Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S 

OFFICE OF CAPITAL MARKETS

PREPARED FOR GINNIE MAE 

BY STATE STREET GLOBAL ADVISORS 

URBAN INSTITUTE, HOUSING FINANCE POLICY CENTER
CONTENTS

Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

Barclays US Aggregate and Global Indices 4

Global 10-year treasury yields 5

Ginnie Mae yields and yield spreads—USD, JPY, Euro 6-8

MBS yield per duration 9

Total return and Sharpe Ratios 10 

State of the US housing Market 

Serious delinquency rates 11

National HPI 11

HPI by state 12

Ginnie Mae Agency issuance and Agency outstanding by state 13

Size and value of the US Residential housing and mortgage markets 14

Outstanding Agency MBS 15

Origination volume over time 16

US Agency Market, Originations

Annual Agency Gross Issuance 17

Annual Agency Net Issuance 18

Monthly Agency Issuance 19

Purchase versus refi: Percent Refi at Issuance 20

Credit Box 

First time home buyer share—purchase only loans 21

First time home buyer share— Ginnie Mae purchase only loans 22

FICO score distribution 23

Credit box at a glance (FICO, LTV, DTI) 24-26

Historical credit box (FICO, LTV,DTI) 27-29

Ginnie Mae Nonbank Originators

Nonbank originator share (All, Purchase, Refi) 30

Ginnie Mae nonbank originator share (All, Purchase, Refi) 31

Bank vs. nonbank originators historical credit box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 32-33

Bank vs. nonbank originators historical credit box, Ginnie Mae breakdown (FICO, LTV, DTI) 34-36

Prepayments 

Aggregate 37

Select coupon/origination year cohorts 38-39

Other Ginnie Mae Programs

HMBS 40

Multifamily 41

Market Conditions-Agency MBS

Average daily trading volume and turnover by sector 42

Dealer net positions, repo volume 43

MBS Ownership

Ownership breakdown of total agency debt 44

MBS share of total agency debt and commercial bank ownership of MBS 45

Bank and Thrift Residential MBS Holdings 46

Foreign ownership of MBS 47-48

Fed Ownership of MBS 49
$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

20002001200220032004200520062007200820092010201120122013

1Q142Q143Q144Q141Q152Q153Q154Q151Q162Q163Q164Q161Q172Q173Q174Q171Q182Q18

GSE PT GNMA PT

Rare decline in bank and thrift holdings of agency MBS

Page 46 shows the total volume of MBS owned by US banks and thrifts since the year 2000. This data is broken 

down by agency vs non-agency, pass-through versus CMO; agency pass-throughs, which constitute the bulk of 

the holdings, are further broken down by type, GSE or Ginnie Mae. During this period, banks and thrifts have 

significantly increased their ownership of agency MBS pass-throughs, from about $318 billion at year end of 

2000 to over $1.35 trillion at the end of Q2 2018. Except for a few isolated periods of year over year decline 

(mostly during the bubble), holdings increased every single quarter from Q3 2014 to year-end 2017. 

Bank and Residential Thrift Holdings ($ billions)

Source: Inside Mortgage Finance and Urban Institute.

After 14 consecutive quarters of increase, bank and thrift holdings of agency MBS pass-throughs fell for the 

first time in Q1 2018, then again in Q2. All of the nearly $33 billion drop came from conventional MBS; 

ownership of Ginnie MBS by banks and thrifts is largely unchanged from year-end 2017. 

While the decline is a small portion of the total $1.35 trillion agency MBS pass-throughs held by banks and 

thrifts, it is noteworthy because it could be an early indicator of a long-term trend. Banks increased their 

ownership of federally-backed agency MBS during the crisis in part due to low demand for loans from 

consumers and businesses during the recession. But this demand may now be coming back against the backdrop 

of a stronger economy. Commercial and industrial loans held by banks jumped by nearly $100 billion while 

overall bank credit grew by $135 billion in the first half of 2018, according to Federal Reserve data. 

Additionally, dramatic steepening of the yield curve over the last year has reduced the spread between short 

term borrowing rates and MBS yields, making agency MBS less attractive relative to before. The spread 

between 3-month LIBOR and current coupon MBS tightened from about 215 bps at the beginning to 2017 to 

approximately 125 bps at the end of Q2 2018. Collectively, less attractive returns on agency MBS and 

increased loan demand may be leading banks to reduce their agency MBS holdings.

Highlights this month:

• US MBS hedged into yen and euros looks less attractive versus JGB and Bund securities in September 2018, 

due to sizeable increases in the cost of hedging the US securities (pages 7-8).

• The total value of the US housing market continued to rise in Q2 2018, driven by a $252 billion increase in 

household equity over the quarter (page 14).

• First lien originations totaled $820 billion in H1 2018, with the origination shares of portfolio and privatelabel securities up slightly from 2017 (page 16).

• The FHA nonbank originator share hit a historical high in August 2018 (page 31).

• The FICO scores for Ginnie Mae bank originators increased in August 2018, while FICO scores for nonbank 

originators stayed flat (page 34).

HIGHLIGHTS
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 2018.

US MBS comprise 28 percent of the Barclays US Aggregate Index- less than either the US Treasury share (38%) or the 

US Credit share (30%). Fannie Mae 30-year MBS comprises the largest percent of US MBS (10%), while Ginnie Mae 

30-year MBS and Freddie Mac 30-year MBS comprise 8 percent and 6 percent of the market, respectively. 

Mortgages with terms of 15 and 20 years comprise the remaining balance (4%) of the US MBS share. US securities are 

the largest single contributor to the Barclays Global Aggregate, accounting for 39 percent of the global total. US MBS 

comprises 11 percent of the global aggregate. 

38%

2%

30%

8%

10%

6%

4%

2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

11%

1%

3%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

2%

3% 1%

39%

31%

21%

1%

0.04% 2% 0%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

Barclays Global Aggregate Index by Country Barclays Global Aggregate Index by Sector

4
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

Yield (%)

Global 10-year Treasury Yields

US 10y UK 10y GER 10y ITA 10y JPY 10y

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

US 10y hedged yield advantage vs 10y JGB (right)

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

10yr US Treasury hedged yield, EUR

10y US hedged yield, EUR (left)

10y US hedge yield advantage vs 10y bund (right)

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

US Treasury interest rates, as measured by the 10-year note, have consistently been the highest in the developed 

world over the past few years, but was surpassed by Italy in August 2018. In September 2018, the US 10-year note 

increased to 3.06, but remained below the Italian 10-year note, which stood at 3.15. Interest rates in the UK, 

Germany, and Japan all increased, to 1.57, 0.47, and 0.13 percent, respectively. Due to a large increase in the cost of 

currency hedging at the end of Q3, 10-year US Treasury yields, hedged into JPY dropped sharply to -8 bps, -15bps if 

hedged into EUR. Consequently, the hedged yield difference between the 10-year Treasuries and JGBs fell sharply 

to -21 bps, and the hedged yield difference between the 10-year Treasuries and Bunds fell to -62 bps.

Yield(%)Yield(%)

5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18

G2SF CC yield & nominal spread, USD

G2SF CC yield, USD (left) G2SF CC yield nominal spread vs UST 5/10 blend (50%/50%) (right)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

GNSF CC yield & nominal spread, USD

GNSF CC yield, USD (left) GNSF CC yield nominal spread vs UST 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

The nominal yield on both the current coupon GNMA II and GNMA I securities increased in September 2018. 

Current coupon Ginnie Mae securities outyield their Treasury counterparts (relative to the average of 5- and 

10-year Treasury yields) by 63 and 66 bps on G2SF and GNSF, respectively, relatively consistent with August 

2018.

Yield(%) Yield(%)

Yield(%)

Yield(%)

6
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18

G2SF CC yield & nominal spread, JPY

G2SF CC yield, JPY (left) G2SF CC yield nominal spread vs JGB 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis versus many 

sovereign alternatives. The figures show that in September, current coupon G2SF and GNSF hedged into 

Japanese yen yield more than the JGB 5/10 blend by 47 and 50 bps, respectively. These latest spreads 

represent a sizable 37-39 basis point narrowing from August levels, driven by large increases in the cost of 

currency hedging US securities at the end of Q3.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

GNSF CC yield & nominal spread, JPY 

GNSF CC yield, JPY (left) GNSF CC yield nominal spread vs JGB 5/10 blend (50%/50%) (right)

Yield(%) Yield(%)

Yield(%) Yield(%)

7
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18

G2SF CC yield & nominal spread, EUR

G2SF CC yield, EUR (left) G2SF CC yield nominal spread vs GER 5/10 blend (50%/50%) (right)

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17 Sep-18

GNSF CC yield & nominal spread, EUR

GNSF CC yield, EUR (left) GNSF CC yield nominal spread vs GER 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2018.

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis versus sovereign 

alternatives. The figures show that in September, current coupon G2SF and GNSF hedged into euros yield more 

than the average of the German 5/10 blend by 23 and 26 bps, respectively. These latest spreads represent a 

sizable 27 basis point narrowing from August levels, driven by large increases in the cost of currency hedging US 

securities at the end of Q3.

Yield(%) Yield(%)

Yield(%) Yield(%)

8
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. Note: Yields are in base currency of security and unhedged. 

Data as of September 2018.

