO score for Ginnie Mae 

bank and nonbank originators. The median FICO for all Ginnie originations declined to 677. The gap between 

banks and non-banks remains most apparent in VA lending (32 point spread). 

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: "Other" refers to 

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of September2021.

Ginnie Mae FICO Score: Bank vs. Nonbank Ginnie Mae FHA FICO Score: Bank vs. Nonbank

Ginnie Mae VA FICO Score: Bank vs. Nonbank Ginnie Mae Other FICO Score: Bank vs. Nonbank

640

650

660

670

680

690

700

710

720

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median FICO Bank Median FICO

Nonbank Median FICO

640

645

650

655

660

665

670

675

680

685

690

695

Sep-15

Jan-16

May-16

Sep-16

Jan-17

May-17

Sep-17

Jan-18

May-18

Sep-18

Jan-19

May-19

Sep-19

Jan-20

May-20

Sep-20

Jan-21

May-21

Sep-21

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

650

670

690

710

730

750

770

Sep-15

Jan-16

May-16

Sep-16

Jan-17

May-17

Sep-17

Jan-18

May-18

Sep-18

Jan-19

May-19

Sep-19

Jan-20

May-20

Sep-20

Jan-21

May-21

Sep-21

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Sep-14

Jan-15

May-15

Sep-15

Jan-16

May-16

Sep-16

Jan-17

May-17

Sep-17

Jan-18

May-18

Sep-18

Jan-19

May-19

Sep-19

Jan-20

May-20

Sep-20

Jan-21

May-21

Sep-21

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 30

Median DTI for Ginnie Mae nonbank originations has been consistently higher than median DTI for Ginnie Mae 

bank originations. This is a trend evident for all Ginnie Mae-eligible loan types except for the “Other” category, 

where the spread between median bank and nonbank DTI is relatively small. 

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “Other" refers to 

loans insured by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of September 2021.

Ginnie Mae DTI: Bank vs. Nonbank Ginnie Mae FHA DTI: Bank vs. Nonbank

Ginnie Mae VA DTI: Bank vs. Nonbank Ginnie Mae Other DTI: Bank vs. Nonbank

30

32

34

36

38

40

42

44

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

All Median DTI Bank Median DTI Nonbank Median DTI

36

37

38

39

40

41

42

43

44

45

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Mar-20

Sep-20

Mar-21

Sep-21

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 31

6.0 Holders of Ginnie Mae Mortgage Servicing Rights

This table shows the 30 largest owners of mortgage servicing rights (MSR) by UPB for Ginnie Mae MBS. The top 

30 firms collectively own 81.9% of Ginnie Mae MSRs (see Cumulative Share). Twenty-two of these top 30 are 

non-depository institutions, the remaining 8 are depository institutions. As of October 2021, over half (51.0%) of 

the Ginnie Mae MSRs are owned by the top six firms.

