March 2024
GLOBAL MARKETS ANALYSIS REPORT

March 2024

Table of Contents

Inside this Month’s Global Market Analysis Report... ........................................................................... 1

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

1 US Aggregate and Global Indices.............................................................................................. 4

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

2 Sovereign Debt Product Performance Comparisons................................................................. 5

2.1 Global 10-Year Treasury Yields (Unhedged) .......................................................................... 5

2.2 U.S. Treasury Hedged Yields................................................................................................... 6

SECONDARY MORTGAGE MARKET ....................................................................................................... 7

3 Fixed Income Product Performance Comparisons.................................................................... 7

3.1 Ginnie Mae Yields – USD........................................................................................................ 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) .....................................................................................

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Table of Contents

Inside this Month’s Global Market Analysis Report 1

Highlights 2

1 US Aggregate and Global Indices 4

1.1 Bloomberg US Aggregate and Global Indices 4

2 Sovereign Debt Product Performance Comparisons 5

2.1 Global 10-Year Treasury Yields (Unhedged) 5

2.2 U.S. Treasury Hedged Yields................................ 6

SECONDARY MORTGAGE MARKET 7

3 Fixed Income Product Performance Comparisons 7

3.1 Ginnie Mae Yields – USD 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
GLOBAL MARKETS ANALYSIS REPORT

March 2024

8.3 SOMA Holdings .................................................................................................................... 29

8.4 Foreign Ownership of MBS .................................................................................................. 31

8.5 Foreign Ownership of Agency Debt and Agency MBS ......................................................... 32

9 Fixed Income Liquidity Indicators........................................................................................... 33

PRIMARY MORTGAGE MARKET.......................................................................................................... 34

10 Agency Credit Breakdown...................................................................................................... 34

10.1 Credit Scores ........................................................................................................................ 34

10.2 Loan-to-Value (LTV).............................................................................................................. 36

10.3 Debt-to-Income (DTI) ........................................................................................................... 38

10.4 High LTV Loans: Ginnie Mae vs. GSEs................................................................................... 40

10.5 Serious Delinquency Rates................................................................................................... 41

10.6 Credit Box............................................................................................................................. 42

10.7 Credit Box: Historical............................................................................................................ 44

11 Forbearance Trends............................................................................................................... 46

12 Holders of Ginnie Mae Mortgage Servicing Rights.................................................................. 47

13 Agency Nonbank Originators................................................................................................. 48

14 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE ............................... 50

14.1.1 (FICO, LTV, DTI) .......................................................................................................

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

8.3 SOMA Holdings 29

8.4 Foreign Ownership of MBS 31

8.5 Foreign Ownership of Agency Debt and Agency MBS 32

9 Fixed Income Liquidity Indicators 33

PRIMARY MORTGAGE MARKET 34

10 Agency Credit Breakdown 34

10.1 Credit Scores 34

10.2 Loan-to-Value (LTV) 36

10.3 Debt-to-Income (DTI) 38

10.4 High LTV Loans: Ginnie Mae vs. GSEs 40

10.5 Serious Delinquency Rates 41

10.6 Credit Box 42

10.7 Credit Box: Historical 44

11 Forbearance Trends 46

12 Holders of Ginnie Mae Mortgage Servicing Rights 47

13 Agency Nonbank Originators 48

14 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE 50

14.1.1 (FICO, LTV, DTI) 50

15 Environmental, Social, and Governance 54

15.1 Environmental, Social, and Governance: A Summary 55

15.2 Environmental 56

15.3 Social... 56

15.3.1 Low-to-Moderate Income Borrowers 57

15.3.2 Purchase and Refinance Origination by Income Bracket 58

U.S. HOUSING MARKET 59

16 Housing Affordability 59

16.1 Housing Affordability – Home Price Appreciation 59

16.2 Housing Affordability – Inflation, Wages, and the Price of Real Estate 60

16.2.1 Housing Affordability – Affordability Index 61

16.2.2 Housing Affordability – Mortgage Rate Trends 62

16.3 Housing Inventory 63

16.4 Size and Value of the U.S. Housing Market 65

17 Disclosure 66
GLOBAL MARKETS ANALYSIS REPORT

Inside This Month’s Global Market Analysis Report

March 2024

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

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

The March 2024 Highlights section discusses Agency REMIC issuance for February 2024, while

emphasizing Ginnie Mae’s majority share of REMIC issuance over the past two years. Single-Family

REMIC collateral is also highlighted, discussing how collateral composition changes in different

macroeconomic environments. Lastly, the Highlights discusses how investor appetite for specific

principal types in REMIC tranches shift with the expectation of interest rate cuts.

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

• The Fixed Income Product Performance Comparisons section shows that Ginnie Mae MBS 

continue to offer attractive yields relative to sovereigns with comparable durations globally.

• The Single-Family MBS Pass-Through Issuance section captures the dominant role

government lending/mortgage insurance programs are playing in the post-pandemic

mortgage market. Gross and net issuance of Single-Family Ginnie Mae pass-throughs exceeds

that of both Fannie Mae and Freddie Mac.

• The SOMA Holdings section captures FED Chair Jerome Powell’s comments regarding the

FED’s decision to keep the policy rate unchanged and includes the composition of the FED’s

Agency MBS portfolio run-off.

• The Housing Affordability - Affordability Index section shows how homebuyer affordability 

has declined for families purchasing median priced homes. Accordingly, the new homebuyer

monthly payment figure shows how monthly payments have increased for first-time

homebuyers.
GLOBAL MARKETS ANALYSIS REPORT

Highlights

March 2024

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

Highlights

Agency REMIC Issuance

February 2024’s $26.2 billion of Agency REMIC issuance marked the highest combined total of singlefamily and multifamily REMIC issuance since April 2022. Ginnie Mae’s single-family and multifamily 

REMIC issuance for February 2024 totaled $14.4 billion, making up greater than 55% of total Agency

REMIC issuance for the month. Since January 2022, Ginnie Mae’s single-family and multifamily REMIC

issuance has been responsible for $243.8 billion of the $500.3 billion of Agency REMIC issuance, 

approximately 48.7% of total Agency REMIC issuance for the period. Ginnie Mae is the largest issuer

of REMIC securities among the three Agencies.

Table 1, Agency REMIC Issuance, breaks down the monthly issuance amounts by Agency and by

collateral type (single-family, multifamily, and total) as well as Ginnie Mae’s share since January 2022.

Additionally, Table 1, provides 2022 and 2023 annual data as well as 2024 YTD data for the metrics

mentioned above.

Table 1. Agency REMIC Issuance (in $ billions)

Single-Family REMIC Collateral

As for REMIC collateral, approximately 58.2% of Ginnie Mae’s single-family REMIC issuance in

February 2024 was collateralized by MBS containing loans originated within the past two months,

roughly $7.7 billion in total. The majority of MBS collateral securing Ginnie Mae’s February singlefamily REMIC issuance has a weighted average loan age (WALA) of less than or equal to 2 months.

Date Single-Family Multifamily Single-Family Multifamily Single-Family Multifamily Single-Family Multifamily Single-Family Multifamily Total

Jan-22 7.9 4.1 9.3 2.0 13.0 4.0 30.2 10.1 43.0% 39.2% 42.1%

Feb-22 5.6 8.1 3.9 2.7 12.4 3.8 21.9 14.6 56.5% 26.2% 44.4%

Mar-22 4.0 7.5 3.4 0.7 8.9 3.4 16.3 11.6 54.6% 29.2% 44.1%

Apr-22 7.2 7.6 2.2 0.9 9.4 2.6 18.8 11.2 49.9% 23.6% 40.0%

May-22 5.0 5.0 4.6 1.6 4.3 1.9 13.9 8.5 30.7% 22.5% 27.6%

Jun-22 3.3 4.4 4.8 0.6 6.2 2.1 14.3 7.1 43.5% 29.4% 38.8%

Jul-22 2.5 5.4 1.9 0.0 8.2 1.1 12.6 6.4 64.8% 16.4% 48.4%

Aug-22 2.6 4.3 3.7 0.0 4.9 1.6 11.3 5.9 43.2% 26.6% 37.5%

Sep-22 2.7 5.3 2.4 0.6 7.0 1.9 12.1 7.8 58.0% 24.2% 44.8%

Oct-22 3.2 3.1 3.7 0.0 5.0 0.9 11.8 3.9 42.4% 22.1% 37.3%

Nov-22 0.4 2.5 0.9 0.4 3.7 1.3 5.0 4.1 73.9% 31.2% 54.6%

Dec-22 0.4 3.6 0.2 0.0 7.1 0.9 7.8 4.5 92.0% 20.3% 65.8%

Jan-23 0.5 2.7 0.6 0.0 6.4 1.2 7.6 3.9 84.9% 29.7% 66.2%

Feb-23 1.8 2.8 1.6 0.3 10.2 1.8 13.6 4.9 75.2% 36.8% 65.0%

Mar-23 1.5 1.8 2.2 0.0 7.2 0.6 10.8 2.5 66.1% 25.4% 58.6%

Apr-23 0.8 2.0 0.5 0.2 5.8 0.3 7.1 2.4 81.6% 12.4% 63.9%

May-23 1.3 3.2 1.2 0.5 9.6 0.7 12.2 4.4 79.0% 15.8% 62.3%

Jun-23 1.8 2.2 2.4 0.0 6.7 0.9 11.0 3.1 61.4% 29.5% 54.3%

Jul-23 2.7 3.0 0.9 1.8 4.5 0.5 8.1 5.4 55.7% 10.1% 37.5%

Aug-23 3.0 3.9 1.0 0.0 10.5 0.8 14.5 4.7 72.3% 17.5% 58.8%

Sep-23 5.5 3.7 1.7 0.0 8.3 0.7 15.5 4.3 53.5% 15.2% 45.1%

Oct-23 4.0 4.4 2.8 0.3 9.1 1.0 15.9 5.7 57.5% 18.4% 47.2%

Nov-23 2.3 3.0 1.7 0.5 8.0 0.8 12.0 4.3 67.0% 18.6% 54.1%

Dec-23 1.5 4.2 0.8 0.0 7.3 0.5 9.6 4.7 76.4% 9.8% 54.5%

Jan-24 2.0 0.8 0.6 0.5 9.5 0.9 12.1 2.2 78.3% 39.8% 72.5%

Feb-24 4.0 2.4 4.9 0.5 13.2 1.2 22.1 4.1 59.9% 28.8% 55.0%

Annual

2022 45.0 60.8 40.8 9.6 90.0 25.4 175.9 95.8 51.2% 26.5% 42.5%

2023 26.8 36.9 17.3 3.6 93.7 9.9 137.7 50.4 68.0% 19.6% 55.0%

YTD 2024 6.0 3.2 5.5 1.0 22.7 2.0 34.2 6.3 66.4% 32.6% 61.1%

Freddie Mac Fannie Mae Ginnie Mae Total GNMA Share
GLOBAL MARKETS ANALYSIS REPORT

Highlights

March 2024

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

If Sponsors continue to pool newly originated MBS securities and/or MBS securities with low WALA

collateral into REMICs, the recent pickup in Ginnie Mae’s gross MBS issuance, shown in Table 2,

Issuance Amount (MM) by Purchase vs Refi, below, could support elevated REMIC issuance in the

months to come.