US MBS yields are about the same or higher than most securities with the same or longer durations. The only 

security class with significantly more yield is the US high yield index, where duration, a measure of sensitivity to 

interest rate changes, does not fully capture the volatility of the high yield asset class. Investors are unable to 

match the yield on Ginnie Mae securities, while preserving the full government guarantee, even if they extend 

their duration significantly.

Security Duration Yield

US 5y 4.6 2.95

US 10y 8.5 3.06

GNMA II 3% 6.2 3.51

GNMA II 3.5% 6.3 3.59

JPY 5y 4.7 -0.07

JPY 10y 9.6 0.05

GER 5y 5.0 -0.09

GER 10y 9.7 0.47

ITA 5y 4.2 2.23

ITA 10y 8.5 3.14

US credit 7.0 4.00

US credit >= A 7.2 3.86

US HY 3.8 6.24

Pan-Euro Corp 5.6 1.38

Pan-Euro HY 3.6 3.58

US 5y US 10y

G2 3.0%

G2 3.5%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield versus duration

9
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year -0.07 -0.13 -0.10 -0.02 0.25 0.07

3 year 0.07 0.02 0.26 0.14 0.67 0.40

5 year 0.15 0.11 0.30 0.28 0.46 0.44

10 year 0.28 0.23 0.53 0.44 0.80 0.90

Source: State Street

*Assumes 2% capitalization max per issuer

Average Excess Return (Per Month)

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year -0.21 -0.27 -0.24 0.04 0.11 0.13

3 year 0.00 -0.05 0.19 0.20 0.59 0.46

5 year 0.11 0.07 0.25 0.32 0.42 0.48

10 year 0.25 0.20 0.50 0.45 0.77 0.91

Source: State Street

*Assumes 2% capitalization max per issuer

Standard Deviation

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year 0.58 0.75 0.80 0.38 0.57 0.77

3 year 0.54 0.92 1.04 0.89 1.43 1.31

5 year 0.59 0.91 1.06 0.97 1.43 1.22

10 year 0.76 1.18 1.58 1.30 2.88 3.40

Source: State Street

*Assumes 2% capitalization max per issuer

Sharpe Ratio

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield Pan EuroHigh Yield*

1 year -0.37 -0.36 -0.30 0.11 0.20 0.17

3 year 0.00 -0.05 0.18 0.23 0.41 0.35

5 year 0.19 0.08 0.24 0.33 0.29 0.40

10 year 0.33 0.17 0.32 0.34 0.27 0.27

*Assumes 2% capitalization max per issuer on high yield indices

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of September 2018.

The average return on the Ginnie Mae index over the past decade has been slightly higher than the US Treasury 

index, but lower than many alternatives, including the US Investment-Grade Corporate and US and European 

High Yield indices. However, the standard deviation of the Ginnie Mae index is the lowest of any sector, as it has 

the least price volatility. The result: the excess return per unit of risk for the US mortgage market is comparable to 

US and European investment grade credit; it is higher than US Treasuries or US or European high yield.

10
State of the US Housing Market

8.0%

6.1%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Year-over-year growth rate

National Year-Over-Year HPI Growth

Black Knight HPI year-over-year Zillow HVI year-over-year

Sources: Black Knight, Zillow, and Urban Institute. Note: Data as of July 2018.

0.97%

0.82%

3.86%

2.03%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

4Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q162Q174Q172Q18

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute.

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q2 2018.

Serious Delinquency Rates: Single-Family Loans

Serious delinquencies for single-family GSE loans, FHA loans, and VA loans continued to decline in Q2 2018 to 

levels equal to or lower than before the hurricane related uptick in Q4 2017. The delinquency rates for FHA and 

VA went down to 3.86 percent and 2.03 percent, respectively, and delinquency rates for Fannie Mae and Freddie 

Mac went down to 0.97 and 0.82 percent, respectively. GSE delinquencies remain high relative to 2005-2007, 

while FHA and VA delinquencies (which are higher than their GSE counterparts) are at levels lower than 2005-

2007. Home price changes turned positive in 2012, and continues to increase approximately 6-8 percent per 

year, as measured by both Black Knight and Zillow.

11
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: Black Knight and Urban Institute. Note: HPI data as of July 2018. Negative sign indicates that state is above earlier peak. Peak refers to the month when HPI 

reached the highest level for each state/US during the housing boom period, ranging from 09/2005 to 09/2008. Trough represents the month when HPI fell to the 

lowest level for each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 07/2018, the latest HPI data period.

Nationally, nominal home prices have improved by 49.6 percent since the trough, and have exceeded their pre-crisis 

peak valuation on a nominal basis by 11.3 percent. However, the picture is very different for different states, with 

many states well in excess of the prior peak, while a number of states remain more than 10% below peak levels: 

Arizona is 11.1% below, Nevada is 11.6% below, Florida is 12.8% below and Connecticut is 13.7% below.

HPI Changes

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

National 76.2% -25.6% 49.6% 6.1% 11.3%

Alabama 44.0% -16.6% 21.1% 2.7% 1.0%

Alaska 69.7% -3.1% 21.1% 2.9% 17.3%

Arizona 110.4% -48.0% 71.1% 7.4% -11.1%

Arkansas 41.7% -10.1% 21.2% 3.8% 9.0%

California 156.3% -43.4% 87.6% 7.7% 6.2%

Colorado 40.2% -12.7% 74.0% 8.3% 52.0%

Connecticut 92.6% -24.5% 14.4% 2.3% -13.7%

Delaware 94.0% -23.9% 27.7% 7.2% -2.8%

District of Columbia 178.3% -13.3% 53.7% 4.6% 33.2%

Florida 129.7% -46.9% 64.1% 5.3% -12.8%

Georgia 38.4% -32.8% 61.6% 7.2% 8.6%

Hawaii 162.9% -21.9% 53.0% 7.7% 19.5%

Idaho 71.3% -28.4% 66.9% 12.7% 19.6%

Illinois 61.7% -34.5% 38.7% 3.5% -9.2%

Indiana 21.3% -7.4% 28.9% 4.9% 19.3%

Iowa 28.3% -5.0% 23.7% 3.7% 17.6%

Kansas 34.7% -9.4% 33.8% 3.8% 21.2%

Kentucky 29.6% -7.4% 31.4% 5.2% 21.6%

Louisiana 48.4% -5.4% 22.6% 1.9% 16.0%

Maine 82.5% -12.3% 25.2% 1.2% 9.8%

Maryland 129.3% -28.1% 25.6% 3.3% -9.7%

Massachusetts 93.0% -22.7% 50.5% 6.6% 16.3%

Michigan 24.4% -39.6% 72.0% 7.2% 3.9%

Minnesota 66.1% -27.4% 50.3% 6.2% 9.0%

Mississippi 41.2% -13.7% 21.1% 2.2% 4.5%

Missouri 42.7% -14.4% 26.8% 5.4% 8.5%

Montana 81.9% -10.2% 46.6% 7.2% 31.6%

Nebraska 26.7% -6.6% 37.1% 6.1% 28.1%

Nevada 127.2% -59.4% 117.6% 15.8% -11.6%

New Hampshire 90.9% -23.2% 35.1% 6.5% 3.7%

New Jersey 118.2% -27.7% 25.5% 4.2% -9.2%

New Mexico 66.8% -16.1% 20.4% 5.2% 1.0%

New York 99.0% -15.1% 36.7% 5.1% 16.1%

North Carolina 40.5% -15.3% 31.3% 6.3% 11.2%

North Dakota 53.6% -4.1% 55.7% 2.3% 49.3%

Ohio 21.2% -18.2% 31.5% 5.5% 7.6%

Oklahoma 37.6% -2.3% 18.4% 2.1% 15.7%

Oregon 82.5% -27.7% 74.1% 6.7% 25.8%

Pennsylvania 70.2% -11.4% 21.3% 4.0% 7.4%

Rhode Island 131.8% -34.2% 44.7% 6.8% -4.8%

South Carolina 45.0% -19.2% 30.2% 5.4% 5.2%

South Dakota 45.2% -4.1% 35.0% 2.1% 29.4%

Tennessee 35.2% -11.7% 38.4% 7.4% 22.3%

Texas 33.3% -5.8% 48.6% 5.5% 40.0%

Utah 55.1% -21.5% 63.3% 10.3% 28.2%

Vermont 83.1% -8.2% 24.8% 5.4% 14.5%

Virginia 99.8% -22.6% 23.7% 3.7% -4.2%

Washington 85.7% -28.5% 81.3% 10.3% 29.6%

West Virginia 43.0% -6.7% 15.9% -1.4% 8.2%

Wisconsin 45.1% -16.4% 32.9% 6.7% 11.1%

Wyoming 77.8% -6.8% 24.3% 3.2% 15.8%

12
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State Ginnie Mae Share Ginnie Mae Average

Loan Size (Thousands)

GSE Average Loan 

Size (Thousands)

Ginnie Mae 

Share

Ginnie Mae Average 

Loan Size (Thousands)

GSE Average Loan

Size (Thousands)

