Globa Markets

Analy i Rep t

A M th P bli i f Gi

Mae’s Office of Capital Markets

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on ly u cat on o nnie

Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

MARCH

2022
Global Markets Analysis Report

 

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Global Markets Analysis Report

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

Table of Contents

Table of Contents i

Highlights 2

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 5

1.1 Barclays US Aggregate and Global Indices 5

1.2 Global 10‐Year Treasury Yields 6

1.3 Ginnie Mae Yields – USD 7

1.4 Ginnie Mae Yield Spreads – Intermediate Credit 8

1.5 Global Treasury Yield Per Duration 9

1.6 Monthly CMO Demand for Ginnie Mae MBS 10

2.0 State of the US Housing Market 11

2.1 National HPI 11

2.2 Size and Value of the US Housing Market 13

2.3 Serious Delinquency Rates 14

2.4 Characteristics of Ginnie Mae Loans in Forbearance 15

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 18

2.6 Outstanding Single-Family Agency MBS 19

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 20

2.8 Origination Volume and Share Over Time 21

3.0 US Agency Market, Single-Family Issuance 22

3.1 Percent Refi at Issuance 25

4.0 High LTV Loans: Ginnie Mae vs. GSEs 26

5.0 Holders of Ginnie Mae Mortgage Servicing Rights 27

6.0 Prepayments 28

7.0 MBS Ownership 29

7.1 Commercial Bank Holdings of Agency MBS 29

7.2 Bank and Thrift Residential MBS Holdings 30

7.3 Foreign Ownership of MBS 32

7.4 Foreign Ownership of Agency Debt and Agency MBS 33
Highlights

Highlights

On March 8th, 2022, Ginnie Mae published the latest Multifamily Pool and Loan Monthly Portfolio Disclosure file,

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 2

 

which, for the second month ever, contained data on Ginnie Mae guaranteed “Green” Multifamily MBS. Last

month, the Global Market Analysis Report discussed the fundamentals behind the “Green Status” data field that

was introduced to the Ginnie Mae Multifamily disclosure files. The data field denotes whether properties

collateralizing a Multifamily MBS qualify as green properties under FHA’s Multifamily Green and Energy Efficient

Housing program. Within the data field, MBS are classified into one of five indicators: GRA (Green/Affordable);

GRB (Green/Broadly Affordable); GRM (Green/Market); NGR (Not Green); or blank (Unknown).

The new “Green Status” field in the Multifamily data disclosure file provides investors with additional

transparency that allows for tailored Environmental, Social, and Governance (ESG) investment decisions in the

Multifamily MBS market. For instance, the Ginnie Mae data shows that as of February 2022, roughly 28% of

Ginnie Mae guaranteed Multifamily unpaid principal balance (UPB) is associated with MBS whose underlying

assets are classified as green properties. When broken down by number of pools, there are 1,670 pools that are

classified as “Green Market”, “Green Affordable”, or “Green Broadly Affordable”. By analyzing this data,

investors can gain an understanding of the options available while pursuing their own ESG investment strategies

within the fixed income market.

Agency 2017 or Prior 2018 2019 2020 2021 2022 Total

GNMA1 $1.1 $0.8 $1.7 $9.9 $19.6 $2.0 $35.0

FNMA1 $31.6 $20.2 $22.8 $13.0 $13.5 $2.3 $103.4

FHLMC2 $0.0 $0.0 $2.0 $1.3 $1.3 $0.0 $4.6

Total $32.7 $21.0 $26.5 $24.2 $34.4 $4.3 $143.0

Table 1. Agency Multifamily "Green" MBS Issuance Volume by Year

Analysis of this new Ginnie Mae

disclosure data, alongside the

Government Sponsored Enterprises’

(GSE) data, can provide a broader

glimpse into the “Green” Multifamily

MBS market. As shown in Table 1,

above, Agency issuance of “Green”

Multifamily MBS has increased each

year, with the exception of calendar

year 2020. Ginnie Mae’s issuance of

“Green” Multifamily MBS has at least

doubled almost every year since 2018,

1 https://capitalmarkets.fanniemae.com/sustainable-bonds/green-bonds/multifamily-green-mbs 2 https://mf.freddiemac.com/investors/impact-bonds.html

$40.0

$30.0

$20.0

$10.0

$0.0

2017 or

prior

2018 2019 2020 2021 2022

GNMA FNMA FHLMC

Figure 1. Agency Multifamily "Green" MBS Issuance Volume by Year
Highlights

 

demonstrating the fastest increase in “Green” Multifamily MBS issuance among the Agencies. In fact, in calendar

year 2021, Ginnie Mae’s issuance of “Green” Multifamily MBS surpassed both Fannie Mae and Freddie Mac

issuance of “Green” Multifamily MBS combined. Figure 1, above, demonstrates Ginnie Mae’s market share

progression from less than 5% of total Agency “Green” Multifamily MBS issuance in 2018 to roughly 57% of total

Agency “Green” Multifamily MBS issuance in 2021.

Diving into the Ginnie Mae

Multifamily Data Disclosure file

allows investors to view the

“Green Status” data in concert

with existing data fields, such as

property location. Investors can

summarize “Green” pools based

on geography to gain an

understanding of the geographical

disbursement of the properties

underlying the Multifamily pools

classified as “Green”. The heat

map displayed in Figure 2 shows

that the largest concentration of

Ginnie Mae guaranteed “Green”

Multifamily pools is found in

Texas, with 280 pools. In terms of

UPB, there are 11 states with over $1 billion in “Green” Multifamily UPB (in order from largest to smallest:

Texas, Virginia, North Carolina, Florida, Maryland, California, Michigan, Washington, Utah, Illinois, and

Montana). These 11 states consist of roughly 57% of the Multifamily pools and 61% of the Multifamily UPB that

are classified as “Green”. There are two states, Hawaii and Maine, that do not contain Ginnie Mae guaranteed

“Green” Multifamily pools.

In addition to understanding the geographical location of the FHA designated green properties that are

underlying Ginnie Mae guaranteed Multifamily pools, investors can use the “Green Status” data field to identify

the Ginnie Mae approved issuers of “Green” Ginnie Mae Multifamily MBS. Currently, there are 56 Ginnie Mae

approved Multifamily Issuers3 and the Multifamily Portfolio data as of March 8th, 2022, indicates that 42 of those

issuers have outstanding pools with the underlying properties classified as “Green”. Table 2, below, lists the top

five issuers of Ginnie Mae guaranteed “Green” Multifamily pools based upon the number of pools outstanding.

