August 2023
GLOBAL MARKETS ANALYSIS REPORT

AUGUST 2023

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

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Table of Contents

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Inside this Month’s Global Market Analysis Report

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1

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Highlights

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2

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1 US Aggregate and Global Indices

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4

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1.1 Bloomberg US Aggregate and Global Indices

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4

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2 Sovereign Debt Product Performance Comparisons

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5

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2.1 Global 10-Year Treasury Yields (Unhedged)

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2.2 US Treasury Hedged Yields

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SECONDARY MORTGAGE MARKET

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7

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3 Fixed Income Product Performance Comparisons

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3.1 Ginnie Mae Yields – USD

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

7

3.2 Ginnie Mae Hedged Yields 8

3.3 Ginnie Mae Yield Spreads – Intermediate Credit 9

3.4 Global Treasury Yield Per Duration 10

4 Prepayments 11

4.1 Aggregate Prepayments (CPR) 11

4.2 Involuntary Prepayments (CDR) 12

4.3 Voluntary Prepayment Rates (CRR) 13

5 Single-Family MBS Pass-Through Issuance 14

5.1 Gross Issuance of Agency MBS 14

5.2 Net Issuance of Agency MBS 16

5.3 Monthly Issuance Breakdown 18

5.4 Percent Refi at Issuance – Single-Family 19

6 Agency Single-Family MBS Outstanding 20

6.1 Outstanding Single-Family Agency MBS 20

6.2 Origination Volume and Share Over Time 21

6.3 Agency Issuance and Agency Outstanding by State 22

6.4 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 23

7 Agency REMIC Securities 24

7.1 Monthly REMIC Demand for Ginnie Mae MBS 24

7.2 REMIC Market Snapshot 25

8 MBS Ownership 26

8.1 Commercial Bank Holdings of Agency MBS 26

8.2 Bank and Thrift Residential MBS Holdings 27

8.3 SOMA Holdings 29
GLOBAL MARKETS ANALYSIS REPORT

AUGUST 2023

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

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8.4 Foreign Ownership of MBS

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30

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8.5 Foreign Ownership of Agency Debt and Agency MBS

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31

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9 Fixed Income Liquidity Indicators

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32

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PRIMARY MORTGAGE MARKET

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33

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10 Agency Credit Breakdown

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10.1 Credit Scores

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33

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10.2 Loan-to-Value (LTV)

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35

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10.3 Debt-to-Income (DTI)

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37

10.4 High LTV Loans: Ginnie Mae vs. GSEs 39

10.5 Serious Delinquency Rates 40

10.6 Credit Box 41

10.7 Credit Box: Historical 43

11 Forbearance Trends 45

12 Holders of Ginnie Mae Mortgage Servicing Rights 46

13 Agency Nonbank Originator 47

13.1 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE 49

13.1.1 (FICO, LTV, DTI) 49

14 Environmental, Social, and Governance 53

14.1 Environmental, Social, and Governance: A Summary 53

14.2 Environmental 54

14.3 Social 54

14.3.1 Low-to-Moderate Income Borrowers 55

14.3.2 Purchase and Refinance Origination by Income Bracket 56

U.S. HOUSING MARKET 57

15 Housing Affordability 57

15.1 Housing Affordability – Home Price Appreciation 57

15.2 Housing Affordability – Inflation, Wages, and the Price of Real Estate 58

15.2.1 Housing Affordability – Mortgage Rate Trends 60

15.3 Housing Inventory 61

15.4 Size and Value of the US Housing Market 62

16 Disclosure 63
GLOBAL MARKETS ANALYSIS REPORT

Inside This Month’s Global Market Analysis Report

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 1

Inside this Month’s Global Market Analysis Report...

This month’s Highlights section introduces a new subsection within Section 8, MBS Ownership,

Section 8.3, SOMA Holdings. The Highlights section provides a clear understanding of what the 

SOMA portfolio is and how it relates to the Fed’s changes in monetary policy. It captures the driving 

factors that contribute to slower runoff and elevated MBS holdings on the Fed’s balance sheet. 

Notable insights in this month’s Global Market Analysis Report include the following:

• The Agency REMIC Issuance section captures the continued upward trend in coupon rates 

for REMIC deals.

• The Agency Credit Breakdown section illustrates the leading role that Ginnie Mae continues 

to play in high-LTV lending and in providing homeownership opportunities to first-time 

homebuyers.

• The U.S. Housing Market section includes home price indices for each of the U.S. census 

regions by quarter. While inflation has slowed, it continues to be elevated and mortgage 

rates have continued to increase. Home prices are increasing at a much slower pace than 

seen in 2021 and 2022 but remain high. This section also includes an analysis of the average 

price of homes sold to median income buyers, which shows housing affordability remains 

historically low.
GLOBAL MARKETS ANALYSIS REPORT

Highlights

AUGUST 2023

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

Highlights

This month’s Global Markets Analysis Report includes a new subsection, Section 8.3, within Section 

8, MBS Ownership, that covers the month-over-month change in the Federal Reserve’s (Fed) System 

Open Market Account (SOMA). The SOMA portfolio contains dollar-denominated assets acquired 

through open market operations, which was a function of the Fed’s quantitative easing (QE)

program. These securities serve as collateral for U.S. currency in circulation and other liabilities on 

the Federal Reserve System’s balance sheet, as a tool for the Federal Reserve’s management of 

reserve balances, and as a mechanism for achieving the Federal Reserve’s macroeconomic 

objectives.

In March 2020, the Fed resumed its QE program in an effort to provide support to the U.S. Treasury

(UST) and mortgage-backed securities (MBS) markets after the outbreak of COVID-19. The Fed’s 

actions were initially aimed to restore smooth functioning to these markets, but then shifted the 

objective to supporting and stimulating the broader economy through lower interest rates. As the 

domestic economy recovered, the Fed wound down their open market purchases and began a

quantitative tightening (QT) program to slow a rapidly growing economy and reel in the highest 

annual inflation rates the U.S. economy had experienced in over 40 years. QT is the process of the 

Fed letting matured securities roll off its balance sheet instead of reinvesting the proceeds into 

newly issued securities. The Fed’s QT process began in June 2022, reducing its balance sheet by 

$47.5 billion per month, comprised of $30 billion of UST’s and $17.5 billion of MBS, before 

accelerating to $95 billion per month in September 2022, including $60 billion of UST’s and $35 

billion of MBS. 

The new SOMA Holdings section of the Global market Analysis Report provides readers with an 

overview of the most recent Federal Open Market Committee (FOMC) meeting as well as MoM 

changes in “U.S. Treasuries”, “Federal Agency Debt”, “Agency MBS”, “Agency Commercial MBS”, 

and “Total SOMA Holdings”. Figure 1 below shows the SOMA portfolio’s holdings of MBS compared 

to the forecasted holdings of MBS if the liquidation cap was fully realized each month since the Fed 

began their QT process. The holdings are as of the first reported date of each month. 

Figure 1. SOMA MBS Holdings (In Thousands $)

0

5,000,000

10,000,000

15,000,000

20,000,000

25,000,000

30,000,000

35,000,000

40,000,000

2,000,000,000

2,100,000,000

2,200,000,000

2,300,000,000

2,400,000,000

2,500,000,000

2,600,000,000

2,700,000,000

2,800,000,000

Liquidation Cap

SOMA MBS Holdings

Liquidation Cap (RHS) MBS Holdings MBS Holdings by Liquidation Cap
GLOBAL MARKETS ANALYSIS REPORT

Highlights

AUGUST 2023

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

As seen in the chart above, the runoff of MBS securities on the Fed’s balance sheet is substantially 

lagging the allocated liquidation cap the Fed set in 2022. The SOMA holdings of MBS are roughly 

$248 billion higher than the liquidation cap pace set by the Fed, as of August 2, 2023. The runoff 

continues to come in lower than the liquidation cap due to the increasing interest rate 

environment. With many mortgage holders locked into mortgage rates much lower than today’s 

rates, refinances and therefore prepayments have slowed drastically leading to a much slower 

runoff and elevated MBS holdings on the Fed’s balance sheet. 

Source: System Open Market Account Holdings of Domestic Securities - FEDERAL RESERVE BANK of NEW YORK 

(newyorkfed.org) Note: MBS Holdings in Figure 1 are as of the first reported date of each month. SOMA holdings are reported every 

Thursday as of Wednesday’s values.
GLOBAL MARKETS ANALYSIS REPORT

Aggregate Global Indices

AUGUST 2023

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

1 US AGGREGATE AND GLOBAL INDICES

1.1 Bloomberg US Aggregate and Global Indices

At month-end July, US Treasuries contributed 41.1% to the Bloomberg US Aggregate Index, stable 

from the prior month. US MBS (Ginnie Mae, Fannie Mae, and Freddie Mac) contributed 26.9%, up

approximately 0.2% from the month prior. For the US Aggregate Index, all other changes to the 

index components were no larger than 1%.

Figure 2. Bloomberg US Aggregate Index

In the Bloomberg Global Aggregate Index by Country, the US share of fixed income remained the 

largest share of total outstanding issuance, representing 40.5% of the total Bloomberg Global 

Aggregate Index, up slightly from the prior month. Japan’s share of fixed income was the second 

highest at 11.6%, down slightly from the prior month. For the Global Aggregate Index, all countries 

remained stable compared to the prior month with no changes larger than 1%.

Figure 3. Bloomberg Global Aggregate Index by Country

Source: Bloomberg [both charts]. Note: Data as of July 2023. Figures in charts may not add to 100% due to rounding.

41%

27%

14%

8%

2%

2%

2% 1%1% 1% 0% Treasury - 41.1%

MBS Passthrough - 26.9%

Industrial - 14.4%

Financial Institutions - 8.2%

Utility - 2.1%

Agency - 1.9%

CMBS - 1.7%

Supranational - 1.4%

Sovereign - 1.0%

Local Authority - 0.8%

ABS - 0.5%

40%

9% 12%

5%

4%

4%

4%

3%

2%

2% 14%

United States - 40.5%

Japan - 11.6%

China - 9.1%

France - 5.1%

Germany - 4.3%

United Kingdom - 4.2%

Canada - 3.6%

Italy - 3%

Spain - 2.2%

Netherlands - 1.9%

Other - 14.5%
GLOBAL MARKETS ANALYSIS REPORT

Sovereign Debt Product Performance Comparisons

AUGUST 2023

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

2 SOVEREIGN DEBT PRODUCT PERFORMANCE COMPARISONS

2.1 Global 10-Year Treasury Yields (Unhedged)

The US 10‐year Treasury yield moved to 4.00% at month-end July 2023, a MoM increase of 28 bps. 

US Treasury yields were the third highest of all the government treasury yields depicted in the

figure below behind UK and Italian government bond yields.

The yield on the UK 10‐year note increased to 4.31% at month-end July, a MoM increase of 1 bp. 

The yield on the German 10‐year note increased to 2.47% at month-end July, a MoM increase of 

16 bps.

The yield on the Italian 10‐year note increased to 4.07% at month-end July, a MoM increase of 12

bps.

The yield on the Japanese 10‐year note increased to 0.44% at month-end July, a MoM increase of 

9 bps.

Figure 4. Global 10-Year Treasury Yields

Source: Bloomberg. Note: Data as of July 2023.

4.31%

2.47%

4.07%

0.44%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

% Yield

USA 10-Year UK 10-Year Germany 10-Year Italy 10-Year Japan 10-Year

4.00%
GLOBAL MARKETS ANALYSIS REPORT

Sovereign Debt Product Performance Comparisons

AUGUST 2023

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

2.2 US Treasury Hedged Yields

The yield for the 10-year Treasury, hedged in Japanese Yen stood at -1.52% at month-end 

July, compared to 0.44% on the Japanese 10-year note.