National 33.5% 215.2 231.0 32.1% 181.1 210.7

Alabama 44.8% 162.2 184.0 46.9% 143.6 170.5

Alaska 51.9% 284.1 246.8 52.0% 258.6 230.2

Arizona 33.5% 211.3 215.8 34.1% 179.6 194.2

Arkansas 44.0% 143.0 167.9 46.5% 124.2 154.6

California 27.4% 347.6 330.6 22.2% 290.5 295.9

Colorado 32.3% 285.3 274.5 29.8% 235.4 241.7

Connecticut 32.6% 215.7 227.6 30.0% 204.3 218.9

Delaware 38.8% 214.9 224.9 37.4% 199.8 209.7

District of Columbia 17.7% 415.8 357.8 17.3% 333.1 335.4

Florida 40.0% 210.3 207.6 37.0% 177.8 187.5

Georgia 40.7% 185.8 209.1 40.7% 157.5 189.0

Hawaii 39.4% 496.8 389.7 31.9% 424.6 349.7

Idaho 33.6% 199.3 202.6 34.6% 166.4 179.3

Illinois 26.9% 178.1 198.9 25.3% 157.2 184.5

Indiana 39.2% 142.2 157.9 39.4% 123.5 143.3

Iowa 26.8% 146.1 163.2 26.8% 126.9 150.4

Kansas 36.9% 155.5 176.4 36.9% 134.4 158.8

Kentucky 39.8% 151.0 166.7 40.0% 134.6 151.8

Louisiana 42.5% 170.3 194.3 43.5% 152.4 179.2

Maine 35.8% 185.1 200.4 33.2% 168.3 182.5

Maryland 44.0% 284.6 264.9 40.1% 255.4 248.9

Massachusetts 24.0% 292.0 283.2 19.9% 256.7 257.4

Michigan 25.9% 146.5 169.2 26.4% 125.1 153.2

Minnesota 25.1% 197.2 210.4 25.3% 172.3 192.6

Mississippi 50.5% 153.0 172.9 52.3% 133.9 159.7

Missouri 35.7% 152.0 173.1 36.3% 134.2 157.9

Montana 31.5% 216.7 219.0 31.3% 185.9 194.9

Nebraska 32.1% 163.2 171.2 34.9% 137.3 155.8

Nevada 36.2% 244.5 231.6 39.2% 201.9 203.3

New Hampshire 32.3% 233.9 225.2 30.3% 211.1 204.4

New Jersey 29.9% 250.4 265.6 28.2% 234.0 250.3

New Mexico 42.9% 179.2 188.0 44.0% 158.2 174.1

New York 27.0% 244.3 268.1 26.4% 208.0 245.0

North Carolina 34.5% 181.8 202.2 35.7% 157.2 186.5

North Dakota 28.8% 211.2 208.4 26.9% 183.2 188.3

Ohio 36.2% 143.0 156.9 37.5% 126.3 145.3

Oklahoma 46.4% 152.9 172.0 49.8% 133.1 158.5

Oregon 27.4% 255.7 258.2 25.3% 214.6 225.4

Pennsylvania 33.4% 168.0 193.7 33.7% 153.0 181.9

Rhode Island 38.1% 227.7 222.1 34.4% 203.7 205.0

South Carolina 39.7% 184.6 193.4 39.1% 160.8 179.3

South Dakota 36.5% 176.6 185.5 36.9% 157.0 167.8

Tennessee 40.4% 183.4 201.4 42.4% 153.0 181.0

Texas 35.4% 197.5 215.2 38.1% 157.2 194.2

Utah 29.4% 240.8 249.5 30.9% 205.9 223.0

Vermont 23.1% 193.5 198.2 20.2% 182.4 183.7

Virginia 45.1% 271.8 259.6 42.1% 245.6 245.6

Washington 30.4% 285.7 288.3 29.8% 237.6 248.9

West Virginia 48.5% 155.4 154.1 46.3% 140.1 147.3

Wisconsin 23.1% 166.2 176.1 21.6% 148.3 162.3

Wyoming 41.8% 213.2 211.1 41.5% 195.4 196.9

Sources: eMBS and Urban Institute. Note: Ginnie Mae share are based on loan balance as of August 2018.

Ginnie Mae loans constitute 32.1 percent of outstanding agency issuance by loan balance, 33.5 percent of the 

issuance over the past year. However, the Ginnie Mae share varies widely across states, with the share of 

outstandings (as measured by loan balance) as low as 17.3 percent in the District of Columbia and as high as 52.3 

percent in Mississippi. In general, the Ginnie Mae share is higher in states with lower home prices.

13
State of the US Housing Market

$10.7

$16.0

$26.7

0

5

10

15

20

25

30

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Q2

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

Sources: Federal Reserve Flow of Funds and Urban Institute. Data as of Q2 2018.

$0.46

$0.55

$6.49

$3.23

0

1

2

3

4

5

6

7

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Q2

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, eMBS and Urban Institute.

Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. Data as of Q2 2018.

The Federal Reserve's Flow of Funds report has consistently indicated an increasing total value of the housing 

market driven by growing household equity since 2012, and 2018 Q2 was no different. While total debt and 

mortgages was stable at $10.7 trillion, household equity reached a new high of $16.0 trillion, bringing the total 

value of the housing market to $26.7 trillion, 10 percent higher than the pre-crisis peak in 2006. Agency MBS 

make up 61.0 percent of the total mortgage market, private-label securities make up 4.3 percent, and 

unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 30.1 

percent. Second liens comprise the remaining 5.1 percent of the total.

14
State of the US Housing Market

As of August 2018, outstanding securities in the agency market totaled $6.54 trillion and were 43.4 percent Fannie 

Mae, 27.3 percent Freddie Mac, and 29.2 percent Ginnie Mae. Ginnie Mae has more outstandings than Freddie 

Mac. Within the Ginnie Mae market, VA has been growing very rapidly, and now comprises 33.8 percent of total 

Ginnie Mae outstandings.

$2.84

$1.79

$1.91

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

Sources: eMBS and Urban Institute. Note: Data as of August 2018.

$1.2

$0.6

$0.1

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of August 2018.

15
State of the US Housing Market

$0.36

$0.18

$0.01

$0.26

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Q1-Q2

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2018.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Q1-Q2

First Lien Origination Share

First lien originations totaled $820 billion in the first half of 2018, down slightly from the first half of 2017, mostly 

due to higher interest rates. The share of portfolio originations was 32 percent in the first half of 2018, up from 30 

percent in 2017. The GSE share was around 44 percent, down from 46 percent in 2017. The FHA/VA share was 

slightly down: 22 percent for H1 2018 versus 23 percent in 2017. Origination of private-label securities increased 

from 0.6 percent to 1.7 percent from 2017 to H1 2018.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2018. 

32.1%

1.7%

22.0%

44.1%

16
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total Agency

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 YTD $150.6 $109.0 $11.5 $271.1

2018 % Change YOY -14.1% -4.7% -13.6% -10.5%

2018 Ann. $225.9 $163.5 $17.3 $406.6

Agency Gross Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

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 YTD $327.6 $202.4 $529.9 $271.1 $801.0

2018 % Change YOY -7.0% -6.3% -6.8% -10.5% -8.1%

2018 Ann. $491.3 $303.6 $794.9 $406.6 $1,201.5

Sources: eMBS and Urban Institute (top and bottom). 

Note : Dollar amounts are in billions. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. All data is as of August 2018.

Agency gross issuance totaled $801.0 billion in the first eight months of 2018, down by 8.0 percent compared to 

the same time period in 2017. Ginnie Mae gross issuance was down by 10.5 percent and GSE gross issuance was 

down by 6.8 percent. Within the Ginnie Mae market, FHA is down by 14.1 percent and VA origination is down by 

4.7 percent. The decline in origination volume is the result of higher interest rates.

17
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

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 $131.3

2018 YTD $31.9 $40.2 $2.6 $74.7

2018 %Change YOY -22.2% -20.9% -18.7% -21.4%

2018 Ann. $47.8 $60.4 $3.8 $112.0

Agency Net Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

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 $57.5 $11.6 $69.1 $87.9 $157.0

2014 $0.5 $30.0 $30.5 $61.6 $92.1

2015 $10.2 $65.0 $75.1 $97.3 $172.5

2016 $68.6 $66.8 $135.5 $125.3 $260.8

2017 $90.2 $78.2 $168.5 $131.3 $299.7

2018 YTD $52.9 $37.4 $90.3 $74.7 $164.9

2018 %Change YOY -15.1% -7.0% -11.9% -21.4% -16.5%

2018Ann. $79.3 $56.1 $135.4 $112.0 $247.4

Sources: eMBS and Urban Institute (top and bottom) 

Note : Dollar amounts are in billions. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. All data is as of August 2018.

Agency net issuance totaled $164.9 billion in the first eight months of 2018, down 16.5 percent compared to the same 

period in 2017. Ginnie Mae net issuance was $74.7 billion, comprising 45.2 percent of total agency net issuance. Note 

that Ginnie Mae net issuance in the first eight months of 2018 is down 21.4 percent year over year. Ginnie Mae net 

issuance YTD in 2018 is comprised of 53.9 percent VA, 42.7 percent FHA and 3.4 percent other issuance.

18
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Sources: eMBS and Urban Institute.

Note : Dollar amounts are in billions. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. All data is as of August 2018.

Agency gross issuance has been generally declining, but the seasonal trend is very strong. This table allows for a 

comparison with the same month in previous years. August 2018 levels of $117.6 billion are below the August 

2017 level of $121.1 billion.