These issuers make up over 50% of the outstanding “Green” pools and “Green” UPB in Ginnie Mae’s Multifamily

portfolio.

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 3

3 https://www.ginniemae.gov/issuers/issuer_tools/Pages/aidcreport.aspx?cat=Multifamily

Figure 2. Heat Map of Ginnie Mae Guaranteed Multifamily Pools with

Green Status
Highlights

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 4

Issuer Green Multifamily 

Pools with UPB

Percentage of pools 

that are Green

Green Multifamily 

UPB ($B)

Percentage of UPB 

that is Green

Dwight Capital LLC 266 52% $5.6 69%

Greystone Funding Company LLC 190 27% $4.2 38%

Berkadia Commercial Mortgage, LLC 179 14% $4.4 40%

ORIX Real Estate Capital, LLC 170 7% $3.4 16%

Walker & Dunlop, LLC 149 14% $3.8 39%

Table 2. Ginnie Mae "Green" Multifamily Issuance by Issuer

With the introduction of the new “Green Status” field in Ginnie Mae’s Multifamily data disclosure file, Ginnie

Mae MBS investors have more information available to evaluate investments that may fall into their overall ESG

investment strategy. Ginnie Mae will continue to serve as a market leader for ESG data disclosure in the MBS

market by bringing innovative data to global investors.
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

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

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

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

than 1%.

Barclays Global Aggregate Index by Country

In the Barclays Global Aggregate Index by Country, the US share of fixed income still represents the

largest share of total outstanding issuance, representing approximately 39% of the total Barclays Global

Aggregate Index. Canada’s share of fixed income increased by 1% from the previous month. All of the

other country shares remained stable when compared to the previous month.

Sources: Bloomberg. Note: Data as of February 2022. Figures in charts may not add to 100% due to rounding.

Page 5

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

2%

2%

2% 1% 1% 1% 0%

8%

15%

28%

39%

Treasury - 39%

MBS Passthrough - 28%

Industrial - 15%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

Local Authority - 1%

ABS - 0%

2% 14%

2%

3%

4%

4%

5%

5%

8% 13%

39%

United States - 39%

Japan - 13%

China - 8%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 4%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 14%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.2 Global 10‐Year Treasury Yields

The US 10-year Treasury yield moved to 1.83% at month end February 2022, a MoM increase of 5 bps. US Treasury yields

remain the highest of all the government treasury yields depicted in the figure below.

 The yield on the UK 10-year government notes increased to 1.41% at month-end February, a MoM increase of 11

bps.

 The yield on the German 10-year note increased to 0.13% at month-end February, a MoM increase of 12 bps.

 The yield on the Italian 10-year note increased to 1.71% at month-end February, a MoM increase of 41 bps.

 The yield on the Japanese 10-year government notes increased to 0.19% at month-end February, a MoM

increase of 1 bp.

 The hedged yield for the 10-year Treasury JPY decreased to 2.55% at month-end February, a MoM decrease of 1

bp.

 The hedged yield for the 10-year Treasury EUR decreased to 1.45% at month-end February, a MoM decrease of 1

bp.

Global 10‐Year Treasury Yields

7–10yr Total Return Hedged Index, JPY

Sources: Bloomberg. Note: Data as of February 2022

7–10yr Total Return Hedged Index, EUR

Page 6

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

5.0

4.0

3.0

2.0

1.0

0.0

-1.0

-2.0

1.83%

1.71%

1.41%

0.19%

0.13% % Yield

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

280

270

260

250

240

230

220

254.66

170

160

150

140

130

120

145.03
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.3 Ginnie Mae Yields – USD

Ginnie Mae fixed rate MBS yields increased MoM in February 2022. Ginnie Mae II yields were at 2.52% at

month-end February, up 20 bps MoM. Ginnie Mae I yields were at 2.59%, up 13 bps MoM. At month-end

February, Ginnie Mae II SF yields were 69 bps higher than the US 10-year Treasury yield, an increase in spread of

15 bps MoM. The yields on the Ginnie Mae I SF were 76 bps higher than the US 10-year Treasury yield at monthend February, an increase in spread of 9 bps MoM.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of February 2022

Page 7

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0

2.59% % Yield

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0

2.52% % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30-year OAS increased 11 bps at month-end

February MoM, ending at 0.62%. The Ginnie Mae II 30-year OAS increased 3 bps MoM. The US Intermediate

credit OAS has increased 14 bps MoM.

US GNMA II 30yr MBS OAS versus US Intermediate Credit OAS

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

Sources: Bloomberg. Note: Data as of February 2022.

Page 8

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

4

3.5

3

2.5

2

1.5

1

0.5

0

-0.5

0.85

0.23 % Yield

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

3.5

3

2.5

2

1.5

1

0.5

0

0.62 % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

 

1.5 Global Treasury Yield Per Duration

GNMA MBS continue to offer a higher yield in comparison to other government fixed income securities of

various tenors with similar or longer duration. Prepayment risk is a feature of MBS. In February, the GNMA II

2.5% securities duration increased MoM by 0.51 units and yield increased MoM by 12 bps. In February, the

GNMA II 3% securities duration increased MoM by 1.61 units and yield increased MoM by 30 bps.

Yield vs. Duration

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

settlement of 3/20. All other data is as of February 2022. Yields are in base currency of security and unhedged.

Page 9

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Yield 3.00

2.50

2.00

1.50

1.00

0.50

0.00

-0.50

-1.00

GNMA II 3%

GNMA II 2.5%

GNMA II 2%

US 5y

US 10y

ITA 10y

UK 10y

UK 5y

ITA 5y

JPY 5y

GER 5y

JPY 10y GER 10y

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Duration

Security Duration Yield

US 5y

US 10y

4.76

9.05

1.72

1.83

JPY 5y 4.81 0.01

JPY 10y

GER 5y

9.67

5.14

0.19

-0.16

GER 10y

ITA 5y

 9.96

4.40

 0.13

 0.78

ITA 10y

UK 5y

9.60

5.20

1.71

1.05

UK 10y

GNMA II 2%

8.56

6.18

1.41

2.34

GNMA II 2.5%

GNMA II 3%

6.25

5.71

2.49

2.68
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.6 Monthly CMO Demand for Ginnie Mae MBS

In February 2022, $15.3 billion of Ginnie Mae MBS were securitized into Collateralized Mortgage Obligations

(CMOs) as underlying collateral. Of that $15.3 billion, approximately $3.8 billion were Multifamily MBS, all

having coupons between 2% and 3%. $11.4 billion were Single-Family MBS with over 80-percent of the SingleFamily MBS having coupons between 2.5% and 3.5%.