The yield for the 10-year Treasury, hedged in Euros stood at 2.26% at month-end July, 

compared to 2.47% on the German 10-year note.

Figure 5. US 10yr Total Return Hedged, JPY

Figure 6. US 10yr Total Return Hedged, EUR

Source: Bloomberg. Notes: Data as of July 2023. The 10yr Total Return Hedged Yields are calculated by taking the 10yr treasury yield and 

subtracting the 1yr hedge cost for JPY and EUR.

-1.52

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.26

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

AUGUST 2023

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

SECONDARY MORTGAGE MARKET

3 FIXED INCOME PRODUCT PERFORMANCE COMPARISONS

3.1 Ginnie Mae Yields – USD

Ginnie Mae II yields were 5.50% in May, increased 17 bps to 5.67% by month-end June, then 

increased 4 bps to 5.71% by month-end July. Ginnie Mae II spreads over the US 10-year Treasury 

yield increased 72 bps YoY to 170 bps over the US 10‐year Treasury yield as of month-end July 2023.

Figure 7. Ginnie Mae II SF Yield, USD

Figure 8. Ginnie Mae II SF Yield – US 10yr Treasury Yield

Source: Bloomberg. Note: Data as of July 2023.

5.71%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

% Yield

1.70%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

GNMA 2 - 10yr Treasury Yield
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

AUGUST 2023

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

3.2 Ginnie Mae Hedged Yields

The yield for Ginnie Mae II’s, hedged in Japanese Yen stood at 0.18% at month-end July, 

compared to 0.44% on the Japanese 10-year note.

The yield for Ginnie Mae II’s, hedged in Euros stood at 3.96% at month-end July, compared to 

2.47% on the German 10-year note.

Figure 9. Ginnie Mae II Hedged, JPY

Figure 10. Ginnie Mae II Hedged, EUR

Source: Bloomberg. Notes: Data as of July 2023. The Ginnie Mae II Hedged Yields are calculated by taking the Ginnie Mae II Yield and subtracting

the 1yr hedge cost for JPY and EUR.

0.18%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

3.96%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

AUGUST 2023

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

3.3 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30‐year OAS decreased by 3 bps

to 0.46% at month-end July. The GNMA II 30-year OAS decreased 5 bps MoM as of month-end July. 

The US Intermediate credit OAS decreased 8 bps MoM as of month-end July.

Figure 11. US GNMA II 30yr MBS OAS versus US Intermediate Credit OAS

Figure 12. Spread between US Intermediate Credit and US GNMA II 30yr MBS OAS

Source: Bloomberg. Note: Data as of July 2023.

0.41%

0.87%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

% Yield

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

0.46%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

% Yield
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

AUGUST 2023

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

3.4 Global Treasury Yield Per Duration

GNMA MBS continued 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.

Figure 13. Yield vs. Duration

Security Duration Yield

US 5y 4.47 4.18

US 10y 8.14 3.95

JPY 5y 4.84 0.15

JPY 10y 9.31 0.55

GER 5y 4.84 2.54

GER 10y 8.74 2.47

ITA 5y 4.41 3.68

ITA 10y 7.98 4.07

UK 5y 4.88 4.40

UK 10y 8.00 4.32

GNMA II 2% 6.98 4.28

GNMA II 2.5% 6.92 4.41

GNMA II 3% 6.65 4.56

GNMA II 3.5% 6.38 4.66

GNMA II 4% 6.14 4.86

GNMA II 4.5% 6.03 5.03

GNMA II 5% 5.35 5.28

GNMA II 5.5% 4.99 5.55

GNMA II 6% 4.21 5.82

GNMA II 6.5% 3.71 5.94

Source: Bloomberg. Note: Yield and modified duration for GNMA II securities is based on median prepayment assumptions from surveyed 

Bloomberg participants. All data is as of July 2023. 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%

GNMA II 3.5%

GNMA II 4%

GNMA II 4.5%

GNMA II 5%

GNMA II 5.5%

GNMA II 6%

GNMA II 6.5%

0.00

1.00

2.00

3.00

4.00

5.00

6.00

3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

Yield

Duration
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

AUGUST 2023

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

4 PREPAYMENTS

4.1 Aggregate Prepayments (CPR) 

Ginnie Mae fixed rate aggregate prepayment speeds decreased in July 2023 by 9.3% MoM. 

Likewise, Fannie Mae and Freddie Mac CPRs decreased 11.1% and 10.8%, respectively. ARM 

prepayments decreased for Freddie Mac and Fannie Mae but increased for Ginnie Mae MoM.

Figure 14. Fixed Rate Aggregate 1-Month CPR

Figure 15. ARM Aggregate 1-Month CPR

Source: Recursion. Note: Data as of July 2023.

5.7

5.5

7.1

0

10

20

30

40

50

CPR (%)

 Fannie Mae Freddie Mac Ginnie Mae

12.9

11.8

11.8

0

10

20

30

40

50

60

70

CPR (%)

 Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

AUGUST 2023

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

4.2 Involuntary Prepayments (CDR)

Fixed rate involuntary prepayments (CDR) remained higher for Ginnie Mae than for the GSEs. The 

spread in prepayment speeds between Ginnie Mae and GSE prepayments has converged 

significantly since Ginnie Mae’s peak of 12.4 CDR in June 2020. ARM CDRs for Freddie Mac 

continued to remain below Ginnie Mae as of month-end July 2023 after slightly overtaking Ginnie 

Mae in September 2022. 

Figure 16. Fixed Rate Aggregate CDR

Figure 17. ARM Aggregate CDR

Source: Recursion. Note: Data as of July 2023.

.

0.3

0.2

0.8

0

5

10

15

CDR (%)

 Fannie Mae Freddie Mac Ginnie Mae

0.2

0.2

0.6

0

10

20

30

40

50

CDR (%)

 Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

AUGUST 2023

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

4.3 Voluntary Prepayment Rates (CRR)

Fixed rate voluntary prepayments (CRR) continued to remain higher for Ginnie Mae relative to the 

GSEs. Fannie Mae and Freddie Mac saw decreases of 11.5% MoM and 11.1% MoM in fixed rate 

aggregate CRR, respectively. Freddie Mac saw a 20.1% MoM decrease and Fannie Mae saw a 1.4% 

MoM decrease in ARM aggregate CRR. Ginnie Mae decreased 11.1% MoM in fixed rate aggregate 

CRR and saw a 120.3% MoM increase in ARM aggregate CRR.

Figure 18. Fixed Rate Aggregate CRR

Figure 19. ARM Aggregate CRR

Source: Recursion. Note: Data as of July 2023.

5.4

5.3

6.3

0

10

20

30

40

CRR (%)

 Fannie Mae Freddie Mac Ginnie Mae

12.3

11.7

11.6

0

10

20

30

40

CRR (%)

 Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

5 SINGLE-FAMILY MBS PASS-THROUGH ISSUANCE

5.1 Gross Issuance of Agency MBS

Agency gross MBS issuance decreased by 8% MoM. Freddie Mac, Ginnie Mae, and Fannie Mae all 

saw decreases in gross issuance compared to June 2023 as seen in Section 5.3.

Table 1. 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 $1,388.0 $1,245.1 $2,633.1 $840.9 $3,474.0

2022 $628.3 $551.6 $1,179.9 $512.3 $1,692.2

2023 YTD $191.5 $168.8 $360.3 $214.0 $574.3

Figure 20. Agency Gross Issuance

Source: Recursion. Note: Numbers are rounded to the nearest hundred million. For sums, like “GSE Total”, the values are rounded after the exact 

underlying values are summed. As a result, some sums may not appear to match the sum of their rounded component values.

$214

$192

$0.0 $169

$500.0

$1,000.0

$1,500.0

2002200320042005200620072008200920102011201220132014201520162017201820192020202120222023 YTD

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

Table 2. 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 $392.2 $422.1 $26.7 $840.9

2022 $275.8 $221.7 $14.8 $512.3

2023 YTD $126.7 $82.6 $4.7 $214.0

Figure 21. Ginnie Mae Gross Issuance

Source: Recursion. Note: Numbers are rounded to the nearest hundred million. For sums, like “GSE Total”, the values are rounded after the exact 

underlying values are summed. As a result, some sums may not appear to match the sum of their rounded component values.

$127

$83

$0.0 $5

$50.0

$100.0

$150.0

$200.0

$250.0

$300.0

$350.0

$400.0

$450.0

$ in Billions

FHA VA Other
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

5.2 Net Issuance of Agency MBS

Agency Net Issuance as of month-end July was $122.6 billion for 2023 YTD as shown in Table 3. 

Since 2022, FHA net issuance has outpaced VA net issuance, as shown in Table 4 and Figure 23.

Table 3. Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

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 $384.9 $498.0 $882.9 $2.7 $885.6

2022 $200.4 $161.5 $361.9 $177.4 $539.4

2023 YTD $23.4 $3.3 $26.7 $95.9 $122.6

Figure 22. Agency Net Issuance

Source: Recursion. Note: Numbers are rounded to the nearest hundred million. For sums, like “GSE Total”, the values are rounded after the exact 

underlying values are summed. As a result, some sums may not appear to match the sum of their rounded component values.

$96

$23

$3

-$200.0

-$100.0

$0.0

$100.0

$200.0

$300.0

$400.0

$500.0

$600.0

200220032004200520062007200820092010201120122013201420152016201720182019202020212022

2023 YTD

$ in Billions

Fannie Mae Freddie Mac ddie Mac Ginnie Mae innie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

Table 4. 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 -$64.2 $74.2 -$7.3 $2.7

2022 $98.5 $80.7 -$1.7 $177.4

2023 YTD $69.4 $28.4 -$0.9 $95.9

Figure 23. Ginnie Mae Net Issuance

Source: Recursion. Note: Numbers are rounded to the nearest hundred million. For sums, like “GSE Total”, the values are rounded after the exact 

underlying values are summed. As a result, some sums may not appear to match the sum of their rounded component values.

$28

$69

-$1

-$100.0

-$50.0

$0.0

$50.0

$100.0

$150.0

$200.0

$250.0

$ in Billions

FHA VA Other
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

5.3 Monthly Issuance Breakdown

Agency net issuance as of month-end July was approximately $27.5 billion, which represents a 9% 

MoM decrease. Ginnie Mae net issuance was $18 billion as of month-end July, a 1% increase from 

June 2023. Ginnie Mae’s $36.3 billion in gross issuance as of month-end July, seen in Table 5, was 

approximately 15% below the average monthly issuance for 2022.