Date

Gross Issuance Net Issuance

Fannie Mae Freddie Mac Ginnie Mae Total Fannie Mae Freddie Mac Ginnie Mae Total

Jan-15 $36.8 $22.9 $27.5 $87.2 -$1.2 $0.8 $2.5 $2.2

Feb-15 $35.4 $29.9 $23.9 $89.2 $1.5 $10.1 $2.9 $14.5

Mar-15 $44.8 $26.0 $30.7 $101.5 $3.1 $1.1 $0.6 $4.8

Apr-15 $49.3 $33.8 $40.6 $123.7 -$1.2 $3.8 $4.3 $6.8

May-15 $42.4 $33.2 $39.4 $114.9 -$2.9 $6.6 $5.8 $9.5

Jun-15 $44.6 $34.4 $40.5 $119.5 $0.8 $8.3 $9.1 $18.2

Jul-15 $46.0 $39.2 $45.6 $130.7 $1.0 $12.3 $13.3 $26.6

Aug-15 $39.4 $27.6 $43.4 $110.4 -$2.2 $3.1 $14.9 $15.8

Sep-15 $45.3 $30.4 $39.4 $115.0 $7.6 $7.9 $12.7 $28.2

Oct-15 $41.5 $28.4 $39.2 $109.0 $4.8 $6.4 $12.4 $23.5

Nov-15 $28.8 $23.3 $35.8 $87.9 -$8.1 $1.3 $10.6 $3.8

Dec-15 $39.7 $22.8 $30.3 $92.9 $7.1 $3.2 $8.2 $18.5

Jan-16 $35.6 $22.5 $32.5 $90.6 -$0.6 $1.0 $7.3 $7.8

Feb-16 $32.4 $21.2 $30.5 $84.1 $2.4 $3.1 $8.4 $13.9

Mar-16 $39.7 $27.5 $32.9 $100.1 $7.9 $8.2 $9.6 $25.8

Apr-16 $43.8 $26.2 $40.1 $110.1 $0.8 -$0.2 $8.8 $9.4

May-16 $44.2 $29.9 $41.6 $115.6 $2.4 $4.4 $11.4 $18.3

Jun-16 $46.7 $30.1 $43.9 $120.8 $2.7 $3.0 $11.9 $17.7

Jul-16 $49.8 $35.3 $46.1 $131.1 $2.3 $6.3 $10.8 $19.4

Aug-16 $54.9 $37.9 $46.7 $139.5 $10.4 $11.0 $13.8 $35.2

Sep-16 $65.8 $44.0 $52.5 $162.4 $8.7 $9.0 $12.5 $30.2

Oct-16 $66.0 $35.9 $47.4 $149.3 $11.8 $2.7 $9.3 $24.5

Nov-16 $48.8 $40.2 $47.2 $136.3 -$3.5 $7.9 $10.3 $14.8

Dec-16 $72.7 $40.5 $46.8 $160.0 $23.3 $10.4 $10.8 $44.6

Jan-17 $55.6 $38.5 $42.6 $136.6 $10.3 $10.7 $10.3 $31.9

Feb-17 $37.6 $27.4 $33.1 $98.1 $3.1 $6.5 $9.2 $18.9

Mar-17 $39.5 $24.4 $31.3 $95.2 $10.3 $6.2 $9.6 $26.3

Apr-17 $39.3 $21.2 $36.4 $97.0 $4.8 $0.4 $11.7 $17.3

May-17 $40.3 $22.6 $36.4 $99.3 $7.6 $2.7 $13.1 $23.6

Jun-17 $45.7 $25.1 $39.9 $110.7 $8.3 $2.4 $13.2 $24.1

Jul-17 $45.3 $27.6 $40.6 $113.5 $5.8 $3.5 $12.1 $21.5

Aug-17 $49.1 $29.3 $42.8 $121.1 $12.0 $6.7 $15.6 $33.9

Sep-17 $47.3 $27.9 $40.2 $115.5 $7.4 $3.8 $10.5 $21.7

Oct-17 $42.9 $34.6 $38.4 $115.9 $6.4 $12.5 $10.7 $29.6

Nov-17 $43.5 $37.2 $37.8 $118.5 $4.6 $13.6 $8.2 $26.4

Dec-17 $45.3 $30.0 $36.2 $111.5 $9.6 $8.2 $6.8 $24.6

Jan-18 $47.4 $21.4 $35.2 $104.0 $12.4 $0.3 $7.8 $20.6

Feb-18 $40.3 $21.5 $31.9 $93.7 $8.0 $2.3 $7.1 $17.4

Mar-18 $35.6 $21.3 $29.0 $85.9 $4.9 $3.0 $6.1 $14.0

Apr-18 $36.3 $26.2 $32.7 $95.2 $1.71 $6.1 $9.1 $16.8

May-18 $38.9 $27.5 $33.7 $100.1 $4.5 $7.2 $10.6 $22.4

Jun-18 $38.2 $28.8 $35.6 $102.5 $2.2 $6.8 $10.5 $19.5

Jul-18 $40.3 $26.2 $35.6 $102.1 $4.2 $3.7 $10.7 $18.6

Aug-18 $50.6 $29.6 $37.5 $117.6 $14.9 $7.9 $12.8 $35.6

Monthly Agency Issuance

19
US Agency Market, Originations

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Mortgage Rate

Percent Refi

Percent Refi at Issuance

Freddie Mac (left) Fannie Mae (left) Ginnie Mae (left) Mortgage rate (right)

18.3%

24.9%

0% 0.9%

10%

20%

30%

40%

50%

60%

70%

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Percent Refi

Percent Refi at Issuance: Ginnie Mae Breakdown

FHA VA Other

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of August 2018.

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. “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 August 2018.

The Ginnie Mae refi share stood at 18 percent in August 2018, below the 30 and 22 percent shares for Fannie Mae 

and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share at 25 percent in August 2018, 

followed by FHA’s 18 percent refi share. In August, the refinance share continued to decline for all agencies, 

reaching the lowest levels in recent years. This is a result of increasing interest rates and the seasonal uptick in 

purchase activity over the past few months. 

20
Credit Box

42.0%

42.2%

71.2%

52.6%

20%

30%

40%

50%

60%

70%

80%

Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

Sources: eMBS and Urban Institute. Note: Data as of August 2018.

The first time homebuyer share of Ginnie Mae purchase loans increased to 71.2 percent in August 2018, but 

remained below the historical high reached in May 2018. First time homebuyers comprise a significantly higher 

share of the Ginnie Mae purchase market than of the GSE purchase market, with first time homebuyers 

accounting for 42.2 percent and 42.0 percent of Fannie and Freddie purchase originations, respectively. The 

bottom table shows that based on mortgages originated in August 2018, the average first-time homebuyer was 

more likely than an average repeat buyer to take out a smaller loan and have a lower credit score, a much higher 

LTV and a similar DTI, thus requiring a higher interest rate.

Fannie Mae Freddie Mac Ginnie Mae All

First-Time Repeat First-Time Repeat First-Time Repeat First-Time Repeat

Loan Amount ($ ) 233,744 264,203 237,447 260,148 207,245 259,533 221,678 261,683 

Credit Score 737.5 754.5 742.5 755.9 680.3 704.4 710.8 742.0

LTV (%) 87.1 78.2 87.3 79.4 96.9 95.4 91.9 83.0

DTI (%) 36.5 36.7 35.9 36.4 41.9 42.7 39.0 38.1

Loan Rate (%) 4.9 4.7 4.8 4.7 4.9 4.7 4.8 4.7

Sources: eMBS and Urban Institute. 

Note: In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the financed upfront mortgage insurance 

premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage insurance premium by 

subtracting 169 bps from this new issuer-reported LTV. Data as of August 2018.

21
Credit Box

78.6%

53.7%

83.1%

71.2%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Purchase Only Loans Breakdown by Source

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of August 2018. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and 

the Department of Agriculture’s Rural Development. In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the 

financed upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. 

Within the Ginnie Mae purchase market, 78.6 percent of FHA loans, 53.7 percent of VA loans and 83.1 percent of 

other loans represent financing for first time home buyers in August 2018. The bottom table shows that based on 

mortgages originated in August 2018, the average first-time homebuyer was more likely than an average repeat 

buyer to take out a smaller loan and have a lower credit score, and similar LTVs and DTIs, thus requiring a higher 

interest rate.

FHA VA Other Ginnie Mae Total

First-Time Repeat First-Time Repeat First-Time Repeat First-Time Repeat

Loan Amount ($) 202,372 223,796 248,131 301,166 143,303 160,898 207,245 259,533 

Credit Score 670.3 675.7 701.3 730.1 697.0 701.7 680.3 704.4

LTV (%) 95.6 94.0 99.7 96.2 99.2 99.2 96.9 95.4

DTI (%) 43.3 44.2 41.0 42.1 35.2 36.0 41.9 42.7

Loan Rate (%) 4.9 4.9 4.7 4.6 4.8 4.8 4.9 4.7

Sources: eMBS and Urban Institute. Note: Data as of August 2018.

22
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2017.

FICO Score Distribution: Mortgage Owners vs All Consumers

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

300-500500-520520-540540-560560-580580-600600-620620-640640-660660-680680-700700-720720-740740-760760-780780-800800-820820-850

All Consumers Mortgage owners

All Consumers- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 503 524 587 682 774 813 822 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 570 615 682 752 801 818 824 839

Consumers who have a mortgage are concentrated at the high end of the general credit score spectrum. The top 

table shows that the median FICO score for all consumers (682) is equal to the 25th percentile of those with a 

mortgage (682).

