– men 

Global Markets 

Analysis Report 

A Monthly Publication of Ginnie 

Mae’s Office of Capital Markets

Global Markets 

Analysis Report 

A MONTHLY PUBLICATION OF GINNIE MAE’S 

OFFICE OF CAPITAL MARKETS 

DECEMBER

2021 
Global Markets Analysis Report

Global Markets Analysis Report

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

Table of Contents 

Table of Contents ...................................................................................................................................................... i

Highlights .................................................................................................................................................................. 2

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS ........................................................... 4

1.1 Barclays US Aggregate and Global Indices ................................................................................................. 4

1.2 Global 10‐Year Treasury Yields ................................................................................................................... 5

1.3 Ginnie Mae Yields– USD .............................................................................................................................. 6

1.4 Ginnie Mae Yield Spreads – Intermediate Credit ......................................................................................... 7

1.5 Global Treasury Yield Per Duration .............................................................................................................. 8

1.6 Monthly CMO Demand for Ginnie Mae MBS ................................................................................................ 9

2.0 State of the US Housing Market ................................................................................................................. 10

2.1 National HPI ............................................................................................................................................... 10

2.2 Size and Value of the US Housing Market ................................................................................................. 12

2.3 Serious Delinquency Rates ........................................................................................................................ 13

2.4 Characteristics of Ginnie Mae Loans in Forbearance ................................................................................ 14

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State ............................................................. 17

2.6 Outstanding Single Family Agency MBS ................................................................................................... 18

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time .............................................. 19

2.8 Origination Volume and Share Over Time ................................................................................................. 20

3.0 US Agency Market, Issuance ...................................................................................................................... 21

3.1 Percent Refi at Issuance ............................................................................................................................ 24

4.0 High LTV Loans: Ginnie Mae vs. GSEs ..................................................................................................... 25

5.0 Agency Nonbank Originators ..................................................................................................................... 26

5.1 Agency Nonbank Originator Share (All, Purchase, Refi) ........................................................................... 26

5.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi) .................................................................... 27

5.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) .................. 28

6.0 Holders of Ginnie Mae Mortgage Servicing Rights .................................................................................. 32

7.0 Prepayments ................................................................................................................................................ 33

8.0 Fixed Income Market Conditions ............................................................................................................... 37

8.1 Average Daily Trading Volume and Turnover by Sector ............................................................................ 37

9.0 MBS Ownership ........................................................................................................................................... 38

9.1 Commercial Bank Holdings of Agency MBS .............................................................................................. 38

9.2 Bank and Thrift Residential MBS Holdings ................................................................................................ 39

9.3 Foreign Ownership of MBS ........................................................................................................................ 41

9.4 Foreign Ownership of Agency Debt and Agency MBS .............................................................................. 42

9.5 Federal Reserve Absorption of Agency MBS ............................................................................................ 43
Highlights

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

2 

Highlights

On November 15th, 2021, the Federal Housing Administration (FHA) released the Fiscal Year 2021 (FY 2021) 

Annual Report to Congress Regarding the Financial Status of the Federal Housing Administration Mutual 

Mortgage Insurance Fund. FHA’s Mutual Mortgage Insurance (MMI) Fund supports homeownership across the 

United States by providing insurance on mortgages to expand access to credit for the most vulnerable and 

overlooked households. The health of the MMI Fund is critical to ensuring first time homebuyers and 

underserved communities have access to the capital to afford homes and build wealth through homeownership. 

The FY 2021 Annual Report on the MMI Fund financial status contains an abundance of information on borrower 

characteristics, the status of forbearance programs, and MMI Fund capital amounts. 

A key metric in evaluating the financial health of the MMI Fund is the MMI Capital Ratio. The MMI Capital Ratio 

will be the subject of episode 11 of the Ginnie Mae Capital Markets Live podcast series to be released at the 

beginning of January 2022. FHA is required to hold the equivalent of 2% of FHA-insured mortgage principal 

balance. If the MMI Fund capital falls below that threshold, FHA requests Congress allocate enough funds to 

maintain the 2% MMI Capital Ratio. 

The MMI Capital Ratio has exceeded the 2% threshold for six consecutive years. The FY 2021 MMI Capital Ratio 

is calculated as 8.03%. 

Table 1. MMI Capital Fund Ratio Fiscal Year 2017 - 20211

2016 2017 2018 2019 2020 2021 

2.35% 2.18% 2.76% 4.84% 6.10% 8.03% 

The calculation of the MMI Capital Ratio has three inputs: 

1. The capital currently available to FHA (“Total Capital 

Resources”). 

2. The present value of future mortgage insurance 

premiums paid (“NPV Projected MIP Revenue”). 

3. The present value of future claims withdrawn from the 

MMI Fund (“NPV Projected Losses”). 

Figure 1 displays the calculation of the FY 2021 MMI 

Capital Ratio, showing each input as a percentage of FHAinsured mortgage principal balance. The MMI Capital Ratio 

has increased since FY 2017 as shown in Table 1 above. The 

most recent MMI Capital Ratio increase from 6.10% to 

8.03% represents about a $21.5 billion increase in MMI 

Fund capital. The increase in capital can be attributed to a 

combination of an increase of roughly $13 billion in 

1 https://www.hud.gov/sites/dfiles/Housing/documents/2021FHAAnnualReportMMIFund.pdf

Figure 1. Fiscal Year 2021 MMI Capital Ratio Calculation1
Highlights

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

3 

available capital and a decrease of roughly $8 billion in projected losses. FHA acknowledged that, “a decrease in 

year-over-year loss expectations may appear contrary to many indicators of macroeconomic stress resulting 

from the COVID-19 pandemic. However, the housing market remained an area of strength in the economy 

during the period of pandemic-related economic 

disruption. For example, strong home price 

appreciation rates have continued through FY 2021, 

resulting in a 45 percent decrease in FHA’s average 

loss severity on foreclosed properties from the peak 

of 64.53 percent in 2011 to 35.50 percent in FY 

2021.”2 While the FY 2021 MMI Capital Ratio 

represents a surplus in capital, FHA indicated in the 

Annual Report that shifting economic conditions could impact the MMI Capital Ratio through changes in HPA 

rates. Figure 2 outlines the sensitivity of the MMI Capital Ratio to a +/- 1% change in interest rates and HPA 

rates. Based on the data provided, the MMI Capital Ratio is three times more sensitive to changes in HPA rates 

than changes in interest rates. A 1% decrease in interest rates would lead to a 0.42% decrease in the MMI 

Capital Ratio, whereas a 1% decrease in HPA rates would lead to a 1.26% decrease in the MMI Capital Ratio. 