Top 30 Holders of Ginnie Mae Mortgage Servicing Rights (MSRs), by UPB

Rank MSR Holder UPB ($ millions) Share Cumulative Share

1 Freedom Home Mortgage $ 259,310 13.4% 13.4%

2 PennyMac $ 216,419 11.1% 24.5%

3 Lakeview $ 201,763 10.4% 34.9%

4 Wells Fargo $ 127,464 6.6% 41.5%

5 Rocket Mortgage $ 97,360 5.0% 46.5%

6 Nationstar $ 87,101 4.5% 51.0%

7 Newrez $ 58,985 3.0% 54.0%

8 Caliber Home Loans $ 48,323 2.5% 56.5%

9 US Bank $ 47,711 2.5% 58.9%

10 Carrington Mortgage $ 43,854 2.3% 61.2%

11 United Wholesale Mortgage $ 40,210 2.1% 63.3%

12 USAA Federal Savings Bank $ 33,906 1.7% 65.0%

13 Loan Depot $ 32,274 1.7% 66.7%

14 Mortgage Research Center $ 28,655 1.5% 68.2%

15 Navy Federal Credit Union $ 28,474 1.5% 69.6%

16 Planet Home Lending $ 27,333 1.4% 71.0%

17 Truist Bank $ 22,709 1.2% 72.2%

18 The Money Source $ 21,435 1.1% 73.3%

19 Guild Mortgage $ 20,224 1.0% 74.3%

20 Home Point Financial Corporation $ 17,464 0.9% 75.2%

21 Crosscountry Mortgage $ 14,828 0.8% 76.0%

22 New American Funding $ 14,395 0.7% 76.7%

23 Midfirst Bank $ 13,852 0.7% 77.5%

24 Village Capital $ 13,797 0.7% 78.2%

25 Citizens Bank $ 12,950 0.7% 78.8%

26 Idaho Housing and Finance Association $ 12,511 0.6% 79.5%

27 JP Morgan Chase $ 11,935 0.6% 80.1%

28 CMG Mortgage, INC $ 11,915 0.6% 80.7%

29 PHH Mortgage Corporation $ 11,787 0.6% 81.3%

30 Amerihome Mortgage Company $ 11,527 0.6% 81.9%

Source: Deloitte and Ginnie Mae. Data as of October 2021.
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 32

7.0 Prepayments

In September 2021, Ginnie Mae fixed rate prepayment speeds decreased by 4%, to 30.0 CPR. The slowdown was 

mainly driven by voluntary prepayment decreases. On the other hand, Ginnie Mae II 30-year posted a small 

increase, up by 1% in its Conditional Buyout Rate (CBR), while Ginnie Mae I posted a 12% increase in its CBR.5

Ginnie Mae prepayment outlook is expected to get more clarity by late Q1 2022 when indicators of seriously 

delinquent portfolio performance become available. Mortgage industry is calling for a cut in FHA mortgage 

insurance premium after the favorable FHA’s annual actuarial audit of the Mutual Mortgage Insurance Fund 

came out on November 15, 2021.

6

After a jump in August 2021, Fannie Mae and Freddie Mac fixed rate prepayment speeds went down by 2% and 

4%, respectively. ARM MBS prepayments for both Fannie Mae and Freddie Mac posted a significant decline, 

down by 8% and 11%, respectively, while the rate went up by 2% in the Ginnie Mae space. 

7.1 Aggregate Prepayments

Source: eMBS; Note: Data as of September 2021.

5 Ahlgren R and Ichaso M (2021, October 7). US Structured Products Trading Desk Strategy | RMBS Strategy | Drop in VPRs Pull Speeds Lower While CBRs 

Come in Flat, pp. 1.

6 https://www.insidemortgagefinance.com/articles/223010-time-to-cut-the-mip-fhas-insurance-fund-ends-fy21-with-a-capital-ratio-north-of23.5

21.9

30.0

0

20

40

60

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Constant Prepayment Rate (%)

Fixed Rate Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae

28.3

29.7

34.3

0

20

40

60

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Constant Prepayment Rate (%)

ARM Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 33

30-year fixed rate MBS with 2-2.5% coupons accounted for 44% of Agency remaining principal balance. 

Production of these Agency MBS ramped up in 2019. After the spike in August 2021, Fannie Mae speed 

increased by 3% in those coupon cohorts while Freddie Mac speeds remained relatively flat in September 2021. 

Ginnie Mae prepayment speeds jumped by 12% in the 2% coupon cohort but declined by 1% in the 2.5% coupon 

cohort.

Source: eMBS. Note: Data as of September 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by 

September 2021 remaining principal balance.

12.4

12.1

13.0

0

10

20

30

40

50

60

Constant Prepayment Rate (%)

All Agency 2% Coupon CPR

Fannie Mae 30YR 2% Fixed Rate Freddie Mac 30YR 2% Fixed Rate Ginnie Mae II 30YR 2% Fixed Rate

22.1

21.0

29.3

0

10

20

30

40

50

60

Jul-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-20

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-21

Feb-21

Mar-21

Apr-21

May-21

Jun-21

Jul-21

Aug-21

Sep-21

Constant Prepayment Rate (%)

All Agency 2.5% Coupon CPR

Fannie Mae 30YR 2.5% Fixed Rate Freddie Mac 30YR 2.5% Fixed Rate Ginnie Mae II 30YR 2.5% Fixed Rate
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 34

30-year fixed rate MBS with 3-4% coupons accounted for 30% of Agency remaining principal balance. Of the 3-

4% coupon cohorts, Ginnie Mae buyout rates were substantially higher than conventional rates, while its 

voluntary prepayment rates were close to conventional mortgage loans. In September 2021, prepayment 

differential was the most evident in the 4% coupon cohort where the difference widened by 6.8 CPR in August.

The prepayment gap has narrowed since its recent peak in June-July 2021 period.

Source: eMBS. Note: Data as of September 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by 

September 2021 remaining principal balance.