23
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 348,759 644 683 734 777 798 727 

Fannie 130,656 682 717 757 786 801 748 

Freddie 93,374 689 721 758 787 802 751 

Ginnie 124,729 623 646 679 725 772 687 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 119,410 638 674 718 764 792 716 

Fannie 59,233 651 686 728 770 795 725 

Freddie 31,216 665 701 741 776 798 736 

Ginnie 28,961 608 638 672 712 756 676 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 468,169 643 681 730 774 797 724 

Fannie 189,889 669 706 749 783 800 741 

Freddie 124,590 683 716 754 785 801 747 

Ginnie 153,690 621 644 677 723 769 685 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 124,729 623 646 679 725 772 687 

FHA 75,035 618 639 665 700 738 671 

VA 39,006 632 665 716 768 795 715 

Other 10,688 640 660 695 733 766 698 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 28,961 608 638 672 712 756 676 

FHA 16,293 598 628 658 691 727 661 

VA 12,587 626 656 694 737 775 696 

Other 81 598 635 679 726 763 679 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 153,690 621 644 677 723 769 685 

FHA 91,328 614 637 664 698 736 670 

VA 51,593 631 662 709 761 792 710 

Other 10,769 640 660 695 733 766 698 

August 2018 Credit Box at a Glance

Sources: eMBS and Urban Institute. Note: “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 August 2018.

In August 2018, the median Ginnie Mae FICO score was 677 versus 749 for Fannie and 754 for Freddie. Note that the 

FICO score for the 10th percentile was 621 for Ginnie Mae, versus 669 for Fannie and 683 for Freddie. Within the 

Ginnie Mae market, FHA loans have a median FICO score of 664, VA loans have a median FICO score of 709 and 

other loans have a median FICO score of 695.

24
August 2018 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 349,224 70.0 80.0 95.0 96.5 100.0 87.1 

Fannie 130,772 60.0 76.0 80.0 95.0 97.0 81.6 

Freddie 93,460 63.0 80.0 80.0 95.0 95.0 82.2 

Ginnie 124,992 92.8 96.5 96.5 100.0 102.0 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 119,856 43.0 59.0 73.0 80.0 89.7 69.3 

Fannie 59,252 39.0 54.0 68.0 77.0 80.0 63.8 

Freddie 31,247 40.0 55.0 70.0 79.0 80.0 65.3 

Ginnie 29,357 66.1 79.6 86.5 94.7 100.0 84.5 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 469,080 58.0 75.0 86.5 96.5 98.2 82.5 

Fannie 190,024 50.0 68.0 80.0 90.0 95.0 76.1 

Freddie 124,707 53.0 71.0 80.0 93.0 95.0 77.9 

Ginnie 154,349 84.3 94.8 96.5 100.0 101.0 94.2 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 124,992 92.8 96.5 96.5 100.0 102.0 96.4 

FHA 75,186 93.3 96.5 96.5 96.5 96.5 95.2 

VA 39,081 90.4 100.0 100.0 102.2 103.3 98.1 

Other 10,725 95.1 99.1 101.0 101.0 101.5 99.2 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 29,357 66.1 79.6 86.5 94.7 100.0 84.5 

FHA 16,405 64.8 77.8 86.1 86.5 91.8 81.0 

VA 12,861 68.0 82.6 93.2 100.0 101.0 88.8 

Other 91 76.1 81.6 88.9 98.0 101.4 88.3 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 154,349 84.3 94.8 96.5 100.0 101.0 94.2 

FHA 91,591 84.3 93.8 96.5 96.5 96.5 92.7 

VA 51,942 82.2 95.0 100.0 101.6 103.3 95.8 

Other 10,816 94.9 99.0 101.0 101.0 101.5 99.1 

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the financed 

upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Data as of August 2018.

In August 2018, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, and 80 percent for both 

Fannie Mae and Freddie Mac. The 10th percentile was 84.3 percent for Ginnie Mae, and 50-53 percent for Fannie 

Mae and Freddie Mac. Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 100.0 for VA and 101.0 for 

other programs. 

25
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 348,650 25.0 32.0 39.7 46.0 50.0 38.4 

Fannie 130,641 23.0 30.0 38.0 44.0 48.0 36.5 

Freddie 93,457 23.0 30.0 37.0 44.0 48.0 36.0 

Ginnie 124,552 29.2 35.9 42.9 49.4 54.3 42.2 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 116,815 24.0 31.0 39.3 46.0 49.0 38.0 

Fannie 58,603 23.0 30.0 39.0 46.0 49.0 37.3 

Freddie 30,942 22.0 29.0 37.0 43.0 47.0 35.9 

Ginnie 27,270 27.5 35.2 43.0 49.3 54.2 41.8 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 465,465 24.0 31.9 39.6 46.0 49.9 38.3 

Fannie 189,244 23.0 30.0 38.0 45.0 48.0 36.7 

Freddie 124,399 23.0 29.0 37.0 44.0 48.0 36.0 

Ginnie 151,822 28.9 35.8 42.9 49.4 54.2 42.1 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 124,552 29.2 35.9 42.9 49.4 54.3 42.2 

FHA 75,177 30.9 37.7 44.5 50.5 54.6 43.5 

VA 38,740 27.7 34.7 42.0 48.8 54.3 41.5 

Other 10,635 26.2 31.1 36.3 40.2 43.0 35.3 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 27,270 27.5 35.2 43.0 49.3 54.2 41.8 

FHA 15,446 28.2 36.0 43.9 49.6 54.2 42.3 

VA 11,760 26.9 34.2 42.0 48.8 54.1 41.2 

Other 64 13.4 18.2 26.7 37.2 40.7 27.5 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 145,918 28.8 35.6 42.8 49.3 54.2 42.0 

FHA 88,000 30.3 37.2 44.3 50.1 54.5 43.2 

VA 47,922 27.5 34.5 41.8 48.7 54.2 41.3 

Other 9,996 26.1 31.1 36.3 40.2 43.0 35.3 

August 2018 Credit Box at a Glance

Sources: eMBS and Urban Institute. Note: “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 August 2018.

In August 2018, the median Ginnie Mae debt-to-income ratio (DTI) was 42.9 percent, considerably higher than the 

37-38 percent median DTIs for Fannie Mae and Freddie Mac. The 90th percentile for Ginnie Mae was 54.2 percent, 

also much higher than the 48 .0 percent DTI for the GSEs. Within the Ginnie Mae market, the median FHA DTI ratio 

was 44.3 percent, versus 41.8 percent for VA and 36.3 percent for other lending programs. 

26
Credit Box: Historical

660

680

700

720

740

760

780

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

FICO Scores

FICO Scores for Purchase Loans 

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

660

680

700

720

740

760

780

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

749

754

677

730

660

680

700

720

740

760

780

Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18

FICO Scores

FICO Scores for All Loans

Freddie Median FICO Fannie Median FICO Ginnie Median FICO All Median FICO

Sources: eMBS and Urban Institute. Note: Data as of August 2018. Sources: eMBS and Urban Institute. Note: Data as of August 2018.

Sources: eMBS and Urban Institute. Note: Data as of August 2018.

The median FICO score for all agency MBS originated in August was 730, slightly higher than in July. The 

figures show that the median FICO score for Ginnie Mae borrowers has always been considerably lower than 

for GSE borrowers. The difference between Ginnie Mae and GSE borrowers is wider in purchase loans than in 

refi loans.

27
Credit Box: Historical

96.5

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Loan-to-Value Ratio

LTV Ratio for All Loans

Freddie Median LTV Fannie Median LTV Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-13

Feb-14

May-14

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

LTV Ratio for Refinance Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-13

Feb-14

May-14

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

Loan-to-Value Ratio

LTV Ratio for Purchase Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

Median LTVs for Ginnie Mae loans have historically been at 96.5 percent, much higher than the 80 percent 

LTVs for the GSEs. Through time, both Ginnie Mae and GSE refinances have LTVs about 6-12 points lower 

than their purchase counterparts. 

Sources: eMBS and Urban Institute. Note: In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the 

financed upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Sources and note apply to all three graphs. Data as of August 2018.

86.5

80

28
Credit Box: Historical

37.0

38.0

42.9

39.6

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18

Debt-to-Income Ratio

DTI Ratio for All Loans

Freddie Median DTI Fannie Median DTI Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

DTI Ratio for Refinance Loans 

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Debt-to-income Ratio

DTI Ratio for Purchase Loans

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

Sources: eMBS and Urban Institute. Note: Data as of August 2018.

Sources: eMBS and Urban Institute. 

Note: Data as of August 2018.

Sources: eMBS and Urban Institute. 

Note: Data as of August 2018.

Median debt-to-income ratios on Ginnie Mae loans have historically been in the low 40s, considerably higher 

than that of the GSEs. DTIs have been inching up over the past year for both Ginnie Mae and GSE loans, with the 

movement more pronounced for Ginnie Mae loans. Increases in DTIs are very typical in the current environment 

of rising interest rates and home prices, as borrowers are left with sharply higher monthly payments. 

29
Nonbank Originators

Sources: eMBS and Urban Institute

Note: Data as of August 2018.

Sources: eMBS and Urban Institute. Note: “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 August 2018.