According to FHA, “because the MMI Fund Capital Ratio is so closely tied to HPA, the assessment of FHA’s 

financial health represented by the ratio can change materially and quickly with changes in both actual and 

projected home values.”2 For further information, please refer to section 2.1 National HPI.

Ginnie Mae MBS Investors 

In the upcoming episode of Ginnie Mae Capital Markets Live, Alven Lam, Ginnie Mae’s Managing Director of 

International Markets, and Steve Abrahams, Senior Managing Director and Head of Investment Strategy at 

Amherst Pierpont Securities, will discuss why this news was of interest to Ginnie Mae MBS investors. According 

to Mr. Abrahams, historically, FHA has adjusted mortgage insurance premiums (MIPs) based on the MMI Capital 

Ratio, which has had a big impact on mortgage prepayment risk. For further information please refer to section 

7.0 Prepayments. With borrowers still exiting forbearance programs and roughly 660,000 FHA-insured loans 

categorized as serious delinquent, Mr. Abrahams believes that FHA will assess how these circumstances play out 

prior to making any adjustments in MIPs. For further information please refer to section 2.4 Forbearance. 

As we move into 2022, FHA will continue to focus on helping homeowners and distressed borrowers recover 

from the effects of the pandemic. Through close collaboration with mortgage servicers and other industry 

participants to negotiate extensions or loss mitigation arrangements, FHA is committed to promoting equitable 

recovery for borrowers who have entered forbearance due to the COVID-19 pandemic.2

Capital Surplus 

Over the long term, FHA will focus on its goals of promoting and expanding affordable homeownership and 

access to mortgage credit for underserved consumers in the housing market. Coupled with the Biden-Harris 

administration’s goal of increasing housing supply, FHA is also working to expand credit accessibility among 

underserved prospective homebuyers, particularly those within the low-to-moderate income bracket. FHA is 

also dedicated to helping communities and neighborhoods become more climate resilient. FHA and HUD are 

working closely with federal agency partners to improve and integrate climate-related data into the government 

mortgage loan programs and include climate-related risks into the underwriting process.

Figure 2. MMI Capital Ratio Sensitivity Table2
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 

1.0Relative 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. There was 

no change from the previous month. France and Canada’s share of fixed income decreased by 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 November 2021. Numbers in chart may not add to 100 % due to 

rounding. 

Barclays Global Aggregate Index by Country

Sources: Bloomberg. Note: Data as of November 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%

39%

8% 13%

6%

5%

4%

3%

3%

2% 2% 13%

United States - 38%

Japan - 13%

China - 8%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 3%

Italy - 3%
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 1.45% in November 2021, a decrease MoM of 11 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 decreased to 0.97% in November, a decrease MoM of 20 bps.

 The yields on the German 10-year and the UK 10-year notes decreased by 24 bps to -0.35%, and 22 bps to

0.81%, respectively. 

 The yield on the Japanese 10-year government notes increased to 0.05% in November, a slight decrease MoM

of 4 bps. 

 At the end of November 2021, the hedged yield for the 10-year Treasury JPY held at 2.63%, a slight increase of

3 bps from the previous month. 

 The hedged yield for the 10-year Treasury EUR held at 1.50%, a slight increase of 2 bps from the previous

month. 

Global 10‐Year Treasury Yields

7– 10yr Total Return Hedged Index, JPY 7 – 10yr Total Return Hedged Index, EUR

Sources: Bloomberg. Note: Data as of November 2021

-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 fixed rate MBS yields remained relatively stable in November 2021. Ginnie Mae II yields were at 

1.82% on November 30, 2021, remaining stable from the prior month. Ginnie Mae I yields were at 2.00%, down 

by 3 bps from the prior month. On November 30, Ginnie Mae II SF yields were 37 bps higher than the US 10-year

Treasury yield, unchanged since October 31, 2021. The yields on the Ginnie Mae I SF were 55 bps higher than 

the US 10-year Treasury yield on November 30, 2021, representing a decrease in spread of 3 bps since October

31, 2021. 

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of November 30, 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 0.31%, an increase of 2 bps since the previous month. The Ginnie Mae II 30-

year OAS increased by 8 bps since the previous month. The US Intermediate credit OAS has increased by 10 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 November 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 Fixed Rate 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 yields on 

Ginnie Mae 2.5% and 3% MBS products have increased in November. The duration of Ginnie Mae II 2.5% 

securities remained stable and their yield increased by 1 bp over the previous month. Additionally, the duration 

of Ginnie Mae II 3% securities increased by 0.07 units and their yield increased by 5 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 12/19. All other data is as of November 2021. Yields are in base currency of security and 

unhedged. 

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 2.5% GNMA II 3%

-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

Security Duration Yield 

US 5y 4.83 1.16 

US 10y 9.25 1.45 

JPY 5y 4.83 -0.96

JPY 10y 9.76 0.05 

GER 5y 4.89 -0.39

GER 10y 9.74 -0.35

ITA 5y 4.67 0.43 

ITA 10y 9.48 1.97 

UK 5y 4.83 0.83 

UK 10y 9.51 0.81 

GNMA II 2% 5.46 1.74 

GNMA II 2.5% 4.99 1.91 

GNMA II 3% 3.60 1.92 
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 

9 

1.6 Monthly CMO Demand for Ginnie Mae MBS 

In November 2021, $16.6 billion of Ginnie Mae MBS were securitized into Collateralized Mortgage Obligations 

(CMOs) as underlying collateral, a 16% month over month increase. Of that, approximately $3.3 billion were 

Multifamily MBS having coupons between 2% and 3%. $13.3 billion were Single Family MBS with a majority of 

the Single-Family MBS having coupons between 2% and 3%. 

In calendar year 2021 (January – November) approximately $183 billion of Ginnie Mae Single Family and 

Multifamily MBS were securitized into Ginnie Mae CMO transactions. This represents a roughly 50% increase 

over the same period in calendar year 2020. 

November 2021 CMO Collateral Coupon Distribution 

2Totals may not sum due to rounding. 

