– men

Global Markets

Analysis Rep t

A M nthl Publi i f Gi

Mae’s Office of Capital Markets

or

onthly cat on o nnie

Global Markets

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

MAY

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 4

1.1 Barclays US Aggregate and Global Bond Indices 4

1.2 Global 10‐Year Treasury Yields 5

1.3 Ginnie Mae Yields – USD 6

1.4 Ginnie Mae Yield Spreads – Intermediate Credit 7

1.5 Global Treasury Yield Per Duration 8

1.6 Monthly REMIC Demand for Ginnie Mae MBS 9

2.0 State of the US Housing Market 10

2.1 National HPI 10

2.2 Size and Value of the US Housing Market 12

2.3 Serious Delinquency Rates 13

2.4 Characteristics of Ginnie Mae Loans in Forbearance 14

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 17

2.6 Outstanding Single-Family Agency MBS 18

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

2.8 Origination Volume and Share Over Time 20

3.0 US Agency Market, Single-Family Issuance 21

3.1 Percent Refi at Issuance 24

4.0 High LTV Loans: Ginnie Mae vs. GSEs 25

5.0 Holders of Ginnie Mae Mortgage Servicing Rights 26

6.0 Agency Non-bank Originators 27

6.1 Agency Non-bank Originator Share (All, Purchase, Refi) 27

6.2 Ginnie Mae Non-bank Originator Share (All, Purchase, Refi) 28

6.3 Bank vs. Non-bank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 29

7.0 Fixed Income Market Conditions 33

7.1 Average Daily Trading Volume and Turnover by Sector 33

8.0 Prepayments 34

8.1 Aggregate Prepayments 34

9.0 MBS Ownership 35

9.1 Commercial Bank Holdings of Agency MBS 35

9.2 Bank and Thrift Residential MBS Holdings 36

9.3 Foreign Ownership of MBS 38

9.4 Foreign Ownership of Agency Debt and Agency MBS 39
 have driven hanges to the value

of Ginnie Mae MBS relative to other government securities including the benchmark 10-yr U.S. Treasury. The 

Federal Reserve’s quantitative tightening has impacted Ginnie Mae MBS gross issuance, net issuance, spread

differentials, and MBS durations.

Figure 1, below, highlights changes to the yield spread between Ginnie Mae I, Ginnie Mae II, and he 10-year 

U.S. Treasury. The Federal Reserve’s actions and market factors, including inflation, have driven yields higher,

and the spread differential between Ginnie Mae MBS and 10-yr U.S. Treasury has widened through 2022

Figure 1. Widening Spreads Between 10-yr U.S. Treasury and Ginnie Mae MBS1

With respect to Ginnie Mae II MBS, the tightest yield spread between Ginnie Mae II MBS and U.S. 10-yr Treasury

w s +9 bps on May 10, 2021. This has since widened to +99 bps as of May 10, 2022. Over this period the widest

yield spread between Ginnie Mae II MBS and US 10 YR Treasury was +116 bps on April 26, 2022. For more

information on the U.S. 10-yr Treasury yields please see

section 1.2 Global 10‐Year Treasury Yields and for more

information on Ginnie Mae MBS Yields please see

section 1.3 Ginnie Mae Yields – USD. 

While yields on Ginnie Mae II MBS have increased, so

too have Ginnie Mae II MBS durations. As shown n

Figure 2 on the left, durations have been steadily

lengthening across Ginnie Mae II MBS coupon cohorts.

Since July 2021, the Ginnie Mae II 2.0%, 2.5%, and 3.0%

coupon cohorts have seen duration increases from 4.98

to 6.65, 3.67 to 6.57, and 3.03 to 6.24, respectively.

As the Fed continues quantitative tightening, investors

are carefully monitoring the Fed pace of re uced reinvestment of proceeds into Agency debt and Agency MBS.