32.8

32.9

39.4

0

10

20

30

40

50

60

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Constand Prepayment Rate (%)

All Agency 3% Coupon CPR

Fannie Mae 30YR 3% Fixed Rate Freddie Mac 30YR 3% Fixed Rate Ginnie Mae II 30YR 3% Fixed Rate

34.7

34.4

39.4

0

10

20

30

40

50

60

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Constant Prepayment Rate (%)

All Agency 3.5% Coupon CPR

Fannie Mae 30YR 3.5% Fixed Rate Freddie Mac 30YR 3.5% Fixed Rate Ginnie Mae II 30YR 3.5% Fixed Rate
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 35

Source: eMBS. Note: Data as of September 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by 

September 2021 remaining principal balance.

35.6

35.1

42.1

0

10

20

30

40

50

60

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Constant Prepayment Rate (%)

All Agency 4% Coupon CPR

Fannie Mae 30YR 4% Fixed Rate Freddie Mac 30YR 4% Fixed Rate Ginnie Mae II 30YR 4% Fixed Rate
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 36

8.0 Fixed Income Market Conditions

Agency MBS average daily trading volume was $289 billion from January 2021 to September 2021. September 

2021 was the lowest month of Agency MBS trading volume since June 2020, continuing a trend observed in 

August of lower trading volume. Agency MBS turnover in 2021 is 11 basis points lower than its 2020 average, at 

2.84%. 2021 YTD Agency MBS turnover and US Treasury turnover are both 2.84%. Corporates turnover remains

minimal relative to either Agency MBS or Treasury turnover.

8.1 Average Daily Trading Volume and Turnover by Sector

Source: SIFMA. Note: Data as of September 2021.

$289 

$612 

$38 $0

$100

$200

$300

$400

$500

$600

$700

20022003200420052006200720082009201020112012201320142015201620172018201920202021

$ Billions

Agency MBS trading vol ($B) Treasury trading volume ($B) Corporates trading volume ($B)

2.84%

2.84%

0% 0.39%

2%

4%

6%

8%

10%

12%

14%

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

Agency MBS Turnover Treasury Turnover

Average Daily Trading Volume by Sector

Average Daily Turnover by Sector
Prepayments

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 37

9.0 MBS Ownership

As of Q2 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial 

banks (26%), the Federal Reserve (23%), and foreign investors (11%). The Federal Reserve’s share increased to 

23% in the second quarter of 2021, the highest it’s been since 2015. Despite large Federal Reserve purchases, 

commercial banks continue to be the largest holders of Agency MBS. Out of their $2.9 trillion in holdings as of 

the end of August 2021, $2.1 trillion was held by the top 25 domestic banks.

Source: Federal Reserve Flow of Funds. Note: The “other” category includes primarily life insurance companies, state and local governments, households

and nonprofits. Data as of Q2 2021.

9.1 Commercial Bank Holdings of Agency MBS

Commercial Bank Holdings ($Billions) Week Ending

Sep-20 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 29-Sep 6-Oct 13-Oct 20-Oct

Largest 25 Domestic 

Banks 1,767.8 2,026.4 2,049.7 2,080.6 2,091.9 2,112.3 2,130.5 2,134.2 2,142.7 2,149.3 2,143.3 2,145.1

Small Domestic 

Banks 526.7 612.9 629.3 650.0 661.2 672.3 684.8 701.0 704.2 713.7 717.8 724.6

Foreign Related 

Banks 41.5 51.6 50.8 48.8 46.9 47.3 48.4 48.3 47.5 50.4 48.7 45.8

Total, Seasonally 

Adjusted 2,336.0 2,690.9 2,729.8 2,779.4 2,800.0 2,831.9 2,863.7 2,883.5 2,894.4 2,913.4 2,909.8 2,915.5

Source: Federal Reserve Bank. Note: Small domestic banks include all domestically chartered commercial banks not included in the top 20. Data as of 

October 2021.

Who Owns Total Agency Debt?
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 38

9.2 Bank and Thrift Residential MBS Holdings

In Q2 2021, MBS holdings at banks and thrifts increased for the eleventh consecutive quarter. The increase was 

driven by both GSE pass-throughs and Private CMO holdings, with the increase in GSE pass-throughs making the 

larger contribution. Total bank and thrift MBS holdings increased by 3% from Q1 2021. Out of the $2.8 trillion in 

MBS holdings at banks and thrifts as of Q2 2021, $2.2 trillion were Agency pass-throughs. $1.8 trillion were GSE 

pass-throughs and $353 billion were Ginnie Mae pass-throughs. Another $555 billion were Agency CMOs, while 

non-Agency holdings totaled $48 billion. 