Through the first two months of calendar year 2022 approximately $31 billion of Ginnie Mae Single-Family and

Multifamily MBS were securitized into Ginnie Mae CMO transactions. This represents a roughly 6% increase over

the same period in calendar year 2021 and a 75% increase over the same period in calendar year 2020.

February 2022 CMO Collateral Coupon Distribution

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Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

4

Totals may not sum due to rounding.

$16.9

$15.6

$18.8

$21.5

$14.3

$17.1 $18.2

$14.2

$16.6

$13.2

$15.7

$25

$20

$15

$10

Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22

Ginnie Mae Single‐Family and Multifamily MBS Securitized into CMOs

$15.3

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into CMO Deals ($MM)4

% Breakdown of CMO Collateral by 

coupon1

Multifamily 

2.01-2.50 1,454.2 38%

2.51-3.00 2,377.0 62%

Subtotal 3,831.2 100%

Single Family 

<2.00 285.3 2%

2.01-2.50 591.9 5%

2.51-3.00 6,617.7 58%

3.01-3.50 2,949.2 26%

3.51-4.00 562.6 5%

4.01-4.50 107.9 1%

4.51-5.00 183.1 2%

5.01-5.50 84.0 1%

5.51-6.00 49.3 0%

Subtotal 11,431.0 100% 

Grand Total 15,262.2
State of the US Housing Market

 

 

2.0 State of the US Housing Market

2.1 National HPI

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

18.4% between March 2020 to December 2021. March 2020 to November 2021 national HPI CAGR was

approximately 100 bps lower, at 17.4%, suggesting a continued trend in November of accelerating HPI increases.

Over that period, the Mountain region has had the greatest home price appreciation (23.0% CAGR), while in the

West North Central region, increases in home values have been slowest (15.4%).

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

11

U.S. Census Subregion New England Middle 

Atlantic 

East North 

Central 

East South 

Central 

South 

Atlantic 

West North 

Central 

West South 

Central Mountain Pacific National 

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

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

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

Pandemic CAGR 18.5% 15.8% 15.8% 19.0% 20.5% 15.4% 17.5% 23.0% 20.2% 18.4%

12-Month Period of Max HPI Growth

During Pandemic

7-2020 to

6-2021

8-2020 to

7-2021

7-2020 to

6-2021

12-2020 to

11-2021

9-2020 to

8-2021

6-2020 to

5-2021

12-2020 to

11-2021

9-2020 to

8-2021

8-2020 to

7-2021

8-2020 to

7-2021

Max 12-Month Period Change,

During Pandemic 21.7% 18.1% 17.1% 19.5% 20.6% 16.3% 18.0% 25.8% 22.1% 19.2%

12-Month Period of Max HPI

Growth, Pre-Pandemic

12-2001 to

11-2002

12-2003 to

11-2004

2-2017 to

1-2018

2-2005 to

1-2006

9-2004 to

8-2005

4-1993 to

3-1994

3-2005 to 2-

2006

11-2004 to

10-2005

5-2004 to

4-2005

10-2004

to 9-2005

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

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

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

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

2012. Pandemic Period refers to March 2020 to the current period, 10/2021. CAGR = (End Value/Starting Value) ^(1/n) – 1
State of the US Housing Market

 

Nationally, home prices exceed their pre-crisis peak on a nominal basis by 51.4% through September 2021. As

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

to region and state to state. Nationally, home prices exceed the trough by 92%. As shown in the regional HPI