This portfolio runoff allows the Fed to reduce its balance sheet holdings of Agency debt and Agency MBS

without selling current Agency debt and Agency MBS holdings as aggressively as they might otherwise. The Fed

Highlights

As we approach the midpoint of 2022, rapid changes in fixed-income m s c arket

 t

a

 i

d

1 Source: Bloomberg

2

-

3.971%

2.983%

1.000

1.500

2.000

2.500

3.000

3.500

4.000

4.500

May-21

Jun-21

Jul-21

Aug-21

Sep-21

Oct-21

Nov-21

Dec-21

Jan-2

Feb-22

Mar-22

Apr 22

-22 May

 (%) eld Yi

GN II SF Index U.S. 10-YR

3

4

5

6

7

G2SF 2 G2SF 2.5 G2SF 3

Figure 2. Ginnie Mae II MBS Cohort Durations

HighlightsHighlightsHighlightsHighlightsHighlightsHighlights
est principal payments that exceed $17.5 billion over the next three months and then they will increase the 

cap to $35 billion thereafter.2 According to the Fed, this will be accomplished through directing “the Open

Market Trading Desk (the Desk) at the Federal Reserve Bank of New York to reinvest into Agency MBS the 

amount of principal payments from the Federal Reserve's holdings of Agency debt and Agency MBS received

each month that exceed the cap amount for that month. If the anticipated amount of principal payments is

lower than the cap in effect that month, then the Desk will not reinvest those principal payments.”3 Despite the 

transparency, around the globe there is general uncertainty regarding how the Fed policy will influence investor 

behavior and, in turn, impact the Agency debt and Agency MBS market. The Fed’s limit on the reinvestment of

principal payments into Agency debt and Agency MBS will be spread across the Fannie Mae, Freddie Mac, and

Ginnie Mae, therefore it is difficult to estimate the impact that this action will have on the individual Agencies.

As Figure 3 below demonstrates, there are early indicators of declining gross issuance of Ginnie Mae MBS as the

Fed’s target for the Federal Funds Rate (FFR) jumped from 0-25 bps to 25-50 bps in March 2022. The Fed’s target

range for the FFR jumped to 50-100 bps on May 5, 2022.

Figure 3. Ginnie Mae MBS Gross and Net Issuance Relationship with Federal Funds Rate

Another major factor leading t ncertainty is that the supply of new MBS production in 2022 has dropped

compared to 2021 due to lower levels of refinance activity. Nonetheless, Ginnie Mae MBS net issuance has been

positive since July 2021 ($6.7 billion in April 2022). For more information regarding Ginnie Mae gross and net

issuance please see section 2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State. Government

Sponsored Entities’ (GSE’s) net issuance has remained positive month to month in 2022. GSE net issuance was

$68.0 billion in January 2022, $90.0 billion in February 2022, $56.9 billion in March 2022, and $52.6 billion in

April 2022.

has communicated that rather than reinvesting all proceeds from Agency debt and Agency MBS, they will nly

rein

o

v

o u

2 https://www.federalreserve.gov/newsevents/pressreleases/monetary20220504b.htm

tp 3 ht s://www.newyorkfed.org/markets/ambs-treasury-faq.html

p r-22 Apr-22

0

0.1

0.2

0.3

0.4

0.5

0.6

-$30

$0

$30

$60

$90

A r-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Ma

Ginnie Mae Gross Issuance Ginnie Mae Net Issuance Federal Funds Target Range - Upper Limit

Highlights
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 Bond Indices

Barclays US Aggregate Index

US Treasuries contribute approximately 40% 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 40% of the total Barclays Global 

Aggregate Index. Both U.S. and Chinese shares grew slightly MoM. All categories remained stable when

compared to the prior month.

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

Global Markets Analysis Report

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2.0% 2.0%1.4%1.0% 0.9% 0.3%

2.1%

7.9%

14.6%

27.7%

40.0%

Treasury - 40%

MBS Passthrough - 27.7%

Industrial - 14.6%

Financial Institutions - 7.9%

Agency - 2.1%

Utility - 2%

CMBS - 2%

Supranational - 1.4%

Sovereign - 1%

2.2% 2.0% 14.1%

3.0%

3.6%

4.2%

4.8%

5.2% 8.6% 12.7%

39.6%

United States - 39.6%

Japan - 12.7%

China - 8.6%

France - 5.2%

United Kingdom - 4.8%

Germany - 4.2%

Canada - 3.6%

Italy - 3%
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 2.94% at month end March 2022, a MoM increase of 60 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 1.90% at month-end March, a MoM increase of 29 bps.