Table 2. Issuance Amount (MM) by Purchase vs Refi

1

Issue Date 23-Apr 23-May 23-Jun 23-Jul 23-Aug 23-Sep 23-Oct 23-Nov 23-Dec 24-Jan 24-Feb 24-Mar

FHL PURCH 86.7% 87.8% 88.6% 89.6% 89.6% 88.7% 88.6% 88.1% 88.3% 87.6% 84.3% 85.1%

FHL RE-FI 13.3% 12.2% 11.4% 10.4% 10.4% 11.3% 11.4% 11.9% 11.7% 12.4% 15.7% 14.9%

Total FHL 19,874 28,409 32,502 27,445 27,746 30,854 24,279 25,050 23,510 17,285 17,265 18,450

FNM PURCH 85.2% 85.3% 85.6% 88.0% 87.5% 86.8% 88.3% 87.4% 87.9% 88.1% 84.1% 83.1%

FNM RE-FI 14.8% 14.7% 14.4% 12.0% 12.5% 13.2% 11.7% 12.6% 12.1% 11.9% 15.9% 16.9%

Total FNM 25,516 29,661 33,057 30,531 27,435 27,785 27,496 23,381 20,249 21,549 20,121 11,599

GNM PURCH 83.2% 84.1% 83.8% 84.5% 83.9% 81.4% 83.0% 82.8% 83.7% 84.2% 75.9% 73.5%

GNM RE-FI 16.8% 15.9% 16.2% 15.5% 16.1% 18.6% 17.0% 17.2% 16.3% 15.8% 24.1% 26.5%

Total GNM 28,339 29,913 34,470 34,074 34,100 32,766 29,957 28,556 24,245 25,376 27,715 26,868

Single-Family MBS Issuance

Ginnie Mae’s fixed-rate gross MBS issuance amount for February totaled over $27.7 billion, the

largest of the three Agencies. Freddie Mac and Fannie Mae’s fixed-rate gross MBS issuance totaled

approximately $17.3 billion and $20.1 billion, respectively, in February. Additionally, roughly 24% of

Ginnie Mae’s fixed-rate gross MBS issuance collateral consisted of refinanced loans. In comparison, 

only 15.7% and 15.9% of Freddie Mac and Fannie Mae’s fixed-rate gross MBS issuance collateral 

consisted of refinanced loans in February. As of March 19, 2024, Ginnie Mae’s fixed-rate gross MBS

issuance totaled more than $26.8 billion to-date for the month of March and consisted of 26.5%

refinanced loans.

Investors in new origination Agency MBS securities have dealt with extension risk for much of 2022

and 2023 as the Fed raised rates at a historical pace and magnitude. However, as the Fed now focuses

on interest rate cuts in 2024, the risk shifts from extension to prepayment risk. Ginnie Mae MBS

collateral refinance issuance amount has already seen an uptick as shown in Table 2, Issuance Amount

(MM) by Purchase vs Refi. 

REMIC Principal Types

As rates were increasing in 2022 and 2023, investor appetite for floating rate interest and passthrough principal type tranches in Agency REMIC securities increased to safeguard investors from

extension risk. If investor concern shifts toward prepayment risk, investor appetite for REMIC

principal types that protect against elevated prepay speeds may increase. These principal types

include sequential pay, planned amortization class (PAC), and targeted amortization class (TAC)

tranches. These principal types offer protection against increased prepayment speeds by receiving

regularly scheduled interest payments while deferring principal payments to a later date until a predetermined amount of principal from the REMIC’s underlying collateral is paid out.

1 Source: eMBS as of 3/19/2024. Note: eMBS data represents fixed-rate gross MBS issuance by purchase and refinance for each Agency from

April 2023 through March 19, 2024.
GLOBAL MARKETS ANALYSIS REPORT

Aggregate Global Indices

March 2024

A Monthly Publication of Ginnie Mae’s Office of Capital Markets 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 February, U.S. Treasuries contributed 41.9% to the Bloomberg U.S. Aggregate Index,

up approximately 0.1% from the prior month. U.S. Agency MBS Passthrough (Ginnie Mae, Fannie

Mae, and Freddie Mac) contributed 26.2%, down 0.2% from the month prior. For the U.S. Aggregate

Index, all other changes to the index components were no larger than 0.1%.

Figure 1. Bloomberg U.S. Aggregate Index

In the Bloomberg Global Aggregate Index by Country, the U.S. share of fixed income remained the

largest share of total outstanding issuance, representing 40.4% of the total Bloomberg Global

Aggregate Index, down 0.2% from the prior month. Japan’s share of fixed income was the second 

largest at 10.8%, decreasing approximately 0.1% from the prior month. China’s share of fixed income

increased approximately 0.1% from the month prior, representing the third largest share of the

Global Aggregate Index at 9.5%. “Other” countries share increased from the prior month by

approximately 0.3%, from 14.4% to 14.7%. All other countries listed remained stable compared to

the prior month with no changes larger than 0.1%.

Figure 2. Bloomberg Global Aggregate Index by Country

Source: Bloomberg [both charts]. Note: Data as of February 2024. Figures in charts may not add to 100% due to rounding.

42%

26%

14%

8%

2%

2%

2% 1% 1% 1% 0% Treasury - 41.9%

MBS Passthrough - 26.2%

Industrial - 14.4%

Financial Institutions - 8.3%

Utility - 2.2%

Agency - 1.7%

CMBS - 1.6%

Supranational - 1.4%

Sovereign - 1.0%

Local Authority - 0.8%

ABS - 0.5%

40.4%

5.3% 9.5% 10.8%

4.3%

4.2%

3.5%

3.0%

2.2%

1.9% 14.7%

United States - 40.4%

Japan - 10.8%

China - 9.5%

France - 5.3%

Germany - 4.3%

United Kingdom - 4.2%

Canada - 3.5%

Italy - 3.0%

Spain - 2.2%

Netherlands - 1.9%

Other - 14.7%
GLOBAL MARKETS ANALYSIS REPORT

Sovereign Debt Product Performance Comparisons 

March 2024

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 U.S. 10-year Treasury yield moved to 4.25% at month-end February 2024, a MoM increase of 34

bps. Since October 2023, month end U.S. 10-year Treasury note rates have marked the highest 

government yield amongst the countries listed below. All month-end yields listed, excluding Japan,

have increased MoM for two consecutive months. 

The yield on the UK 10-year note increased to 4.12% at month-end February, a MoM increase of 33

bps. 

The yield on the German 10-year note increased to 2.41% at month-end February, a MoM increase

of 24 bps.

The yield on the Italian 10-year note increased to 3.84% at month-end February, a MoM increase

of 12 bps.

The yield on the Japanese 10-year note decreased to 0.70% at month-end February, a MoM 

decrease of 3 bps.

Figure 3. Global 10-Year Treasury Yields

Source: Bloomberg. Note: Data as of February 2024.

4.25%

3.84%

4.12%

2.41%

0.70%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

% Yield

USA 10-Year UK 10-Year Germany 10-Year Italy 10-Year Japan 10-Year
GLOBAL MARKETS ANALYSIS REPORT

Sovereign Debt Product Performance Comparisons 

March 2024

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

2.2 U.S. Treasury Hedged Yields

The yield for the 10-year Treasury, hedged in Japanese Yen (JPY) stood at -0.83% at monthend February, a 15 bp increase from month-end January.

The yield for the 10-year Treasury, hedged in Euros (EUR) stood at 2.67% at month-end 

February, a 33 bp increase from month-end January.

Figure 5. U.S. 10yr Total Return Hedged, 1 yr. EUR

Figure 4. U.S. 10yr Total Return Hedged, 1 yr. JPY

Source: Bloomberg. Notes: Data as of February 2024. The 10yr Total Return Hedged Yields are calculated by taking the 10yr treasury yield and 

subtracting the 1yr hedge cost for JPY and EUR.

1.50%

1.00%

0.50%

0.00%

-0.50%

-1.00%

-1.50%

-2.00%

-2.50%

-0.83%

2.67%

-1.50%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

March 2024

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 5.20% at month-end December, decreased 1 bp to 5.19% at month-end 

January, then increased 54 bps to 5.73% at month-end February. The Ginnie Mae II spread over the

U.S. 10-year Treasury yield decreased 11 bps from 159 bps in February 2023 to 148 bps over the U.S.

10-year Treasury yield as of month-end February 2024.

Figure 7. Ginnie Mae II SF Yield – U.S. 10yr Treasury Yield

Figure 6. Ginnie Mae II SF Yield, USD

Source: Bloomberg. Note: Data as of February 2024.

5.73%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

% Yield

1.48%

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

March 2024

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 0.65% at month-end February, 

a 34 bp increase from month-end January.

The yield for Ginnie Mae II’s, hedged in Euros stood at 4.15% at month-end February, a 53 bp 

increase from month-end January.

Figure 9. Ginnie Mae II Hedged, 1 yr. EUR

Figure 8. Ginnie Mae II Hedged, 1 yr. JPY

Source: Bloomberg. Notes: Data as of February 2024. 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.

0.65%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

4.15%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Product Performance Comparisons

March 2024

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

3.3 Ginnie Mae Yield Spreads – Intermediate Credit

The GNMA II 30-year OAS increased 6 bps MoM, to 0.45%, as of month-end February. The U.S.

Intermediate Credit OAS decreased 3 bps to 0.78% from month-end January to month-end February.

The yield differential between U.S. Intermediate Credit and GNMA II 30-year OAS decreased 9 bps to

0.33% at month-end January.

Figure 10. U.S. GNMA II 30yr MBS OAS versus U.S. Intermediate Credit OAS

Figure 11. Spread between U.S. Intermediate Credit and U.S. GNMA II 30yr MBS OAS

Source: Bloomberg. Note: Data as of February 2024.

0.45%

0.78%

-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

0.33%

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

March 2024

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

3.4 Global Treasury Yield Per Duration

GNMA MBS continues 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 12. Yield vs. Duration

Security Duration Yield

U.S. 5y 4.47 4.26

U.S. 10y 8.12 4.26

JPY 5y 4.72 0.34

JPY 10y 9.16 0.69

GER 5y 4.78 2.47

GER 10y 8.82 2.46

ITA 5y 4.37 3.41

ITA 10y 7.87 3.90

UK 5y 4.76 4.08

UK 10y 7.94 4.18

GNMA II 2% 6.65 4.75

GNMA II 2.5% 6.73 4.74

GNMA II 3% 6.42 4.85

GNMA II 3.5% 6.09 5.00

GNMA II 4% 5.83 5.12

GNMA II 4.5% 5.75 5.22

GNMA II 5% 5.20 5.40

GNMA II 5.5% 4.62 5.59

GNMA II 6% 4.09 5.84

GNMA II 6.5% 3.62 6.07

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 February 2024. Yields are in base currency of security and unhedged.

6.50

6.00

5.50

5.00

4.50

4.00

3.50

3.00

2.50

2.00

1.50

1.00

0.50

0.00

GNMA II 6.5%

GNMA II 6%

GNMA II 5.5%

GNMA II 5%

GNMA II 4.5% GNMA II 4%

GNMA II 3.5%

GNMA II 3% GNMA II 2.5%

GNMA II 2%

US 5y US 10y

UK 5y UK 10y

ITA 10y

ITA 5y

GER 5y GER 10y

JPY 10y

JPY 5y

3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

Yield

Duration
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

March 2024

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

4 PREPAYMENTS

4.1 Aggregate Prepayments (CPR) 

Freddie Mac fixed rate aggregate prepayment speeds increased by 0.4% from January 2024 to

February 2024. Similarly, Fannie Mae CPRs increased by 0.4% and Ginnie Mae CPRs increased by 0.8%

from January 2024 to February 2024. ARM prepayments increased 1.8% for Freddie Mac, decreased

0.6% for Fannie Mae, and remained constant at 4.7% for Ginnie Mae.

Figure 13. Fixed Rate Aggregate 1-Month CPR

Figure 14. ARM Aggregate 1-Month CPR

Source: Recursion. Note: Data as of February 2024.

4.5

4.7

6.7

0

10

20

30

40

50

CPR (%)

Fannie Mae Freddie Mac Ginnie Mae

4.7

10.0

11.4

0

10

20

30

40

50

60

70

CPR (%)

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

March 2024

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 February 2024 after slightly overtaking Ginnie Mae in September

2022.