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

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

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

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

12

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

National 59.6% -21.1% 92.0% 14.4% 51.4%

AK 66.9% -5.2% 42.3% 10.6% 35.0%

AL 41.8% -15.0% 68.0% 15.7% 42.8%

AR 39.8% -11.0% 60.4% 16.0% 42.8%

AZ 110.1% -49.5% 186.6% 24.6% 44.8%

CA 145.0% -47.0% 142.0% 19.0% 28.2%

CO 32.4% -10.3% 144.4% 18.2% 119.2%

CT 72.7% -19.6% 38.5% 17.0% 11.3%

DC 162.4% -11.7% 113.4% 10.1% 88.5%

DE 88.6% -23.5% 53.9% 15.3% 17.7%

FL 130.0% -46.5% 152.2% 21.0% 34.9%

GA 36.0% -27.1% 118.4% 18.0% 59.2%

HI 138.7% -27.0% 101.3% 14.8% 46.9%

IA 28.0% -5.4% 56.2% 11.5% 47.7%

ID 73.2% -32.2% 206.7% 30.9% 107.9%

IL 49.9% -23.8% 48.2% 12.3% 13.0%

IN 19.1% -8.7% 79.6% 15.1% 64.0%

KS 31.0% -7.8% 68.2% 14.2% 55.2%

KY 29.0% -5.4% 66.7% 14.4% 57.6%

LA 51.6% -6.7% 46.6% 9.6% 36.8%

MA 69.8% -18.2% 79.0% 16.1% 46.4%

MD 126.4% -26.5% 53.3% 12.7% 12.7%

ME 72.2% -12.4% 79.9% 20.7% 57.5%

MI 18.4% -31.5% 113.8% 15.6% 46.4%

MN 52.5% -23.0% 85.7% 13.4% 43.0%

MO 39.2% -15.0% 76.8% 15.3% 50.3%

MS 38.6% -12.8% 47.4% 12.8% 28.6%

MT 80.0% -13.6% 102.5% 22.5% 75.0%

NC 39.8% -14.1% 88.4% 19.2% 61.7%

ND 51.3% -0.9% 72.2% 9.4% 70.8%

NE 24.3% -5.9% 79.8% 14.8% 69.2%

NH 72.7% -21.9% 84.4% 19.4% 44.0%

NJ 102.3% -22.7% 52.3% 16.5% 17.8%

NM 66.7% -17.9% 58.2% 14.8% 29.8%

NV 117.4% -59.3% 211.5% 20.1% 26.9%

NY 75.7% -10.5% 58.3% 14.9% 41.6%

OH 19.5% -16.6% 79.8% 14.8% 50.1%

OK 36.9% -4.6% 63.1% 14.2% 55.5%

OR 85.6% -28.6% 133.5% 18.3% 66.7%

PA 68.8% -10.9% 59.3% 14.2% 41.9%

RI 108.0% -28.0% 82.1% 18.9% 31.1%

SC 40.5% -16.0% 89.6% 17.4% 59.2%

SD 40.2% -2.4% 76.8% 17.7% 72.6%

TN 38.4% -12.6% 105.6% 20.5% 79.6%

TX 35.8% -3.0% 101.2% 17.1% 95.1%

UT 65.1% -26.1% 158.9% 26.3% 91.4%

VA 95.1% -18.8% 61.6% 14.3% 31.3%

VT 77.9% -10.3% 58.7% 19.2% 42.4%

WA 83.4% -27.3% 149.2% 19.9% 81.2%

WI 38.6% -14.2% 72.0% 14.2% 47.5%

WV 38.7% -5.7% 42.5% 12.8% 34.4%

WY 85.1% -9.7% 55.8% 13.4% 40.8%
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

13

Size of the US Residential Mortgage Market

 

2.2 Size and Value of the US Housing Market

The total value of the single-family housing market reached $38 trillion in Q3 2021. The value of household

equity has continued to trend upward into Q4 2021. As mentioned in Section 2.1 above, the pace of asset

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

class, as debt remains relatively flat. The total value of the US housing market is up 100% from its trough in

2011. Over that same period, mortgage debt outstanding has increased just 14%, approximately seven times

less rapidly. From Q3 2021 to Q4 2021 mortgage debt outstanding has increased from $11.5 trillion to $11.7.

Agency SF MBS account for a growing percentage of the total mortgage debt outstanding, up to 67% of total

mortgage debt from just 52% in 2011.

Value of the US Housing Market

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q4 2021.

$ Trillions

40.0

35.0

30.0

25.0

20.0

15.0

10.0

5.0

0.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q32021Q4 $38.0

$26.3

$11.7

Debt Household equity Total Value

$0.40

$0.39

$8.37

$3.37 $ Trillions 10

8

6

4

2

0

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021Q4 2021

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

2.3 Serious Delinquency Rates

Serious delinquency rates for single-family GSE, FHA, and VA loans all fell sharply in Q4 2021. From Q3 2021 to

Q4 2021, Fannie and Freddie serious delinquencies decreased 37 and 34 bps, respectively, or 23% each, as a

percentage change. Ginnie Mae collateral’s serious delinquency rates decreased more than the GSE rates in

absolute terms, with FHA and VA dropping 188 and 66 bps respectively. This decline in serious delinquency rates

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

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q4 2021.

6.30%

1.25%

Serious Delinquency Rates 12%

10%

8%

6%

4%

2%

0%

3.82%

1.12%

4

Q05

2Q064

Q06

2Q074

Q07

2Q084

Q08

2Q094

Q09

2Q104

Q10

2Q114

Q11

2Q124

Q12

2Q134

Q13

2Q144

Q14

2Q154

Q15

2Q164

Q16

2Q174

Q17

2Q184

Q18

2Q194

Q19

2Q204

Q20

2Q214

Q21

FHA Fannie Mae Freddie Mac VA

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

2.4 Characteristics of Ginnie Mae Loans in Forbearance

157,109 Ginnie Mae loans were in forbearance as of the end of January 2022. This represents less than a 1%

decrease MoM, significantly lower than the 11% and 6% MoM paces observed in November and December

respectively. 9,134 of loans in forbearance were removed from MBS pools and 147,975 loans in forbearance still

actively remain in pools. Most liquidated loans (6,657) were FHA and within that subset, 4,406 of those loans

were originated by nonbanks. Approximately 96% of the loans that were in forbearance at the end of January

were due to COVID-19 circumstances.

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All Loans in Forbearance – January 2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $178,347.63 77.1 69.3 157,109

Bank 671 3.9 $126,969.77 77.2 80.1 21,218

Nonbank 656 3.4 $186,578.88 77.0 68.3 135,891

FHA 653 3.5 $173,004.72 79.8 75.5 110,340

Bank 666 4.0 $118,431.10 80.5 83.3 15,768

Nonbank 652 3.5 $182,352.59 79.7 74.8 94,572

VA 668 3.1 $229,796.89 64.1 48.0 33,238

Bank 683 3.5 $177,520.74 66.1 69.8 4,057

Nonbank 667 3.1 $236,429.22 63.8 45.7 29,181

Loans in Forbearance and Removed from Pools – January 2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 653 3.9 $144,721.85 77.6 69.2 9,134

Bank 672 4.0 $117,697.49 78.0 78.6 2,908

Nonbank 648 3.8 $158,946.78 77.5 66.6 6,226

FHA 651 4.0 $137,941.61 80.2 75.5 6,657

Bank 670 4.1 $113,128.81 80.3 81.4 2,251

Nonbank 646 4.0 $152,076.17 80.1 73.6 4,406

VA 659 3.4 $199,128.74 66.1 46.4 1,722

Bank 679 3.7 $151,467.11 64.9 62.2 453

Nonbank 654 3.4 $220,903.39 66.4 43.2 1,269

Loans in Forbearance that Remain in Pools – January 2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $180,433.51 77.0 69.3 147,975

Bank 671 3.8 $128,776.74 77.1 80.3 18,310

Nonbank 657 3.4 $187,906.69 77.0 68.3 129,665

FHA 653 3.5 $175,468.67 79.8 75.5 103,683

Bank 665 4.0 $119,439.76 80.5 83.5 13,517

Nonbank 652 3.5 $183,862.09 79.7 74.8 90,166

VA 669 3.1 $231,361.35 64.0 48.1 31,516

Bank 683 3.5 $181,226.99 66.2 70.5 3,604

Nonbank 667 3.1 $237,187.57 63.7 45.8 27,912

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 January 2022; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

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Number of Loans Removed from Pools: Nonbank

The current share of Ginnie Mae loans in forbearance stands at 1.47% as of the end of January, the same share

observed as of the end of December. These stable forbearance share numbers go against the trend of

decreasing forbearance share observed in prior months. The forbearance rate remains significantly higher than

the forbearance rate prevailing in the period prior to the pandemic between Jan 2019 and February 2020

(approximately 0.1%), and the rate of convergence to pre-pandemic rates has all but halted in January.