Table 5. Agency Issuance ($ in billions)

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

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

Nov-21 $93.6 $81.1 $60.8 $174.7 $235.5 $29.5 $34.9 $3.1 $64.4 $67.6

Dec-21 $93.7 $85.4 $58.9 $179.1 $238.0 $33.8 $34.4 $5.7 $68.3 $73.9

Jan-22 $93.1 $85.9 $59.0 $179.0 $238.0 $45.6 $37.6 $14.0 $83.2 $97.3

Feb-22 $73.3 $64.6 $49.0 $137.9 $186.9 $27.8 $22.7 $9.7 $50.5 $60.2

Mar-22 $76.8 $62.9 $47.4 $139.7 $187.1 $22.6 $23.1 $6.9 $45.7 $52.6

Apr-22 $65.3 $53.5 $47.8 $118.8 $166.6 $19.5 $17.7 $13.2 $37.2 $50.4

May-22 $54.7 $43.7 $45.0 $98.4 $143.4 $13.6 $12.5 $15.5 $26.1 $41.6

Jun-22 $54.5 $42.0 $43.6 $96.5 $140.1 $14.8 $10.7 $16.0 $25.5 $41.5

Jul-22 $46.8 $40.3 $42.4 $87.1 $129.5 $12.1 $14.4 $18.0 $26.5 $44.5

Aug-22 $39.8 $46.3 $40.3 $86.1 $126.4 $4.8 $19.8 $16.2 $24.6 $40.8

Sep-22 $39.3 $38.2 $39.9 $77.5 $117.4 $7.6 $13.9 $18.3 $21.5 $39.8

Oct-22 $34.1 $26.1 $35.5 $60.2 $95.7 $5.8 $4.7 $17.3 $10.5 $27.8

Nov-22 $25.7 $22.7 $33.6 $48.4 $82.0 $0.3 $3.5 $18.3 $3.8 $22.1

Dec-22 $24.9 $25.5 $28.8 $50.4 $79.2 $0.2 $6.6 $14.0 $6.8 $20.8

Jan-23 $25.7 $22.4 $27.1 $48.1 $75.2 $3.4 $5.3 $14.1 $8.7 $22.8

Feb-23 $18.9 $16.5 $22.7 $35.4 $58.1 -$4.4 -$1.4 $8.6 -$5.8 $2.8

Mar-23 $23.6 $19.2 $26.2 $42.8 $69.0 -$4.4 -$2.4 $8.7 -$6.8 $1.9

Apr-23 $27.7 $21.0 $31.6 $48.7 $80.3 $1.4 $0.6 $15.0 $2.0 $17.0

May-23 $30.4 $29.0 $32.6 $59.4 $92.0 $0.6 $6.0 $13.5 $6.6 $20.1

Jun-23 $33.5 $32.9 $37.5 $66.4 $103.9 $3.1 $9.3 $17.8 $12.4 $30.2

Jul-23 $31.7 $27.9 $36.3 $59.6 $95.9 $3.6 $5.9 $18.0 $9.5 $27.5

Sources: 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 July 2023. 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 July 2023 GMAR net issuance data reflect the UPB at security issuance for Fannie Mae and Freddie Mac. Note: Numbers are 

rounded to the nearest hundred million.
GLOBAL MARKETS ANALYSIS REPORT

Single Family MBS Pass-Through Issuance

AUGUST 2023

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

5.4 Percent Refi at Issuance – Single-Family

Refinance activity decreased by approximately 4% MoM for Ginnie Mae as of month-end July 2023. 

VA’s lending decreased approximately 7.9% MoM. FHA’s refinance share decreased by 

approximately 2.2%. In the conventional conforming mortgage market space, Fannie Mae saw a 

decrease of 17.8% MoM and Freddie Mac saw a decrease of 8.5% MoM.

Freddie Mac’s refinance percentage dropped to 10.3% in July, down from 11.2% in June.

Fannie Mae’s refinance percentage dropped to 11.7% in July, down from 14.2% in June.

Ginnie Mae’s refinance percentage dropped to 14.8% in July, down from 15.5% in June.

FHA’s refinance percentage dropped to 15.4% in July, down from 15.7% in June.

VA’s refinance percentage dropped to 14.7% in July, down from 15.9% in June.

Figure 24. Percent Refinance at Issuance – Single-Family

Source: Recursion. Note: Data as of July 2023.

11.7%

14.7%

15.4%

10.3%

14.8%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Freddie Fannie Ginnie FHA VA
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

AUGUST 2023

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

$3,578

$2,919

$2,229

$8,725

0

2,000

4,000

6,000

8,000

10,000

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae Total

$1,197

$930

$105

0

200

400

600

800

1000

1200

1400

$ in Billions

 FHA VA OTHER

6 AGENCY SINGLE-FAMILY MBS OUTSTANDING

6.1 Outstanding Single-Family Agency MBS

As of month-end July 2023, outstanding single-family MBS in the agency market totaled $8.725

trillion: 41.0% Fannie Mae, 33.5% Freddie Mac, and 25.5% Ginnie Mae MBS. Over the past twelve 

months, Fannie Mae’s, Freddie Mac’s, and Ginnie Mae’s total outstanding MBS increased by 

approximately 0.6%, 2.5%, and 8.8%, respectively. Fannie Mae outstanding MBS remains larger 

than Freddie Mac’s and Ginnie Mae’s by approximately $659 billion and $1.3 trillion, respectively.

Ginnie Mae MBS collateral composition has changed dramatically over the past five years. In July

2018, 60.1% of Ginnie Mae outstanding collateral was FHA and 33.8% was VA. As of month-end July

2023, FHA collateral comprised 53.6% of Ginnie Mae MBS outstanding, and VA collateral comprised 

41.7% of Ginnie Mae MBS outstanding.

Figure 25. Outstanding Agency Mortgage-Backed Securities

Figure 26. Composition of Outstanding Ginnie Mae Mortgage-Backed Securities

Source: Recursion. Note: Data as of July 2023.
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

AUGUST 2023

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

6.2 Origination Volume and Share Over Time

First lien origination volume increased in Q2 2023, with approximately $400 billion in originations, 

which represents an approximate rise in issuance of 38% from Q1 2023. Ginnie Mae’s share of total 

origination increased from 22.3% to 22.8% in Q2 2023, while portfolio origination increased from 

31.1% to 32.1%. 

Figure 27. First Lien Origination Volume

Figure 28. First Lien Origination Share

Source: Inside Mortgage Finance. Note: Data as of Q2 2023.

$0.17

$0.09

$0.01

$0.13

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

$ In Trillions

GSE securitization FHA/VA securitization PLS securitization Portfolio

43.1%

22.8%

2.0%

32.1%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

GSE securitization FHA/VA securitization PLS securitization Portfolio
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

AUGUST 2023

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

6.3 Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 36% of new agency issuance over the past year, roughly 

10% higher than Ginnie Mae’s 26% share of agency outstanding. The share of Ginnie Mae’s new 

agency issuance varies across states, with the highest Ginnie Mae share being in Alaska (57%) and 

the lowest in the District of Columbia (22%). The highest Ginnie Mae outstanding share is also in 

Alaska (48%) and the lowest in the District of Columbia (14%). 

Table 6. Agency Issuance Breakdown by State

Agency Issuance (past 1 year) Agency Outstanding (past 1 year)

National

GNMA 

Share by 

UPB

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)

36% 1,901,981 292.13 300.68 26% 10,934,729 207.68 211.30

AK 57% 5,771 348.99 311.57 48% 37,521 262.72 220.49

AL 50% 45,575 231.67 247.39 41% 241,765 160.21 178.38

AR 45% 23,638 198.15 231.40 39% 138,632 134.78 161.79

AZ 35% 57,051 331.70 338.45 25% 282,400 225.63 227.76

CA 31% 112,443 460.71 457.99 17% 698,630 331.85 319.95

CO 33% 41,220 415.77 406.70 24% 217,539 297.41 279.07

CT 33% 16,052 273.98 286.09 26% 107,541 203.49 208.94

DC 22% 1,389 516.13 431.45 14% 9,124 387.27 348.69

DE 37% 8,577 279.35 307.51 31% 52,944 206.27 212.14

FL 39% 177,616 313.47 311.86 32% 874,656 217.93 214.19

GA 42% 102,709 271.06 305.01 34% 509,096 184.93 208.85

HI 46% 4,829 630.86 513.53 32% 33,951 471.68 357.59

IA 32% 14,048 189.49 203.31 23% 83,664 135.96 148.42

ID 32% 11,075 339.88 332.63 24% 64,715 223.67 224.36

IL 29% 61,143 215.98 251.87 22% 373,367 161.42 179.33

IN 37% 50,959 199.27 221.40 31% 283,748 136.86 151.93

KS 37% 16,477 202.24 230.52 29% 97,291 142.23 164.34

KY 45% 30,593 205.47 222.56 35% 167,932 146.06 156.30

LA 50% 35,398 210.20 241.33 41% 205,221 159.16 177.43

MA 29% 18,235 387.13 382.29 16% 115,704 287.41 267.92

MD 43% 45,729 346.88 339.45 34% 296,633 266.85 249.44

ME 35% 6,160 257.12 282.09 26% 38,316 179.95 192.21

MI 28% 46,519 192.60 221.20 21% 279,609 135.64 156.89

MN 23% 22,345 258.50 285.58 18% 160,512 184.00 198.62

MO 37% 42,490 205.75 228.15 29% 247,477 144.41 162.60

MS 57% 22,310 209.23 225.47 48% 124,681 146.18 161.54

MT 31% 5,007 321.82 325.31 24% 32,545 212.59 217.33

NC 37% 80,731 266.25 300.17 29% 421,940 180.44 203.89

ND 35% 2,686 249.88 244.83 24% 17,130 194.22 183.48

NE 34% 10,156 229.74 233.61 27% 65,398 152.04 161.46

NH 29% 5,735 329.77 322.29 22% 38,565 228.91 215.55

NJ 30% 37,603 331.44 348.78 22% 235,429 243.23 254.42

NM 46% 15,739 252.07 265.71 38% 96,533 169.84 179.24

NV 40% 25,550 356.78 345.13 31% 136,519 253.05 237.07

NY 27% 41,462 302.49 343.58 20% 310,649 211.76 248.43

OH 36% 70,646 191.79 209.30 29% 429,573 132.32 149.64

OK 46% 31,461 210.28 232.70 42% 191,239 143.71 163.49

OR 27% 17,788 364.47 374.42 19% 112,190 257.45 254.25

PA 30% 56,699 207.67 255.35 26% 393,342 150.21 182.37

RI 43% 5,828 342.59 314.16 30% 36,238 237.53 212.99

SC 43% 49,719 264.05 271.93 35% 241,172 187.44 193.59

SD 38% 4,715 253.43 253.76 30% 29,388 175.41 177.70

TN 38% 53,188 270.80 293.70 32% 274,283 180.63 206.27

TX 35% 201,844 283.04 316.89 32% 1,121,603 187.70 215.38

UT 29% 18,230 394.71 398.52 19% 97,746 267.46 265.43

VA 47% 73,541 341.50 336.03 36% 451,688 259.19 250.27

VI 27% 121 380.32 423.90 24% 802 257.48 304.56

VT 24% 1,711 250.65 274.78 19% 12,236 182.35 180.81

WA 30% 36,946 412.13 422.06 22% 234,756 288.96 290.53

WI 27% 19,980 218.22 236.25 17% 125,146 158.31 163.05

WV 53% 10,430 198.68 198.60 44% 60,809 145.60 145.33

WY 42% 4,114 274.51 277.03 35% 25,141 207.65 201.85

Source: Recursion. Note: Outstanding balance is based on loan balance as of July 2023. Ginnie Mae issuance is based on the last 12 months, 

from June 2022 to July 2023. Values above are based on loan level disclosure data, thus excluding loan balances for the first 6 months that loans 

are in a pool. This accounts for the difference in share of outstanding MBS represented above & in Outstanding Single-Family Agency MBS.
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

AUGUST 2023

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

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

As of month-end July 2023, the weighted average coupon (WAC) on outstanding Ginnie Mae MBS

increased slightly from 3.29% in June 2023 to 3.32% as seen in Figure 29. Figure 30 illustrates that 

loans originated since 2019 account for approximately 80% of Ginnie Mae MBS collateral 

outstanding.

Figure 29. Outstanding Ginnie Mae MBS Balance, by Coupon

Figure 30. Outstanding Ginnie Mae MBS Balance, by Vintage

Source: Recursion. Note: July 2023 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.