$16.4

$12.9

$16.9

$15.6

$18.8

$21.5

$14.3

$17.1 $18.2

$14.2

$16.6

$5

$10

$15

$20

$25

Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21

Collateral A

mount in $Billions

Ginnie Mae Single Family and Multifamily MBS Securitized into 

CMOs

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into CMO Deals ($MM)2

% Breakdown of CMO Collateral by 

coupon2

Multifamily

2.01-2.50 1,492.0 45%

2.51-3.00 1,851.7 55%

Subtotal 3,343.8 100%

Single Family

<2.01 62.7 0%

2.01-2.50 3,871.3 29%

2.51-3.00 6,882.3 52%

3.01-3.50 2,076.6 16%

3.51-4.00 202.4 2%

4.51-5.00 117.7 1%

5.01-5.50 50.0 0%

Subtotal 13,263.0 100%

Grand Total 16,606.8 
State of the US Housing Market

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

10 

2.0State 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 

15.7% between March 2020 to September 2021. March 2020 to August 2021 national HPI CAGR was 

approximately 60 bps lower, at 15.1%, suggesting a continued trend in September of accelerating HPI increases. 

Over that period, the Mountain region has had the greatest home price appreciation (19.8% CAGR), while in the 

East and West North Central regions, collectively the “Midwest”, increases in home values have been slowest 

(13.4%). Every sub-region has Pandemic HPI CAGR that outpaces any single 12-month period during the 

observation period (1991 to present), with the exception of the Pacific states, which experienced a period 

between 2004 and 2005 during which HPI increased 22.4%, YoY. The rapid home price appreciation has led to 

recent sharp increases in both conventional conforming and FHA loan limits. 

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 16.5% 13.7% 13.5% 15.9% 17.0% 13.3% 15.2% 19.8% 17.0% 15.7% 

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 September 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, 9/2021. 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 

11 

Nationally, home prices exceed their pre-crisis peak on a nominal basis by 48.6% through September 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 88.4%. 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 September 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% 88.4% 12.7% 48.6%

AK 66.9% -5.2% 40.3% 9.0% 33.0% 

AL 41.6% -15.0% 64.7% 13.1% 40.0% 

AR 39.8% -11.0% 56.3% 13.1% 39.1% 

AZ 110.2% -49.5% 178.2% 20.8% 40.5% 

CA 144.8% -47.0% 137.5% 16.6% 25.8% 

CO 32.3% -10.3% 140.3% 16.1% 115.6% 

CT 72.9% -19.6% 36.9% 15.6% 10.0% 

DC 162.5% -11.7% 115.1% 10.8% 90.0% 

DE 88.5% -23.5% 52.0% 13.4% 16.3% 

FL 130.0% -46.5% 144.6% 17.2% 30.8% 

GA 35.9% -27.1% 112.7% 14.7% 55.1% 

HI 139.0% -27.0% 96.0% 11.9% 43.0% 

IA 27.8% -5.4% 54.2% 9.9% 45.8% 

ID 73.3% -32.2% 201.0% 28.4% 104.0% 

IL 49.9% -23.8% 46.4% 10.7% 11.6% 

IN 19.1% -8.7% 76.9% 13.3% 61.6% 

KS 31.0% -7.8% 66.2% 12.6% 53.2% 

KY 28.9% -5.4% 64.3% 12.6% 55.4% 

LA 51.6% -6.7% 45.0% 8.3% 35.2% 

MA 69.8% -18.2% 76.7% 14.4% 44.5% 

MD 126.4% -26.5% 51.8% 11.5% 11.6% 

ME 72.0% -12.4% 76.8% 18.3% 54.8% 

MI 18.4% -31.5% 110.8% 13.7% 44.3% 

MN 52.5% -23.0% 83.7% 12.0% 41.5% 

MO 39.2% -15.0% 74.2% 13.4% 48.1% 

MS 38.9% -12.8% 43.6% 9.9% 25.3% 

MT 79.3% -13.6% 98.1% 19.3% 71.2% 

NC 39.7% -14.1% 83.9% 16.2% 57.9% 

ND 51.7% -0.9% 69.8% 7.9% 68.3% 

NE 24.3% -5.9% 77.3% 13.0% 66.7% 

NH 72.7% -21.9% 81.1% 17.4% 41.4% 

NJ 102.2% -22.7% 50.2% 14.6% 16.2% 

NM 66.6% -17.9% 55.7% 12.8% 27.8% 

NV 117.4% -59.3% 203.6% 17.1% 23.6% 

NY 75.7% -10.5% 56.5% 13.5% 40.1% 

OH 19.6% -16.6% 77.4% 13.1% 48.0% 

OK 36.8% -4.6% 60.2% 11.9% 52.7% 

OR 85.6% -28.6% 129.9% 16.3% 64.1% 

PA 68.9% -10.9% 57.3% 12.6% 40.1% 

RI 108.1% -28.0% 79.2% 17.0% 29.0% 

SC 40.6% -16.0% 84.6% 14.3% 55.1% 

SD 40.2% -2.4% 72.9% 15.1% 68.7% 

TN 38.4% -12.6% 100.0% 17.2% 74.7% 

TX 35.8% -3.0% 96.9% 14.4% 91.0% 

UT 65.1% -26.1% 152.8% 23.1% 86.9% 

VA 95.1% -18.8% 59.7% 12.7% 29.8% 

VT 78.1% -10.3% 55.3% 16.8% 39.3% 

WA 83.4% -27.3% 144.1% 17.3% 77.5% 

WI 38.6% -14.2% 69.8% 12.6% 45.6% 

WV 39.2% -5.7% 40.8% 11.6% 32.8% 

WY 84.7% -9.7% 52.8% 10.7% 38.1% 
State of the US Housing Market

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

12 

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 $36.8 trillion in Q3 2021. The value of household 

equity has continued to trend upward into Q3 2021. 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, as debt remains relatively flat. The total value of the US housing market is up 93.4% from its 

trough in 2011. Conversely, mortgage debt outstanding has increasing slightly from $11.3 trillion in Q2 2021 to 

$11.5 trillion in Q3 2021. Agency MBS account for a growing percentage of the total mortgage debt outstanding, 

up to 67% of total mortgage debt. 

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q3 2021.

11.5

25.3

36.8

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q3

$ Trillions

Debt Household equity Total Value

$0.40

$0.39

$8.18

$3.30

0

1

2

3

4

5

6

7

8

9

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021

$ Trillions

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

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A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

13 

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 serious delinquencies 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

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14 

2.4 Characteristics of Ginnie Mae Loans in Forbearance 

188,395 Ginnie Mae loans were in forbearance as of the end of October 2021. This represents an 11% decrease 

MoM, accelerating the trend of decline in forbearance observed since May 2020. 7,002 of loans in forbearance 

were removed from MBS pools and 181,393 still actively remain in pools. Most liquidated loans (5,494) were 

FHA and within that subset, 2,782 of those loans were originated by nonbanks. Almost 95% of the loans in 

forbearance are due to COVID-19 circumstances, down from over 97% from the prior month. 