Figure 15. Fixed Rate Aggregate CDR

Figure 16. ARM Aggregate CDR

Source: Recursion. Note: Data as of February 2024.

0.3

0.4

0.9

0

5

10

15

CDR (%)

Fannie Mae Freddie Mac Ginnie Mae

0.2

0.3

0.3

0

10

20

30

40

50

CDR (%)

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Prepayments

March 2024

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

4.3 Voluntary Prepayment Rates (CRR)

Fixed rate voluntary prepayments were higher for Ginnie Mae and Fannie Mae than Freddie Mac. 

Fannie Mae and Freddie Mac saw increases of 0.3% and 0.4%, respectively, in fixed rate aggregate 

CRR. Freddie Mac saw a 2.0% increase in ARM aggregate CRR while Fannie Mae saw 0.6% decrease. 

Ginnie Mae fixed rate aggregate CRR increased by 0.7% and ARM aggregate CRR increased by 0.2%.

Figure 17. Fixed Rate Aggregate CRR

Figure 18. ARM Aggregate CRR

Source: Recursion. Note: Data as of February 2024.

4.3

4.2

5.9

0

10

20

30

40

CRR (%)

Fannie Mae Freddie Mac Ginnie Mae

4.4

11.2

9.7

0

10

20

30

40

CRR (%)

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single-Family MBS Pass-Through Issuance

March 2024

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

In February 2024, total gross MBS issuance decreased by approximately $0.4 billion MoM. Freddie

Mac and Fannie saw MoM decreases of $0.1 billion and $2.9 billion, respectively. Ginnie Mae saw a

$2.5 billion MoM increase in gross issuance.

Table 3. Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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 $320.3 $301.4 $621.8 $375.5 $997.3

2024 YTD $43.8 $35.4 $79.2 $56.8 $135.9

Figure 19. 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.

$57

$44

$35 $0.0

$500.0

$1,000.0

$1,500.0

$ in Billions 

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single-Family MBS Pass-Through Issuance

March 2024

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

Table 4. Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

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 $227.6 $140.3 $7.7 $375.5

2024 YTD $33.6 $22.3 $0.9 $56.8

Figure 20. 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.

$34

$22

$0.0 $1

$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

March 2024

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 February was $15.0 billion for 2024 YTD, shown in Table 5.

Ginnie Mae has the largest net issuance YTD, totaling $21.7 billion as of month-end February 2024.

Since 2022, FHA net issuance has outpaced VA net issuance, as shown in Table 6 and Figure 22.

Table 5. 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 $55.3 $3.3 $58.6 $176.3 $235.0

2024 YTD -$4.4 -$2.3 -$6.7 $21.7 $15.0

Figure 21. 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.

$22

-$4

-$2

-$200.0

$0.0

$200.0

$400.0

$600.0

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae
GLOBAL MARKETS ANALYSIS REPORT

Single-Family MBS Pass-Through Issuance

March 2024

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

Table 6. Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

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 $127.7 $50.4 -$1.8 $176.3

2024 YTD $16.4 $5.7 -$0.4 $21.7

Figure 22. 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.

$6

$16

$0

-$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

March 2024

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

5.3 Monthly Issuance Breakdown

Agency net issuance for the month of February was approximately $5.5 billion, which represents an

approximate $4.0 billion decrease MoM. Ginnie Mae net issuance was $11.3 billion in February, a

$0.9 billion increase from January. Ginnie Mae’s $29.6 billion of gross issuance in February, seen in 

Table 7, was approximately $1.7 billion below the average monthly issuance in 2023.

Table 7. 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

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

Aug-23 $27.8 $27.9 $36.5 $55.7 $92.2 -$1.5 $4.8 $17.2 $3.3 $20.5

Sep-23 $28.1 $31.1 $35.1 $59.2 $94.3 $1.9 $10.7 $18.6 $12.6 $31.2

Oct-23 $28.2 $24.5 $32.1 $52.7 $84.8 $2.6 $4.5 $17.0 $7.1 $24.1

Nov-23 $23.8 $25.3 $30.5 $49.1 $79.5 -$0.1 $6.5 $15.2 $6.4 $21.6

Dec-23 $20.9 $23.9 $27.3 $44.8 $72.1 -$2.9 $5.4 $12.6 $2.5 $15.0

Jan-24 $23.3 $17.7 $27.1 $41.1 $68.2 -$0.3 -$0.6 $10.4 -$0.9 $9.5

Feb-24 $20.5 $17.7 $29.6 $38.1 $67.7 -$4.2 -$1.7 $11.3 -$5.9 $5.5

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 February 2024. 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 February 2024 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

March 2024

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

5.4 Percent Refi at Issuance – Single-Family

Refinance activity increased by approximately 51.0% MoM for Ginnie Mae as of month-end February

2024.

Freddie Mac’s refinance percentage increased to 15.4% in February, up from 12.2% in January.

Fannie Mae’s refinance percentage increased to 15.8% in February, up from 11.4% in January.

Ginnie Mae’s refinance percentage increased to 22.6% in February, up from 15.0% in January.

FHA’s refinance percentage increased to 19.1% in February, up from 13.9% in January.

VA’s refinance percentage increased to 27.9% in February, up from 17.5% in January.

Figure 23. Percent Refinance at Issuance – Single-Family

Source: Recursion. Note: Data as of February 2024.

15.8%

27.9%

19.1%

15.4%

22.6%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Freddie Fannie Ginnie FHA VA
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

March 2024

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

6 AGENCY SINGLE-FAMILY MBS OUTSTANDING

6.1 Outstanding Single-Family Agency MBS

As of month-end February 2024, outstanding Single-Family MBS in the Agency market totaled $8.853

trillion: 40.4% Fannie Mae, 33.3% Freddie Mac, and 26.3% Ginnie Mae MBS. Over the past twelve

months, Freddie Mac’s and Ginnie Mae’s total outstanding MBS increased by approximately 1.7% and

8.1%, respectively, while Fannie Mae’s total outstanding MBS stayed relatively flat. Fannie Mae

outstanding MBS remains larger than Freddie Mac’s and Ginnie Mae’s by approximately $625 billion

and $1.2 trillion, respectively.

Ginnie Mae’s MBS collateral composition has changed over time as shown in Figure 25. In February

2019, 59.7% of Ginnie Mae’s outstanding collateral was FHA and 34.4% was VA. As of month-end

February 2024, FHA collateral comprised 54.5% of Ginnie Mae MBS outstanding, and VA collateral

comprised 41.0% of Ginnie Mae MBS outstanding.

Figure 24. Outstanding Agency Mortgage-Backed Securities

Figure 25. Composition of Outstanding Ginnie Mae Mortgage-Backed Securities

Source: Recursion. Note: Data as of February 2024.

$3,573

$2,948

$2,331

$8,853

0

2,000

4,000

6,000

8,000

10,000

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae Total

$1,273

$958

$104

0

200

400

600

800

1000

1200

1400

$ in Billions

FHA VA Other
GLOBAL MARKETS ANALYSIS REPORT

Agency Single-Family MBS Outstanding

March 2024

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 decreased in Q4 2023, with approximately $300 billion in originations,

which represents a decrease in issuance of 22.1% from Q3 2023. Ginnie Mae’s share of total

origination increased from 26.4% to 28.5% in Q4 2023, while portfolio origination decreased from

26.1% to 19.8%.

Figure 26. First Lien Origination Volume

Figure 27. First Lien Origination Share

Source: Inside Mortgage Finance. Note: Data as of Q4 2023.

$0.15

$0.01

$0.09

$0.06

$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

48.7%

28.5%

3.0%

19.8%

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

March 2024

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 represents approximately 38% of new agency issuance over the past year, roughly 

11% higher than Ginnie Mae’s 27% share of agency outstanding. The share of Ginnie Mae’s new

agency issuance varies across states, with the largest share by UPB being in both Mississippi and

Alaska (60%) and the smallest in the District of Columbia (23%). The highest Ginnie Mae outstanding

share is in Mississippi and Alaska (49%) and the lowest in the District of Columbia (14%).

Table 8. 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)

38% 1,453,668 301.17 305.42 27% 11,212,474 211.28 211.38

AK 60% 3,781 356.16 309.72 49% 37,957 264.41 219.46

AL 53% 35,309 237.22 247.38 42% 248,262 163.95 178.49

AR 48% 18,286 204.01 236.85 40% 141,644 137.81 162.70

AZ 40% 44,580 341.80 344.03 26% 292,700 231.86 228.18

CA 33% 84,020 477.72 475.50 18% 718,453 336.55 318.30

CO 36% 30,481 423.00 412.87 25% 223,482 302.64 279.20

CT 33% 11,351 283.58 292.49 26% 109,027 205.46 208.71

DC 23% 1,038 524.83 441.06 14% 9,353 391.43 346.21

DE 39% 6,345 290.07 308.87 32% 54,184 208.76 212.29

FL 43% 142,122 323.50 319.11 33% 906,594 223.95 215.84

GA 46% 78,306 280.64 310.68 35% 521,873 189.92 209.93

HI 46% 3,365 633.24 529.87 33% 34,554 473.62 356.42

IA 33% 10,956 196.53 205.97 23% 85,794 138.62 148.12

ID 35% 8,996 346.55 333.43 25% 67,041 230.39 225.03

IL 29% 44,149 221.28 252.24 23% 380,944 163.33 179.10

IN 39% 38,534 205.85 222.20 31% 289,591 140.04 152.59

KS 38% 12,549 206.65 232.28 30% 98,799 144.73 164.40

KY 48% 23,580 210.02 224.40 36% 172,158 148.90 156.34

LA 53% 25,669 212.03 238.52 42% 210,675 160.48 176.44

MA 29% 13,507 402.00 397.35 17% 118,576 291.75 267.24

MD 45% 33,288 358.73 346.20 34% 302,762 269.24 248.61

ME 35% 4,550 267.90 287.52 26% 39,021 183.33 192.99

MI 28% 34,027 199.16 223.47 21% 284,426 137.88 156.89

MN 24% 16,673 266.25 285.41 18% 162,959 186.59 198.52

MO 39% 31,739 212.87 231.67 30% 251,812 147.11 162.85

MS 60% 16,815 213.48 225.93 49% 127,788 148.97 161.42

MT 34% 3,660 335.69 327.50 24% 32,982 217.04 217.70

NC 40% 63,774 276.23 304.53 30% 433,572 185.42 204.92

ND 36% 1,910 252.92 249.20 25% 17,356 195.32 182.36

NE 36% 7,838 236.16 236.02 27% 66,476 155.48 161.69

NH 30% 4,295 341.20 330.69 23% 39,184 232.58 216.45

NJ 31% 27,095 348.79 363.99 22% 239,736 247.11 254.47

NM 49% 12,139 261.86 274.04 39% 98,723 173.46 179.87

NV 44% 19,693 365.76 348.31 32% 141,018 258.17 237.55

NY 27% 30,692 317.99 346.13 21% 314,879 215.85 248.52

OH 37% 53,386 199.83 211.83 30% 437,900 135.02 150.14

OK 49% 24,338 215.36 230.71 43% 194,978 146.53 163.81

OR 30% 13,367 369.81 378.57 20% 115,080 261.29 254.16

PA 31% 41,709 214.82 258.56 26% 398,667 151.83 182.49

RI 45% 4,335 358.25 323.46 31% 37,310 242.61 213.04

SC 46% 39,028 273.12 275.28 36% 249,551 192.17 194.32

SD 42% 3,866 257.84 252.52 31% 30,258 179.21 177.44

TN 42% 41,176 281.88 299.62 32% 280,576 186.14 207.54

TX 40% 165,929 291.06 322.94 33% 1,163,840 193.35 216.93

UT 33% 14,692 402.07 401.84 20% 101,505 274.87 265.70

VA 48% 52,122 350.33 344.27 37% 459,630 261.73 249.43

VI 25% 69 415.25 441.60 24% 805 262.84 305.73

VT 24% 1,280 258.48 277.93 19% 12,429 183.86 181.49

WA 32% 27,354 421.14 432.04 22% 239,986 293.49 290.49

WI 27% 14,921 225.96 239.41 18% 127,419 160.70 162.91

WV 55% 7,933 206.11 198.09 45% 62,604 148.03 144.98

WY 46% 3,051 288.07 277.79 36% 25,581 210.59 201.37

Source: Recursion. Note: Outstanding balance based on loan balance as of February 2024. Values above are based on loan level disclosure data, thus

excluding loan balances for 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

March 2024

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 February 2024, the weighted average coupon (WAC) on outstanding Ginnie Mae

MBS increased slightly from 3.54% in January 2024 to 3.56% as seen in Figure 28. Figure 29 illustrates

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

outstanding.