The nonbank origination share has been generally increasing since 2013. In August 2018, the Ginnie Mae 

nonbank originator share stood at 78 percent. Nonbank originator shares for Fannie Mae both stood at 54 

percent. For Ginnie Mae, the non-bank refi share was higher than the non-bank purchase share. The 

differences were more modest for the GSEs.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Nonbank Origination Share: All Loans

All Fannie Freddie Ginnie

78%

62%

54%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Refinance Loans

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Purchase Loans

30
Ginnie Mae Nonbank Originators 

Sources: eMBS and Urban Institute

Note: Data as of August 2018.

Sources: eMBS and Urban Institute. Note: “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 August 2018.

In August 2018, Ginnie Mae’s nonbank share increased slightly to 78 percent. The nonbank originator share 

for FHA increased slightly to 86 percent, a historical high. The nonbank originator share for VA also rose 

slightly to 68 percent, while the nonbank originator share for other loans decreased slightly to 80 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Non-bank originator share

Ginnie Mae Nonbank Originator Share: All Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Non-bank originator share

Ginnie Mae Nonbank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae Nonbank Share: 

Refinance Loans

All FHA VA Other

86%

80%

78%

68%

31
Sources: eMBS and Urban Institute. 

Note: Data as of August 2018. 

Sources: eMBS and Urban Institute. 

Note: Data as of August 2018. 

730

748

718

680

690

700

710

720

730

740

750

760

770

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Agency FICO: Bank vs. Nonbank

FICO All Median FICO Bank Median FICO Nonbank Median FICO

Sources: eMBS and Urban Institute. Note: Data as of August 2018. 

670

690

710

730

750

770

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Median FICO Bank Median FICO

Nonbank Median FICO

Ginnie Mae FICO: Bank vs. 

Nonbank

670

690

710

730

750

770

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Median FICO Bank Median FICO

Nonbank Median FICO

GSE FICO: Bank vs. Nonbank

Nonbank Credit Box

FICO FICO

Nonbank originators have played a key role in opening up access to credit. The median GSE and the median Ginnie Mae 

FICO scores for loans originated by nonbanks are lower than their bank counterparts. Within the GSE space, both bank 

and nonbank FICOs have declined since 2014 with a further relaxation in FICOs since early 2017. In contrast, within 

the Ginnie Mae space, FICO scores for bank originations have increased since 2014 while nonbank FICOs have 

declined. This largely reflects the sharp cut-back in FHA lending by many banks. 

32
Sources: eMBS and Urban Institute. Note: Data as of August 2018. Sources: eMBS and Urban Institute. Note: Data as of August 2018. 

66

68

70

72

74

76

78

80

82

84

86

88

90

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

GSE LTV: Bank vs. Nonbank

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of August 2018. 

90

91

92

93

94

95

96

97

98

99

100

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of August 2018. 

30

32

34

36

38

40

42

44

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

GSE DTI: Bank vs. Nonbank

All Median DTI Bank Median DTI

Nonbank Median DTI

Nonbank Credit Box

Ginnie Mae LTV: Bank vs. Nonbank

Ginnie Mae DTI: Bank vs. Nonbank

LTV LTV

DTI DTI

The median LTV ratios for loans originated by nonbanks are similar to that of their bank counterparts, while the median 

DTIs for nonbank loans are higher, indicating that nonbanks are more accommodating in this dimension as well as in 

the FICO dimension. Note that since early 2017, there has been a measurable increase in DTIs. This is true for both 

bank and non-bank originations. Rising DTIs are to be expected in a rising rate environment.

33
670

680

690

700

710

720

730

740

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

FICO scores

Ginnie Mae VA FICO Scores: Bank 

vs. Nonbank

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

Ginnie Mae Nonbank Originators: 

Credit Box

Sources: eMBS and Urban Institute

Note: Data as of August 2018.

Sources: eMBS and Urban Institute

Note: “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 August 2018.

The FICO scores for Ginnie Mae bank originators increased in August 2018, while FICO scores for nonbank 

originators stayed flat. The spread in the FICO scores between banks and non-banks remains close to their 

widest level since the data became available in 2013. The gap between banks and non-banks is very apparent in 

all programs backing Ginnie Mae securities: FHA, VA, and Other.

650

660

670

680

690

700

710

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

660

665

670

675

680

685

690

695

700

705

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae FHA FICO Scores: 

Bank vs. Nonbank

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

670

680

690

700

710

720

730

740

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae Other FICO Scores: 

Bank vs. Nonbank

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

Sources: eMBS and Urban Institute Note: Data as of August 2018. Sources: eMBS and Urban Institute Note: Data as of August 2018.

34
90

92

94

96

98

100

102

104

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Loan-to-value ratio

Ginnie Mae VA LTV: Bank vs. 

Nonbank

VA All Median LTV VA Bank Median LTV

VA Nonbank Median LTV

Ginnie Mae Nonbank Originators: 

Credit Box

Sources: eMBS and Urban Institute

Note: Data as of August 2018.

Sources: eMBS and Urban Institute

Note: “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 August 2018.

An analysis of the loans backing Ginnie Mae origination indicates that there are virtually no differences in 

median LTV ratios between bank originated loans and non-bank originated loans. 

90

91

92

93

94

95

96

97

98

99

100

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Loan-to-value ratio

Ginnie Mae LTV: 

Bank vs. Nonbank

All Median LTV Bank Median LTV

Nonbank Median LTV

90

91

92

93

94

95

96

97

98

99

100

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae FHA LTV: Bank vs. 

Nonbank

FHA All Median LTV FHA Bank Median LTV

FHA Nonbank Median LTV

90

92

94

96

98

100

102

104

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae Other LTV: Bank vs. 

Nonbank

Other All Median LTV Other Bank Median LTV

Other Nonbank Median LTV

Sources: eMBS and Urban Institute Note: Data as of August 2018. Sources: eMBS and Urban Institute Note: Data as of August 2018.

35
34

35

36

37

38

39

40

41

42

43

44

45

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

FICO scores

Ginnie Mae VA DTI: Bank vs. 

Nonbank

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

Ginnie Mae Nonbank Originators: 

Credit Box

Sources: eMBS and Urban Institute

Note: Data as of August 2018.

Sources: eMBS and Urban Institute

Note: “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 August 2018.

An analysis of borrowers’ DTI ratios for bank versus non-bank originators indicates that the former have a 

lower median DTI. The DTIs for FHA and VA loans experienced notable increases since early 2017 for both 

bank and nonbank originations, while the Other originations’ DTIs stayed relatively flat. Rising DTIs are to be 

expected in a rising rate environment.

34

35

36

37

38

39

40

41

42

43

44

45

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

FICO score

Ginnie Mae DTI: 

Bank vs. Nonbank

All Median DTI Bank Median DTI

Nonbank Median DTI

34

35

36

37

38

39

40

41

42

43

44

45

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae FHA DTI: Bank vs. 

Nonbank

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

34

35

36

37

38

39

40

41

42

43

44

45

Dec-13

Apr-14

Aug-14

Dec-14

Apr-15

Aug-15

Dec-15

Apr-16

Aug-16

Dec-16

Apr-17

Aug-17

Dec-17

Apr-18

Aug-18

Ginnie Mae Other DTI: Bank vs. 

Nonbank

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

Sources: eMBS and Urban Institute Note: Data as of August 2018. Sources: eMBS and Urban Institute Note: Data as of August 2018.

36
Prepayments

0%

5%

10%

15%

20%

25%

30%

Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie II CPR Ginnie I CPR

0%

5%

10%

15%

20%

25%

30%

35%

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

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

Freddie 2015 3.5 Coupon CPR Fannie 2015 3.5 Coupon CPR Ginnie II 2015 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

Prepayments on Ginnie Mae securities were lower than on GSE securities from 2011 through mid-2013, but 

have been higher since. These increased Ginnie speeds reflect the growing share of VA loans, which prepay at 

faster speeds than either FHA or GSE loans. In addition, FHA streamlined refinances have applied to a wide 

range of borrowers, and unlike GSE streamlined refinances, requires no credit report and no appraisal. Some of 

the upfront mortgage insurance premium can also be applied to the refinanced loan. Moreover, both FHA and 

VA permit refinancing of existing mortgages after 6 months, while the GSEs do not allow refinancing for a year. 

With the increase in interest rates since November 2016, the prepayment speeds for all agencies have 

slowed down considerably. Over the past 18 months, with the bulk of the mortgage universe finding it noneconomic to refinance, the small month to month variations in speeds reflect seasonality, changes in day count 

and changes in mortgage rates. The prepayment speeds fell in September 2018 due to fewer days in the month. 

With mortgage rates substantially above 4%, we would expect prepayments in the coming months to remain at 

low levels. 

11%

10%

7.8%

13%

9.5%

9.3%

37
Prepayments

0%

5%

10%

15%

20%

25%

Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

Constant Prepayment Rate (%)

2013 Issued 3.0 Coupon CPR

Freddie 2013 3.0 Coupon CPR Fannie 2013 3.0 Coupon CPR Ginnie II 2013 3.0 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

Constant Prepayment Rate (%)

2012 Issued 3.5 Coupon CPR

Freddie 2012 3.5 Coupon CPR Fannie 2012 3.5 Coupon CPR Ginnie II 2012 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

The 2013 Ginnie II 3.0s have prepaid consistently faster than their conventional counterparts. 2012 Ginnie II 

3.5s have been faster since mid-2013. The differences accelerated in 2015—potentially due to the FHA 

mortgage insurance premium (MIP) cut. In January 2015, FHA lowered its MIPs from 135 basis points per annum 

to 85 basis points per annum; this gives 2012 and 2013 FHA mortgages taken out with MIPs of 125-135 bps a 

40-50 basis point rate incentive that conventional mortgages do not have. GSE guarantee fees have gone up over 

that same period, creating a disincentive for conventional loans. Moreover, recent originations are more heavily 

VA loans, which are more prepayment responsive than either FHA or Conventional loans. 