All Loans in Forbearance – October 2021 

FICO Score* Note Rate* Current Principal Balance 

Median 

First Time 

Homebuyer 

Share (%) 

Purchase Share 

(%) Loan Count 

Ginnie 658 3.6 $ 169,548.88 77.1 67.2 188,395 

Bank 672 4.0 $ 121,708.01 76.3 79.2 29,975 

Nonbank 656 3.6 $ 178,621.84 77.2 65.9 158,420 

FHA 653 3.7 $ 164,379.76 79.5 73.2 132,697 

Bank 665 4.1 $ 112,265.97 79.2 82.6 22,745 

Nonbank 651 3.7 $ 175,082.27 79.5 72.2 109,952 

VA 668 3.3 $ 220,831.28 65.1 45.8 38,830 

Bank 684 3.6 $ 178,114.32 66.7 69.5 5,566 

Nonbank 666 3.3 $ 227,428.56 64.8 42.8 33,264 

Loans in Forbearance and Removed from Pools – October 2021 

FICO Score* Note Rate* Current Principal Balance 

Median 

First Time 

Homebuyer 

Share (%) 

Purchase Share 

(%) Loan Count 

Ginnie 659 3.9 $ 135,281.73 78.2 66.3 7,002 

Bank 672 4.0 $ 104,069.55 78.2 82.8 3,368 

Nonbank 653 3.8 $ 170,368.32 78.1 59.2 3,634 

FHA 654 4.0 $ 130,710.62 79.6 70.0 5,494 

Bank 670 4.1 $ 98,801.06 79.4 85.1 2,712 

Nonbank 647 3.9 $ 168,803.54 79.7 63.4 2,782 

VA 674 3.6 $ 179,039.19 67.2 46.5 1,080 

Bank 682 3.7 $ 143,074.82 66.9 68.0 441 

Nonbank 671 3.5 $ 214,215.61 67.3 39.2 639 

Loans in Forbearance that Remain in Pools – October 2021 

FICO Score* Note Rate* Current Principal Balance 

Median 

First Time 

Homebuyer 

Share (%) 

Purchase Share 

(%) Loan Count 

Ginnie 658 3.6 $ 170,775.22 77.1 67.3 181,393 

Bank 671 4.0 $ 123,894.53 76.1 78.9 26,607 

Nonbank 656 3.6 $ 178,864.18 77.2 66.1 154,786 

FHA 653 3.7 $ 165,723.38 79.5 73.3 127,203 

Bank 664 4.1 $ 114,000.00 79.2 82.3 20,033 

Nonbank 651 3.7 $ 175,287.74 79.5 72.5 107,170 

VA 668 3.3 $ 221,785.68 65.1 45.8 37,750 

Bank 684 3.6 $ 181,617.31 66.7 69.6 5,125 

Nonbank 666 3.3 $ 227,644.80 64.8 42.9 32,625 

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 October 2021; *Averages weighted by remaining principal balance of the loans. 
State of the US Housing Market

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15 

Number of Loans Removed from Pools: Nonbank

The current share of Ginnie Mae loans in forbearance stands at 1.75% as of the end of October, down 

approximately a fifth of a percent MoM. This decline indicates that at least approximately one in ten previously 

forborne borrowers is no longer in forbearance. The forbearance rate 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 forborne borrowers exit their forbearance plans in 

October 2021. 

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 October 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 October 2021.

0%

2%

4%

6%

8%

10%

12%

14%

Bank Forbearance Nonbank Forbearance All Forbearance

0

50000

100000

150000

200000

250000

300000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

Share of Ginnie Mae Loans in Forbearance

0

50000

100000

150000

200000

250000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation
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16 

Number of Loans Removed from Pools: FHA 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 October 2021, the 

number of loans repurchased due to delinquency decreased 18% to 17,724 for FHA and 25% to 3,167 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 October 2021. 

0

50000

100000

150000

200000

250000

300000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

20000

40000

60000

80000

100000

120000

140000

160000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

20000

40000

60000

80000

100000

120000

140000

160000

180000

<3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan

<3.5 Loss Mitigation

0

50000

100000

150000

200000

250000

300000

350000

>=3.5 Loss Mitigation >=3.5 Repurchase of Delinquent Loan

>=3.5 Mortgagor Payoff

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

Number of Loans Removed from Pools by Coupon
State of the US Housing Market

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A Monthly Publication of Ginnie Mae’s Office of Capital 

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Page 

17 

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% 2,996,172 273.80 291.19 26% 10,611,120 186.89 217.03 