All Banks & Thrifts

($ in billions)

All MBS

($ in billions)

Year Total GSE PT GNMA PT Private MBS Agency CMO Private CMO Banks Thrifts

2000 683.90 234.01 84.26 21.57 198.04 71.43 470.47 212.65 

2001 810.50 270.59 109.53 37.62 236.91 76.18 606.91 203.37 

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66 

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45 

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31 

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69 

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42 

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59 

2008 1,218.77 638.78 100.36 12.93 207.66 259.04 1,088.00 211.73 

2009 1,275.52 629.19 155.00 7.53 271.17 212.64 1,161.67 184.07 

2010 1,433.38 600.80 163.13 7.34 397.30 181.61 1,233.28 200.09 

2011 1,566.88 627.37 214.81 3.28 478.82 167.70 1,359.24 207.64 

2012 1,578.86 707.87 242.54 17.16 469.27 138.67 1,430.63 148.22 

2013 1,506.60 705.97 231.93 26.11 432.60 114.15 1,363.65 142.94 

2014 1,539.32 733.71 230.45 20.33 449.90 104.94 1,409.84 129.48 

2015 1,643.56 823.10 292.30 11.14 445.39 71.63 1,512.67 130.89 

2016 1,736.93 930.67 323.46 7.40 419.80 55.60 1,576.07 160.86 

2017 1,844.15 1,010.83 367.70 4.63 413.97 47.01 1,672.93 171.22 

1Q18 1,809.98 991.57 360.71 3.92 412.41 41.37 1,635.52 174.46 

2Q18 1,806.58 976.92 368.88 7.45 414.41 38.92 1,631.65 174.93 

3Q18 1,794.39 966.52 373.21 2.42 416.20 36.04 1,618.29 176.10 

4Q18 1,814.97 980.56 380.43 2.69 416.59 34.69 1,634.99 179.98 

1Q19 1,844.99 1,001.61 383.49 3.06 422.18 34.65 1,673.40 171.59 

2Q19 1,907.13 1,037.93 407.97 2.90 421.56 36.76 1,727.65 179.47 

3Q19 1,975.78 1,079.82 427.10 4.74 428.69 35.44 1,786.74 189.04 

4Q19 1,985.38 1,089.41 426.85 4.62 428.99 35.52 1,796.29 189.09 

1Q20 2,107.66 1,173.36 448.34 4.65 443.73 37.57 1,907.02 200.64 

2Q20 2,195.19 1,228.87 441.06 5.00 478.11 42.14 1,946.36 248.83 

3Q20 2,310.42 1,349.48 415.24 4.43 499.50 41.78 2,040.61 269.81 

4Q20 2,520.90 1,537.54 390.66 3.94 548.65 40.10 2,210.22 310.68 

1Q21 2,690.92 1,713.78 374.63 4.88 555.35 42.28 2,350.94 339.98 

2Q21 2,781.91 1,825.80 352.77 4.77 555.45 43.12 2,431.76 350.15 

Change:

1Q21-2Q21 3% 7% -6% -2% 0% 2% 3% 3%

2Q20-2Q21 27% 49% -20% -5% 16% 2% 25% 41%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2021.

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 39

Top Bank & Thrift 

Residential MBS 

Investors ($ in 

millions)