After a sharp mortgage rate rise in November 2016, the prepayment speeds of Ginnie and Conventional 

loans both fell dramatically. Over the past year, with the bulk of the mortgage universe finding it non-economic 

to refinance, the muted month to month variations in speeds reflect seasonality, changes in day count and 

changes in mortgage interest rates. The prepayment speeds fell in September 2018 due to fewer days in the 

month. With mortgage rates substantially above 4%, we would expect prepayments in the coming months to stay 

at low levels.

12%

8.2%

8.1%

11%

7.3% 

7.1%

38
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

Constant Prepayment Rate (%)

2011 Issued 4.5 Coupon CPR

Freddie 2011 4.5 Coupon CPR Fannie 2011 4.5 Coupon CPR Ginnie II 2011 4.5 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

35%

Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Sep-18

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

Freddie 2011 4.0 Coupon CPR Fannie 2011 4.0 Coupon CPR Ginnie II 2011 4.0 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2018.

The 2011 Ginnie II 4.0s and 4.5s have been prepaying faster than their conventional counterparts since late 

2013. Faster VA mortgage prepays plus simplifications to the FHA streamlined programs in 2013 are likely 

contributors to the faster speeds. However, as mortgage rates rose sharply since November 2016, the speeds 

for all agencies have slowed down considerably. Over the past year, with the bulk of the mortgage universe 

finding it non-economic to refinance, the muted month to month variations in speeds reflect seasonality, 

changes in day count and changes in mortgage interest rates. With mortgage rates substantially above 4%, we 

would expect prepayments in the coming months to stay muted. Note that recent month speeds on both the 

Ginnie Mae II 4 and 4.5% coupons are well below same month 2017 speeds. The prepayment speeds fell in 

September 2018 due to fewer days in the month.

12%

9.5%

9.1%

13%

10%

39
Reverse Mortgage Volumes

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

$ Billions

HMBS Issuance Volume

$55.5

$0

$10

$20

$30

$40

$50

$60

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of August 2018.

Sources: Ginnie Mae and Urban Institute. Note: Data as of August 2018.

Ginnie Mae reverse mortgage issuance has been volatile in recent months. The August 2018 volume increased 

slightly to $0.58 billion, but remained below historical levels. The decline in 2018 was largely due to the 

implementation of the new, lower principal limit factors that went into effect in March 2018. In August 2018, 

outstanding reverse mortgage securities totaled $55.5 billion.

$0.58

40
Multifamily Market

$1.5

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

$ Billions

Ginnie Mae Multifamily MBS Issuance

$114.6

$0

$20

$40

$60

$80

$100

$120

$140

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of August 2018.

Sources: Ginnie Mae and Urban Institute. Note: Data as of August 2018.

Ginnie Mae multifamily issuance volume in August 2018 totaled $1.5 billion, similar to average issuance levels of 

the past 18 months, up from last month’s unusually low $1.1 billion. Outstanding multifamily securities totaled 

$114.6 billion in August.

41
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of September 2018.

$219 

$556

$32 

$0

$100

$200

$300

$400

$500

$600

1997 2000 2003 2006 2009 2012 2015 2018

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.42%

3.57%

0.35% 0%

2%

4%

6%

8%

10%

12%

14%

1997 2000 2003 2006 2009 2012 2015 2018

Percent

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume was $219 billion/day in September 2018; slightly more robust than in the 2014-

2017 period. Agency MBS turnover has also been higher in 2018 than in the 2014-2017 period; in the first nine 

months of 2018, average daily MBS turnover was 3.42 percent versus 3.38 percent in 2017. Both average daily 

mortgage and Treasury turnover are down from their pre-crisis peaks. Corporate turnover is miniscule relative 

to either Agency MBS or Treasury turnover. 

Sources: SIFMA and Urban Institute. Note: Data as of September 2018.

42
Market Conditions

$226.2

150

200

250

300

350

400

450

500

550

600

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

$ Billions

Repo Volume: Securities In

$47.5

0

10

20

30

40

50

60

70

80

90

100

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of September 2018.

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of September 2018.

Dealer net positions in agency MBS are down from the 2012-2013 time period, but remain within historic 

ranges. Gross dealer positions are likely to have fallen more than net positions. The volume of repurchase 

activity is up slightly from the near 13-year low two months ago. The large decline through time reflects banks 

cutting back on lower margin businesses. 

43
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2008Q1 2009Q1 2010Q1 2011Q1 2012Q1 2013Q1 2014Q1 2015Q1 2016Q1 2017 Q1 2018 Q1

GSEs

Commercial Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual Funds

Money Market and Pension Funds

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q2 2018.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + Agency notes and bonds) include the Federal Reserve (19 

percent), commercial banks (20 percent) and foreign investors (12 percent). The broker/dealer and GSE shares 

are a fraction of what they once were. 

Share of Total Agency Debt by Owner

44
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q2 2018.

71.9%

50%

55%

60%

65%

70%

75%

2007Q2 2008Q2 2009Q2 2010Q2 2011Q2 2012Q2 2013Q2 2014Q2 2015Q2 2016 Q2 2017 Q2 2018 Q2

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

Sources: Federal Reserve Bank and Urban Institute. Note: Data as of October 2018.

As Fannie and Freddie reduce the size of their retained portfolio, fewer agency notes and bonds are required to 

fund that activity, hence the MBS share of total agency debt increases. For Q2 2018, the MBS share of total agency 

debt stood at 71.9 percent. Commercial banks are now the largest holders of Agency MBS. Out of their $1.8 trillion 

in holdings as of the end of September 2018, $1.3 trillion of it was held by the top 25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Sep-17 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Sep 12 Sep 19 Sep 26 Oct 3

Largest Domestic 

Banks 1,272.0 1,273.3 1,274.5 1,283.5 1,297.5 1,303.9 1,307.0 1,304.4 1,305.5 1,303.1 1,303.4 1,305.6

Small Domestic 

Banks 490.0 491.6 493.0 495.4 496.9 495.6 494.7 495.0 495.1 495.5 495.5 491.9

Foreign Related 

Banks 11.7 33.0 34.6 31.3 32.7 28.6 25.4 22.4 21.2 22.9 23.0 21.8

Total, 

Seasonally

Adjusted 1,773.7 1,797.9 1,802.1 1,810.2 1,827.1 1,828.1 1,827.1 1,821.8 1,821.8 1,821.5 1,821.9 1,819.3

45
MBS Ownership

Debt,

household 

mortgages,

$9,833

Top Bank & Thrift Residential MBS Investors Total ($MM) GSE PT ($MM)

GNMA PT 

($MM)

Agency REMIC 

($MM)

Non-Agency 

($MM)

Market 

Share

1 Bank of America Corporation $320,041 $187,657 $119,582 $12,529 $273 17.7%

2 Wells Fargo & Company $239,142 $175,350 $55,563 $4,233 $3,996 13.2%

3 JP Morgan Chase & Co. $91,524 $57,068 $24,420 $356 $9,680 5.1%

4 U S. Bancorp. $77,811 $36,872 $13,197 $27,741 $1 4.3%

5 Charles Schwab Bank $77,565 $46,161 $12,054 $19,350 $0 4.3%

6 Capital One Financial Corporation $64,923 $27,006 $14,597 $22,248 $1,073 3.6%

7 Citigroup Inc. $59,890 $43,359 $4,445 $8,855 $3,231 3.3%

8 Bank of New York Mellon Corp. $51,348 $30,678 $1,771 $17,279 $1,620 2.8%

9 PNC Bank, National Association $46,035 $36,648 $4,192 $2,540 $2,654 2.8%

10 Branch Banking and Trust Company $37,502 $12,770 $6,260 $17,918 $554 2.1%

11 State Street Bank and Trust Company $34,365 $12,607 $9,052 $8,921 $3,785 1.9%

12 HSBC Banks USA, National Association $23,761 $6,980 $7,139 $9,639 $3 1.3%

13 E*TRADE Bank $23,476 $12,404 $4,226 $6,846 $0 1.3%

14 KeyBank National Association $23,103 $888 $993 $21,222 $0 1.3%

15 Morgan Stanley $22,528 $9,342 $6,940 $6,246 $0 1.2%

16 SunTrust Bank $22,384 $11,478 $10,906 $0 $0 1.2%

17 The Northern Trust Company $17,822 $8,564 $22 $9,203 $33 1.0%

18 Regions Bank $17,765 $10,610 $4,534 $2,618 $3 1.0%

19 Ally Bank $17,732 $9,866 $3,024 $2,369 $2,473 1.0%

20 MUFG Union Bank $17,376 $5,559 $4,297 $6,646 $874 1.0%

Total Top 20 $1,286,091 $741,867 $307,214 $206,758 $30,252 71.4%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2018.

Out of the $1.8 trillion in MBS holdings at banks and thrifts, $1.3 trillion is in agency pass-through form: $976.9 

trillion in GSE pass-throughs and $368.9 billion in Ginnie Mae pass-throughs. There are another $414.4 billion in 

Agency CMOs. Non-agency holdings total $46.4 billion. MBS holdings at banks and thrifts declined slightly in Q2 

2018, although over the past 2 years, the growth has been quite strong, with Ginnie pass-throughs the fastest 

growing sector.