AK 51% 10,795 329.22 286.47 48% 36,881 252.71 216.56 

AL 37% 59,862 215.12 225.63 41% 232,485 145.88 171.37 

AR 35% 31,737 182.70 203.93 40% 136,003 123.74 154.39 

AZ 23% 101,713 274.94 274.42 25% 278,274 198.71 212.24 

CA 16% 256,687 424.77 410.10 16% 679,081 308.72 315.00 

CO 24% 84,840 358.42 337.04 24% 215,879 269.87 266.23 

CT 22% 26,614 262.08 276.06 25% 103,491 193.95 206.12 

DC 11% 2,811 456.69 455.59 13% 8,644 361.14 349.76 

DE 28% 14,382 261.16 267.02 32% 50,321 194.98 204.39 

FL 31% 261,074 267.68 262.49 33% 833,391 195.39 198.68 

GA 31% 137,535 235.93 260.85 34% 492,428 165.61 195.86 

HI 37% 14,200 582.27 459.07 31% 32,818 449.20 349.95 

IA 19% 18,056 192.08 195.59 22% 82,022 126.98 146.92 

ID 21% 20,452 279.83 276.65 24% 66,085 194.72 210.10 

IL 18% 87,211 218.65 239.30 22% 350,387 152.97 176.04 

IN 26% 66,515 186.10 195.14 31% 279,116 124.75 145.01 

KS 25% 23,048 197.42 216.24 30% 96,945 132.76 159.36 

KY 29% 40,460 193.32 202.89 35% 161,890 134.83 150.81 

LA 37% 46,814 209.63 230.14 39% 190,173 150.83 174.16 

MA 14% 35,479 363.62 353.08 16% 111,535 268.61 265.85 

MD 32% 90,881 344.04 322.07 34% 283,087 255.11 245.49 

ME 23% 10,522 229.78 247.37 26% 37,765 167.38 185.70 

MI 16% 65,196 184.30 206.52 20% 275,559 125.68 152.94 

MN 15% 39,964 249.90 253.66 18% 160,873 173.70 193.87 

MO 24% 58,652 196.35 209.48 29% 245,100 133.79 157.49 

MS 42% 26,098 199.14 207.95 48% 117,588 134.64 156.31 

MT 24% 10,015 278.03 274.49 25% 33,490 195.33 206.15 

NC 27% 117,903 234.73 257.81 30% 415,774 162.94 191.97 

ND 24% 5,104 249.94 236.35 23% 16,460 186.17 182.94 

NE 22% 14,836 215.19 206.08 27% 65,931 139.69 156.49 

NH 20% 11,553 291.86 276.98 23% 39,142 214.84 208.41 

NJ 18% 63,021 309.88 330.95 21% 225,205 227.76 250.15 

NM 34% 23,305 230.31 232.12 39% 94,534 157.01 171.39 

NV 30% 48,260 310.07 286.56 31% 131,408 230.07 222.61

NY 16% 54,971 312.95 339.32 20% 302,938 197.48 241.53 

OH 24% 92,726 184.30 199.75 30% 420,101 123.19 144.69 

OK 38% 40,326 197.94 208.40 43% 188,338 132.91 155.81 

OR 19% 39,031 321.97 316.83 20% 112,273 237.25 242.99 

PA 21% 82,456 208.17 242.39 27% 386,906 143.89 177.15

RI 27% 10,339 296.67 271.06 30% 34,696 217.75 207.34 

SC 32% 69,536 237.63 242.77 35% 228,025 170.15 183.73 

SD 27% 7,865 227.10 221.58 30% 29,303 162.59 172.70 

TN 28% 73,484 239.27 253.91 33% 276,151 161.61 192.98 

TX 29% 276,401 251.21 268.93 33% 1,062,485 169.50 200.18

UT 18% 35,847 324.89 313.10 20% 99,568 235.56 249.88 

VA 35% 143,899 341.36 325.34 36% 435,945 245.80 246.80 

VT 18% 3,127 236.12 247.51 19% 12,174 175.13 175.58 

WA 21% 84,926 366.51 364.74 22% 237,265 265.54 279.45 

WI 14% 33,642 199.90 214.94 17% 123,324 148.68 160.24

WV 39% 13,884 195.43 195.32 44% 56,820 137.38 141.53 

WY 34% 8,027 258.13 249.15 35% 25,043 196.97 196.24 

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

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

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Outstanding Agency Mortgage-Backed Securities 

2.6 Outstanding Single-Family Agency MBS 

As of October 2021, outstanding single-family securities in the Agency market totaled $7.64 trillion: 40.2% 

Fannie Mae, 33.7% Freddie Mac, and 26.1% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s total 

outstanding issuance has increased by approximately 16%, while Fannie and Ginnie 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 October 2011, over 

76% of Ginnie Mae outstanding collateral was FHA and under 20% was VA. In October 2021, FHA collateral 

comprised 53% of Ginnie Mae MBS outstanding and VA collateral comprised 42% 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 October 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. 

$3,070

$2,577

$1,997

$7,644

$0

$2,000

$4,000

$6,000

$8,000

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

$ in billions

Fannie Mae Freddie Mac Ginnie Mae Total

$1,056 

$829 

$112 $-

 $500

 $1,000

 $1,500

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

FHA VA Other

$ in billions

Composition of Outstanding Ginnie Mae Mortgage-Backed Securities 
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2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 

As of October 2021, the weighted average coupon on outstanding Ginnie Mae pools was 2.96%, down 2 bps 

since September 2021 and 43 bps since October 2020. The share of outstanding MBS pools with coupons below 

3.0% (47% as of October 2021) began a rapid expansion in 2020. Approximately 25% 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 

(0.55%) has coupons under 2.0%. The bottom chart illustrates that loans originated since 2019 accounting for 

72% of Ginnie MBS collateral outstanding. 

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: October 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%

20%

40%

60%

80%

100%

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

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

Outstanding Ginnie MBS Balance, by Vintage

Outstanding Ginnie MBS Balance, by Coupon

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%

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Avg Coupon

<3.0 3.0-3.49 3.5-4.0 >4.0 Average Coupon
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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, Issuance

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

21 

3.0 US Agency Market, Issuance 

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 2.2% (from September to October), driven by a decline in both Freddie and Ginnie Issuance. Fannie 

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

outpaces that of the first ten months of 2020 by approximately 14.8%, $718.6 billion to $626.0 billion. Agency 

net issuance in October was approximately $83.4 billion, which represents a 11% increase in net issuance 

relative to September. Ginnie Mae net issuance is below zero year-to-date in 2021, at -$6.1 billion, with FHA 

driving the negative net issuance. 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

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 $1,201.5 $1,078.4 $2,279.9 $718.6 $2,998.5 

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total 

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 $327.6 $369.4 $21.6 $718.6 
US Agency Market, Issuance

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22 

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 $321.6 $428.7 $750.2 -$6.1 $744.1 

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 $56.7 $0.5 -$4.8 
US Agency Market, Issuance

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

23 

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

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

Oct-21 $105.1 $102.7 $62.5 $207.8 $270.3 $34.6 $46.9 $1.9 $81.5 $83.4 

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 October 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, Issuance

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

24 

The total Ginnie Mae refinance share stood at 42% in October. The FHA refinance share stood at 32% in October 

2021, below the 66% share for Fannie, the 60% refi share for Freddie originations, and the 54% share for the VA. 

Refinances as a share of all Agency originations have continued their rebound, up to 58% in October, 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. 

3.1 Percent Refi at Issuance 

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

2021.

60%

66%

42%

32%

54%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

6/1/2013

10/1/2013

2/1/20146/1/2014

10/1/2014

2/1/20156/1/2015

10/1/2015

2/1/20166/1/2016

10/1/2016

2/1/20176/1/2017

10/1/2017

2/1/20186/1/2018

10/1/2018

2/1/20196/1/2019

10/1/2019

2/1/20206/1/2020

10/1/2020

2/1/20216/1/2021

10/1/2021

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 

25 

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 September - November 2019 and September - November 2021. The share of borrowers with 

DTIs below 35% has decreased by approximately 3% 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 31%, 

respectively, from September to November 2019 to September to November 2021. Still, Ginnie Mae maintains 

its key role of expanding credit access to low-to-moderate income borrowers as it continues to dominate highLTV lending, with 62.47% of its issuances between September and November 2021 having LTVs of 95 or above, 

compared to 4.58% for the GSEs. 