2.7

2.9

3.1

3.3

3.5

3.7

3.9

4.1

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Avg Coupon %

<3 >=3 and <3.5 >=3.5 and <4 >=4 Average Coupon %

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Pre 2008 2008-2013 2014-2018 2019-2023
GLOBAL MARKETS ANALYSIS REPORT

Agency REMIC Securities

AUGUST 2023

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

7 AGENCY REMIC SECURITIES

7.1 Monthly REMIC Demand for Ginnie Mae MBS

As of month-end July 2023, $4.9 billion of Ginnie Mae MBS were securitized into Real Estate 

Mortgage Investment Conduits (REMICs) as underlying collateral. This represents a 43.7% decrease

YoY from $8.8 billion in July 2022, and a 33.1% MoM decrease from $7.4 billion in June 2023. Of 

that, approximately $295.7 million were multifamily MBS having coupons over 4.01%. $5.9 billion 

were single-family MBS having coupons over 5.01%.

Figure 31. Ginnie Mae Single-Family and Multifamily MBS Securitized into REMICs

Table 7. July 2023 REMIC Collateral Coupon Distribution

Net Coupon (%) Approx. Ginnie Mae MBS amount securitized into REMIC Deals 

($MM)2F

1

% Breakdown of REMIC 

Collateral by coupon

Multifamily

<2.01 0.0 0%

2.01-3.00 0.0 0%

3.01-4.00 213.7 40%

4.01-5.00 202.2 37%

>5.00 125.0 23%

Subtotal 541.0 100.0%

Single-Family

<2.01 0.0 0%

3.00-4.00 0.0 0%

4.01-5.00 20.0 1%

5.01-6.00 3,135.3 71%

6.01-7.00 1,241.9 28%

>7.00 1.6 0%

Subtotal 4,398.9 100.0%

Grand Total 4,939.9 100.0%

Source: Ginnie Mae Disclosure Files

1Totals may not sum due to rounding.

$8.8

$6.0 $8.0 $5.9

$3.4

$7.5 $6.4

$11.7

$7.5 $5.6

$9.9

$7.4

$4.9

$0

$5

$10

$15

$20

$25
GLOBAL MARKETS ANALYSIS REPORT

Agency REMIC Securities

AUGUST 2023

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

7.2 REMIC Market Snapshot

◼ In July 2023, Ginnie Mae and Fannie Mae saw increases in their single-family REMIC 

issuance collateral coupon, 21 bps and 22 bps, respectively. Freddie Mac saw a 22 bp

decrease MoM.

◼ In July 2023, Ginnie Mae saw a substantial increase, 95 bps, in their multifamily REMIC 

issuance collateral coupon to 4.48%, marking the highest coupon rate in over five years. 

Freddie Mac’s multifamily collateral coupon also increased, 29 bps, to the highest collateral 

coupon rate since February 2023.

◼ In July 2023, Ginnie Mae issued 15 deals, across SF and MF, a decrease of 5 deals MoM. 

Ginnie Mae’s total REMIC issuance fell to $5.04 billion in July, the lowest recorded issuance 

since November 2022. 

◼ In July 2023, Fannie Mae issued 3 multifamily deals, totaling $1.8 billion, marking their 

highest multifamily issuance since February 2022. 

Figure 32. REMIC Issuance by Agency2

Table 8. Monthly REMIC Issuance by Agency

SF REMIC 

Issuance 

Volume 

($B)

% of SF REMIC 

Issuance 

Volume

Number of SF 

REMIC 

Transactions

MF REMIC 

Issuance 

Volume ($B)

% of MF 

REMIC 

Issuance 

Volume

Number of MF 

REMIC 

Transactions

Ginnie Mae 4.50 55.7 10 0.54 10.1 5

Freddie Mac 2.67 33.1 7 3.03 56.5 5

Fannie Mae 0.90 11.2 4 1.80 33.5 3

Total3F

3 $8.07 100% 21 $5.37 100% 13

Source: Ginnie Mae Disclosure Files

2 The REMIC Market Snapshot is inclusive of Re-REMIC deals which are not included in the “Monthly REMIC Demand for Ginnie Mae MBS” above.

3 Totals may not sum due to rounding.

0.5

3.0

1.8

4.5 2.7

0.9

Ginnie Mae Freddie Mac Fannie Mae

Outer: Single Family

July Inner: Multifamily
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100% Fed

Commercial Banks

Dealers

GSEs

REITs

Mutual Funds

Money Market Funds

& Pension Funds

Credit Unions

Foreign Investment

Other

8 MBS OWNERSHIP

As of Q1 2023, the largest holders of agency debt (agency MBS + agency notes and bonds) included 

commercial banks (20%), the Federal Reserve (20%), and foreign investors (12%). The Federal 

Reserve’s share decreased slightly to 20% in the first quarter of 2023 from 21% in the fourth quarter

of 2022. Along with the Federal Reserve, commercial banks are one of the largest holders of agency 

MBS. Out of the approximately $2.6 trillion in holdings as of the end of June 2023, roughly $1.95

trillion was held by the top 25 domestic banks per Table 9 below.

Figure 33. Who Owns Total Agency Debt?

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 Q1 2023.

8.1 Commercial Bank Holdings of Agency MBS

Table 9. Commercial Bank Holdings of Agency MBS

Commercial Bank Holdings ($Billions)

Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23

Largest 25 

Domestic Banks 2,052.0 2,056.5 2,054.5 1,961.4 1,952.3 1,953.4 1,947.1 1,961.3 1,955.1

Small Domestic 

Banks 690.9 677.3 663.5 764.0 700.9 627.8 628.4 618.2 610.5

Foreign Related 

Banks 39.3 36.6 30.0 27.0 28.4 26.8 24.0 26.2 24.3

Total, 

Seasonally 

Adjusted

2,782.2 2,770.4 2,748.0 2,752.4 2,681.6 2,608.0 2,599.5 2,605.7 2,589.9

Source: Federal Reserve Bank. Note: Small domestic banks include all domestically chartered commercial banks not included in the top 25. Data 

as of July 2023.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

8.2 Bank and Thrift Residential MBS Holdings

In Q2 2023, MBS holdings at banks and thrifts continued to decrease. The decrease was driven by 

GSE pass-throughs, agency CMO holdings, and Private CMO holdings, with GSE pass-throughs 

seeing the largest decrease. Ginnie Mae pass-throughs saw a decrease of 0.7%, showing the

smallest percentage decrease of all banks and thrifts, QoQ. Total bank and thrift MBS holdings 

decreased by approximately 13.1% from Q2 2022 and 3.2% from Q1 2023. Out of the $2.28 trillion 

in MBS holdings at banks and thrifts as of Q2 2023, $1.39 trillion were GSE pass-throughs and $383

billion were Ginnie Mae pass-throughs.

Table 10. Bank and Thrift Residential MBS Holdings

All Banks & Thrifts

($ in billions)

All MBS

($ in billions)

Year Total GSE PT GNMA PT Private 

MBS Agency CMO Private CMO Banks Thrifts

2001 $730.84 $270.59 $109.53 $37.62 $236.91 $76.18 $606.91 $203.37

2002 $832.50 $376.11 $101.46 $20.08 $244.98 $89.88 $702.44 $209.66

2003 $899.89 $461.72 $75.11 $19.40 $236.81 $106.86 $775.66 $206.45

2004 $1,011.01 $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

2018 $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

2019 $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

4Q21 $2,906.04 $1,915.48 $352.71 $4.45 $577.98 $55.42 $2,529.78 $376.26

1Q22 $2,799.22 $1,817.72 $368.43 $4.04 $548.60 $60.43 $2,476.12 $323.10

2Q22 $2,623.79 $1,665.94 $369.20 $3.81 $523.01 $61.83 $2,321.17 $302.62

3Q22 $2,431.57 $1,520.24 $352.02 $3.29 $496.72 $59.30 $2,156.16 $275.41

4Q22 $2,423.87 $1,505.65 $371.91 $3.96 $481.69 $60.65 $2,154.46 $269.41

1Q23 $2,356.93 $1,441.18 $386.32 $4.12 $465.24 $60.08 $2,088.27 $268.65

2Q23 $2,280.38 $1,389.37 $383.52 $3.03 $446.19 $58.27 $2,022.46 $257.92

Change:

1Q23-2Q23 -3.2% -3.6% -0.7% -26.5% -4.1% -3.0% -3.2% -4.0%

2Q22-2Q23 -13.1% -16.6% 3.9% -20.5% -14.7% -5.7% -12.9% -14.8%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2023.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

Table 11. Top 20 Bank and Thrift Residential MBS Investors ($ in millions)

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

1 BANK OF AMERICA 

CORPORATION

$425,886.0 $358,807.0 $60,878.0 $6,054.0 $147.0 18.7%

2 WELLS FARGO & COMPANY $238,211.0 $154,323.0 $81,335.0 $2,491.0 $62.0 10.4%

3 JPMORGAN CHASE & CO. $161,413.0 $68,554.0 $79,707.0 $517.0 $12,635.0 7.1%

4 CHARLES SCHWAB $156,171.0 $88,295.0 $5,622.0 $62,254.0 $0.0 6.8%

5 Truist Bank $102,173.0 $51,563.0 $11,661.0 $35,921.0 $3,028.0 4.5%

6 U.S. BANCORP $98,929.9 $64,621.7 $23,225.0 $11,083.2 $0.1 4.3%

7 CITIGROUP INC. $82,573.0 $68,947.0 $10,716.0 $2,231.0 $679.0 3.6%

8 PNC Bank, National Association $69,861.0 $59,357.1 $4,037.6 $5,451.7 $1,014.5 3.1%

9 CAPITAL ONE FINANCIAL 

CORPORATION

$63,138.3 $30,002.4 $14,901.6 $17,900.2 $334.1 2.8%

10 MORGAN STANLEY $50,757.0 $32,486.0 $7,190.0 $11,081.0 $0.0 2.2%

11 BANK OF NEW YORK MELLON 

CORP

$39,946.0 $28,321.0 $1,578.0 $8,152.0 $1,895.0 1.8%

12 USAA Federal Savings Bank $38,196.0 $32,268.0 $1,886.0 $4,042.0 $0.0 1.7%

13 State Street Bank and Trust 

Company

$35,556.7 $13,705.0 $6,956.0 $13,345.7 $1,550.0 1.6%

14 BMO Harris Bank National 

Association

$30,642.6 $4,179.4 $6,247.3 $20,215.9 $0.0 1.3%

15 The Huntington National Bank $28,073.2 $11,158.7 $9,193.6 $7,598.1 $122.8 1.2%

16 TD Bank USA/TD Bank NA $26,928.8 $1,079.3 $75.9 $25,737.0 $36.6 1.2%

17 KeyBank National Association $24,634.7 $3,723.2 $182.9 $20,728.6 $0.0 1.1%

18 HSBC Bank USA, National 

Association

$23,944.3 $4,209.0 $14,418.1 $5,316.6 $0.7 1.1%

19 Citizens Bank, National 

Association

$23,183.4 $12,233.4 $5,315.4 $5,634.6 $0.0 1.0%

20 Ally Bank $19,630.0 $12,338.0 $1,801.0 $1,576.0 $3,915.0 0.9%

Total Top 20 $1,739,848.9 $1,100,171.1 $346,927.3 $267,330.7 $25,419.8 76.3%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2023.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

8.3 SOMA Holdings

Below is a summary of the holdings within the Fed’s System Open Market Account (SOMA) as of 

July 26, 2023.

Highlights (June 28, 2023 – July 26, 2023):

◼ Federal Open Market Committee Meeting 7/26/2023 Comments:

◼ “The Committee decided to raise the target range for the federal funds rate to be 5.25%-

5.5%.”

◼ “The Committee is strongly committed to returning inflation to its 2% objective.”

◼ “The Committee will continue reducing its holdings of Treasury securities and agency debt 

and agency mortgage-backed securities, as described in its previously announced plans.”

◼ Next FOMC meeting scheduled for September 19-20.