• The yield on the German 10-year note increased to 0.94% at month-end March, a MoM increase of 49 bps.

• The yield on the Italian 10-year note increased to 2.77% at month-end March, a MoM increase of 73 bps.

• The yield on the Japanese 10-year government notes increased to 0.22% at month-end March, a MoM increase of 1 bp.

• The hedged yield for the 10-year Treasury JPY decreased to 2.33% at month-end March, a MoM decrease of 11 bps.

• The hedged yield for the 10-year Treasury EUR decreased to 1.33% at month-end March, a MoM decrease of 6 bps.

Global 10‐Year Treasury Yields

7–10yr Total Return Hedged Index, JPY

Source: Bloomberg. Note: Data as of April 2022

7–10yr Total Return Hedged Index, EUR

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

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4.0%

3.0%

2.0%

1.0%

0.0%

-1.0%

2.94%

2.77%

1.90%

0.94%

0.22%

% Yield

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

280

270

260

250

240

230

220

232.55

160

150

140

130

120

132.65

170
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 March 2022. Ginnie Mae II yields were at 3.99% at month

end April, up by 65 bps MoM. Ginnie Mae I yields were at 3.89%, up by 60 bps MoM. At month end April, Ginnie

Mae II SF yields were 105 bps higher than the US 10-year Treasury yield, an increase in spread of 5 bps MoM. 

The yields on the Ginnie Mae I SF were 95 bps higher than the US 10-year Treasury yield at month end April, a

decrease in spread of 10 bps MoM.

Ginnie Mae I SF Yield, USD

Ginnie Mae II SF Yield, USD

Sources: Bloomberg. Note: Data as of April 2022

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

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4.5%

4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

3.99%

% Yield

4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

3.89%

4.5%

% 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 by 2 bps to 0.64% at 

month end April. The Ginnie Mae II 30-year OAS increased 4 bps MoM. The US Intermediate credit OAS has

increased 19 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

Source: Bloomberg. Note: Data as of April 2022.

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4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

-0.5%

0.99%

0.35%

% Yield

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

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

0.64%

3.5%

% 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 April, the GNMA II 2.5%

securities duration increased MoM by 0.25 units and yield increased MoM by 62 bps. In March, the GNMA II 3%

securities duration increased MoM by 0.45 units and yield increased MoM by 55 bps.

Yield vs. Duration

Source: Bloomberg. Note: Yield and modified duration for GNMA II securities is from illustrative TBA using base prepayment assumptions. All other data is

as of April 2022. Yields are in base currency of security and unhedged.

Global Markets Analysis Report

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Security Duration Yield

US 5y

US 10y

4.59

8.63

2.85

2.90

JPY 5y 4.96 0.32

JPY 10y

GER 5y

9.73

5.01

2.40

0.48

GER 10y

ITA 5y

9.78

4.78

0.64

1.47

ITA 10y

UK 5y

9.36

5.11

2.13

1.40

UK 10y

GNMA II 2%

8.41

6.61

1.61

3.42

GNMA II 2.5%

GNMA II 3%

6.60

6.32

3.58

3.72

US 5y US 10y

JPY 5y

JPY 10y

GER 5y

GER 10y

ITA 5y

ITA 10y

UK 5y

UK 10y

GNMA ...

GNMA II 2.5%

GNMA II 3%

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Yield

Duration
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.6 Monthly REMIC Demand for Ginnie Mae MBS

In April 2022, $11.2 billion of Ginnie Mae MBS were securitized into Real Estate Mortgage Investment Conduits

(REMICs) as underlying collateral. Of that $11.2 billion, approximately $2.3 billion were Multifamily MBS, all 

having coupons between 2% and 3%. $8.8 billion were Single-Family MBS with almost 90-percent of the SingleFamily MBS having coupons between 3.0% and 4.5%. 