Share of Loans with LTV > 95 

Ginnie Mae GSE All 

Sept 2019-Nov 2019 64.73% 6.61% 26.63% 

Sept 2021 - Nov 2021 62.47% 4.58% 21.12% 

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

Sept 2019-Nov 2019 

FICO 

DTI <650 650-700 700-750 ≥750 NA All 

<35 4.51% 6.18% 3.40% 5.01% 1.29% 20.37% 

35-45 6.70% 8.72% 4.25% 4.30% 0.21% 24.18% 

≥45 5.33% 8.05% 4.05% 3.45% 0.13% 21.01% 

NA 5.50% 7.03% 4.24% 5.89% 11.75% 34.44% 

All 22.04% 29.98% 15.94% 18.62% 13.40% 100.00%

Sept 2021-Nov 2021 

FICO 

DTI <650 650-700 700-750 ≥750 NA All 

<35 4.38% 6.00% 3.16% 5.16% 1.15% 19.86% 

35-45 6.51% 8.54% 3.86% 3.97% 0.23% 23.11% 

≥45 5.22% 7.97% 3.71% 3.16% 0.16% 20.22% 

NA 4.96% 6.53% 4.26% 7.12% 13.95% 36.81% 

All 21.06% 29.04% 14.99% 19.42% 15.49% 100.00%

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

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

26 

5.0 Agency Nonbank Originators 

Total Agency nonbank origination share declined slightly in October after an approximately 3% increase in the 

prior month. The decrease in nonbank origination share was driven by the GSEs, as Fannie and Freddie’s 

nonbank originator share declined 1% and 2%, respectively. Ginnie Mae’s nonbank share increased 

approximately 2% in October 2021. The Ginnie Mae nonbank share has been consistently higher than the GSEs, 

at 90.1% in October 2021. Ginnie Mae nonbank origination share of refinance mortgage loans (92.7%) has 

continued to drive Ginnie Mae’s relatively higher nonbank origination share (90.1%). 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 October 

2021. 

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Fannie Freddie Ginnie

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Fannie Freddie Ginnie

Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans 

78.1%

77.3%

72.6%

90.1%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Fannie Freddie Ginnie
Agency Nonbank Originators

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

27 

Ginnie Mae’s total nonbank originator share increased in October, up 1.47% MoM. This increase in Ginnie Mae 

nonbank origination share was driven primarily by VA origination, as VA-insured loans increased their nonbank 

origination share MoM by 3.02%. In October 2021 there was an increase in nonbank origination share for both 

purchase and refi loans. The increase in nonbank origination share for refi loans was primarily driven by VA 

loans, with an approximately 2.5% 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 October 2021.

91.9%

87.6%

88.5%

90.1%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

FHA VA Other All

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-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 

28 

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 increased by 1 point from 

September 2021 to 18 points in October 2021, approximately 7 points below the 5-year average spread. The 

Agency median FICO remained at 746 in October. Ginnie median FICO is down 21 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 October 

2021.

746

759

741

680

690

700

710

720

730

740

750

760

770

780

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median FICO Bank Median FICO Nonbank Median FICO FICO

680

690

700

710

720

730

740

750

760

770

780

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median FICO Bank Median FICO

Nonbank Median FICO

Agency FICO: Bank vs. Nonbank

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

640

650

660

670

680

690

700

710

720

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

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 

29 

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

also had another slight MoM decline to 96.9%. The decline in the GSEs’ median LTV in October is attributable to 

the continued increase in volume of refis in the GSE space (see Section 3.1). Ginnie Mae median DTI saw a 

significant reversal from its slight decline in September, with October 2021 showing the highest median DTI 

value since July of 2019. 

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

2021. 

64

66

68

70

72

74

76

78

80

82

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median LTV Bank Median LTV Nonbank Median LTV

30

32

34

36

38

40

42

44

46

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median DTI Bank Median DTI Nonbank Median DTI

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

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

90

91

92

93

94

95

96

97

98

99

100

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median LTV Bank Median LTV Nonbank Median LTV

30

32

34

36

38

40

42

44

46

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-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 

30 

October 2021 marked the eighth consecutive month of decline in the median FICO score for Ginnie Mae bank 

and nonbank originators. The median FICO for all Ginnie originations declined from 677 to 675, driven primarily 

by an 8-point drop in Bank Median FICO. 

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 October 2021. 

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

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

All Median FICO Bank Median FICO Nonbank Median FICO

640

645

650

655

660

665

670

675

680

685

690

695

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

650

670

690

710

730

750

770

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-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 

31 

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. FHA, VA, and Other DTIs all saw 

minor upticks in October. 

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 October 2021

30

32

34

36

38

40

42

44

46

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

All Median DTI Bank Median DTI Nonbank Median DTI

36

37

38

39

40

41

42

43

44

45

46

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

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

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI
Holders of Ginnie Mae Mortgage 

Servicing Rights

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 

32 

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 82.3% 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 November 2021, over half (51.1%) 

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 $ 257,950 13.23% 13.23% 

2 PennyMac $ 217,829 11.17% 24.40% 

3 Lakeview $ 202,103 10.37% 34.77% 

4 Wells Fargo $ 125,388 6.43% 41.20% 

5 Rocket Mortgage $ 98,806 5.07% 46.27% 

6 Nationstar $ 94,670 4.86% 51.13% 

7 Newrez $ 59,160 3.03% 54.16% 

8 Caliber Home Loans $ 49,156 2.52% 56.68% 

9 US Bank $ 47,845 2.45% 59.14% 

10 Carrington Mortgage $ 43,440 2.23% 61.37% 

11 United Wholesale Mortgage $ 41,999 2.15% 63.52% 

12 USAA Federal Savings Bank $ 33,285 1.71% 65.23% 

13 Loan Depot $ 32,833 1.68% 66.91% 

14 Mortgage Research Center $ 29,750 1.53% 68.44% 

15 Navy Federal Credit Union $ 28,257 1.45% 69.89% 

16 Planet Home Lending $ 28,250 1.45% 71.34% 

17 Truist Bank $ 22,380 1.15% 72.48% 

18 The Money Source $ 21,350 1.10% 73.58% 

19 Guild Mortgage $ 20,310 1.04% 74.62% 

20 Home Point Financial Corporation $ 17,926 0.92% 75.54% 

21 Crosscountry Mortgage $ 15,181 0.78% 76.32% 

22 New American Funding $ 14,510 0.74% 77.06% 

23 Village Capital $ 14,017 0.72% 77.78% 

24 Midfirst Bank $ 13,680 0.70% 78.48% 

25 Citizens Bank $ 13,068 0.67% 79.15% 

26 Idaho Housing and Finance Association $ 12,600 0.65% 79.80% 

27 CMG Mortgage, INC $ 12,202 0.63% 80.43% 

28 Amerihome Mortgage Company $ 12,146 0.62% 81.05% 

29 PHH Mortgage Corporation $ 11,750 0.60% 81.65% 

30 JP Morgan Chase $ 11,714 0.60% 82.25% 

Source: Deloitte and Ginnie Mae. Data as of November 2021. 
Prepayments

Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 33 

7.0Prepayments 

In October 2021, Ginnie Mae fixed rate prepayment speeds decreased by 4%, to 28.7 CPR. The slowdown 