Institution Total GSE PT GNMA PT Agency CMO Non-Agency Share

1

Bank of America 

Corporation 611,942.0 510,382.0 89,844.0 11,484.0 232.0 22%

2 Wells Fargo & Company 277,627.0 206,837.0 65,204.0 5,170.0 416.0 10%

3 Charles Schwab Bank 180,800.0 91,697.0 10,560.0 78,543.0 - 7%

4 JPMorgan Chase & Co. 170,868.0 97,339.0 59,649.0 135.0 13,745.0 6%

5 Truist Bank 124,588.0 53,308.0 11,609.0 59,164.0 507.0 5%

6 U.S. Bancorp 120,203.0 84,365.2 21,545.5 14,291.9 0.4 4%

7 Citigroup Inc. 96,396.0 89,447.0 1,784.0 4,004.0 1,161.0 4%

8

Capital One Financial 

Corporation 77,750.4 45,284.1 9,903.8 22,018.6 543.9 3%

9

PNC Bank, National 

Corporation 57,478.7 48,260.8 6,794.5 1,100.7 1,322.7 2%

10 Bank of New York 

Mellon Corp 56,473.0 42,325.0 2,415.0 9,203.0 2,530.0 2%

11 Silicon Valley Bank 54,124.3 45,380.0 2,797.2 5,947.1 - 2%

12 USAA Federal Savings 

Bank 45,810.4 39,747.6 1,985.5 4,077.4 - 2%

13 State Street Bank and 

Trust Company 41,711.7 17,771.0 4,976.0 16,559.7 2,405.0 2%

14 E*Trade Bank 34,917.2 27,426.9 5,270.2 2,220.1 - 1%

15 Morgan Stanley 32,548.0 21,163.0 3,910.0 7,475.0 - 1%

16 The Huntington National 

Bank 24,589.1 16,904.6 2,600.0 4,942.2 142.2 1%

17 Ally Bank 24,144.0 18,093.0 868.0 2,297.0 2,886.0 1%

18 HSBC Bank USA, National 

Association 23,563.2 7,776.0 7,591.4 8,194.3 1.6 1%

19 TD Bank USA/TD Bank 

NA 23,494.6 1,379.5 122.8 21,895.8 96.4 1%

20 BMO Harris Bank 

National Association 23,258.0 4,410.4 391.7 18,450.3 5.6 1%

Total Top 20 2,102,286.60 1,469,297.1 309,821.6 297,173.1 25,994.8 76%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2021.

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 40

9.3 Foreign Ownership of MBS

For the month of August 2021, foreign ownership of MBS represents $1.23 trillion in Agency MBS, which 

includes $581 billion held by foreign private institutions and $645 billion held by foreign official institutions. This 

is the highest volume of foreign holdings of Agency MBS since April 2020.

Sources: Treasury International Capital (TIC). Notes: In December 2017, there was a data correction that moved about $120 billion from privately held U.S. 

Agency bonds to officially held U.S. Agency bonds; this resulted in a series break at December 2017 in the split between the portion held by foreign private 

and the portion held by foreign official. Data as of August 2021.

15.99%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

18.0%

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Percent of Agency MBS Owned

by Foreigners

Foreign Share of MBS

1,225

645 

581 

0

200

400

600

800

1,000

1,200

1,400

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

$ Billions

Total Agency MBS Held by Foreigners Foreign Official MBS Foreign Private MBS

Foreign Share of Agency MBS Market

Monthly Foreign MBS Holdings
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 41

9.4 Foreign Ownership of Agency Debt and Agency MBS

The largest non-US holders of Agency MBS are in Japan, Taiwan, and China. These three own 70% of all US MBS

held by investors outside of the United States. Between June 2020 and June 2021, these top three have 

decreased their Agency MBS holdings by over $4.6 billion. Japan has decreased their holdings by $1.4 billion, 

Taiwan has decreased their holdings by $208 million and China has decreased their holdings by $3.0 billion. 

All Agency Debt

Country

Level of Holdings ($ Millions) Change in Holdings ($ Millions)

9/1/2020 12/1/2020 3/1/2021 6/1/2021 Q4 2020 Q1 2021 Q2 2021

Japan 305,064 308,033 319,771 311,375 2,969 11,738 -8,396

Taiwan 264,270 262,453 253,036 250,081 -1,817 -9,417 -2,955

China 206,861 212,317 200,972 217,842 5,456 -11,345 16,870

Luxembourg 35,626 36,223 34,371 35,497 597 -1,852 1,126

Ireland 28,286 31,064 26,965 21,453 2,778 -4,099 -5,512

South Korea 40,303 42,628 43,032 43,201 2,325 404 169

Cayman Islands 34,495 34,264 37,111 36,027 -231 2,847 -1,084

Bermuda 35,751 27,988 26,443 23,806 -7,763 -1,545 -2,637

Netherlands 10,964 12,344 13,049 12,544 1,380 705 -505

Malaysia 19,808 19,147 19,047 19,089 -661 -100 42

Other 190,175 197,462 173,905 166,009 7,287 -23,557 -7,896

Total 1,171,603 1,183,923 1,147,702 1,136,924 12,320 -36,221 -10,778

Agency MBS

Country

Level of Holdings ($ Millions)

6/1/2020 6/1/2021 YoY Change in Holdings ($ Millions)