Figure 28. Outstanding Ginnie Mae MBS Balance, by Coupon

Figure 29. Outstanding Ginnie Mae MBS Balance, by Vintage

Source: Recursion. Note: February 2024 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 2019-2024
GLOBAL MARKETS ANALYSIS REPORT

Agency REMIC Securities

March 2024

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

Ginnie Mae Real Estate Mortgage Investment Conduit (REMIC) issuance volume for the month of

February was approximately $14.4 billion. This represents a 39.5% MoM increase from $10.3 billion

in January 2024, and a 19.9% increase YoY from $12.0 billion in February 2023. Approximately $501.5

million of the February 2024 issuance volume were Multifamily MBS having coupons over 5.0%, and

approximately $11.1 billion were Single-Family MBS having coupons over 5.5%. Roughly $421.8 

million of previously securitized REMICs were re-securitized into new REMIC deals in February.

Figure 30. Ginnie Mae Single-Family and Multifamily REMIC Issuance

Table 9. February 2024 REMIC Collateral Coupon Distribution

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

($MM)2F

% Breakdown of REMIC Collateral 

Multifamily by coupon

2.001-2.501 1.4 0.1%

2.501-3.001 193.7 16.3%

3.501-4.001 220.8 18.6%

4.001-4.501 58.5 4.9%

4.501-5.001 208.9 17.6%

5.001-5.501 335.9 28.3%

5.501-6.001 165.7 14.0%

Subtotal 1,184.9 100.0%

Single-Family

ReREMIC 421.8 3.2%

<2.001 27.4 0.2%

2.501-3.001 25.9 0.2%

3.001-3.501 71.1 0.5%

3.501-4.001 455.7 3.4%

4.001-4.501 119.8 0.9%

4.501-5.001 502.8 3.8%

5.001-5.501 569.9 4.3%

5.501-6.001 3,481.9 26.3%

6.001-6.501 4,806.5 36.3%

6.501-7.001 1,816.1 13.7%

>7.001 948.1 7.2%

Subtotal 13,247.0 100.0%

Grand Total 2 14,431.9 100.0%

Source: Ginnie Mae Disclosure Files

2 Totals may not sum due to rounding.

$12.0 $7.8 $6.1 $10.3 $7.7 $5.0

$11.3 $8.9 $10.2 $8.8 $7.8 $10.3 $14.4

$0

$5

$10

$15

$20

$25
GLOBAL MARKETS ANALYSIS REPORT

Agency REMIC Securities

March 2024

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

7.2 REMIC Market Snapshot

 In February 2024, Freddie Mac and Fannie Mae saw decreases in their Single-Family REMIC

issuance collateral coupon of 6 basis points and 41 basis points, respectively. Ginnie Mae saw

an increase of 8 basis points in their Single-Family REMIC issuance collateral coupon.

 In February 2024, Ginnie Mae and Fannie Mae saw decreases of 31 basis points and 58 basis 

points, respectively, in their Multifamily REMIC issuance collateral coupon. Freddie Mac’s

Multifamily REMIC issuance collateral coupon increased 18 basis points to 6.11%.

 In February 2024, Ginnie Mae’s total Single-family, Multifamily, and HMBS REMIC issuance

totaled $14.97 billion, the highest total issuance since February 2022.

 In February 2024, total Single-Family and Multifamily issuance across the three Agencies

increased 83.8% or $11.97 billion from January. February 2024 marked the highest Agency

REMIC issuance, $26.25 billion, since April 2022.

Figure 31. February 2024 REMIC Issuance by Agency ($Billion)

Table 10. 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 13.25 59.9% 11 1.18 28.8% 9

Freddie Mac 4.00 18.1% 9 2.42 58.7% 4

Fannie Mae 4.88 22.0% 8 0.52 12.6% 1

Total 3 $22.13 100% 28 $4.12 100% 14

Source: Ginnie Mae Disclosure Files

3 Totals may not sum due to rounding.

1.2

2.4

0.5

13.2

4.0

4.9

Ginnie Mae Freddie Mac Fannie Mae

Outer: Single-Family

Inner: Multifamily
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

8 MBS OWNERSHIP

As of Q4 2023, the largest holders of agency debt (agency MBS + agency notes and bonds) included

commercial banks (21%), the Federal Reserve (18%), and foreign investors (13%). The Federal

Reserve’s share decreased by 1% QoQ. Out of the approximately $2.53 trillion in holdings as of the

end of February 2024, roughly $1.92 trillion was held by the top 25 domestic banks per Table 11

below. 

Figure 32. 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 Q4 2023.

8.1 Commercial Bank Holdings of Agency MBS

Table 11. Commercial Bank Holdings of Agency MBS

Commercial Bank Holdings ($Billions)

Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dec-23 Jan-24 Feb-24

Largest 25 

Domestic Banks 1,961.3 1,955.1 1,944.4 1,940.1 1,921.3 1,927.7 1,907.9 1,915.6 1,920.4

Small Domestic 

Banks 618.2 610.5 602.0 587.2 578.1 572.8 581.8 581.0 579.4

Foreign Related 

Banks 26.2 24.3 23.2 25.9 26.7 30.1 27.6 29.1 34.1

Total, 

Seasonally 

Adjusted

2,605.7 2,589.9 2,569.6 2,553.2 2,526.1 2,530.6 2,517.3 2,525.7 2,533.9

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

as of February 2024.

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
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

8.2 Bank and Thrift Residential MBS Holdings

In Q4 2023, MBS holdings at banks and thrifts increased for the first time since Q4 2021 on a QoQ

basis. The increase was mostly driven by GSE pass-throughs, Ginnie Mae pass-throughs, and agency

CMO holdings. Quarterly increases in Private MBS and Private CMO holdings were marginal,

approximately $0.3 billion and $1.4 billion, respectively. Total bank and thrift MBS holdings decreased

by approximately 6.7% from Q4 2022 and increased 5.8% from Q3 2023. Out of the $2.26 trillion in

MBS holdings at banks and thrifts as of Q4 2023, $1.35 trillion were GSE pass-throughs and $414

billion were Ginnie Mae pass-throughs.

Table 12. 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

2002 $832.5 $376.1 $101.5 $20.1 $245.0 $89.9 $702.4 $209.7

2003 $899.9 $461.7 $75.1 $19.4 $236.8 $106.9 $775.7 $206.5

2004 $1,011.0 $572.4 $49.3 $20.5 $208.2 $160.6 $879.8 $234.3

2005 $1,033.8 $566.8 $35.9 $29.1 $190.7 $211.2 $897.1 $242.7

2006 $1,124.5 $628.5 $31.1 $42.3 $179.2 $243.3 $983.5 $223.4

2007 $1,149.1 $559.8 $31.6 $26.3 $174.3 $357.2 $971.4 $264.6

2008 $1,218.8 $638.8 $100.4 $12.9 $207.7 $259.0 $1,088.0 $211.7

2009 $1,275.5 $629.2 $155.0 $7.5 $271.2 $212.6 $1,161.7 $184.1

2010 $1,433.4 $600.8 $163.1 $7.3 $397.3 $181.6 $1,233.3 $200.1

2011 $1,566.9 $627.4 $214.8 $3.3 $478.8 $167.7 $1,359.2 $207.6

2012 $1,578.9 $707.9 $242.5 $17.2 $469.3 $138.7 $1,430.6 $148.2

2013 $1,506.6 $706.0 $231.9 $26.1 $432.6 $114.2 $1,363.7 $142.9

2014 $1,539.3 $733.7 $230.5 $20.3 $449.9 $104.9 $1,409.8 $129.5

2015 $1,643.6 $823.1 $292.3 $11.1 $445.4 $71.6 $1,512.7 $130.9

2016 $1,736.9 $930.7 $323.5 $7.4 $419.8 $55.6 $1,576.1 $160.9

2017 $1,844.1 $1,010.8 $367.7 $4.6 $414.0 $47.0 $1,672.9 $171.2

2018 $1,815.0 $980.6 $380.4 $2.7 $416.6 $34.7 $1,635.0 $180.0

1Q19 $1,845.0 $1,001.6 $383.5 $3.1 $422.2 $34.7 $1,673.4 $171.6

2Q19 $1,907.1 $1,037.9 $408.0 $2.9 $421.6 $36.8 $1,727.7 $179.5

3Q19 $1,975.8 $1,079.8 $427.1 $4.7 $428.7 $35.4 $1,786.7 $189.0

2019 $1,985.4 $1,089.4 $426.9 $4.6 $429.0 $35.5 $1,796.3 $189.1

1Q20 $2,107.7 $1,173.4 $448.3 $4.7 $443.7 $37.6 $1,907.0 $200.6

2Q20 $2,195.2 $1,228.9 $441.1 $5.0 $478.1 $42.1 $1,946.4 $248.8

3Q20 $2,310.4 $1,349.5 $415.2 $4.4 $499.5 $41.8 $2,040.6 $269.8

4Q20 $2,520.9 $1,537.5 $390.7 $3.9 $548.7 $40.1 $2,210.2 $310.7

1Q21 $2,690.9 $1,713.8 $374.6 $4.9 $555.4 $42.3 $2,350.9 $340.0

2Q21 $2,781.9 $1,825.8 $352.8 $4.8 $555.5 $43.1 $2,431.8 $350.2

3Q21 $2,858.6 $1,886.8 $353.1 $4.2 $565.5 $49.0 $2,487.3 $371.3

4Q21 $2,906.0 $1,915.5 $352.7 $4.4 $578.0 $55.4 $2,529.8 $376.3

1Q22 $2,799.2 $1,817.7 $368.4 $4.0 $548.6 $60.4 $2,476.1 $323.1

2Q22 $2,623.8 $1,665.9 $369.2 $3.8 $523.0 $61.8 $2,321.2 $302.6

3Q22 $2,431.6 $1,520.2 $352.0 $3.3 $496.7 $59.3 $2,156.2 $275.4

4Q22 $2,423.9 $1,505.6 $371.9 $4.0 $481.7 $60.6 $2,154.5 $269.4

1Q23 $2,356.9 $1,441.2 $386.3 $4.1 $465.2 $60.1 $2,088.3 $268.7

2Q23 $2,280.4 $1,389.4 $383.5 $3.0 $446.2 $58.3 $2,022.5 $257.9

3Q23 $2,137.4 $1,289.3 $372.7 $2.6 $416.8 $55.9 $1,892.9 $244.4

4Q23 $2,260.5 $1,351.1 $414.2 $2.9 $434.9 $57.3 $2,008.9 $251.6

Change:

3Q23-4Q23 5.8% 4.8% 11.1% 11.3% 4.3% 2.5% 6.1% 2.9%

4Q22-4Q23 -6.7% -10.3% 11.4% -26.0% -9.7% -5.5% -6.8% -6.6%

Source: Inside Mortgage Finance. Notes: Data as of Q4 2023.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