◼ Inflation fell for the 12th straight month to 3% in June, per the July 12th CPI report.

◼ SOMA holdings of domestic securities totaled $7.5 trillion on Jul 26 (a decrease of $84.7 

billion or -1.12% from Jun 28).

◼ $64.1 billion (76% of the total decrease) was in U.S. Treasury holdings and $20.7 billion (24% 

of the total decrease) was in Agency MBS.

◼ Agency MBS comprise about 33% of the total SOMA portfolio. The $20.7 billion decrease 

was comprised of a $8.4 billion decrease in Fannie Mae holdings, a $7.3 billion decrease in 

Freddie Mac holdings, and a $5.0 billion decrease in Ginnie Mae holdings.

◼ Over 99% of SOMA Agency MBS holdings have coupons of 4.5% or lower with an average 

WAC of 2.509%.

◼ The redemption cap for SOMA’s Agency MBS holdings is set at $35 billion per month. The 

reduction of $20.6 billion in Agency MBS represents 59% of the liquidation cap.

Table 12: SOMA Holdings as of June 28, 2023 and July 26, 2023 ($ Billions)

Holdings by Security 

Type

June 28, 2023 July 26, 2023 Month-Over-Month

SOMA 

Holdings

% Share SOMA 

Holdings

% Share $ Change % Change

US Treasuries $5,037.0 66.47% $4,972.8 66.37% -$64.1 -1.27%

Federal Agency Debt $2.3 0.03% $2.3 0.03% $0.0 0.00%

Agency MBS $2,529.8 33.39% $2,509.2 33.49% -$20.6 -0.81%

Agency Commercial 

MBS

$8.4 0.11% $8.4 0.11% $0.0 -0.15%4

Total SOMA Holdings $7,577.4 100.0% $7,492.7 100.0% -$84.7 -1.12%

Table 13: SOMA Agency MBS Liquidations from June 28, 2023 to July 26, 2023 ($ Billions)

MBS Holdings as of 6.28.23 MBS Holdings 7.26.23 Liquidated Amount Liquidation Cap Percentage of Liquidation Cap

Total $2,529.8 $2,509.2 $20.6 $35.0 59%

Source: New York FED SOMA Holdings https://www.newyorkfed.org/markets/soma-holdings. Notes: The liquidation cap is per calendar month. 

Our analysis here instead covers a four-week period to maintain consistency with other analyses in this report.

4 Table 12 illustrates figures in $ billions, any change less than $50 million will be expressed as a “$0.0” change in the “$ Change” column.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

8.4 Foreign Ownership of MBS

For the month of May 2023, foreign ownership of MBS represented $1.191 trillion in agency MBS, 

down approximately $20 billion from April 2023. Total foreign ownership of Agency MBS represents 

roughly 14% of total Agency MBS outstanding. Total foreign ownership excluding Fed Holdings and 

CMO’s represents roughly 23% of total Agency MBS available.

 -

Figure 34. Agency MBS Owned by Foreign Entities Ex-Fed Holdings and CMO’s (USD Billions)

Figure 35. Agency MBS Owned by Foreign Entities (USD Billions)

Sources: TIC and Recursion, as of May 2023.

10%

15%

20%

25%

30%

35%

 400

 600

 800

 1,000

 1,200

 1,400

 Agency MBS Held by Foreign Entities in $B

% of SF Agency MBS Outstanding

% of SF Agency MBS Outstanding without Fed

% of SF Agency MBS Outstanding without Fed & CMO

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

 200

 400

 600

 800

 1,000

 1,200

 1,400

 Agency MBS Held by Foreign Entities in $B % of Agency MBS Outstanding
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

AUGUST 2023

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

8.5 Foreign Ownership of Agency Debt and Agency MBS

The largest holders of agency MBS were Japan, China, and Taiwan. As of March 2023, these three 

owned 60% of all foreign owned US MBS. Between March 2022 and March 2023, Japan and China 

increased their agency MBS holdings while Taiwan’s holdings decreased. Japan’s holdings increased 

by $27.2 billion, China’s holdings increased by $44.3 billion, and Taiwan’s holdings decreased by 

$20.6 billion.

Table 14. All Agency Debt

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

6/1/2022 9/1/2022 12/1/2022 3/1/2023 Q2 2022 Q3 2022 Q4 2022 Q1 2023

Japan 231,437 232,769 278,068 287,050 (28,407) 1,332 45,299 8,982

China 244,389 241,523 251,566 263,891 24,840 (2,866) 10,043 12,325

Taiwan 222,670 209,453 210,309 212,782 (10,670) (13,217) 856 2,473

Canada 76,391 89,313 97,234 105,527 2,668 12,922 7,921 8,293

Luxembourg 42,840 38,559 47,142 51,268 9,456 (4,281) 8,583 4,126

United Kingdom 66,229 56,348 61,418 41,147 17,793 (9,881) 5,070 (20,271)

South Korea 37,963 35,643 36,240 38,146 (2,365) (2,320) 597 1,906

Cayman Islands 34,981 35,081 30,954 29,485 3,009 100 (4,127) (1,469)

Ireland 20,204 17,692 22,478 25,100 (385) (2,512) 4,786 2,622

France 16,706 16,199 19,805 22,578 (421) (507) 3,606 2,773

Other 199,626 191,424 187,241 196,266 12,816 (8,202) (4,183) 9,025

Total 1,193,436 1,164,004 1,242,455 1,273,240 28,334 (29,432) 78,451 30,785

Table 15. Agency MBS

Country Level of Holdings ($ Millions)

3/1/2022 3/1/2023 YoY Change in Holdings ($ Millions)

Japan 259,844 287,050 27,206

China 219,549 263,891 44,342

Taiwan 233,340 212,782 -20,558

Canada 73,723 105,527 31,804

Luxembourg 33,384 51,268 17,884

United Kingdom 48,436 41,147 -7,289

South Korea 40,328 38,146 -2,182

Cayman Islands 31,972 29,485 -2,487

Ireland 20,589 25,100 4,511

France 17,127 22,578 5,451

Other 186,810 196,266 9,456

Total 1,165,102 1,273,240 108,138

Source: Treasury International Capital (TIC). Note: Level of agency debt Holdings by month data as of Q1 2023. Agency MBS as of March 2023. 

Revised to include top 10 holders of agency debt listed as of March 2023.
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Liquidity Indicators

AUGUST 2023

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

$247

$747

$42

$0

$100

$200

$300

$400

$500

$600

$700

$800

200320042005200620072008200920102011201220132014201520162017201820192020202120222023

$ Billions

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

9 FIXED INCOME LIQUIDITY INDICATORS

The agency MBS average daily trading volume YTD as of month-end July 2023 was $247 billion, 

which was up from a monthly average of $241 billion for calendar year 2022. As of month-end July 

2023, agency MBS average daily trading volume decreased 2.7% MoM. See footnote below for 

update on “Average Daily Turnover by Sector” data. 

Figure 36. Average Daily Trading Volume by Sector

Figure 37. Average Daily Turnover by Sector

Source: SIFMA. Note: Data as of July 2023 for Average Daily Trading Volume by Sector and as of December 2021 for agency MBS in Average 

Daily Turnover by Sector. The MBS outstanding database for Turnover by Sector is under maintenance and is not updated in this report. 

2.70%

2.96%

0.37% 0%

2%

4%

6%

8%

10%

12%

14%

20022003200420052006200720082009201020112012201320142015201620172018201920202021

Agency MBS Turnover Treasury Turnover Corporates Turnover
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

PRIMARY MORTGAGE MARKET

10 AGENCY CREDIT BREAKDOWN

Tables 16, 17, and 18 below outline the population distributions of FICOs, DTIs, and LTVs between 

the agencies and between FHA, VA, and other Ginnie Mae loan sources as of month-end July 2023. 

The distribution statistics capture some key differences in the populations served by the agencies. 

10.1 Credit Scores

Table 16. Share of Loans by FICO Score

Purchase FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 238,168 651 693 745 781 799 734

Fannie 76,504 702 734 767 790 802 758

Freddie 73,723 693 726 762 788 802 754

Ginnie 87,941 626 652 689 740 781 696

Refi FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 47,131 624 657 703 756 789 704

Fannie 14,909 668 704 746 780 799 739

Freddie 12,082 661 693 733 773 796 731

Ginnie 20,140 596 628 658 694 734 662

All FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 285,299 645 686 739 779 798 729

Fannie 91,413 695 729 764 789 802 755

Freddie 85,805 687 721 759 787 801 751

Ginnie 108,081 621 647 682 732 776 690

Purchase FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 87,941 626 652 689 740 781 696

FHA 54,965 622 646 675 715 753 681

VA 29,957 636 674 731 777 798 723

Other 3,019 632 655 692 735 765 695

Refi FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 20,140 596 628 658 694 734 662

FHA 13,876 592 624 653 685 718 654

VA 6,252 608 638 672 718 763 678

Other 12 679 684 692 763 766 714

All FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 108,081 621 647 682 732 776 690

FHA 68,841 616 642 671 708 748 676

VA 36,209 631 664 719 771 796 715

Other 3,031 632 655 692 735 765 695

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files. Note: All averages are rounded to the nearest whole number.
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

Figure 38. FICO Distributions by Agency

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files.

0.0%

2.4%

12.6%

28.6%

45.4%

11.0%

0.1%

2.0%

9.5%

27.3%

49.2%

11.9%

2.2%

16.8%

23.6%

22.0%

27.6%

6.9%

5.3%

28.4%

36.8%

18.7%

8.0%

0.8%

550 - 600

600 - 650

650 - 700

700 - 750

750 - 800

800 - 850

FHA VA Fannie Mae Freddie Mac
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.2 Loan-to-Value (LTV)

Table 17. Share of Loans by LTV

Purchase LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 238,448 63 80 92 98 100 86

Fannie 76,592 55 75 80 95 95 80

Freddie 73,743 54 75 80 95 95 80

Ginnie 88,113 90 97 98 100 100 96

Refi LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 46,813 34 51 69 80 85 64

Fannie 14,916 28 42 58 70 79 55

Freddie 12,082 29 43 59 70 79 56

Ginnie 19,815 56 70 80 81 91 76

All LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 285,261 54 75 89 97 99 82

Fannie 91,508 47 66 80 90 95 76

Freddie 85,825 47 68 80 93 95 76

Ginnie 107,928 77 91 98 99 100 93

Purchase LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 88,113 90 97 98 100 100 96

FHA 55,079 92 97 98 98 98 96

VA 30,001 85 100 100 100 102 97

Other 3,033 94 99 101 101 101 98

Refi LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 19,815 56 70 80 81 91 76

FHA 13,927 53 67 78 81 81 72

VA 5,876 64 78 89 94 100 84

Other 12 70 74 86 99 99 85

All LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 107,928 77 91 98 99 100 93

FHA 69,006 76 88 98 98 98 91

VA 35,877 80 92 100 100 102 95

Other 3,045 94 99 101 101 101 98

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files. Note: All averages are rounded to the nearest whole number.
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

Figure 39. Loan-to Value by Agency

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files.