All Banks & Thrifts ($Billions)

Total Agency MBS PT GSE PT GNMA PT Agency CMO Private MBS PT Private CMO

2000 $683.90 $392.85 $234.01 $84.26 $198.04 $21.57 $71.43 

2001 $810.50 $459.78 $270.59 $109.53 $236.91 $37.62 $76.18 

2002 $912.36 $557.43 $376.11 $101.46 $244.98 $20.08 $89.88 

2003 $982.08 $619.02 $461.72 $75.11 $236.81 $19.40 $106.86 

2004 $1,113.89 $724.61 $572.40 $49.33 $208.18 $20.55 $160.55 

2005 $1,139.68 $708.64 $566.81 $35.92 $190.70 $29.09 $211.25 

2006 $1,207.09 $742.28 $628.52 $31.13 $179.21 $42.32 $243.28 

2007 $1,236.00 $678.24 $559.75 $31.58 $174.27 $26.26 $357.24 

2008 $1,299.76 $820.12 $638.78 $100.36 $207.66 $12.93 $259.04 

2009 $1,345.74 $854.40 $629.19 $155.00 $271.17 $7.53 $212.64 

2010 $1,433.38 $847.13 $600.80 $163.13 $397.30 $7.34 $181.61 

2011 $1,566.88 $917.10 $627.37 $214.81 $478.82 $3.28 $167.70 

2012 $1,578.86 $953.76 $707.87 $242.54 $469.27 $17.16 $138.67 

2013 $1,506.60 $933.73 $705.97 $231.93 $432.60 $26.11 $114.15 

2014 $1,539.32 $964.16 $733.71 $230.45 $449.90 $20.33 $104.94 

2015 $1,643.56 $1,115.40 $823.10 $292.30 $445.39 $11.14 $71.63 

1Q16 $1,660.58 $1,133.29 $833.25 $300.04 $448.63 $10.27 $68.39 

2Q 16 $1,684.33 $1,169.67 $867.64 $302.03 $440.25 $9.11 $65.29 

3Q16 $1,732.36 $1,227.52 $924.81 $302.71 $435.77 $7.90 $61.17 

4Q16 $1,736.93 $1,254.13 $930.67 $323.46 $419.80 $7.40 $55.60

1Q17 $1,762.38 $1,280.63 $950.72 $329.91 $419.34 $7.03 $55.39 

2Q17 $1,798.66 $1,320.59 $985.12 $335.47 $417.89 $6.38 $53.79 

3Q17 $1,838.93 $1,364.75 $1,012.89 $351.86 $418.08 $5.65 $50.45

4Q17 $1,844.15 $1,378.53 $1,010.83 $367.70 $413.97 $4.63 $47.01 

1Q18 $1,809.98 $1,352.28 $991.57 $360.71 $412.37 $3.92 $41.37

2Q18 $1,806.58 $1,345.80 $976.92 $368.88 $414.41 $7.45 $38.92

Bank and Thrift Residential MBS Holdings

46
MBS Ownership

$937.7

$385.1

$552.2

0

100

200

300

400

500

600

700

800

900

1,000

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

$ Billions

Monthly Agency MBS Holdings by Foreigners

Total Agency MBS Held by Foreigners Foreign Official Foreign Private

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of June 2018. 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.

Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of Q2 2018.

14.5%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%

14.0%

14.5%

15.0%

Q1 2012Q2 2012Q3 2012Q4 2012Q1 2013Q2 2013Q3 2013Q4 2013Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016Q3 2016Q4 2016Q1 2017Q2 2017Q3 2017Q4 2017Q1 2018Q2 2018

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

Foreign investors held 14.5 percent of agency MBS in Q2 2018, up from a low of 11.8 percent in Q1 2014. For 

the month of June 2018, this represents $937.7 billion in Agency MBS; $385.1 billion held by foreign private 

institutions and $552.2 billion held by foreign official investors. 

47
MBS Ownership

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

Sources :Treasury International Capital (TIC) and Urban Institute. 

Note: *calculated based on June 2017 report with amount asset backed per country. Revised to include Top 10 holders of MBS listed as of June 

2017. Monthly data as of June 2018.

The largest foreign holders of Agency MBS are Taiwan, Japan and China; these three comprise around 70 percent 

of all foreign holdings. Since June of 2017 we estimate Japan and Taiwan have expanded their agency MBS 

holdings by $21 and $22 billion, respectively, while China has contracted their holdings.

Levelof Holdings ($Millions)* Change in Holdings ($Millions)*

Country Jun-17 Sep-17 Dec-17 Mar-18 Jun-18

Q3 

2017

Q4 

2017

Q1 

2018

Q2 

2018

Taiwan 227,195 229,030 234,234 245,182 249,451 1,835 5,204 10,948 4,269

Japan 228,466 244,261 241,067 246,344 248,837 15,795 -3,194 5,277 2,493

China 183,393 177,580 170,702 173,169 180,820 -5,813 -6,878 2,467 7,651

South Korea 46,791 47,581 45,467 44,099 44,167 790 -2,114 -1,368 68

Ireland 44,229 46,648 51,525 49,164 47,662 2,419 4,877 -2,361 -1,502

Luxembourg 31,289 33,026 37,575 39,336 37,111 1,737 4,549 1,761 -2,225

Cayman Islands 32,682 29,016 28,374 29,026 29,760 -3,666 -642 652 734

Bermuda 26,767 27,125 28,904 28,055 27,350 358 1,779 -849 -705

Switzerland 17,312 18,675 16,794 13,063 11,813 1,363 -1,881 -3,731 -1,250

Malaysia 12,365 13,162 12,751 12,139 12,754 797 -411 -612 615

Rest of World 129,723 124,357 125,465 124,266 122,885 -5,366 1,108 -1,199 -1,381

Total 980,212 990,461 992,858 1003843 1012610 10,249 2,397 10,985 8,767

Levelof Holdings ($Millions)* Change in Holdings ($Millions)*

Country Jun-17 Sep-17 Dec-17 Mar-18 Jun-18

Q3 

2017

Q4 

2017

Q1 

2018

Q2 

2018

Taiwan 227,073 228,914 234,127 245,069 249,349 1,841 5,213 10,942 4,280

Japan 221,528 237,689 234,985 239,898 243,028 16,161 -2,704 4,914 3,129

China 177,546 172,042 165,576 167,737 175,924 -5,504 -6,465 2,161 8,187

South Korea 33,891 35,362 34,158 32,114 33,365 1,471 -1,204 -2,044 1,251

Ireland 33,663 36,640 42,262 39,348 38,815 2,977 5,623 -2,914 -533

Luxembourg 28,314 30,208 34,967 36,572 34,620 1,894 4,759 1,605 -1,952

Cayman Islands 24,897 21,642 21,549 21,793 23,241 -3,255 -93 244 1,448

Bermuda 23,156 23,705 25,738 24,700 24,326 549 2,034 -1,038 -374

Switzerland 13,867 15,412 13,774 9,862 8,928 1,545 -1,638 -3,911 -934

Malaysia 11,905 12,726 12,348 11,712 12,369 821 -379 -636 657

Rest of World 94,872 91,345 94,913 91,888 93,703 -3,527 3,567 -3,024 1,815

Total 890,712 905,684 914,397 920,694 937,669 14,972 8,713 6,297 16,975

48
0

50

100

150

200

250

300

350

400

Aug-08

Nov-08

Feb-09

May-09

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

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

$ Billions

Total Fed Absorption

Total Fed Purchases Gross Issuance

MBS Ownership

0

50

100

150

200

250

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

$ Billions

Fed Absorption of GSE MBS

Gross Issuance Total Fed Purchases

Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. Note: Data as of August 2018.

Sources: eMBS, Federal Reserve Bank of New York and Urban 

Institute. Note: Data as of August 2018.

Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. 

Note: Data as of August 2018.

0

10

20

30

40

50

60

70

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

The Fed has begun to wind down their portfolio, and we are beginning to see the effects in slower absorption 

rates. During the period October 2014-September 2017, the Fed had ended its purchase program, but was 

reinvesting funds from mortgages and agency debt into the mortgage market, absorbing 20-30 percent of agency 

gross issuance. With the wind down, which started in October 2017, the Fed will continue to reinvest, but by less 

than their run off. In August 2018, total Fed purchases decreased to $6.5 billion, yielding Fed absorption of gross 

issuance of 5.6 percent, the lowest level since the Fed began its second mortgage purchase program. The Fed 

absorbed 4.9 percent of Ginnie Mae issuance and 5.9 percent of GSE issuance, respectively.

49
All the information contained in this document is as of date Indicated unless otherwise noted. The

information provided does not constitute investment advice and it should not be relied on as such. All

information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed.

The views expressed in this material are the views of Urban Institute and State Street Global Advisors as

of October 15, 2018 and are subject to change based on market and other conditions. This document

contains certain statements that may be deemed forward‐looking statements. Please note that any such

statements are not guarantees of any future performance and actual results or developments may

differ materially from those projected.   

© 2018 State Street Corporation. All Rights Reserved.

2280108.1.1.GBL.INST

Expiration Date: 10/31/2019

[Internal Tracking Code and Expiration Date to be removed upon providing this document to Ginnie

Mae]