Table 13. Top 20 Bank and Thrift Residential MBS Investors ($ in millions)

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

1 Bank Of America Corporation $429,000.0 $353,435.0 $68,818.0 $6,594.0 $153.0 19.0%

2 Wells Fargo & Company $234,985.0 $149,863.0 $82,730.0 $2,330.0 $62.0 10.4%

3 JPMorgan Chase & Co. $161,262.0 $69,016.0 $79,365.0 $498.0 $12,383.0 7.1%

4 Charles Schwab $147,850.0 $83,326.0 $5,336.0 $59,188.0 $0.0 6.5%

5 Truist Bank $98,894.0 $50,122.0 $11,231.0 $34,560.0 $2,981.0 4.4%

6 U.S. Bancorp $97,111.3 $61,113.2 $25,499.7 $10,498.3 $0.1 4.3%

7 Citigroup Inc. $94,672.0 $2,097.0 $615.0 4.2%

8 PNC Bank, National Association $68,836.7 $58,492.9 $3,870.3 $5,535.5 $938.0 3.0%

$66,372.0 $25,588.0

9 Capital One Financial 

Corporation $63,267.7 $29,843.1 $14,746.7 $18,358.3 $319.6 2.8%

10 Morgan Stanley $49,296.0 $30,822.0 $6,751.0 $11,676.0 $47.0 2.2%

11 Bank Of New York Mellon 

Corporation $41,122.0 $26,607.0 $3,558.0 $9,191.0 $1,766.0 1.8%

12 USAA Federal Savings Bank $36,810.0 $31,072.0 $1,803.0 $3,935.0 $0.0 1.6%

13 State Street Bank and Trust 

Company $36,774.3 $13,208.0 $9,013.0 $12,671.3 $1,882.0 1.6%

14 BMO Harris Bank National

Association $29,103.4 $3,977.6 $5,992.8 $19,133.0 $0.0 1.3%

15 Citizens Bank, National 

Association $27,334.7 $12,202.9 $5,936.5 $9,195.3 $0.0 1.2%

16 The Huntington National Bank $27,020.9 $10,758.6 $8,847.3 $7,295.9 $119.1 1.2%

17 TD Bank USA/TD Bank NA $25,435.6 $1,447.7 $73.3 $23,886.4 $28.1 1.1%

18 HSBC Bank USA, National

Association $24,277.1 $3,876.7 $15,327.1 $5,072.7 $0.6 1.1%

19 KeyBank National Association $24,113.6 $3,573.4 $166.8 $20,373.4 $0.0 1.1%

20 Ally Bank $19,074.0 $11,970.0 $1,750.0 $1,530.0 $3,824.0 0.8%

Total Top 20 $1,736,240.2 $1,071,099.1 $376,403.6 $263,619.1 $25,118.5 76.8%

Source: Inside Mortgage Finance. Notes: Data as of Q4 2023.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

8.3 SOMA Holdings

FOMC and Economic Highlights:

 Federal Open Market Committee Meeting 1/31/2024 Press Release:

o “The Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-

1/2 percent.”

o “The Committee does not expect it will be appropriate to reduce the target range until it has

gained greater confidence that inflation is moving sustainably toward 2 percent.”

o “The Committee is strongly committed to returning inflation to its 2 percent objective.”

o “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.”

 Powell indicated in his press conference that:

o “We believe that our policy rate is likely at its peak for this tightening cycle and that, if the

economy evolves broadly as expected, it will likely be appropriate to begin dialing back policy

restraint at some point this year.”

o “Growth is solid to strong over the course of last year.”

o “We’ve had just about two years now of unemployment under 4%. That hasn’t happened in

50 years.”

o “We’ve got six months of good inflation data and an expectation that there’s more to come.”

o “Lets be honest. This is a good economy.”

o “...overall, this is a pretty good picture. It is a good picture.”

 On 10/19/23, the UST 10YR briefly traded at 5.001% for the first time since 2007. Since then,

the yield has returned to pre-peak levels. As of 2/29/24, the UST 10YR yield closed at 4.25%

while the Ginnie II 5% coupon yield closed at 5.73%, a spread of 148 bps. This is down from a 

peak of 205 bps in May 2023.

 Per the March 8, 2024 jobs report, 275,000 new jobs were created and the unemployment rate

increased to 3.9% in February 2024.

SOMA Portfolio Highlights (January 31, 2024 vs. February 28, 2024)

 SOMA holdings of domestic securities totaled $6.96 trillion on Feb 29 (a decrease of $44.9 

billion or -0.64% from Jan 31). $31.0 billion (69% of the total decrease) was in U.S. Treasury

holdings and $13.9 billion (31% of the total decrease) was in Agency MBS.

 Since the institution of redemption caps in June 2022, SOMA holdings have decreased by $1.436

trillion. The total reduction of holdings of U.S. Treasuries was $1.132 trillion and $0.304 trillion

for Agency MBS. This represents 92.1% and 42.3% of the total redemption cap over the period

for U.S. Treasuries and Agency MBS, respectively.

 Agency MBS comprise about 34% of the total SOMA portfolio. The $13.9 billion monthly

decrease was primarily due to MBS principal repayments rather than outright sales and was

comprised of a $5.9 billion decrease in Fannie Mae holdings, a $5.0 billion decrease in Freddie

Mac holdings, and a $3.0 billion decrease in Ginnie Mae holdings. Since the Fed’s QT program

began in June 2022, there have only been 19 outright sales of Agency MBS specified pools,

totaling $552 million.

 While Ginnie Mae MBS comprise 26.2% of total Agency MBS outstanding, the SOMA Ginnie

Mae allocation is underweighted at only 20.6%.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

 SOMA Agency MBS holdings include 15-yr, 30-yr, and Other securities with, 30-yr comprising

around 88% of total Agency MBS holdings. Only 30-yr Ginnie Mae I & II MBS are held by SOMA.

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

of 2.507%.

 There were no significant changes in Agency MBS holdings by coupon rate distribution in

February.

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

reduction of $13.9 billion in Agency MBS represents 40% of the monthly liquidation cap.

Table 14. SOMA Holdings as of January 3, 2024 and February 28, 2024 ($ Billions)

Holdings by Security 

Type

January 31, 2024 February 28, 2024 Month-Over-Month

SOMA Holdings % Share SOMA Holdings % Share $ Change % Change 4

U.S. Treasuries $4,581.5 65.44% $4,550.5 65.42% -$31.0 -0.68%

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

Agency MBS $2,408.9 34.41% $2,395.0 34.43% -$13.9 -0.58%

Agency Commercial MBS $8.2 0.12% $8.2 0.12% $0.0 -0.12%

Total SOMA Holdings $7,001.0 100.0% $6,956.0 100.0% -$44.9 -0.64%

Table 15. SOMA Agency MBS Holdings Distribution ($ Billions)

Agency

Singly-Family AMBS 

Outstanding January

1, 2024

% AMBS 

Outstanding

SOMA AMBS 

Holdings January

31, 2024

% SOMA 

Holdings

SOMA AMBS 

Holdings 

February 28, 2024

% SOMA 

Holdings

Fannie Mae $3,577.3 40.4% $991.7 41.2% $985.8 41.2%

Freddie Mac $2,950.1 33.3% $920.8 38.2% $915.7 38.2%

Ginnie Mae $2,319.9 26.2% $496.5 20.6% $493.5 20.6%

Total $8,847.3 100.0% $2,408.9 100.0% $2,395.0 100.0%

Table 16. SOMA Agency MBS Liquidations from January 31, 2024 to February 28, 2024 ($ Billions)

MBS Holdings as of 1.31.24 MBS Holdings 2.28.24 Liquidated Amount Liquidation 

Cap 5 % of Liquidation Cap

Total $2,408.9 $2,395.0 $13.9 $35.0 40%

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 14 illustrates figures in $ billions, any change less than $50 million will be expressed as a “$0.0” change in the “$ Change” column.

5 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.
GLOBAL MARKETS ANALYSIS REPORT

MBS Ownership

March 2024

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

8.4 Foreign Ownership of MBS

As of month-end January 2024, foreign ownership of MBS represented approximately $1.36 trillion

in Agency MBS, up approximately $153 billion from January 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 24% of total Agency MBS available.

Figure 33. Agency MBS Owned by Foreign Entities Ex-Fed Holdings and CMO’s (USD Billions)

Figure 34. Agency MBS Owned by Foreign Entities (USD Billions)

Sources: TIC and Recursion, as of January 2024.

10%

15%

20%

25%

30%

35%

450

650

850

1,050

1,250

1,450

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

10.00%

12.00%

14.00%

16.00%

18.00%

400

700

1,000

1,300

1,600

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

MBS Ownership

March 2024

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

8.5 Foreign Ownership of Agency Debt and Agency MBS

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

owned roughly 52% of all foreign owned Agency MBS. Between December 2022 and December 2023,

China and Taiwan increased their Agency MBS holdings while Japan’s holdings decreased. China’s 

holdings increased by $19.9 billion, Taiwan’s holdings increased by $1.3 billion, and Japan’s holdings

decreased by $19.0 billion.

Table 17. All Agency Debt (QoQ)

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

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

China 263,892 269,980 255,110 271,478 12,300 6,088 -14,870 16,368

Japan 287,051 253,357 252,463 259,059 8,982 -33,694 -894 6,596

Taiwan 212,533 208,226 201,010 211,610 2,224 -4,307 -7,216 10,600

Canada 105,527 105,330 116,642 133,725 8,293 -197 11,312 17,083

United Kingdom 41,101 55,682 90,017 120,148 -20,292 14,581 34,335 30,131

Luxembourg 51,202 40,971 42,656 46,054 3,962 -10,231 1,685 3,398

Cayman Islands 29,485 30,398 37,089 42,342 -1,456 913 6,691 5,253

Ireland 25,099 36,766 39,697 39,543 2,621 11,667 2,931 -154

South Korea 38,131 36,737 36,508 38,381 1,894 -1,394 -229 1,873

France 22,578 20,411 24,287 25,301 2,969 -2,167 3,876 1,014

Other 196,641 208,190 218,177 235,604 -28,825 11,549 9,987 17,427

Total 1,273,240 1,266,048 1,313,656 1,423,245 -7,328 -7,192 47,608 109,589

Table 18. All Agency Debt (YoY)

Country

Level of Holdings ($ Millions)

12/1/2022 12/1/2023 YoY Change in Holdings ($ Millions)

China 251,592 271,478 19,886

Japan 278,069 259,059 -19,010

Taiwan 210,309 211,610 1,301

Canada 97,234 133,725 36,491

United Kingdom 61,393 120,148 58,755

Luxembourg 47,240 46,054 -1,186

Cayman Islands 30,941 42,342 11,401

Ireland 22,478 39,543 17,065

South Korea 36,237 38,381 2,144

France 19,609 25,301 5,692

Other 225,466 235,604 10,138

Total 1,280,568 1,423,245 142,677

Source: Treasury International Capital (TIC). Note: Level of agency debt Holdings by month data as of Q4 2023. Agency MBS as of December

2023. Table 16 includes the top 10 holders of agency debt listed as of December 2023.
GLOBAL MARKETS ANALYSIS REPORT

Fixed Income Liquidity Indicators

March 2024

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

9 FIXED INCOME LIQUIDITY INDICATORS

The Agency MBS average daily trading volume YTD as of month-end February 2024 was $291 billion, 

which was up from a monthly average of $255 billion for calendar year 2023. As of month-end

February 2024, Agency MBS average daily trading volume decreased 11.7% MoM. See footnote below

for update on “Average Daily Turnover by Sector” data.

Figure 35. Average Daily Trading Volume by Sector

Figure 36. Average Daily Turnover by Sector

Source: SIFMA. Note: Data as of February 2024 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.