20.0%

39.9%

32.9%

7.3%

21.1%

41.8%

29.9%

7.3%

3.6%

9.2%

21.3%

65.9%

3.5%

10.5%

18.3%

67.7%

0.00% 10.00% 20.00% 30.00% 40.00% 50.00% 60.00% 70.00% 80.00%

0 - 60%

60 - 80%

80 - 95%

95 - 100%

FHA VA Fannie Mae Freddie Mac
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.3 Debt-to-Income (DTI)

Table 18. Share of Loans by DTI

Purchase DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 238,017 26 34 41 47 51 40

Fannie 76,592 24 31 39 45 48 37

Freddie 73,743 24 31 39 45 49 38

Ginnie 87,682 32 39 45 51 55 44

Refi DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 46,520 25 33 41 47 50 39

Fannie 14,916 22 30 37 43 47 36

Freddie 12,082 24 32 40 46 49 38

Ginnie 19,522 29 36 44 50 55 42

All DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 284,537 26 34 41 47 51 40

Fannie 91,508 24 31 39 44 48 37

Freddie 85,825 24 31 40 46 49 38

Ginnie 107,204 31 38 45 51 55 44

Purchase DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 87,682 32 39 45 51 55 44

FHA 55,032 34 40 46 52 55 45

VA 29,621 30 37 45 51 56 44

Other 3,029 27 31 36 40 42 35

Refi DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90

.

Mean

All 19,522 29 36 44 50 55 42

FHA 13,800 29 36 44 50 55 43

VA 5,710 28 35 43 50 54 42

Other 12 26 34 36 41 41 36

All DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 107,204 31 38 45 51 55 44

FHA 68,832 33 39 46 51 55 45

VA 35,331 30 37 44 51 56 44

Other 3,041 27 31 36 40 42 35

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files. Note: All averages are rounded to the nearest whole number
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

Figure 40. Debt-to Income by Agency

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files.

36.3%

33.9%

29.7%

39.1%

36.0%

24.9%

20.1%

28.3%

51.6%

14.7%

27.7%

57.6%

0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0%

0 - 35%

35 - 44%

> 44%

FHA VA Fannie Mae Freddie Mac
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.4 High LTV Loans: Ginnie Mae vs. GSEs

Comparing the three-month range of May 2022 – July 2022 to the three-month range of May 2023 

– July 2023, the share of high-LTV agency loans with:

◼ FICO scores above 750 increased by approximately 4.9%.

◼ DTIs below 35% decreased by approximately 19.1%.

YoY, the share of high-LTV loans increased in the Ginnie Mae guarantee portfolio by approximately 

8% and in the GSE guarantee portfolios by approximately 15%. Still, Ginnie Mae maintains its key 

role of expanding credit access to low-to-moderate income borrowers as it continues to dominate 

high-LTV lending, with 71.41% of its issuances between May 2023 – July 2023 having LTVs of 95 or 

above, compared to 23.18% for the GSEs.

Table 19. Share of Loans with LTV > 95

Ginnie Mae GSE All

May 2022 - Jul 2022 63.56% 20.21% 34.74%

May 2023 - Jul 2023 71.41% 23.18% 40.78%

Table 20. Agency Market Share by DTI and FICO for Loans with LTV > 95 (May 2022-July 2022)

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 2.33% 3.95% 5.45% 9.10% 0.04% 20.88%

35-45 5.84% 9.11% 10.55% 11.96% 0.04% 37.51%

≥45 7.17% 11.95% 10.39% 9.58% 0.04% 39.14%

NA 0.55% 0.38% 0.26% 0.25% 1.04% 2.47%

All 15.89% 25.39% 26.65% 30.90% 1.17% 100.00%

Table 21. Agency Market Share by DTI and FICO for Loans with LTV > 95 (May 2023-July 2023)

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 1.86% 2.98% 4.35% 7.66% 0.04% 16.90%

35-45 5.38% 8.15% 10.07% 12.42% 0.05% 36.07%

≥45 7.69% 12.98% 12.94% 12.16% 0.12% 45.89%

NA 0.25% 0.19% 0.11% 0.18% 0.40% 1.13%

All 15.19% 24.30% 27.48% 32.42% 0.61% 100.00%

Sources: Recursion and Ginnie Mae. Data as of July 2023.
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.5 Serious Delinquency Rates

Serious delinquency rates for single-family GSE, VA, and FHA loans all fell in Q2 2023. From Q1 2023 

to Q2 2023, Fannie and Freddie serious delinquencies decreased by 4 and 6 bps, respectively. 

Ginnie Mae collateral’s serious delinquency rates decreased more than the GSE rate, with VA 

decreasing 11 bps and FHA decreasing 35 bps. This overall decline in serious delinquency rates is 

consistent with the decrease in the number of loans in forbearance captured in Section 11 below.

Figure 41. Serious Delinquency Rates: Single-Family Loans

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q2 2023.

3.61%

0.56%

0.55%

2.15%

0%

2%

4%

6%

8%

10%

12%

4Q063Q072Q081Q094Q093Q102Q111Q124Q123Q132Q141Q154Q153Q162Q171Q184Q183Q192Q201Q214Q213Q222Q23

Serious Delinquency Rates

FHA Fannie Mae Freddie Mac VA
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.6 Credit Box

The first-time homebuyer share for agency purchase loans was 53.7% as of month-end July 2023, a

decrease from 55.0% in June 2023 and up from 53.4% in July 2022. Ginnie Mae and Fannie Mae’s 

first-time homebuyer shares, 64.7% and 47.5% respectively, as of month-end July 2023, have 

decreased 2.7% and 1.5% respectively, YoY. Freddie Mac’s first-time homebuyer share increased 

7.1% YoY. Table 22 shows that based on mortgages originated as of month-end July 2023, the 

average GSE first-time homebuyer was more likely to have a higher credit score and lower LTV.

Ginnie Mae’s first-time homebuyers were more likely to have lower loan amounts and higher DTI’s

while loan rates were very similar.

Figure 42. First-Time Homebuyer Share: Purchase Only Loans

Table 22. Agency First-Time Homebuyer Share Summary

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount 

$

350,955 361,224 327,866 342,316 314,088 366,206 328,292 355,928

Credit Score 753 763 747 760 690 708 723 747

LTV (%) 85 75 85 74 97 95 91 80

DTI (%) 37 37 38 38 44 45 40 40

Loan Rate (%) 6.4 6.5 6.5 6.5 6.3 6.2 6.4 6.4

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files as of July 2023

47.0%

47.5%

64.7%

53.7%

25%

35%

45%

55%

65%

75%

First-Time Homebuyer Share

Freddie Fannie Ginnie All
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

In the Ginnie Mae purchase market, 71.8% of FHA loans, 49.9% of VA loans, and 83.1% of other 

loans provided financing for first-time home buyers as of month-end July 2023. The share of firsttime home buyers in the Ginnie Mae purchase market decreased MoM for VA, FHA, and other 

loans. Table 23 shows that based on mortgages originated as of month-end July 2023; the credit 

profile of the average VA first-time homebuyer differed from the average VA repeat buyer. The 

average VA first-time homebuyer took out 16.0% smaller loans, had a 21.7-point lower credit score, 

4.3% higher LTV and had a 13 bp higher interest rate. FHA’s first-time homebuyers are much more 

like their repeat buyers, with only 4.2% smaller loans, similar interest rates, and 2.0% higher LTVs. 

Because FHA provides one of few credit options for borrowers with lower credit scores, repeat 

borrowers with weaker credit profiles are often limited to FHA financing; FHA’s repeat buyers have 

similar credit scores compared to their first-time home buyers. For VA and conventional borrowers 

alike, repeat buyers tend to have higher credit scores than first-time homebuyers.

Figure 43. First-time Homebuyer Share: Ginnie Mae Breakdown

Table 23. Ginnie Mae First-Time Homebuyer Share Breakdown Summary

FHA VA Other Total

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

Loan Amount $ 308,663 322,213 350,668 417,658 182,058 189,086 314,088 366,206

Credit Score 681 682 712 734 695 696 690 708

LTV (%) 97 95 99 94 98 98 97 95

DTI (%) 45 46 43 45 35 36 44 45

Loan Rate (%) 6.3 6.3 6.2 6.1 6.4 6.2 6.3 6.2

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files as of July 2023

71.8%

49.9%

83.1%

64.7%

40%

50%

60%

70%

80%

90%

First-time Homebuyer Share

FHA VA Other All
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

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

10.7 Credit Box: Historical

The median FICO score for all agency loans originated as of month-end July 2023 was 737, which 

represents an 8-point increase YoY. Ginnie Mae median FICO scores increased 8 points YoY to 679 

as of month end July. 2023. As of month-end July 2023, average FICO scores for refinances 

increased for Fannie Mae and Freddie Mac borrowers by 15 and 13 points YoY, respectively.

Figure 44. FICO Scores for All Loans

Figure 45. FICO Scores for Purchase Loans Figure 46. FICO Scores for Refinance Loans

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files

759

764

679

737

660

680

700

720

740

760

780

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

640

660

680

700

720

740

760

780

Jul-18 Jul-19 Jul-20 Jul-21 Jul-22 Jul-23

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

640

660

680

700

720

740

760

780

Jul-18 Jul-19 Jul-20 Jul-21 Jul-22 Jul-23

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 44

In July 2023, the median LTV for Ginnie Mae loans was 98.2% compared to 80% for Fannie Mae and 

Freddie Mac, owing primarily to the lower down-payment requirements for government loan 

programs. Ginnie Mae, Fannie Mae, and Freddie Mac all saw their LTV ratios remain flat YoY from 

July 2022 to July 2023. In July 2023, median DTIs for Ginnie Mae, Freddie Mac, and Fannie Mae 

were 45.0%, 40.0%, and 39.0% respectively. In July 2022, median DTIs for Ginnie Mae, Freddie Mac, 

and Fannie Mae were 44.0%, 39.0%, and 38.0% respectively.

Figure 47. LTV Ratio for All Loans

Figure 48. DTI Ratio for All Loans

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files.

80.0

98.2

90.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Loan-to-Value Ratio (%)

Freddie Median Fannie Median Ginnie Median All Median

40.0

39.0

45.0

41.1

32.0

34.0

36.0

38.0

40.0

42.0

44.0

46.0

Freddie Median Fannie Median Ginnie Median All Median

80.0
GLOBAL MARKETS ANALYSIS REPORT

Forbearance Trends

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 45

11 FORBEARANCE TRENDS

At the end of July 2023, 67,013 Ginnie Mae loans were in forbearance. The number of loans in 

forbearance removed from MBS pools in July was 344 while 66,669 loans in forbearance remain in 

pools. The number of loans in forbearance, loans in forbearance that were removed from pools, 

and loans in forbearance that remained in pools decreased MoM. The median current principal 

balance for Ginnie Mae, FHA, and VA was higher for loans in forbearance originated by nonbanks 

than banks in all subsets.