Japan 306,963 305,580 -1,383

Taiwan 267,700 267,492 -208

China 235,078 232,076 -3,002

Luxembourg 40,207 34,255 -5,952

Ireland 21,091 25,336 4,245

South Korea 28,743 34,313 5,570

Cayman Islands 28,431 29,682 1,251

Bermuda 25,111 24,245 -866

Netherlands 12,739 13,351 612

Malaysia 20,028 19,949 -79

Other 173,716 170,062 -3,654

Total 1,159,809 1,156,341 -3,468

Sources: Treasury International Capital (TIC). Notes: Level of Agency debt Holdings by month data as of Q2 2021. Agency MBS as of June 2021. Revised to 

include top 10 holders of Agency debt listed as of June 2018.
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 42

9.5 Federal Reserve Absorption of Agency MBS

The Fed purchased $102.3 billion in September 2021 (36.8% of monthly gross issuance) which was a slight 

increase from the $102.1 billion purchased in August 2021 (36.1% of monthly gross issuance). Fed purchases of 

Ginnie Mae MBS increased MoM, with $23.7 billion (33.6% of gross Ginnie Mae Issuance) compared to $21.7

billion in Fed purchases (32.1% of gross Ginnie Mae issuance) in August 2021. In their most recent press release 

on November 3, 2021, the FOMC outlined a plan to reduce the monthly pace of its net asset purchases by $10 

billion for Treasury securities and $5 billion for agency MBS. The FOMC’s plan involves scheduled increases in 

holdings of at least $35 billion in Agency MBS in November, then at least $30 billion in December, with similar 

reductions in net asset purchases continuing into 2022.

Sources: eMBS, Federal Reserve Bank of New York and https://fred.stlouisfed.org/series/WSHOMCB.Notes: Data as of September 2021.

0

50

100

150

200

250

300

350

Sep-13 Jan-14

May-14 Sep-14 Jan-15May-15 Sep-15 Jan-16May-16 Sep-16 Jan-17May-17 Sep-17 Jan-18May-18 Sep-18 Jan-19May-19 Sep-19 Jan-20May-20 Sep-20 Jan-21May-21 Sep-21

$ billions

Gross Issuance Total Fed Purchases

0

20

40

60

80

100

Sep-13 Jan-14

May-14 Sep-14 Jan-15May-15 Sep-15 Jan-16May-16 Sep-16 Jan-17May-17 Sep-17 Jan-18May-18 Sep-18 Jan-19May-19 Sep-19 Jan-20May-20 Sep-20 Jan-21May-21 Sep-21

$ billions

Gross Issuance Total Fed Purchases

Total Fed Absorption

Fed Absorption of GSE MBS Fed Absorption of Ginnie Mae MBS

0

50

100

150

200

250

300

350

400

Sep-13

Jan-14

May-14

Sep-14

Jan-15

May-15

Sep-15

Jan-16

May-16

Sep-16

Jan-17

May-17

Sep-17

Jan-18

May-18

Sep-18

Jan-19

May-19

Sep-19

Jan-20

May-20

Sep-20

Jan-21

May-21

Sep-21

$ billions

Total Gross Issuance Total Fed Purchases
Disclosure

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 43

Disclosure:

“The data provided in the Global Markets Analysis Report (hereinafter, the “report”) should be considered as 

general information only and is current only as of its specified date, unless otherwise noted. No information 

contained herein is, and should not be construed to be, investment advice. Nor does any information contained 

herein constitute an offer to sell, or is a solicitation of an offer to buy, securities. 

The information contained herein is based upon information generally available to the public from sources 

believed to be reliable as of the specified date. The accuracy of the information contained herein is based on the 

corresponding accuracy of the issuer data as reported to the Government National Mortgage Association 

(hereinafter, “Ginnie Mae”).

Therefore, if there is insufficient or inaccurate data to support calculations of any specific disclosure 

information, Ginnie Mae disclaims any and all liability relating to that information, including, without limitation, 

any express or implied representations or warranties for statements or errors contained in, or omissions from, 

the report.

The forward-looking statements, and underlying assumptions, speak only as of the date of October 20, 2021. 

Ginnie Mae expressly disclaims any obligation or undertaking to update or revise any forward-looking statement 

or underlying assumption contained in the report to reflect any change in its expectations or any change in 

circumstances upon which such statement is based. 

Past performance is not a guarantee of future results. Accordingly, there are no assurances given, nor 

representations or warranties made, that all estimated returns or projections will be realized, or that actual 

returns or performance results will not materially differ from those estimated herein.”