$291

$915

$54 $0

$100

$200

$300

$400

$500

$600

$700

$800

$900

$1,000 $ Billions

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

2.70%

2.96%

0.37% 0%

2%

4%

6%

8%

10%

12%

14%

Agency MBS Turnover Treasury Turnover Corporates Turnover
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

PRIMARY MORTGAGE MARKET

10 AGENCY CREDIT BREAKDOWN

Tables 19, 20, and 21 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 February

2024. The distribution statistics capture some key differences in the populations served by the

agencies.

10.1 Credit Scores

Table 19. Share of Loans by FICO Score

Purchase FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 158,890 652 695 745 781 799 735

Fannie 49,356 703 734 766 790 802 759

Freddie 45,697 691 725 762 788 802 753

Ginnie 63,837 629 657 698 750 785 703

Refi FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 42,194 622 655 703 756 788 702

Fannie 12,197 661 698 742 777 798 735

Freddie 10,456 664 697 740 776 797 734

Ginnie 19,541 594 628 662 701 746 665

All FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 201,084 643 685 738 777 798 728

Fannie 61,553 693 727 763 788 801 754

Freddie 56,153 684 720 759 786 801 750

Ginnie 83,378 621 649 689 740 780 694

Purchase FICO: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 63,837 629 657 698 750 785 703

FHA 39,557 625 650 683 725 762 688

VA 22,213 639 682 739 781 800 728

Other 2,067 636 662 704 740 768 702

Refi FICO: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

.

All 19,541 594 628 662 701 746 665

FHA 11,616 588 622 653 686 719 653

VA 7,913 607 640 680 728 769 682

Other 12 650 681 742 787 801 730

All FICO: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 83,378 621 649 689 740 780 694

FHA 51,173 617 643 676 717 756 680

VA 30,126 629 666 722 772 797 716

Other 2,079 636 662 704 740 769 702

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

March 2024

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

Figure 37. FICO Distributions by Agency

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

0.0%

2.9%

13.1%

28.1%

45.3%

10.7%

0.1%

2.3%

10.1%

27.5%

48.8%

11.2%

2.4%

16.3%

21.9%

22.5%

28.2%

7.4%

5.2%

26.4%

35.4%

20.0%

9.8%

1.0%

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

March 2024

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

10.2 Loan-to-Value (LTV)

Table 20. Share of Loans by LTV

Purchase LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 159,113 64 80 94 97 100 86

Fannie 49,406 55 75 80 95 95 79

Freddie 45,711 52 73 80 95 95 79

Ginnie 63,996 90 97 98 100 100 96

Refi LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 45,445 36 54 72 81 98 68

Fannie 12,198 28 42 58 70 79 55

Freddie 10,456 28 43 60 72 80 57

Ginnie 22,791 59 73 81 96 100 81

All LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 204,558 53 75 90 97 100 82

Fannie 61,604 45 64 80 90 95 75

Freddie 56,167 44 65 80 90 95 75

Ginnie 86,787 76 90 98 99 100 92

Purchase LTV: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 63,996 90 97 98 100 100 96

FHA 39,645 92 97 98 98 98 96

VA 22,251 84 99 100 100 102 96

Other 2,100 91 98 100 101 101 97

Refi LTV: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 22,791 59 73 81 96 100 81

FHA 12,647 52 67 79 81 95 74

VA 10,127 72 84 93 100 102 90

Other 17 67 71 75 83 94 77

All LTV: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 86,787 76 90 98 99 100 92

FHA 52,292 73 85 97 98 98 90

VA 32,378 80 91 100 100 102 94

Other 2,117 90 98 100 101 101 97

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

March 2024

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

Figure 38. Loan-to Value by Agency

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

22.7%

40.3%

30.5%

6.5%

22.7%

41.3%

28.3%

7.7%

3.3%

9.6%

23.2%

63.9%

4.2%

12.9%

17.6%

65.3%

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

0 - 60%

60 - 80%

80 - 95%

95 - 100%

FHA VA Fannie Mae Freddie Mac
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

10.3 Debt-to-Income (DTI)

Table 21. Share of Loans by DTI

Purchase DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 158,800 27 34 42 48 51 41

Fannie 49,406 24 32 39 45 48 38

Freddie 45,711 25 32 40 46 49 38

Ginnie 63,683 32 39 45 51 55 44

Refi DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 38,781 25 33 41 47 51 39

Fannie 12,198 23 30 38 43 47 36

Freddie 10,456 25 32 40 46 49 38

Ginnie 16,127 29 36 44 50 55 43

All DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 197,581 27 34 42 48 51 40

Fannie 61,604 24 31 39 45 48 37

Freddie 56,167 25 32 40 46 49 38

Ginnie 79,810 31 38 45 51 55 44

Purchase DTI: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 63,683 32 39 45 51 55 44

FHA 39,639 34 40 46 52 55 45

VA 21,946 30 37 45 51 56 44

Other 2,098 27 32 36 40 42 35

Refi DTI: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 16,127 29 36 44 50 55 43

FHA 10,876 29 37 44 50 55 43

VA 5,235 27 35 43 50 54 42

Other 16 31 33 38 39 42 37

All DTI: Ginnie Mae Breakdown by Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 79,810 31 38 45 51 55 44

FHA 50,515 33 39 46 51 55 45

VA 27,181 30 37 45 51 56 44

Other 2,114 27 32 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

March 2024

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

Figure 39. Debt-to Income by Agency

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

34.5%

34.5%

30.9%

37.6%

36.4%

26.0%

19.8%

28.2%

52.0%

14.4%

28.0%

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

March 2024

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

10.4 High LTV Loans: Ginnie Mae vs. GSEs

Comparing the three-month range of December 2022 – February 2023 to the three-month range of

December 2023 – February 2024, the share of high-LTV agency loans with:

 FICO scores above 750 increased by approximately 10.9%.

 DTIs below 35% decreased by approximately 10.7%.

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 71.23% of its issuances between December 2023

– February 2024 having LTVs of 95 or above, compared to 21.81% for the GSEs.

Table 22. Share of Loans with LTV > 95

Ginnie Mae GSE All

Dec 2022 - Feb 2023 70.99% 23.91% 41.33%

Dec 2023 - Feb 2024 71.23% 21.81% 41.78%

Table 23. Agency Market Share by DTI and FICO for Loans with LTV > 95 (Dec 2022 - Feb 2023) 

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 2.01% 3.02% 4.23% 6.30% 0.06% 15.61%

35-45 5.70% 8.62% 10.36% 11.25% 0.05% 35.98%

≥45 8.26% 14.01% 13.05% 11.54% 0.06% 46.91%

NA 0.29% 0.21% 0.15% 0.19% 0.67% 1.50%

All 16.25% 25.86% 27.79% 29.27% 0.83% 100.00%

Table 24. Agency Market Share by DTI and FICO for Loans with LTV > 95 (Dec 2023 - Feb 2024)

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 1.58% 2.40% 3.61% 6.28% 0.07% 13.93%

35-45 4.91% 7.50% 9.53% 12.03% 0.07% 34.05%

≥45 7.39% 13.46% 14.36% 13.78% 0.09% 49.07%

NA 0.55% 0.45% 0.34% 0.38% 1.23% 2.95%

All 14.42% 23.81% 27.84% 32.47% 1.46% 100.00%

Sources: Recursion and Ginnie Mae. Data as of February 2024.
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

10.5 Serious Delinquency Rates

Serious delinquency rates for Single-Family VA and FHA loans rose in Q4 2023. From Q3 2023 to Q4

2023, FHA’s serious delinquencies rose 8 bps to 3.32% while VA’s delinquency rates saw a 2 bp

increase to 2.01%. Fannie and Freddie’s serious delinquencies saw less movement than FHA and VA

in Q4 2023. Fannie Mae’s serious delinquency rate increased 1 bp and Freddie’s rate remained

constant from Q3 2023 to Q4 2023, both sitting at 0.55%. The trend in serious delinquency rates is

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

Figure 40. 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 Q4 2023.

3.32%

0.55%

2.01%

0%

2%

4%

6%

8%

10%

12%

2Q071Q084Q083Q092Q101Q114Q113Q122Q131Q144Q143Q152Q161Q174Q173Q182Q191Q204Q203Q212Q221Q234Q23

Serious Delinquency Rates

FHA Fannie Mae Freddie Mac VA
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

10.6 Credit Box

The first-time homebuyer share for agency purchase loans was 56.7% as of month-end February

2024, an increase from 56.1% in January 2024 and up from 54.7% in February 2023. Freddie Mac and 

Fannie Mae’s first-time homebuyer shares, 48.0% and 48.5%, respectively, as of month-end February

2024, increased 3.4% and 4.0%, respectively, YoY. Ginnie Mae’sfirst-time homebuyer share increased

0.6% YoY. Table 25 shows that based on mortgages originated as of month-end February 2024, the

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

a Ginnie Mae first-time homebuyer. Ginnie Mae’s first-time homebuyers were more likely to have

lower loan amounts and lower credit scores, while having slightly higher mortgage rates than Ginnie

Mae repeat buyers. 

Figure 41. First-Time Homebuyer Share: Purchase Only Loans

Table 25. 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 $ $341,634 $357,019 $314,757 $328,061 $319,665 $376,078 $324,310 $352,510

Credit Score 753 764 745 761 696 717 723 750

LTV (%) 84.4% 74.6% 84.1% 73.7% 96.8% 93.9% 90.4% 79.8%

DTI (%) 37.3% 38.0% 38.2% 38.1% 44.1% 45.4% 40.8% 40.1%

Loan Rate (%) 6.8% 6.9% 6.8% 6.9% 6.5% 6.4% 6.7% 6.7%

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files as of February 2024

48.0%

48.5%

69.1%

56.7%

25%

35%

45%

55%

65%

75%

First-Time Homebuyer Share

Freddie Fannie Ginnie All
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

In the Ginnie Mae purchase market, 78.2% of FHA loans, 51.5% of VA loans, and 83.3% of “Other”

loans provided financing for first-time home buyers as of month-end February 2024. The share of

first-time home buyers in the Ginnie Mae purchase market decreased MoM for FHA and “Other”

loans, while increasing for VA loans. Table 26 shows that based on mortgages originated as of monthend February 2024; 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 14.7% smaller loans, had a

24-point lower credit score, and a 4.2% higher LTV than VA repeat buyers. VA repeat buyers faced a 

slightly lower loan rate than VA first-time buyers.

FHA’s first-time homebuyers are much more like their repeat buyers, with only 2.2% smaller loans 

and 2.4% 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.

Figure 42. First-time Homebuyer Share: Ginnie Mae Breakdown

Table 26. 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 $ $310,103 $317,118 $365,962 $428,965 $185,880 $200,114 $319,665 $376,078

Credit Score 688 688 717 741 700 707 696 717

LTV (%) 96.3% 93.9% 98.1% 93.9% 97.5% 96.8% 96.8% 93.9%

DTI (%) 44.8% 46.3% 43.3% 44.9% 35.2% 36.6% 44.1% 45.4%

Loan Rate 

(%) 6.6% 6.5% 6.4% 6.3% 6.7% 6.5% 6.5% 6.4%

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files as of February 2024. Note: LTV, DTI, and Loan Rate are rounded to nearest

tenth.

78.2%

51.5%

83.3%

69.1%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

First-time Homebuyer Share

FHA VA Other All
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

10.7 Credit Box: Historical

The median FICO score for all agency loans originated as of month-end February 2024 was 735, which 

represents an 8-point increase from February 2023. Ginnie Mae median FICO scores increased 13

points from 671 in February 2023 to 684 as of month-end February 2024. As of month-end February

2024, average FICO scores for refinances increased for Ginnie Mae and Freddie Mac borrowers by 8 

and 15 points YoY, respectively.