Table 24. Forbearance Snapshot

All Loans in Forbearance – July 2023

FICO 

Score*

Note 

Rate*

Current Principal Balance 

Median

First Time 

Homebuyer Share 

(%)

Purchase 

Share (%)

Loan Count

Ginnie 655 3.8 $207,910 74.1 75.7 67,013

Bank 672 3.9 $142,898 84.4 88.4 9,548

Nonbank 653 3.8 $219,491 73.0 74.5 57,446

FHA 651 3.9 $201,897 77.7 78.4 50,973

Bank 671 4.0 $140,585 87.3 90.7 8,215

Nonbank 649 3.9 $214,380 76.5 77.1 42,743

VA 664 3.6 $268,271 59.0 64.2 12,027

Bank 674 3.5 $187,043 57.1 69.8 902

Nonbank 664 3.6 $275,576 59.0 63.9 11,122

Loans in Forbearance and Removed from Pools – July 2023

FICO 

Score*

Note 

Rate*

Current Principal Balance 

Median

First Time 

Homebuyer Share 

(%)

Purchase 

Share (%)

Loan Count

Ginnie 659 3.6 $176,928 66.0 58.5 344

Bank 662 4.0 $79,875 77.1 80.1 98

Nonbank 659 3.5 $220,277 64.0 55.7 246

FHA 648 3.7 $166,169 66.0 63.7 239

Bank 660 4.3 $62,225 72.3 79.5 74

Nonbank 646 3.6 $207,966 64.8 61.5 165

VA 681 3.3 $222,636 64.4 42.0 82

Bank 668 3.3 $150,206 80.1 66.7 12

Nonbank 682 3.3 $239,978 63.0 40.4 70

Loans in Forbearance that Remain in Pools – July 2023

FICO 

Score*

Note 

Rate*

Current Principal Balance 

Median

First Time 

Homebuyer Share 

(%)

Purchase 

Share (%)

Loan Count

Ginnie 655 3.8 $208,039 74.2 75.8 66,669

Bank 672 3.9 $143,334 84.5 88.5 9,450

Nonbank 653 3.8 $219,485 73.0 74.6 57,200

FHA 651 3.9 $202,054 77.8 78.5 50,734

Bank 671 4.0 $141,172 87.3 90.8 8,141

Nonbank 649 3.9 $214,402 76.5 77.1 42,578

VA 664 3.6 $268,453 58.9 64.3 11,945

Bank 675 3.5 $187,491 57.0 69.9 890

Nonbank 664 3.6 $275,814 59.0 64.1 11,052

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 July 2023; *Averages weighted by remaining principal balance of the loans.
GLOBAL MARKETS ANALYSIS REPORT

Holders of Ginnie Mae Mortgage Servicing Rights

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 46

12 HOLDERS OF GINNIE MAE MORTGAGE SERVICING RIGHTS

The 30 largest owners of mortgage servicing rights (MSR) by UPB for loans collateralizing Ginnie 

Mae MBS is shown in Table 25. The top 30 firms collectively own 87.22% of Ginnie Mae MSRs (see 

Cumulative Share). Twenty-two of these top 30 are non-depository institutions, the remaining eight

are depository institutions. As of July 2023, over half (53.73%) of the Ginnie Mae MSRs are owned 

by the top six firms.

Table 25. Top 30 Holders of Ginnie Mae Mortgage Servicing Rights (MSRs), by UPB

MSR Holder Rank

Current Year prior Change

UPB

($ millions) Share

Cumulative 

Share

CPR CDR

LAKEVIEW LOAN SERVIC 1 3 $302,510,676,674 13.55% 13.55% 7.17% 1.04%

DBA FREEDOM HOME MOR 2 1 $276,402,518,262 12.38% 25.93% 7.45% 0.72%

PENNYMAC LOAN SERVIC 3 2 $260,596,500,891 11.67% 37.60% 7.15% 0.81%

NATIONSTAR MORTGAGE, 4 4 $127,264,313,047 5.70% 43.30% 8.59% 1.68%

NEWREZ LLC 5 8 $124,247,339,733 5.57% 48.87% 6.23% 0.65%

ROCKET MORTGAGE, LLC 6 6 $108,608,827,879 4.86% 53.73% 6.60% 0.24%

WELLS FARGO BANK, NA 7 5 $107,213,856,691 4.80% 58.54% 8.21% 0.58%

CARRINGTON MORTGAGE 8 7 $98,088,804,661 4.39% 62.93% 7.32% 0.80%

PLANET HOME LENDING, 9 12 $61,084,113,459 2.74% 65.67% 5.90% 0.63%

U. S. BANK, NA 10 10 $54,304,061,970 2.43% 68.10% 5.21% 0.24%

UNITED WHOLESALE MOR 11 11 $49,343,728,540 2.21% 70.31% 5.93% 2.06%

LOANDEPOT.COM,LLC 12 14 $38,538,448,074 1.73% 72.04% 4.28% 0.28%

NAVY FEDERAL CREDIT 13 15 $29,202,644,971 1.31% 73.34% 7.11% 0.82%

M&T BANK 14 NR $28,063,004,534 1.26% 74.60% 7.34% 0.27%

MORTGAGE RESEARCH CE 15 13 $27,073,011,757 1.21% 75.81% 7.71% 0.39%

GUILD MORTGAGE COMPANY 16 17 $23,378,402,735 1.05% 76.86% 6.70% 0.54%

THE MONEY SOURCE INC 17 18 $21,776,479,922 0.98% 77.84% 7.25% 0.95%

AMERIHOME MORTGAGE 18 16 $20,658,374,546 0.93% 78.76% 7.39% 1.01%

CROSSCOUNTRY MORTGAGE 19 20 $20,275,471,486 0.91% 79.67% 6.70% 0.65%

TRUIST BANK 20 19 $20,172,653,355 0.90% 80.57% 9.00% 0.99%

NEW AMERICAN FUNDING 21 21 $19,088,833,678 0.86% 81.43% 6.17% 0.27%

MOVEMENT MORTGAGE, LLC 22 23 $18,821,520,287 0.84% 82.27% 5.57% 0.35%

CMG MORTGAGE, INC. 23 24 $18,794,432,443 0.84% 83.11% 6.63% 1.19%

IDAHO HOUSING 24 26 $15,662,927,556 0.70% 83.82% 5.69% 1.04%

PHH MORTGAGE CORPORATION 25 29 $15,121,993,033 0.68% 84.49% 5.88% 0.45%

CITIZENS BANK N.A. 26 27 $13,962,017,814 0.63% 85.12% 6.20% 0.07%

FLAGSTAR BANK, N.A. 27 NR $13,200,629,511 0.59% 85.71% 6.00% 0.21%

MIDFIRST BANK 28 28 $12,525,899,683 0.56% 86.27% 10.72% 5.40%

CARDINAL FINANCIAL 29 30 $11,042,135,141 0.49% 86.76% 6.52% 1.20%

SUN WEST MORTGAGE CO 30 NR $10,258,263,761 0.46% 87.22% 6.25% 0.31%

Sources: Deloitte, Recursion. Notes: Data as of July 2023.
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originators

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 47

30%

40%

50%

60%

70%

80%

90%

100%

All Fannie Freddie Ginnie

30%

40%

50%

60%

70%

80%

90%

100%

All Fannie Freddie Ginnie

13 AGENCY NONBANK ORIGINATOR

Total agency nonbank origination share increased as of month-end July 2023 by approximately 3.1% 

MoM. The increase in nonbank origination share was driven by a decrease in both Ginnie Mae and 

Freddie Mac nonbank origination share, up 0.5% and 4.5% MoM, respectively. The Ginnie Mae 

nonbank share rose to 89.8% as of July 2023 and has remained consistently higher than the GSEs, 

largely driven by origination share of refinance mortgage loans. 

Figure 49. Agency Nonbank Originator Share (All, Purchase, Refi)

Source: Recursion. Notes: Data as of July 2023.

82.8%

76.4%

80.4%

89.8%

30%

40%

50%

60%

70%

80%

90%

100%

All Fannie Freddie Ginnie

Figure 50. Nonbank Origination Share:

Purchase Loans

Figure 51. Nonbank Origination Share:

Refi Loans
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 48

Ginnie Mae’s total nonbank originator share remained relatively stable as of month-end July 2023. 

Ginnie Mae continues to have a high proportion of nonbank originations, with a rate of 89.8% in 

July 2023. The percent of Ginnie Mae’s Other nonbank refinanced loans decreased to 89.6% in July 

2023.

Figure 52. Ginnie Mae Nonbank Originator Share (All, Purchase, Refi)

Source: Recursion. Notes: Data as of July 2023.

89.6%

89.8%

90.7%

88.3%

40%

50%

60%

70%

80%

90%

100%

FHA VA Other All

40%

50%

60%

70%

80%

90%

100%

All FHA VA Other

20%

30%

40%

50%

60%

70%

80%

90%

100%

All FHA VA Other

Figure 53. Ginnie Mae Nonbank Share:

Purchase Loans

Figure 54. Ginnie Mae Nonbank Share:

Refi Loans
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 49

660

670

680

690

700

710

720

All Median FICO Bank Median FICO

Nonbank Median FICO

720

730

740

750

760

770

780

All Median FICO Bank Median FICO

Nonbank Median FICO

13.1 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE

13.1.1 (FICO, LTV, DTI)

The mortgage loan originations of nonbanks continued to have a consistently lower median FICO 

score than their bank counterparts across all agencies. The spread between nonbank and bank FICO 

scores decreased by 1 point from June 2023 to July 2023. The agency median FICO decreased by 1 

point MoM to 737.

Figure 55. Agency FICO: Bank vs. Nonbank

Figure 56. GSE FICO: Bank vs. Nonbank Figure 57. Ginnie Mae FICO: Bank vs. Nonbank

Source: Recursion: Notes: Data as of July 2023.

737

753

732

700

710

720

730

740

750

760

770

780

All Median FICO Bank Median FICO Nonbank Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 50

The median LTV for all GSE originators remained the same as of month-end July 2023 MoM at 80%. 

Ginnie Mae median bank and nonbank LTV remained flat at 98.19% MoM. Ginnie Mae median DTI 

slightly rose to 45.1% MoM July 2023 in nonbank originations.

Figure 58. GSE LTV: Bank vs. Nonbank Figure 59. Ginnie Mae LTV: Bank vs. Nonbank

Source: Recursion. Notes: Data as of July 2023.

38

39

40

41

42

43

44

45

46

All Median DTI

Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

All Median DTI

Bank Median DTI

Nonbank Median DTI

94

96

98

100

All Median LTV

Bank Median LTV

Nonbank Median LTV

68

70

72

74

76

78

80

82

All Median LTV

Bank Median LTV

Nonbank Median LTV

Figure 60. GSE DTI: Bank vs. Nonbank Figure 61. Ginnie Mae DTI: Bank vs. Nonbank
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 51

660

670

680

690

700

710

720

All Median FICO

Bank Median FICO

Nonbank Median FICO

As of month-end July 2023, the median FICO score for Ginnie Mae bank increased 8 points to 690 

and nonbank remained at 677 MoM. The median FICO for all Ginnie originations increased 2 points 

to 679 MoM. The gap between banks and nonbanks is most apparent in VA lending (22-point 

spread).

Source: Recursion. Notes: Data as of July 2023.

670

680

690

700

710

720

Other All Median FICO

Other Bank Median FICO

Other Nonbank Median FICO

Figure 63. Ginnie Mae FHA FICO Score:

Bank vs. Nonbank

Figure 62. Ginnie Mae FICO Score:

Bank vs. Nonbank

Figure 64. Ginnie Mae VA FICO Score:

Bank vs. Nonbank

Figure 65. Ginnie Mae Other FICO Score:

Bank vs. Nonbank

650

660

670

680

690

FHA All Median FICO

FHA Bank Median FICO

FHA Nonbank Median FICO

680

690

700

710

720

730

740

750

760

VA All Median FICO

VA Bank Median FICO

VA Nonbank Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 52

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

Figure 66. Ginnie Mae DTI: Bank vs. Nonbank Figure 67. Ginnie Mae FHA DTI: Bank vs. Nonbank

Figure 68. VA DTI: Bank vs. Nonbank Figure 69. Other DTI: Bank vs. Nonbank

Source: Recursion. Notes: Data as of July 2023.

38

39

40

41

42

43

44

45

46

All Median DTI

Bank Median DTI

Nonbank Median DTI

38

40

42

44

46

48

FHA Median DTI

FHA Bank Median DTI

FHA Nonbank Median DTI

34

35

36

37

38

Other Median DTI

Other Bank Median DTI

Other Nonbank Median DTI

32

34

36

38

40

42

44

46

48

VA Median DTI

VA Bank Median DTI

VA Nonbank Median DTI
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 53

14 ENVIRONMENTAL, SOCIAL, AND GOVERNANCE

Ginnie Mae Mortgage-Backed Securities are collateralized by loans that facilitate homeownership 

for low-to-moderate income (LMI) borrowers, veterans, rural borrowers, and others that 

traditionally experience challenges in their efforts to achieve homeownership or obtain housing. 