was driven by both voluntary prepayment and Ginnie Mae II 30-year buyout rate decreases. On the other 

hand, Ginnie Mae I 30-year posted a 13% increase in its Conditional Buyout Rate (CBR).5 The Ginnie Mae 

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

delinquent portfolio performance become available.6

In October 2021, Fannie Mae and Freddie Mac fixed rate prepayment speeds both continued to decrease 

by 8%. ARM MBS prepayments for Ginnie Mae, Fannie Mae and Freddie Mac all posted a significant 

decline, down by 11%, 5% and 8%, respectively. 

7.0 Aggregate Prepayments 

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

5 Ahlgren R and Ichaso M (2021, November 5). US Structured Products Trading Desk Strategy | RMBS Strategy | Drop in VPRs 

Only Post Modest Slowdown, Buyouts Fall, pp. 1. 

6 https://www.insidemortgagefinance.com/articles/223010-time-to-cut-the-mip-fhas-insurance-fund-ends-fy21-with-a-capital-ratio-north-of21.6

20.1

28.7

0

10

20

30

40

50

60

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Constant Prepayment Rate (%)

Fixed Rate Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae

27.0

27.4

30.6

0

10

20

30

40

50

60

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Constant Prepayment Rate (%)

ARM Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 34 

Prepayments

30-year fixed rate MBS with 2-2.5% coupons accounted for 45% of Agency remaining principal balance. 

Production of these Agency MBS ramped up in 2019. In October 2021, Fannie Mae speeds decreased by 

11% in both coupon cohorts. Freddie Mac speeds also decreased similarly by 10% and 11% in the 2% and 

2.5% coupon cohorts, respectively. Ginnie Mae prepayment speeds continued to increase in the 2% 

coupon cohort by 3% and continued to decline in the 2.5% coupon cohort by 6%. 

Source: eMBS. Note: Data as of October 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold 

PC, weighted average by October 2021 remaining principal balance. 

19.7

18.5

27.4

0

10

20

30

40

50

60

Aug-19

Sep-19

Oct-19

N

ov-19

Dec-19

Jan-20

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

N

ov-20

Dec-20

Jan-21

Feb-21

Mar-21

Apr-21

May-21

Jun-21

Jul-21

Aug-21

Sep-21

Oct-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

11.0

10.9

13.4

0

10

20

30

40

50

60

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

Oct-21

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
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 35 

Prepayments

30-year fixed rate MBS with 3-4% coupons accounted for 29% 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 October 

2021, the prepayment differential was consistent across coupon cohorts with differences remaining at 

6.2, 5.9 and 6.1 CPR for 3%, 3.5% and 4% respectively. 

Source: eMBS. Note: Data as of October 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold 

PC, weighted average by October 2021 remaining principal balance. 

30.7

30.8

36.9

0

10

20

30

40

50

60

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

Oct-2

C

1

onstand 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

33.4

33.5

39.4

0

10

20

30

40

50

60

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

Oct-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
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 36 

Prepayments

Source: eMBS. Note: Data as of October 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold 

PC, weighted average by October 2021 remaining principal balance. 

33.9

34.1

40.1

0

10

20

30

40

50

60

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-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
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 37 

Market Conditions

8.0 Fixed Income Market Conditions 

Agency MBS average daily trading volume was $289 billion from January 2021 to October 2021. In October, daily 

trading volume rebounded to near the year-to-date daily trading average, with approximately $284 billion in 

daily 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 2.84% and 2.86% respectively. Corporate bond 

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 October 2021.

$289 

$617 

$38 $0

$100

$200

$300

$400

$500

$600

$700

20022003200420052006200720082009201020112012201320142015201620172018201920202021

$ Billions

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

2.86%

2.84%

0.39%

0%

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 Corporates Turnover

Average Daily Trading Volume by Sector 

Average Daily Turnover by Sector
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 38 

MBS Ownership

9.0MBS Ownership 

As of Q3 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial 

banks (26%), the Federal Reserve (24%), and foreign investors (11%). The Federal Reserve’s share increased to 

24% in the third quarter of 2021, the highest it has 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 September 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 Q3 2021. 

9.1 Commercial Bank Holdings of Agency MBS 

Commercial Bank Holdings ($Billions) Week Ending 

Oct-20 Apr-21 May-21 June-21 July-21 Aug-21 Sep-21 Oct-21 3-Nov 10-Nov 17-Nov 24-Nov 

Largest 25 Domestic 

Banks 1,820.2 2,049.7 2,080.6 2,091.6 2,110.9 2,129.9 2,134.1 2,146.1 2,141.8 2,132.5 2,120.6 2,125.9 

Small Domestic 

Banks 539.0 629.3 650.0 661.3 672.1 684.7 700.8 719.1 724.7 729.5 729.1 730.7 

Foreign Related 

Banks 40.0 50.8 48.8 46.9 47.3 48.4 48.3 49.2 53.1 47.2 47.3 43.9 

Total, Seasonally 

Adjusted 2,399.2 2,729.8 2,779.4 2,799.8 2,830.3 2,863.0 2,883.2 2,914.4 2,919.6 2,909.2 2,897.0 2,900.5 

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? 
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 39 

MBS Ownership

9.2 Bank and Thrift Residential MBS Holdings 

In Q3 2021, MBS holdings at banks and thrifts increased for the twelve-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 Q2 2021. Out of the $2.9 trillion in 

MBS holdings at banks and thrifts as of Q3 2021, $2.2 trillion were Agency pass-throughs. $1.9 trillion were GSE 

pass-throughs and $353 billion were Ginnie Mae pass-throughs. Another $566 billion were Agency CMOs, while 

non-Agency holdings totaled $53 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 