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

as of January 2022.

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

Data as of January 2022.

14%

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

Share of Ginnie Mae Loans in Forbearance
State of the US Housing Market

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Number of Loans Removed from Pools: FHA

 

Number of Loans Removed from Pools: VA

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

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

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

equal to 3.5% (bottom charts: “Number of Loans Removed from Pools by Coupon”), as refinancing is likelier

among these higher coupon loans. In December 2021, the number of loans repurchased due to delinquency

decreased 12% to 14,956 for FHA and 52% to 2,716 for VA loans. High refinance activity (blue areas) continues

to drive the repurchase activity for both FHA and VA, but total removal volume is trending downward.

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

files and IOPP Peer Group list. Notes: Data as of January 2022.

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

140000

120000

100000

80000

60000

40000

20000

0

160000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

160000

140000

120000

100000

80000

60000

40000

20000

0

180000

<3.5 Loss Mitigation <3.5 Repurchase of Delinquent Loan

<3.5 Mortgagor Payoff

350000

300000

250000

200000

150000

100000

50000

0

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

>=3.5 Mortgagor Payoff

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

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

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 24% of new Agency issuance over the past year. The share of Ginnie

Mae collateral outstanding varies across states, with the highest Ginnie Mae share in Alaska (47%) and the lowest

in the District of Columbia (12%).

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Agency Issuance (past 1 year) Agency Outstanding 

National 

GNMA 

Share 

GNMA Loan 

Count 

GNMA Avg. Loan 

Size (000) 

GSE Avg. Loan 

Size (000) GNMA Share by UPB GNMA Loan Count 

GNMA Avg. Loan Size 

(000) 

GSE Avg. Loan Size 

(000) 

24% 2,831,932 273.88 293.34 25% 10,540,689 189.75 220.09

AK 51% 10,161 332.06 287.55 47% 36,973 255.29 219.08

AL 37% 57,900 216.10 227.81 40% 231,539 148.23 173.52

AR 35% 30,674 184.35 207.35 39% 135,342 125.70 156.63

AZ 23% 92,289 282.00 284.30 24% 271,811 203.27 217.24

CA 17% 232,751 427.93 415.73 16% 668,928 313.66 318.91

CO 24% 76,203 365.92 346.08 23% 213,055 275.53 270.73

CT 23% 25,859 262.55 276.10 25% 103,378 196.15 208.02

DC 14% 2,570 548.38 455.04 12% 8,572 368.18 351.95

DE 29% 13,912 262.48 269.87 31% 50,165 197.51 207.03

FL 30% 246,055 272.32 269.11 32% 830,054 198.87 202.62

GA 31% 133,016 240.81 265.32 34% 489,207 168.54 199.34

HI 36% 12,024 592.60 468.83 31% 32,807 455.09 354.25

IA 20% 17,845 190.28 196.22 21% 81,645 128.76 148.31

ID 21% 19,084 299.18 289.08 23% 64,146 200.64 215.03

IL 19% 85,860 216.84 240.75 21% 351,333 154.75 177.68

IN 26% 64,495 186.20 196.87 30% 276,459 126.76 147.20

KS 26% 22,362 197.60 216.38 29% 96,298 134.65 161.18

KY 30% 39,484 193.94 204.69 34% 161,399 136.81 152.89

LA 38% 46,267 209.46 231.43 39% 190,550 152.68 175.46

MA 15% 33,714 359.76 355.77 15% 110,887 273.31 268.79

MD 32% 85,075 344.58 323.16 33% 282,997 258.25 248.15

ME 20% 10,002 195.17 251.07 26% 37,506 170.19 188.57

MI 17% 63,778 183.99 207.84 20% 272,623 127.71 154.96

MN 15% 37,366 243.41 257.26 18% 159,011 176.27 196.11

MO 25% 56,730 195.77 210.93 29% 242,891 135.65 159.51

MS 43% 26,075 199.95 209.27 47% 118,058 136.57 158.05

MT 23% 9,145 284.22 282.22 24% 32,952 198.91 210.00

NC 26% 111,969 237.07 261.92 29% 411,562 165.71 195.50

ND 24% 4,787 248.13 238.13 23% 16,629 188.56 184.41

NE 23% 14,003 214.55 207.90 26% 65,272 142.06 158.33

NH 20% 10,572 294.68 281.72 22% 38,542 218.04 211.76

NJ 19% 60,544 315.03 331.15 21% 224,621 231.04 252.97

NM 34% 21,746 232.24 235.27 38% 94,133 159.09 174.02

NV 29% 43,874 316.44 296.45 30% 130,227 234.37 227.17

NY 17% 55,289 315.41 342.40 20% 301,587 200.40 244.88

OH 24% 91,996 182.58 199.98 29% 417,412 124.84 146.81

OK 36% 39,434 181.01 210.51 42% 187,601 134.66 157.79

OR 19% 35,276 326.59 325.73 19% 110,040 241.74 247.27

PA 21% 79,145 208.54 242.89 26% 384,189 145.03 179.52

RI 27% 9,946 278.85 275.54 29% 34,605 222.20 210.21

SC 32% 66,780 240.11 246.24 34% 227,535 173.14 186.59

SD 28% 7,161 231.85 226.01 29% 29,090 165.36 174.87

TN 28% 69,544 243.23 259.21 32% 271,919 164.46 196.76

TX 28% 261,997 251.82 275.26 32% 1,063,345 172.09 203.77

UT 18% 32,270 333.96 326.51 19% 96,338 241.69 255.05

VA 35% 132,696 338.98 323.83 36% 435,783 248.87 249.23

VT 18% 2,952 239.19 249.92 19% 12,065 177.06 178.16

WA 14% 106 367.35 421.19 21% 233,170 271.17 284.12

WI 21% 75,818 371.63 371.60 17% 122,301 150.80 162.23

WV 15% 32,121 209.05 217.08 43% 57,186 139.16 143.36

WY 34% 7,714 258.02 252.48 35% 24,951 199.84 198.69

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

2022. Ginnie Mae issuance is based on the last 12 months, from January 2021 to February 2022.
State of the US Housing Market

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2.6 Outstanding Single‐Family Agency MBS

As of January 2022, outstanding single-family MBS in the Agency market totaled $7.88 trillion: 40.3% Fannie

Mae, 34.2% Freddie Mac, and 25.5% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s total

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

issuance by 2% respectively. Despite this, Fannie outstanding remains larger than either Freddie or Ginnie by

approximately $0.5 trillion and $1.1 trillion, respectively.