April 2022 REMIC Collateral Coupon Distribution

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4

Totals may not sum due to rounding.

$18.8

$21.5

$14.3

$17.1

$18.2

$14.2

$16.6

$13.2

$15.7 $15.3

$10.4

$25

$20

$15

$10

Ginnie Mae Single‐Family and Multifamily MBS Securitized into REMICs

$11.2

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

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into REMIC Deals ($MM)4

% Breakdown of REMIC Collateral by 

coupon17

Multifamily

2.01-2.50 773.1 33%

2.51-3.00 1,568.5 67%

Subtotal 2,341.5 100%

Single Family

<2.00 22.8 0%

2.01-2.50 91.2 1%

2.51-3.00 534.2 6%

3.01-3.50 3,660.6 41%

3.51-4.00 2,680.4 30%

4.01-4.50 1,566.4 18%

4.51-5.00 164.8 2%

5.01-5.50 28.6 0%

5.51-6.00 98.6 1%

Subtotal 8,847.6 100%

Grand Total 11,189.2
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

16.4% between March 2020 and February 2022. Over that same period, the Mountain region has had the

greatest home price appreciation (20.2% CAGR), while in the East North Central region, increases in home values

have been the slowest (13.8% CAGR).

Global Markets Analysis Report

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U.S. Census 

Subregion

New England Middle 

Atlantic

East 

North 

Central

East 

South 

Central

South 

Atlantic

West 

North 

Central

West 

South 

Central

Mountain Pacific National

2000 to Peak 

CAGR 10.5% 8.7% 4.0% 4.6% 8.7% 5.0% 4.3% 8.3% 13.9% 7.1%

Peak to Trough 

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

Trough to 

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

Pandemic CAGR 16.0% 14.4% 13.8% 16.8% 18.7% 13.9% 15.6% 20.2% 17.7% 16.4%

12-Month Period

of Max HPI 

Growth During 

Pandemic

7-2020 to 6-

2021

8-2020 

to 7-

2021

7-2020 

to 6-

2021

3-2021 

to 2-

2022

3-2021 

to 2-

2022

6-2020 

to 5-

2021

3-2021 

to 2-

2022

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% 21.0% 23.9% 16.3% 18.8% 25.8% 22.1% 19.2%

12-Month Period

of Max HPI

Growth, PrePandemic

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, PrePandemic14.0% 12.4% 6.9% 8.5% 15.3% 7.4% 7.5% 18.0% 22.4% 10.7%

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

Notes: HPI data as of February 2022. 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

S&P’s Corelogic Case-Shiller US National Housing Price Index’s March 29, 2022 reporting data indicated that

home prices had increased by 17.9% YoY as of January 2022. This latest reported YoY HPI appreciation value is

just 135 bps lower than the historical maximum value (19.2%) observed in July of 2021, suggesting a sustained

pace of home price increases.

Source: FHFA/S&P Corelogic Case-Shiller US National Hosing Price Index Data; Notes: HPI State-level data is provided quarterly by FHFA and presented here

as of February 2022. 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; S&P Corelogic

Case-Shiller US National Housing Price Index reported for January 2022 in its Report dated March 29, 2022

Global Markets Analysis Report

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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

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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 Q4 2021. 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. However, according to Jim Reid, head of Thematic

Research at Deutsche Bank, for the first time in 30 years household cash on hand exceeded total household

debt. 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

Sources: 

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

2. Idzelis, Christine. “Fed May Need to Be Even More Aggressive Fighting Inflation as U.S. Household Cash Exceeds Debt for First Time in Three

Decades, Warns Deutsche Bank.” MarketWatch, MarketWatch, 20 Apr. 2022, https://www.marketwatch.com/story/fed-may-need-to-be-evenmore-aggressive-fighting-inflation-as-u-s-household-cash-exceeds-debt-for-first-time-in-three-decades-warns-deutsche-bank-11650474606.