Figure 43. FICO Scores for All Loans

Figure 44. FICO Scores for Purchase Loans Figure 45. FICO Scores for Refinance Loans

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

759

763

684

735

660

680

700

720

740

760

780

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

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

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Agency Credit Breakdown

March 2024

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

In February 2024, the median LTV for Ginnie Mae loans was 97.1% compared to 80% for Fannie Mae

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

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

1.1% decrease in LTV from February 2023 to February 2024. In February 2024, median DTIs for Ginnie

Mae, Freddie Mac, and Fannie Mae were 45.0%, 40.0%, and 39.0%, respectively. In February 2023,

median DTIs for Ginnie Mae, Freddie Mac, and Fannie Mae were 44.7%, 39.0%, and 40.0%,

respectively.

Figure 47. DTI Ratio for All Loans

Figure 46. LTV Ratio for All Loans

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

80.0

97.1

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

42.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

46.0

48.0

Freddie Median Fannie Median Ginnie Median All Median
GLOBAL MARKETS ANALYSIS REPORT

Forbearance Trends

March 2024

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

11 FORBEARANCE TRENDS

At the end of February 2024, 30,705 Ginnie Mae loans were in forbearance. The number of loans in

forbearance removed from MBS pools in January were 160 while 30,545 loans in forbearance

remained in pools. The number of loans in forbearance and loans in forbearance that remained in

pools increased 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.

Tables 27-29. Forbearance Snapshot

All Loans in Forbearance – February 2024

FICO 

Score*

Note 

Rate*

Current Principal 

Balance Median

First Time Homebuyer 

Share (%)

Purchase 

Share (%) Loan Count

Ginnie 649 4.3 $187,573 74.5 76.3 30,705

Bank 670 4.1 $137,283 80.2 83.1 7,337

Nonbank 646 4.3 $206,095 73.5 75.1 23,315

FHA 649 4.3 $182,075 76.6 77.1 26,489

Bank 669 4.2 $134,916 82.4 83.5 6,399

Nonbank 645 4.4 $199,010 75.5 75.9 20,043

VA 648 4.3 $271,645 59.8 68.7 3,165

Bank 676 3.6 $185,300 59.4 78.3 637

Nonbank 645 4.4 $292,739 59.8 67.5 2,524

Loans in Forbearance and Removed from Pools – February 2024

FICO 

Score*

Note 

Rate*

Current Principal 

Balance Median

First Time Homebuyer 

Share (%)

Purchase 

Share (%) Loan Count

Ginnie 649 5.3 $193,579 80.4 80.7 160

Bank 684 6.1 $123,164 93.7 90.0 62

Nonbank 637 4.9 $235,615 75.3 77.6 98

FHA 645 5.6 $189,598 82.4 81.3 136

Bank 682 6.4 $119,769 93.6 89.8 58

Nonbank 629 5.3 $238,686 77.1 77.8 78

VA 669 3.4 $233,680 59.8 72.4 19

Bank 738 3.7 $251,277 N/A N/A 3

Nonbank 665 3.3 $224,958 59.8 72.4 16

Loans in Forbearance that Remain in Pools – February 2024

FICO 

Score*

Note 

Rate*

Current Principal 

Balance Median

First Time Homebuyer 

Share (%)

Purchase 

Share (%) Loan Count

Ginnie 649 4.3 $187,518 74.5 76.3 30,545

Bank 670 4.1 $137,425 80.1 83.1 7,275

Nonbank 646 4.3 $205,998 73.5 75.0 23,217

FHA 649 4.3 $182,027 76.6 77.1 26,353

Bank 669 4.2 $135,047 82.3 83.4 6,341

Nonbank 646 4.4 $198,980 75.5 75.9 19,965

VA 648 4.3 $271,702 59.8 68.7 3,146

Bank 676 3.6 $185,177 59.4 78.3 634

Nonbank 645 4.4 $292,908 59.8 67.5 2,508

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 February 2024; *Averages weighted by remaining principal balance of the loans. Rounded to nearest tenth.
GLOBAL MARKETS ANALYSIS REPORT

Holders of Ginnie Mae Mortgage Servicing Rights

March 2024

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

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 30. The top 30 firms collectively own 87.83% 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 February 2024, over half (53.79%) of the Ginnie Mae MSRs are

owned by the top six firms.

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

MSR Holder Current Rank Year 

prior Change UPB ($) Share Cumulative Share CPR CDR

Lakeview Loan Servicing 1 1 $313,624,795,917 13.4% 13.43% 6.16% 0.95%

DBA Freedom Mortgage 2 2 $297,543,722,685 12.7% 26.18% 7.57% 0.91%

PennyMac Loan Service 3 3 $274,801,735,080 11.8% 37.94% 6.81% 1.31%

Newrez LLC 4 5 $128,829,795,518 5.5% 43.46% 5.73% 0.64%

Mr. Cooper (Nationstar) 5 4 $126,982,898,302 5.4% 48.90% 7.26% 1.29%

Carrington Mortgage 6 8 $114,131,846,574 4.9% 53.79% 5.83% 0.69%

Rocket Mortgage (Quicken Loans) 7 7 $110,528,630,110 4.7% 58.52% 7.64% 0.21%

Wells Fargo Bank 8 6 $97,479,545,048 4.2% 62.70% 5.02% 0.32%

Planet Home Lending 9 11 $69,303,240,360 3.0% 65.67% 7.66% 0.38%

United Wholesale Mortgage 10 10 $61,999,564,569 2.7% 68.32% 9.41% 1.36%

U.S. Bank 11 9 $56,658,984,232 2.4% 70.75% 4.85% 0.90%

LoanDepot 12 12 $40,452,749,358 1.7% 72.48% 7.31% 1.17%

Navy Federal Credit Union 13 15 $31,752,994,388 1.4% 73.84% 4.76% 0.22%

Mortgage Research Center 14 13 $28,035,256,706 1.2% 75.04% 19.12% 0.57%

M&T Bank 15 N/A $27,035,448,535 1.2% 76.20% 4.38% 0.23%

Guild Mortgage Company 16 16 $24,551,572,562 1.1% 77.25% 4.77% 0.43%

The Money Source 17 17 $22,668,097,291 1.0% 78.22% 5.66% 0.73%

CrossCountry Mortgage 18 19 $21,826,348,818 0.9% 79.16% 7.87% 1.25%

AmeriHome Mortgage 19 14 $21,337,921,054 0.9% 80.07% 8.76% 1.27%

Movement Mortgage 20 22 $21,168,857,477 0.9% 80.98% 6.10% 1.15%

New American Funding 21 20 $20,578,473,877 0.9% 81.86% 6.67% 0.71%

Truist Bank 22 18 $20,432,947,682 0.9% 82.73% 5.35% 0.88%

CMG Mortgage 23 23 $19,493,761,542 0.8% 83.57% 6.70% 1.90%

PHH Mortgage Corporation 24 26 $19,147,160,498 0.8% 84.39% 5.55% 0.82%

Idaho Housing and Finance 25 24 $18,003,364,474 0.8% 85.16% 3.99% 1.01%

Village Capital and Investment, LLC 26 21 $15,152,149,534 0.6% 85.81% 26.15% 4.66%

Citizens Bank 27 25 $13,983,704,496 0.6% 86.41% 5.07% 0.57%

MidFirst Bank 28 28 $11,528,024,256 0.5% 86.90% 7.71% 2.97%

Flagstar Bank 29 27 $11,339,895,382 0.5% 87.39% 6.91% 1.61%

Sun West Mortgage 30 30 $10,352,682,506 0.4% 87.83% 7.33% 0.20%

Sources: Deloitte, Recursion. Notes: Data as of February 2024.
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originators

March 2024

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

13 AGENCY NONBANK ORIGINATORS

Total agency nonbank origination share increased as of month-end February 2024 by approximately 

1.7% MoM. The increase in nonbank origination share was driven by an increase in Freddie Mac and 

Fannie Mae, up 0.4% MoM and 1.4% MoM, respectively. The Ginnie Mae nonbank share rose to 

92.9% as of February 2024 and has remained consistently higher than the GSEs, largely driven by 

origination share of refinance mortgage loans.

Figure 48. Agency Nonbank Originator Share (All, Purchase, Refi)

Source: Recursion. Notes: Data as of February 2024.

85.3%

78.7%

80.0%

92.9%

30%

40%

50%

60%

70%

80%

90%

100%

All Fannie Freddie Ginnie

Figure 49. Nonbank Origination Share:

Purchase Loans

Figure 50. Nonbank Origination Share:

Refi Loans

30%

40%

50%

60%

70%

80%

90%

100%

All Fannie Freddie Ginnie

30%

40%

50%

60%

70%

80%

90%

100%

110%

All Fannie Freddie Ginnie
GLOBAL MARKETS ANALYSIS REPORT

Agency Nonbank Originations

March 2024

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

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

2024. Ginnie Mae continues to have a high proportion of nonbank originations, with a rate of 92.9% 

in February 2024. The percentage of Ginnie Mae’s “Other” nonbank refinanced loans increased to 

77.1% in February 2024.

Figure 51. Ginnie Mae Nonbank Originator Share (All, Purchase, Refi)

Source: Recursion. Notes: Data as of February 2024.

91.6%

92.9%

92.2%

93.8%

60%

65%

70%

75%

80%

85%

90%

95%

100%

FHA VA Other All

Figure 52. Ginnie Mae Nonbank Share: 

Purchase Loans

Figure 53. Ginnie Mae Nonbank Share: 

Refi Loans

40%

50%

60%

70%

80%

90%

100%

All FHA VA Other

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

110%

All FHA VA Other
GLOBAL MARKETS ANALYSIS REPORT

Bank Vs. Nonbank Originators

March 2024

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

14 BANK VS. NONBANK ORIGINATORS HISTORICAL CREDIT BOX, GINNIE MAE VS. 

GSE

14.1.1 (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 increased to 20 from January 2024 to February 2024. The agency median FICO score decreased 

to 735 in February 2024.

Figure 54. Agency FICO: Bank vs. Nonbank

Figure 55. GSE FICO: Bank vs. Nonbank Figure 56. Ginnie Mae FICO: Bank vs. Nonbank

Source: Recursion: Notes: Data as of February 2024.

735

751

731

700

710

720

730

740

750

760

770

780

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

660

670

680

690

700

710

720

All Median FICO Bank Median FICO

Nonbank Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Bank Vs. Nonbank Originators

March 2024

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

The median LTV for all GSE originators remained the same as of month-end February 2024 at 80.0%. 

Ginnie Mae median bank and nonbank LTV remained flat at 98.2% and 97.0%, respectively. Ginnie 

Mae median DTI decreased slightly to 45.1% through February 2024 in nonbank originations.

Figure 57. GSE LTV: Bank vs. Nonbank Figure 58. Ginnie Mae LTV: Bank vs. Nonbank

Source: Recursion. Notes: Data as of February 2024.

Figure 59. GSE DTI: Bank vs. Nonbank Figure 60. Ginnie Mae DTI: Bank vs. Nonbank

68

70

72

74

76

78

80

82

All Median LTV

Bank Median LTV

Nonbank Median LTV

94

96

98

100

All Median LTV

Bank Median LTV

Nonbank Median LTV

30

32

34

36

38

40

42

44

All Median DTI

Bank Median DTI

Nonbank Median DTI

38

39

40

41

42

43

44

45

46

All Median DTI

Bank Median DTI

Nonbank Median DTI
GLOBAL MARKETS ANALYSIS REPORT

Bank Vs. Nonbank Originators

March 2024

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

As of month-end February 2024, the median FICO score for Ginnie Mae bank decreased 1 point to 

691 and nonbank increased 1 point to 683. The median FICO score for all Ginnie originations remained 

constant at 684. The gap between banks and nonbanks is most apparent in “Other” lending (14-point 

spread).

Source: Recursion. Notes: Data as of February 2024.