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

76% of Ginnie Mae outstanding collateral was FHA and 19.5% was VA. In January 2022, FHA collateral comprised

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

Outstanding Agency Mortgage‐Backed Securities

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

Data as of January 2022. Beginning with the October 2021 GMAR, the Fannie Mae and Freddie Mac data within the Outstanding Agency MBS graph have

been updated to reflect the Current UPB of the portfolio. July 2021 through November 2021 GMAR reflect the UPB at Security issuance for Fannie Mae and

Freddie Mac for data from May 2021 through July 2021.

$ in billions $10,000

$8,000

$6,000

$4,000

$2,000

$0

Jan-01Jan-02Jan-03Jan-04Jan-05Jan-06Jan-07Jan-08Jan-09Jan-10Jan-11Jan-12Jan-13Jan-14Jan-15Jan-16Jan-17Jan-18Jan-19Jan-20Jan-21Jan-22 $7,884

$3,177

$2,693 $2,014

Fannie Mae Freddie Mac Ginnie Mae Total

$1,500

$1,000

$500

$-

Jan-01Jan-02Jan-03Jan-04Jan-05Jan-06Jan-07Jan-08Jan-09Jan-10Jan-11Jan-12Jan-13Jan-14Jan-15Jan-16Jan-17Jan-18Jan-19Jan-20Jan-21Jan-22 $1,058

$846

$110

FHA VA

$ in billions

Other

Composition of Outstanding Ginnie Mae Mortgage‐Backed Securities
State of the US Housing Market

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

As of January 2022, the weighted average coupon on outstanding Ginnie Mae pools was 2.91%, down 1 bp since

December 2021 and 38 bps since December 2020. The share of outstanding MBS pools with coupons below

3.0% (50% as of December 2021) began a rapid expansion in 2020. Approximately 27% of the outstanding MBS

coupons are between 2.5 and 3.0%, 23% have coupons between 2.0 and 2.5%, while approximately 0.64% have

coupons under 2.0%. The proportion with coupons under 2.0% has increased approximately 13% (percent

change). The bottom chart illustrates that loans originated since 2019 accounting for 74% of Ginnie MBS

collateral outstanding.

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: January 2022 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.

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100%

80%

60%

40%

20%

0%

4.10%

3.90%

3.70%

3.50%

3.30%

3.10%

2.90%

2.70%

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Jan-22

Avg Coupon

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

100%

80%

60%

40%

20%

0%

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Jan-22

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

Outstanding Ginnie Mae MBS Balance, by Vintage

Outstanding Ginnie Mae MBS Balance, by Coupon
State of the US Housing Market

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2.8 Origination Volume and Share Over Time

Strong origination volume trends have continued in Q4 2021, with $3.73 trillion in originations year to date,

which outpaces Q1-Q4 2020 issuance by approximately 32%. Ginnie Mae collateral continued to decrease as a

percentage of total originations, with Ginnie Mae’s share of total origination declining to under 15% in Q4 2021.

First Lien Origination Volume & Share

Source: Inside Mortgage Finance. Note: Data as of Q4 2021.

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.34

$0.04

$0.16

$0.56

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

30.9%

3.2%

14.5%

51.4%

100%
US Agency Market, Issuance

3.0 US Agency Market, Single‐Family Issuance

MoM, Agency gross MBS issuance decreased by 13% (from December to January). Each of the Agencies saw

decreases in gross issuance as compared to December, with Freddie’s 25% decline in January being the largest.

Ginnie Mae’s $49 billion in gross issuance in January was approximately 30% below average monthly issuance

for 2021.

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Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

2021 $1,388.7 $1,244.9 $2,633.7 $838.3 $3,471.9

2022 YTD $93.1 $64.1 $157.2 $49.0 $206.2

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 $389.7 $370.9 $175.7 $614.5

2022 YTD $25.3 $22.2 $1.4 $49.0
US Agency Market, Issuance

Agency net issuance in January was approximately $98.6 billion, which represents a 33.3% MoM increase in net

issuance. Ginnie Mae net issuance was $8.3 billion in January. As noted in Section 2.6, VA net issuance continues

to outpace FHA.

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Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

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

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

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

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

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

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

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

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

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

2013 $53.5 $11.8 $65.3 $89.6 $154.9

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

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 $384.9 $498.0 $882.9 $2.7 $885.6

2022 YTD $44 $46.2 $90.2 $8.3 $98.6

Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 -$64.2 $74.2 -$7.3 $2.7 

2022 YTD $.14 $7.4 -$0.5 $8.3

 
US Agency Market, Issuance

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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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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 $64.1 $49.0 $157.2 $206.2 $44.0 $46.2 $8.3 $90.2 $98.6

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

issuance is defined here as the difference between prior period UPB and current period UPB. Data as of January 2022. 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 January 2022

GMAR net issuance data reflect the UPB at security issuance for Fannie Mae and Freddie Mac.
US Agency Market, Issuance

3.1 Percent Refi at Issuance

The Ginnie Mae refinance share stood at 39% in January, up 5% MoM. The FHA refinance share stood at 29% in

January 2022, below the 56% share for Fannie, the 56% refi share for Freddie originations, and the 50% share for

the VA. Refinances as a share of all Agency originations decreased 6% to 53% in January.

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

2022

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90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

9/1/20131/1/20145/1/20149/1/20141/1/20155/1/20159/1/20151/1/20165/1/20169/1/20161/1/20175/1/20179/1/20171/1/20185/1/20189/1/20181/1/20195/1/20199/1/20191/1/20205/1/20209/1/20201/1/20215/1/20219/1/20211/1/2022 56%

56%

50%

39%

29%

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

GSEs

 

4.0 High LTV Loans: Ginnie Mae vs. GSEs

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

approximately 4% between periods December 2019 - February 2020 and December 2021 - February 2022. The

share of borrowers with DTIs below 35% has decreased by approximately 2.6% over the same period. From the

period between December 2019 - February 2020 to the period between December 2021 - February 2022, the

share of high-LTV loans decreased in the Ginnie Mae guarantee book by approximately 4% and the GSE

portfolios by approximately 32%. Still, Ginnie Mae maintains its key role of expanding credit access to low-tomoderate income borrowers as it continues to dominate high-LTV lending, with 62.28% of its issuances between

December 2021 and February 2022 having LTVs of 95 or above, compared to 4.42% for the GSEs.