3Q21 2,858.59 1,886.78 353.12 4.24 565.51 48.95 2,487.32 371.27 

Change:

2Q21-3Q21 3% 3% 0% -11% 2% 14% 2% 6%

3Q20-3Q21 24% 40% -15% -4% 13% 17% 22% 38%

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

Bank and Thrift Residential MBS Holdings
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 40 

MBS Ownership

Top Bank & Thrift 

Residential MBS 

Investors ($ in 

millions) 

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

1 BANK OF AMERICA 

CORPORATION 618,309.0 526,541.0 80,915.0 10,635.0 218.0 22% 

2 WELLS FARGO & COMPANY 278,377.0 207,309.0 66,166.0 4,520.0 382.0 10% 

3 CHARLES SCHWAB 226,430.0 118,676.0 10,350.0 97,404.0 - 8% 

4 JPMORGAN CHASE & CO. 166,473.0 94,815.0 58,178.0 125.0 13,355.0 6% 

5 Truist Bank 135,894.0 61,801.0 16,031.0 55,216.0 2,846.0 5% 

6 U.S. BANCORP 112,695.5 78,394.8 19,927.3 14,373.0 0.4 4% 

7 CITIGROUP INC. 96,349.0 89,399.0 2,199.0 3,650.0 1,101.0 3% 

8 CAPITAL ONE FINANCIAL 

CORPORATION 75,144.4 42,773.2 11,089.7 20,769.3 512.2 3% 

9 Silicon Valley Bank 66,093.3 55,853.5 7,456.8 2,783.0 - 2% 

10 PNC Bank, National 

Association 56,449.2 48,265.0 5,989.7 953.2 1,241.2 2% 

11 BANK OF NEW YORK 

MELLON CORP 55,558.0 42,485.0 2,105.0 8,322.0 2,646.0 2% 

12 USAA Federal Savings Bank 47,396.6 39,988.7 2,382.4 5,025.4 - 2% 

13 State Street Bank and Trust 

Company 40,967.1 16,759.0 4,101.0 17,597.1 2,510.0 1% 

14 MORGAN STANLEY 34,094.0 23,254.0 3,964.0 6,876.0 - 1% 

15 E*TRADE Bank 32,484.8 25,934.8 4,672.5 1,877.5 - 1% 

16 The Huntington National 

Bank 28,050.4 16,846.6 4,597.7 6,486.7 119.5 1% 

17 HSBC Bank USA, National 

Association 24,992.4 8,560.0 8,449.1 7,981.7 1.6 1% 

18 BMO Harris Bank National 

Association 24,283.5 3,978.7 406.9 19,892.2 5.7 1% 

19 KeyBank National 

Association 24,257.5 5,265.4 333.7 18,658.4 - 1% 

20 Ally Bank 23,610.0 16,871.0 888.0 2,463.0 3,388.0 1% 

Total Top 20 2,167,908.6 1,523,770.8 310,202.8 305,608.5 28,326.5 76% 

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

Bank and Thrift Residential MBS Holdings 
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 41 

MBS Ownership

9.3 Foreign Ownership of MBS 

For the month of September 2021, foreign ownership of MBS represents $1.18 trillion in Agency MBS, which 

includes $546 billion held by foreign private institutions and $634 billion held by foreign official institutions. This 

represents an overall increase in foreign holdings of Agency MBS since April 2020. 

Sources: eMBS [Top Chart], Treasury International Capital (TIC) [Bottom Chart] 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 in December 2017 in the split between 

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

14.56%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

18.0%

Sep-14

Dec-14

Mar-15

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

Percent of Agency MBS O

wned

by Foreigners

Foreign Share of MBS

1,180

634 

546 

0

200

400

600

800

1,000

1,200

1,400

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

$ Billions

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

Foreign Share of Agency MBS Market 

Monthly Foreign MBS Holdings 
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 42 

MBS Ownership

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) 

12/1/2020 3/1/2021 6/1/2021 9/1/2021 Q4 2020 Q1 2021 Q2 2021 Q3 2021 

Japan 308,033 319,771 311,375 311,892 2,969 11,738 -8,396 517 

Taiwan 262,453 253,036 250,081 247,341 -1,817 -9,417 -2,955 -2,740 

China 212,317 200,972 217,842 215,102 5,456 -11,345 16,870 -2,740 

Luxembourg 36,223 34,371 35,497 33,339 597 -1,852 1,126 -2,158 

Ireland 31,064 26,965 21,453 22,617 2,778 -4,099 -5,512 1,164 

South Korea 42,628 43,032 43,201 43,208 2,325 404 169 7 

Cayman 

Islands 34,264 37,111 36,027 36,160 -231 2,847 -1,084 133 

Bermuda 27,988 26,443 23,806 24,411 -7,763 -1,545 -2,637 605 

Netherlands 12,344 13,049 12,544 17,435 1,380 705 -505 4,891 

Malaysia 19,147 19,047 19,089 19,445 -661 -100 42 356 

Other 197,462 173,905 166,009 268,746 7,287 -23,557 -7,896 102,737 

Total 1,183,923 1,147,702 1,136,924 1,239,696 12,320 -36,221 -10,778 102,772 

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 Q3 2021. Agency MBS as of June 2021. Revised to 

include top 10 holders of Agency debt listed as of June 2018. 
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 43 

MBS Ownership

9.5 Federal Reserve Absorption of Agency MBS 

The Fed purchased $104.3 billion of Agency MBS in October 2021 (38.0% of monthly gross issuance) which was a 

slight increase from the $102.3 billion purchased in September 2021 (36.8% of monthly gross issuance). Fed 

purchases of Ginnie Mae MBS decreased MoM, with $22.0 billion (33.4% of gross Ginnie Mae Issuance) 

compared to $23.2 billion in Fed purchases (33.6% of gross Ginnie Mae issuance) in September 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 October 2021.

0

50

100

150

200

250

300

350

400

Oct-13

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

$ billions

Total Gross Issuance Total Fed Purchases

0

100

200

300

400

Oct-13

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

$ billions

Gross Issuance Total Fed Purchases

0

20

40

60

80

100

Oct-13

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

$ billions

Gross Issuance Total Fed Purchases

Total Fed Absorption 

Fed Absorption of Ginnie Mae MBS Fed Absorption of GSE MBS 
Global Markets Analysis Report 

A Monthly Publication of Ginnie Mae’s Office of Capital 

Markets 

Page 44 

Disclosure

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.”