Figure 62. Ginnie Mae FHA FICO Score:

Bank vs. Nonbank

Figure 61. Ginnie Mae FICO Score:

Bank vs. Nonbank

Figure 63. Ginnie Mae VA FICO Score:

Bank vs. Nonbank

Figure 64. Ginnie Mae Other FICO Score:

Bank vs. Nonbank

660

670

680

690

700

710

720

All Median FICO

Bank Median FICO

Nonbank Median FICO

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

670

680

690

700

710

720

Other All Median FICO

Other Bank Median FICO

Other Nonbank Median FICO
GLOBAL MARKETS ANALYSIS REPORT

Bank Vs. Nonbank Originators

March 2024

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

38

48

46

40

42

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

44

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

Figure 67. VA DTI: Bank vs. Nonbank Figure 68. Other DTI: Bank vs. Nonbank

Source: Recursion. Notes: Data as of February 2024.

FHA Me an DT

FHA Bank Me an DT

FHA Nonbank Me an DT

di I

di I

di I

38

39

40

41

42

43

44

45

46

All Median DTI FHA Me an DT

Bank Median DTI FHA Bank Me an DT

Nonbank Median DTI FHA Nonbank Me an DT

38

40

42

44

46

48

di I

di I

di I

32

34

36

38

40

42

44

46

48

34

35

36

37

38

VA Median DTI

VA Bank Median DTI

VA Nonbank Median DTI

Other Median DTI

Other Bank Median DTI

Other Nonbank Median DTI
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

March 2024

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

15 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.

May 2021 •LMI “Social” Disclosures (% of loans in LMI Areas)

•Disclosures reveal approximately $259 billion of Outstanding 

Ginnie Mae MBS categorized as LMI area loans as defined by 

HUD’s CDBG Program

June 2021

•Green “Environmental” Status Disclosures Announced 

identifies Green properties within Multifamily Pools. November 2021

•Full implementation of Green Status Field into Multifamily 

Disclosures March 2022

•Introduction of Affordable Status Disclosure for Multifamily 

properties April 2022

•Low-Moderate Income Borrower (LMIB) Disclosure 

Announced February 2023

September 2023 •Social Bond Program Introduced

December 2023 •ESG Page Enhancement for Platinum Pool Search Results
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

March 2024

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

15.1 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 31. ESG Metrics – MBS Portfolio (February 2024)
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

March 2024

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

15.2 Environmental

Table 32. UPB by ESG Status

ESG Status UPB %

Green/Affordable 1,088,520,528 0.7%

Green/Broadly Affordable 342,639,855 0.2%

Green/Market 47,670,175,300 31.6%

Green Total 49,101,335,683 32.5%

Affordable 6 7,042,465,692 4.7%

Broadly Affordable6 27,476,312,340 18.2%

Affordable Total 35,949,938,415 23.8%

ESG Total 83,620,113,715 55.4%

Total 151,053,800,986 100.0%

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 U.S. 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 55.4% of Ginnie Mae’s Multifamily collateral is considered ESG.

15.3 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% of the AMI value, in the associated census tract, their mortgage

will be flagged as an LMI loan. In September 2023, Ginnie Mae launched its Social Bond update to its

Single-Family Forward MBS program and its Social Impact and Sustainability Framework. These 

enhancements highlight the structural aspects of Ginnie Mae’s mission and program to expand

broader access to mortgage financing, affordable homeownership, and rental opportunities for 

historically underserved communities. In December 2023, Ginnie Mae added Low/Moderate

Geographic Area Values and Low/Moderate Borrower Income Values to its Platinum pool securities

including UPB amount and UPB percentage.

Sources: Ginnie Mae Disclosures as of February 2024, https://www.hud.gov/program_offices/housing/mfh/green

6 “Affordable” and “Broadly Affordable” removes “Green/Affordable” and “Green/Broadly Affordable” from the UPB total.

1.3% 0.4%

57.0%

8.4%

32.9%

Figure 69. Composition of Ginnie 

Mae Green Status and Affordable 

Multifamily Collateral

Green/Affordable

Green/Broadly Affordable

Green/Market

Affordable

Broadly Affordable
GLOBAL MARKETS ANALYSIS REPORT

Environmental, Social, Governance

March 2024

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

15.3.1 LOW-TO-MODERATE INCOME BORROWERS

Roughly $301 billion of Ginnie Mae Single-Family collateral and over 1.7 million of loans outstanding

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

$23 billion YoY. 

Figure 70. ESG Share of the Outstanding SF Portfolio

Source: Ginnie Mae Disclosures as of February 2024

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 91% of total UPB.

Table 33. Percent LMI by Pool Share

Metric LMI Pool Share 

>50%

LMI Pool Share

20% - 50% LMI Share < 20% All Pools

Total UPB ($ billions) $8.5 $204.1 $2073.1 $2,285.7

Average Original Loan Size $178,106 $193,334 $339,327 $325,695

Credit Score (Median) 674 675 679 677

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

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

Interest Rate (WA) 4.82% 4.65% 3.94% 4.01%

Source: Ginnie Mae Disclosures as of February 2024

$265

$270

$275

$280

$285

$290

$295

$300

$305

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

March 2024

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

15.3.2 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 71. 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

March 2024

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

U.S. HOUSING MARKET

16 HOUSING AFFORDABILITY

16.1 Housing Affordability – Home Price Appreciation

Home prices increased in all regions in Q4 2023. Notably, the East North Central, East South Central,

and Middle Atlantic regions saw close to a 2.00% increase in home price appreciation (HPI) QoQ. The 

West South-Central region saw the smallest QoQ increase in HPI of 0.52%. The New England region

has appreciated more than any other region over the past year, appreciating by 10.26% from Q4 2022

to Q4 2023.

Figure 72. Regional HPI Trend Analysis Q/Q

Figure 73. FHFA U.S. Census Subregions as defined by the U.S. Census Bureau

Source: HPI data from FHFA and is seasonally adjusted. U.S. Census Subregions as defined by the U.S. 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 Q3 Q4

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

March 2024

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

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

As of month-end February 2024, YoY inflation was 3.2%, increasing from 3.1% in the month prior. 

Nationally, rents are up 2.25% YoY as of month-end February 2024. The MoM change in rents from 

January 2024 to February 2024 increased by 0.87%. YoY Wage growth decelerated for the first time

in five months, declining 0.1% to 5.1% at month-end February 2024. Month-end December 2023

reporting data shows YoY home price appreciation decelerated to 5.5% from a 5.7% YoY change in

December 2022.

Figure 75. Asset Price Appreciation vs. Wage Increases

Figure 74. Inflation | 12-Month Percent Change in CPI

Sources: Bureau of Labor Statistics – Consumer Price Index; Federal Reserve Bank of Atlanta, Research and Data - 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%

3.2%

5.1%

5.5%

-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)

5.5%

Rental Price

Appreciation

(Median

Rent Change 

YoY)

2.25 %

Wage 

Growth 5.1%
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

March 2024

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

16.2.1 HOUSING AFFORDABILITY – AFFORDABILITY INDEX

As of month-end February 2024, the Homebuyer Affordability Fixed Mortgage Index (HAFM) was

101.9 and the First-Time Homebuyer Monthly Payment (FTMP), which represents the median

payment for first-time homebuyers, was $2,120. This marks a 6.8% decrease in the Homebuyer

Affordability Fixed Mortgage Index and an 9.8% increase in monthly payments for first-time

homebuyers from February 2023 to February 2024. HAFM has decreased 45.7% and FTMP has

increased 106.6% since January 2021.

Source: Bloomberg as of February 2024. Note: Housing Affordability Index: Value of 100 means that a family with the median income has exactly 

enough income to qualify for a mortgage on a median-priced home. An index above 100 signifies that a family earning the median income has

more than enough income to qualify for a mortgage loan on a median-priced home, assuming a 20 percent down payment. This index is calculated

for fixed rate mortgages.

Figure 76. Homebuyer Affordability Index Figure 77. First-Time Homebuyer Monthly

101.9

40

60

80

100

120

140

160

180

200

$2,120 

 $500

 $700

 $900

 $1,100

 $1,300

 $1,500

 $1,700

 $1,900

 $2,100

 $2,300

 $2,500
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

March 2024

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

16.2.2 HOUSING AFFORDABILITY – MORTGAGE RATE TRENDS

The Federal Reserve maintained the Federal Funds target range on March 20, 2024, at a range of

5.25% and 5.50% per the FOMC 7

. As of March 15, 2024, the average 30-year and 15-year fixed rate

mortgage rates were 6.74% and 6.16%, respectively. The average 30-year fixed rate mortgage rate

decreased 3 bps and the average 15-year fixed rate mortgage rate increased 4 bps MoM from

February 15, 2024.

Figure 78. Average Fixed Rate Mortgage Rates

Source: FRED data as of March 2024

7

Federal Reserve Board - Federal Reserve issues FOMC statement

6.74%

6.16%

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

30-Year 15-Year
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

March 2024

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

16.3 Housing Inventory

As of February 2024, there were 8.4 months of housing inventory on the market, increasing 1.2%

MoM from 8.3 months in January 2024. As housing affordability continues to remain low (See above

Section 16.2.1) Single-Family home sales are unlikely to play a large role in the resolution of the

housing shortfall. Figures 80 and 81 show Single-Family and Multifamily Housing metrics, including

the number of permits, starts, and completions. From February 2023 to February 2024, the number 

of Single-Family completions fell 7.5%, while the number of starts and permits increased 27.4% and

30.8%, respectively. Multifamily metrics show that from February 2023 to February 2024, the number

of completionsincreased 29.9%, while the number of starts and permits decreased 23.7% and 22.5%,

respectively.

Figure 79. Single-Family Housing Inventory

Figure 80. Single-Family Construction Metrics: Permits, Starts, Completions

8.4

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

961

1,067

999

500

650

800

950

1100

1250

1400

Number of Completions Number of Starts Number of Permits
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

March 2024

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 64

Figure 81. Multifamily Constructions Metrics: Permits, Starts, Completions

Source: FRED. Figure 80: data as of February 2024. New Residential Construction, U.S. Census Bureau. Figure 80 & 81: data as of February 2024.

Note: Figures 80 & 81 are calculated using a 3-month moving average to identify underlying trends in construction metrics.

503

401

484

0

150

300

450

600

750

900

Number of Completions Number of Starts Number of Permits
GLOBAL MARKETS ANALYSIS REPORT

U.S. Housing Market

March 2024

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 65

16.4 Size and Value of the U.S. Housing Market

The total value of the Single-Family housing market decreased from $45.5 trillion in Q3 2023 to $44.8

trillion in Q4 2023. The total value of the US housing market is up approximately 136% from its trough

in 2011. From Q4 2022 to Q4 2023 mortgage debt outstanding increased from $12.5 trillion to $13.1

trillion and household equity increased from $30.9 trillion to $31.8 trillion. Agency Single-Family MBS

continues to account for a growing percentage of the total mortgage debt outstanding, at roughly

$9.1 trillion in Q4 2023 it represents more than 65% of total mortgage debt, up from just 52% in 2011. 

Figure 82. Value of the U.S. Housing Market

Figure 83. Size of the U.S. Residential Mortgage Market

Source: Federal Reserve Flow of Funds Data as of Q4 2023. Total debt in figure 83 includes additional Nonfinancial corporate/noncorporate

business mortgages which is not included in the calculation for “debt” for figure 82.

13.1

31.8

44.8

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

45.0

50.0

$ Trillions

Debt Household Equity Total Value

0.4

0.5

9.1

3.9

14.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

$ Trillions

Private Label Securities Home Equity loans

Agency MBS Unsecuritized first liens

Total debt, household mortgages
GLOBAL MARKETS ANALYSIS REPORT

Disclosure

March 2024

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 66

17 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 February

29, 2024. 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.”