Share of Loans with LTV > 95

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 Ginnie Mae GSE All

Dec 2019-Feb 2020 64.70% 6.50% 26.38% 

Dec 2021 - Feb 2022 62.28% 4.42% 20.66%

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

Dec 2019‐Feb 2020

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.53% 6.17% 3.39% 5.05% 1.29% 20.4%

35‐45 6.72% 8.68% 4.23% 4.28% 0.21% 24.1%

≥45 5.37% 8.05% 4.03% 3.43% 0.13% 21.0%

NA 5.51% 7.03% 4.25% 5.94% 11.74% 34.5%

All 22.13% 29.93% 15.90% 18.70% 13.37% 100.0%

Dec 2021‐Feb 2022

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.41% 6.00% 3.15% 5.22% 1.11% 19.9%

35‐45 6.60% 8.60% 3.86% 4.02% 0.23% 23.3%

≥45 5.39% 8.13% 3.76% 3.23% 0.15% 20.7%

NA 4.80% 6.30% 4.11% 6.98% 13.93% 36.1%

All 21.20% 29.03% 14.88% 19.45% 15.42% 100.0%

Sources: eMBS, Recursion and Ginnie Mae. Data as of February 2022
Holders of Ginnie Mae Mortgage 

Servicing Rights

5.0 Holders of Ginnie Mae Mortgage Servicing Rights

This table shows the 30 largest owners of mortgage servicing rights (MSR) by UPB for loans collateralizing Ginnie

Mae MBS. The top 30 firms collectively own 82.6% of Ginnie Mae MSRs (see Cumulative Share). Twenty-two of

these top 30 are non-depository institutions, the remaining 8 are depository institutions. As of February 2022,

over half (50.9%) of the Ginnie Mae MSRs are owned by the top six firms.

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

Rank MSR Holder UPB ($) Share Cumulative Share 

1 Freedom Home Mortgage $257,258,760,705 12.97% 13.0%

2 PennyMac $225,379,534,685 11.4% 24.3%

3 Lakeview $209,747,449,061 10.6% 34.9%

4 Wells Fargo $121,516,251,703 6.1% 41.0%

5 Rocket Mortgage $102,540,170,255 5.2% 46.2%

6 Nationstar $93,053,716,695 4.7% 50.9%

7 Newrez $60,507,381,398 3.1% 54.0%

8 Caliber Home Loans $50,109,222,912 2.5% 56.5%

9 Carrington Mortgage $49,791,663,671 2.5% 59.0%

10 United Wholesale Mortgage $49,055,169,078 2.5% 61.5%

11 US Bank $48,535,830,735 2.4% 63.9%

12 Loan Depot $34,787,178,897 1.8% 65.7%

13 Mortgage Research Center $31,826,861,223 1.6% 67.3%

14 USAA Federal Savings Bank $31,554,400,454 1.6% 68.9%

15 Planet Home Lending $30,251,355,597 1.5% 70.4%

16 Navy Federal Credit $28,351,753,207 1.4% 71.8%

17 Truist Bank $21,615,289,282 1.1% 72.9%

18 The Money Source $21,187,571,164 1.1% 74.0%

19 Guild Mortgage $20,665,263,899 1.0% 75.0%

20 Amerihome Mortgage Company $17,378,966,591 0.9% 75.9%

21 Crosscountry Mortgage $15,936,640,118 0.8% 76.7%

22 New American Funding $14,942,651,446 0.8% 77.5%

23 Village Capital $14,384,255,775 0.7% 78.2%

24 Citizens Bank $13,289,654,241 0.7% 78.9%

25 Idaho Housing and Finance $13,063,018,843 0.7% 79.5%

26 Midfirst Bank $13,061,475,763 0.7% 80.2%

27 Rushmore Loan Management $12,827,552,502 0.6% 80.8%

28 CMG Mortgage $12,286,796,042 0.6% 81.4%

29 Movement Mortgage $12,256,156,980 0.6% 82.1%

30 PHH Mortgage Corporation $11,480,846,828 0.6% 82.6%

Source: Deloitte and Ginnie Mae. Data as of February 2022.
Prepayments

6.0 Prepayments

In February 2022, Ginnie Mae fixed rate prepayment speed decreased by 13%, to 18.9 CPR. The slowdown was

driven by both voluntary prepayment and buyout rate decreases. Notably, prepayments for Ginnie Mae II 2.5s

and 3s decreased MoM by 15% and 17%, respectively. However, Ginnie Mae I 2.5s and 3s prepayment speeds

decreased MoM by 32% and 20%, respectively.

In February 2022, Fannie Mae and Freddie Mac fixed rate prepaymentspeeds both continued to decrease

by 10% and 11%, respectively. ARM MBS prepayments for Ginnie Mae increased by 7%. Freddie Mac

posted an increase of 1%. Fannie Mae remained stable MoM.

6.1 Aggregate Prepayments

Source: eMBS; Note: Data as of February 2022.

5 Ahlgren R and Ichaso M (2022, December 7). US Structured Products Trading Desk Strategy | RMBS Strategy | Drop in VPRs Only Post Modest Slowdown,

Buyouts Fall, pp. 1.

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Constant Prepayment Rate

(%) 60

40

20

0

Fixed Rate Aggregate Prepayments

18.9

12.9

11.7

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21

Feb-22

Fannie Mae Freddie Mac Ginnie Mae

Constant Prepayment Rate (%)

60

50

40

30

20

10

ARM Aggregate Prepayments

27.4

20.8

21.6

0

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21

Feb-22

Fannie Mae Freddie Mac Ginnie Mae
MBS Ownership

 

7.0MBS Ownership

As of Q4 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial

banks (26%), the Federal Reserve (25%), and foreign investors (12%). The Federal Reserve’s share increased to

25% in the fourth quarter of 2021, the highest it has been since 2015. Despite large Federal Reserve purchases,

commercial banks continue to be the largest holders of Agency MBS. Out of their $3.7 trillion in holdings as of

the end of February 2022, $2.9 trillion was held by the top 25 domestic banks.

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

and nonprofits. Data as of Q4 2021.