40

35

30

25

20

15

10

5

0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

38.0

26.3

11.7

2021Q12021Q22021Q32021Q4

$ Trillions

Debt Household equity Total Value

$0.40

$0.39

$8.37

$3.37

8

6

4

2

0

10

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021Q4 2021

$ Trillions

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 continued to fall sharply in Q1 2022. From

Q4 2021 to Q1 2022, Fannie and Freddie serious delinquencies decreased 24 and 20 bps, respectively, or 19%

and 18% respectively, 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 115 and 67 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.

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

13

Sources: 

1. Fannie Mae and Freddie Mac Monthly Summary Reports

2. 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. Serious Delinquency Rates 12%

10%

8%

6%

4%

2%

0%

3Q051Q063Q061Q073Q071Q083Q081Q093Q091Q103Q101Q113Q111Q123Q121Q133Q131Q143Q141Q153Q151Q163Q161Q173Q171Q183Q181Q193Q191Q203Q201Q213Q211Q22 5.15%

3.15%

1.01%

0.92%

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

149,218 Ginnie Mae loans were in forbearance as of the end of March 2022. This represents a 3.5% decrease

MoM. 7,701 of loans in forbearance were removed from MBS pools and 141,517 loans in forbearance still 

actively remain in pools. Most liquidated loans (5,634) were FHA and within that subset, 3,637 of those loans

were originated by non-banks. 

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

14

All Loans in Forbearance – March 2022

FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $ 181,521.32 77.1 70.3 149,218

Bank 671 3.8 $ 129,003.48 78.2 80.4 16,801

Non‐bank 657 3.4 $ 188,500.44 77.0 69.5 132,417

FHA 653 3.5 $ 177,373.01 79.9 76.1 105,735

Bank 666 3.9 $ 121,965.32 81.6 83.9 12,775

Non‐bank 652 3.4 $ 185,265.32 79.7 75.4 92,960

VA 668 3.1 $ 230,787.78 64.0 49.5 30,550

Bank 684 3.5 $ 177,627.57 64.6 67.8 2,909

Non‐bank 667 3.1 $ 235,898.07 63.9 48.0 27,641

Loans in Forbearance and Removed from Pools – March 2022

FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 655 3.9 $ 146,233.93 74.6 68.8 7,701

Bank 670 4.2 $ 109,661.88 75.0 74.8 2,466

Non‐bank 651 3.8 $ 169,278.93 74.5 67.3 5,235

FHA 649 4.1 $ 135,526.00 76.8 76.2 5,634

Bank 668 4.3 $ 106,372.13 77.1 74.0 1,997

Non‐bank 644 4.0 $ 158,442.86 76.8 76.8 3,637

VA 666 3.5 $ 206,995.20 65.5 48.7 1,614

Bank 672 3.8 $ 150,335.44 63.8 70.7 316

Non‐bank 665 3.4 $ 225,067.13 65.9 45.5 1,298

Loans in Forbearance that Remain in Pools – March 2022

FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $ 183,489.91 77.2 70.4 141,517

Bank 672 3.8 $ 132,730.36 78.6 81.1 14,335

Non‐bank 657 3.3 $ 189,222.62 77.1 69.6 127,182

FHA 654 3.5 $ 179,743.20 80.0 76.0 100,101

Bank 666 3.9 $ 125,457.63 82.1 85.2 10,778

Non‐bank 653 3.4 $ 186,260.49 79.8 75.4 89,323

VA 668 3.1 $ 231,964.30 63.9 49.5 28,936

Bank 685 3.5 $ 183,419.18 64.6 67.6 2,593

Non‐bank 667 3.1 $ 236,361.59 63.8 48.1 26,343

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 March 2022; *Averages weighted by remaining principal balance of the loans. Beginning with the May 2022 GMAR Report, Credit Unions

will be classified as Banks based on the updated Recursion data source.
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

15

Number of Loans Removed from Pools: Non‐

The current share of Ginnie Mae loans in forbearance stands at 1.31% as of the end of April 2022, a 4 bp MoM

decline from 1.35% observed as of the end of March 2022. The forbearance rate remains significantly higher 

than the forbearance rate prevailing in the period prior to the pandemic between January 2019 and February

2020 (approximately 0.1%), and the rate of convergence to pre-pandemic rates slowed down in April 2022.