Ginnie Mae is enhancing their disclosures to provide insight into the extent that the securities they 

guarantee support meaningful environmental and social goals. The timeline below captures the 

efforts Ginnie Mae has taken to produce ESG disclosures in recent years.

14.1 Environmental, Social, and Governance: A Summary

Ginnie Mae’s guaranty of the securities provides a connection between the primary and secondary 

mortgage markets that promote access to mortgage credit throughout the Nation for residential 

and multifamily properties. The table below captures the outcomes Ginnie Mae has seen, both 

socially and environmentally, through its guaranty program.

Table 26. ESG Metrics – MBS Portfolio (July 2023)

May 2021: LMI 

“Social” Disclosures 

(% of loans in LMI 

Areas)

June 2021: Disclosures reveal 

that approximately $259 

billion of Outstanding Ginnie

Mae MBS categorized as LMI 

area loans as defined by 

HUD’s CDBG Program

November 2021: Green 

“Environmental” Status 

Disclosures Announced 

identifies Green properties 

within Multifamily Pools.

March 2022: 

Full 

implementation 

of Green Status 

Field into 

Multifamily 

Disclosures

April 2022: 

Introduction of 

Affordable 

Status 

Disclosure for 

Multifamily 

properties

February 2023: 

Low-Moderate 

Income Borrower 

(LMIB) Disclosure 

Announced
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 54

1.3% 0.4%

56.9%

8.7%

32.7%

Figure 70. Composition of Ginnie Mae 

Green Status and Affordable Multifamily 

Collateral

Green/Affordable

Green/Broadly Affordable

Green/Market

Affordable

Broadly Affordable

14.2 Environmental

Table 27. UPB by ESG Status

ESG Status UPB %

Green/Affordable $1,046,275,257 0.7%

Green/Broadly 

Affordable $326,708,662 0.2%

Green/Market $46,024,767,792 31.0%

Green Total $47,397,751,711 31.9%

Affordable5 $7,040,929,789 4.7%

Broadly 

Affordable2

$26,397,952,824 17.8%

Affordable Total $34,811,866,532 23.4%

ESG Total $80,836,634,324 54.4%

Total $148,676,331,607 100.0%

Much of Ginnie Mae’s environmental impact is made through its Multifamily programs. 

Approximately 32% of Ginnie Mae collateral are “Green”-certified, as defined by the multiple 

organizations that sponsor and maintain green building certifications, including the US Green 

Building Council, Energy Star, Greenpoint, and the National Green Building Standard, just to name a 

few. Additionally, over 23% of Ginnie Mae Multifamily collateral is “Affordable” or “Broadly 

Affordable”. In total 54.4% of Ginnie Mae’s Multifamily collateral is considered ESG.

Sources: Ginnie Mae Disclosures as of July 2023, https://www.hud.gov/program_offices/housing/mfh/green

14.3 Social

With the introduction of Ginnie Mae’s new social disclosures, investors can now identify the 

number of underlying loans made to LMI borrowers, the percentage of LMI loan count out of total 

loan count, the unpaid principal balance (UPB) of LMI loans in the MBS, and the percentage of LMI 

UPB out of total MBS UPB. The borrower household income and address data, received from the 

government’s insuring and guarantying agencies, is compared against the appropriate Federal 

Financial Institution’s Examination Council (FFIEC) Area Median Income (AMI) database by loan 

origination year. If the borrower income is less than 80 percent of its respective AMI income value, 

in the associated census tract, their mortgage will be flagged as an LMI loan.

5 “Affordable” and “Broadly Affordable” removes “Green/Affordable” and “Green/Broadly Affordable” from the UPB total. 
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 55

14.3.1 LOW-TO-MODERATE INCOME BORROWERS

Over $287 billion of Ginnie Mae single-family collateral and approximately 1.7 million of loans 

outstanding have been issued too low to moderate income borrowers. Total ESG UPB increased by 

approximately $23 billion over the past 12 months as of July 2023. 

Figure 71. ESG Share of the Outstanding SF Portfolio

Source: Ginnie Mae Disclosures as of July 2023

The UPB of pools that are made up of 20% or more LMI loans make up over 9% of total pool UPB. 

These pools have slightly higher LTV’s, marginally lower FICO scores, and substantially lower loan 

sizes than pools made up of less than 20% LMI loans. The UPB of pools that are made up of less 

than 20% LMI loans make up roughly 90% of total UPB.

Table 28. Percent LMI by Pool Share

Metric LMI Pool Share 

>50%

LMI Pool Share >=20 -

<50%

LMI Share < 

20% All Pools

Total UPB ($ billions) $7.9 $194.8 $1,985.7 $2,188.4

Average Original Loan 

Size $170,334 $187,829 $331,218 $317,873

Credit Score (Median) 675 675 679 677

DTI (Median) 40% 40% 40% 40%

LTV (Median) 97% 96% 95% 96%

Interest Rate (WA) 4.66% 4.43% 3.69% 3.76%

Source: Ginnie Mae Disclosures as of July 2023

$250

$255

$260

$265

$270

$275

$280

$285

$290

12.00%

12.50%

13.00%

13.50%

14.00%

14.50%

15.00%

15.50%

16.00%

ESG UPB in Billions

Percent Share of Guarantee Portfolio

ESG UPB Pool UPB Share Loan Count Share
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 56

14.3.2 PURCHASE AND REFINANCE ORIGINATION BY INCOME BRACKET

Over 18% of all purchase and refinance loan originations guaranteed by Ginnie Mae are to 

households with income less than $50,000 compared to 10.7% of the Government Sponsored 

Entities (GSE’s) single-family guarantee portfolio. Additionally, over 68% of these loan originations 

guaranteed by Ginnie Mae are to households with income less than $100,000 compared to 47.3% at 

the GSE’s.

Figure 72. Income Distribution of Homebuyers Served Under Ginnie Mae Program

Source: Home Mortgage Disclosure Act (HMDA) data as of 2022

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

<5

10-1520-2530-3540-4550-5560-6570-7580-8590-95

100-105110-115120-125130-135140-145150-155160-165170-175180-185190-195200-205210-215220-225230-235240-245

>250

% of Homebuyers

Income in Thousands

All Households Ginnie Mae Borrowers Conventional Loan Borrowers
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 57

U.S. HOUSING MARKET

15 HOUSING AFFORDABILITY

15.1 Housing Affordability – Home Price Appreciation

Home prices increased in all regions in Q2 2023. Notably, the East North Central, Middle Atlantic, 

and New England regions all saw over a 2% increase QoQ. The East South Central and Mountain 

regions saw the smallest QoQ increases, 0.7% and 1.07%, respectively. The East North Central has 

appreciated more than any other region over the past four quarters appreciating by 5.40%.

Figure 73. Regional HPI Trend Analysis Q/Q

Figure 74. FHFA US Census Subregions as defined by the US Census Bureau

Source: HPI data from FHFA and is seasonally adjusted.US Census Subregions as defined by the US Census Bureau.

-3.00%

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2

2017 2018 2019 2020 2021 2022 2023

East North Central East South Central Middle Atlantic

Mountain New England Pacific

South Atlantic West North Central West South Central
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 58

15.2 Housing Affordability – Inflation, Wages, and the Price of Real Estate

As of month-end July 2023, inflation was 3.2%, up slightly from the month prior. Nationally, rents 

are up 0.3% YoY as of month-end July 2023. The MoM change in rents from June 2023 to July 2023 

increased by 0.41%. Wage growth saw an increase from 5.6% in June 2023 to 5.7% as of month-end

July 2023. Month-end June 2023 reporting data shows YoY home price appreciation was flat, 

appreciating 0.0%, an increase from a 0.4% decrease in May 2023.

Figure 75. Inflation | 12-Month Percent Change in CPI

Figure 76. Asset Price Appreciation vs. Wage Increases

Sources: Bureau of Labor Statistics – Consumer Price Index and Wage-Growth Data; Rent.com - Rental Price Appreciation; S&P/Case-Schiller U.S. 

National Home Price Index – Home Price Appreciation.

3.2%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

3.3%

5.7%

0.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

General Inflation Wage Growth Home Appreciation

Metric Statistic

General 

Inflation 3.2%

Home Price 

Appreciation

(YoY)

0.0%

Rental Price 

Appreciation 

(Median Rent 

Change YoY)

0.31%

Wage Growth 5.7%
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 59

Home affordability remains low, as the ratio of the average price of sold homes to median incomes 

is at a historically high level. Typically, this ratio has been around 5:1; the current 7:1 sales price to 

median income ratio exceeds the ratio observed during the housing bubble (6.4:1). With declining

home price appreciation, and home prices even dropping in some regions in the country, this ratio 

may drop back down to historically normal levels.

Figure 77. Average Price of Homes Sold to Median Income Ratio

Source: FRED Average Home Sales Data, FRED Median Income Data

6.41

7.00

3.00

3.50

4.00

4.50

5.00

5.50

6.00

6.50

7.00

7.50

1984198519861988198919911992199319951996199819992001200220032005200620082009201020122013201520162018201920202022

Housing Bubble COVID-19 Pandemic
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 60

15.2.1 HOUSING AFFORDABILITY – MORTGAGE RATE TRENDS

The Federal Reserve raised the Federal Funds target range on July 26, 2023, to a range of 5.25% and 

5.50% per the FOMC.4F

6 As of August 17, 2023, the average 30-year and 15-year fixed rate mortgage 

rates were 7.09% and 6.46%, respectively. The average 30-year fixed rate mortgage rate increased

31 bps and the average 15-year fixed rate mortgage rate increased 40 bps MoM from July 15, 2023.

Figure 78. Average Fixed Rate Mortgage Rates

Sources: FRED data as of August 2023

6https://www.federalreserve.gov/newsevents/pressreleases/monetary20230726a.htm

7.09

6.46

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

30-Year 15-Year
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 61

529

360

627

300

350

400

450

500

550

600

650

2015 2016 2017 2018 2019 2020 2021 2022

$ in thousands

Number of Starts Number of Completions Number of Permits

15.3 Housing Inventory

As of July 2023, there was 7.3 months of housing inventory on the market, a decrease from 7.5

months in June 2023. As housing affordability continues to remain low (See above Section 15.2)

single-family home sales are unlikely to play a large role in the resolution of the housing shortfall.

Multifamily construction volume metrics, shown in Figure 80, increased in 2022; number of starts 

increased by 15.0% and numbers of permits increased by 10.7% while number of completions 

remained relatively stable.

Figure 79. Single-Family Housing Inventory

Figure 80. Multifamily Construction Metrics: Permits, Starts, Completions

Source: FRED. Figure 78: data as of July 2023. New Residential Construction, US Census Bureau. Figure 79: data as of December 2022.

7.3

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 62

15.4 Size and Value of the US Housing Market

The total value of the single-family housing market declined to $41.2 trillion in Q1 2023. However, 

the total value of the US housing market is up 117% from its trough in 2011. From Q1 2022 to Q1 

2023 mortgage debt outstanding increased from $12.0 trillion to $12.5 trillion and household equity 

increased from $27.8 trillion to $28.7 trillion. At $8.9 trillion in Q1 2023, agency single family MBS 

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

of total mortgage debt from just 52% in 2011. 

Figure 81. Value of the US Housing Market

Figure 82. Size of the US Residential Mortgage Market

Source: Federal Reserve Flow of Funds Data as of Q1 2023. 

12.5

28.7

41.2

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

$ Trillions

Debt Household Equity Total Value

0.4

8.9

3.7

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0 $ Trillions

Private Label Securities Home Equity loans Agency MBS Unsecuritized first liens
GLOBAL MARKETS ANALYSIS REPORT

Disclosure

AUGUST 2023

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 63

16 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 July 31,

2023. 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.”