7.1 Commercial Bank Holdings of Agency MBS

Global Markets Analysis Report

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Commercial Bank Holdings ($Billions) Week Ending

Jan‐21 Jul‐21 Aug‐21 Sep‐21 Oct‐21 Nov‐21 Dec‐21 Jan‐22 2‐Feb 9‐Feb 16‐Feb 23‐Feb

Largest 25 Domestic 

Banks 2,537.8 2,771.8 2,809.2 2,825.4 2,858.3 2,877.4 2,882.6 2,927.6 2,948.0 2,930.2 2,941.2 2,959.0

Small Domestic 

Banks 581.1 674.6 689.3 704.4 721.5 730.0 739.0 752.2 757.6 757.3 758.9 764.0

Foreign Related 

Banks 49.0 47.7 49.1 48.6 48.7 45.8 43.3 42.7 42.2 41.2 39.0 36.9

Total, Seasonally 

Adjusted 3,167.9 3,494.1 3,547.6 3,578.4 3,628.5 3,653.2 3,664.9 3,722.5 3,747.8 3,728.7 3,739.1 3,759.9

 

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

2022.

Who Owns Total Agency Debt?
MBS Ownership

 

7.2 Bank and Thrift Residential MBS Holdings

In Q3 2021, MBS holdings at banks and thrifts increased for the twelfth consecutive quarter. The increase was

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

larger contribution. Total bank and thrift MBS holdings increased by 3% from Q2 2021. Out of the $2.9 trillion in

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

of GSE pass-throughs and $353 billion of Ginnie Mae pass-throughs. In addition, another $566 billion in bank and

thrift holdings were Agency CMOs, while holdings of Private MBS and Private CMOs totaled $53 billion.

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All Banks & Thrifts

($ in billions) 

All MBS

($ in billions) 

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

 

Banks

 

Thrifts

2000 683.90 234.01 84.26 21.57 

2001 

198.04

810.50

71.43

 270.59

470.47

 109.53

212.65

 37.62 236.91 76.18 606.91 203.37

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Change:

2Q21‐3Q21 3% 3% 0% -11% 2% 14% 2% 6%

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

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

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Top Bank & 

Thrift 

Residential 

MBS Investors 

($ in millions)

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

1 BANK OF AMERICA CORPORATION 618,309.0 526,541.0 80,915.0 10,635.0 218.0 22%

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

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

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

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

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

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

8 CAPITAL ONE FINANCIAL 

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

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

10 PNC Bank, National Association 56,449.2 48,265.0 5,989.7 953.2 1,241.2 2%

11 BANK OF NEW YORK MELLON 

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

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

13 State Street Bank and Trust 

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

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

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

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

17 HSBC Bank USA, National 

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

18 BMO Harris Bank National 

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

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

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

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

 

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

7.3 Foreign Ownership of MBS

For the month of December 2021, foreign ownership of MBS represents $1.19 trillion in Agency MBS, which

includes $567 billion held by foreign private institutions and $621 billion held by foreign official institutions. This

represents a 6% overall increase in foreign holdings of Agency MBS YoY.

Foreign Share of Agency MBS Market

Sources: eMBS [Top Chart], Treasury International Capital (TIC) [Bottom Chart] Notes: In December 2017, there was a data correction that moved about

$120 billion from privately held U.S. Agency bonds to officially held U.S. Agency bonds; this resulted in a series break at December 2017 in the split between

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

Global Markets Analysis Report

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Percent of Agency MBS O

wned

by Foreigners

18.0%

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

14.36%

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Dec-21

Foreign Share of MBS

$ Billions 1,400

1,200

1,000

800

600

400

200

0

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Dec-21 1,188

621

567

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

Monthly Foreign MBS Holdings
MBS Ownership

 

7.4 Foreign Ownership of Agency Debt and Agency MBS

The largest non-US holders of Agency MBS are in Japan, Taiwan, and China. As of December 2021, these three

own 60% of all US MBS held by investors outside of the United States. Between June 2020 and June 2021, these

top three have decreased their Agency MBS holdings by over $4.6 billion. Japan has decreased their holdings by

$1.4 billion, Taiwan has decreased their holdings by $208 million and China has decreased their holdings by $3.0

billion.

All Agency Debt

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

33

Country

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

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

Japan 319,771 311,375 311,892 301,979 11,738 -8,396 517 -9,913

Taiwan 253,036 250,081 247,341 244,375 -9,417 -2,955 -2,740 -2,966

China 200,972 217,842 215,102 202,659 -11,345 16,870 -2,740 -12,443

Luxembourg 34,371 35,497 33,339 34,277 -1,852 1,126 -2,158 938

Ireland 26,965 21,453 22,617 21,305 -4,099 -5,512 1,164 -1,312

South Korea 43,032 43,201 43,208 42,051 404 169 7 -1,157

Cayman 

Islands

37,111 36,027 36,160 35,004 2,847 -1,084 133 -1,156

Bermuda 26,443 23,806 24,411 23,209 -1,545 -2,637 605 -1,202

Netherlands 13,049 12,544 17,435 16,249 705 -505 4,891 -1,186

Malaysia 19,047 19,089 19,445 18,830 -100 42 356 -615

Other 173,905 166,009 268,746 302,816 -23,557 -7,896 102,737 34,070

Total 1,147,702 1,136,924 1,239,696 1,242,754 ‐36,221 ‐10,778 102,772 3,058

Agency MBS

Country

Level of Holdings ($ Millions)

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

Japan 306,963 305,580 -1,383

Taiwan 267,700 267,492 -208

China 235,078 232,076 -3,002

Luxembourg 40,207 34,255 -5,952

Ireland 21,091 25,336 4,245

South Korea 28,743 34,313 5,570

Cayman Islands 28,431 29,682 1,251

Bermuda 25,111 24,245 -866

Netherlands 12,739 13,351 612

Malaysia 20,028 19,949 -79

Other 173,716 170,062 -3,654

Total 1,159,809 1,156,341 ‐3,468

 

 

Sources: Treasury International Capital (TIC). Notes: Level of Agency debt Holdings by month data as of Q4 2021. Agency MBS as of June 2021. Revised to

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

Disclosure: 

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

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

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

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

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

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

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

(hereinafter, “Ginnie Mae”).

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

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

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

the report.

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

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

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

circumstances upon which such statement is based.

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

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

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

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34