Sources: Recursion. Notes: Data as of April 2022.

Sources: Recursion. Notes: Data as of April 2022. Beginning with the May 2022 GMAR Report, Credit Unions will be classified as Banks based on the

updated Recursion data source.

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

 200,000

 180,000

 160,000

 140,000

 120,000

 100,000

 80,000

 60,000

 40,000

 20,000

 -

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

 350,000

 300,000

 250,000

 200,000

 150,000

 100,000

 50,000

 -

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

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

Global Markets Analysis Report

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16

Number of Loans Removed from Pools: FHA Number of Loans Removed from Pools: VA

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

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

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

equal to 3.5% (bottom charts: “Number of Loans Removed from Pools by Coupon”). In April 2022, the number of

loans repurchased due to delinquency increased 14% to 8,734 for FHA and increased 5% to 1,919 for VA loans.

Sources: Recursion. Notes: Data as of April 2022.

300,000

250,000

200,000

150,000

100,000

50,000

0

 Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

160,000

140,000

120,000

100,000

80,000

60,000

40,000

20,000

0

 Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

180,000

160,000

140,000

120,000

100,000

80,000

60,000

40,000

20,000

0

 <3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan

 <3.5 Loss Mitigation

350,000

300,000

250,000

200,000

150,000

100,000

50,000

0

 >=3.5 Mortgagor Payoff >=3.5 Repurchase of Delinquent Loan

 >=3.5 Loss Mitigation

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 25% of new Agency issuance over the past year. The share of Ginnie

Mae’s new Agency issuance varies across states, with the highest Ginnie Mae’s share in Alaska (49%) and the

lowest in the District of Columbia (14%). The same holds true for Agency issuance outstanding, with the highest

issuance share over the past year in Alaska (47%) and the lowest in the District of Columbia (12%). There is

currently no difference between Ginnie Mae’s share of new Agency issuance and Ginnie Mae’s share of Agency

outstanding, as they are both 25%.

Global Markets Analysis Report

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Page

17

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

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)

25% 3,433,585 262.68 269.30 25% 10,351,724 197.95 208.59

AK 49% 11,972 318.18 281.22 47% 36,525 256.63 219.62

AL 38% 70,252 206.74 223.38 39% 228,146 150.48 175.13

AR 36% 37,423 176.26 204.92 38% 133,499 127.29 158.26

AZ 24% 110,528 279.30 286.25 23% 262,818 208.21 221.33

CA 17% 266,504 415.16 408.78 15% 652,938 318.03 320.94

CO 24% 85,293 365.33 346.01 23% 207,218 280.11 273.52

CT 25% 32,378 248.51 266.67 24% 102,025 197.78 208.71

DC 14% 2,937 504.96 438.25 12% 8,534 373.24 352.47

DE 30% 16,861 250.46 266.72 31% 49,668 199.49 208.85

FL 31% 303,550 261.30 266.65 31% 812,981 202.30 206.07

GA 32% 167,184 228.93 261.09 33% 479,500 171.27 201.83

HI 36% 12,959 578.64 464.27 31% 32,407 460.47 357.45

IA 21% 22,221 177.58 191.23 21% 80,275 130.14 148.72

ID 21% 20,859 306.66 292.17 22% 61,953 206.25 218.70

IL 21% 109,477 202.18 233.89 21% 349,073 155.82 178.48

IN 28% 81,265 175.75 193.38 29% 270,578 128.46 148.31

KS 27% 26,842 184.59 211.50 28% 94,397 135.79 162.17

KY 31% 47,699 185.43 200.68 33% 159,051 138.56 154.19

LA 40% 58,268 197.88 225.02 39% 190,254 154.09 176.53

MA 16% 40,064 348.76 346.59 15% 108,957 276.55 269.44

MD 34% 103,281 324.37 313.41 32% 279,869 260.33 249.08

ME 24% 11,785 223.86 247.54 25% 36,769 171.85 189.94

MI 18% 79,023 175.93 202.97 19% 266,281 129.27 155.81

MN 17% 45,852 233.50 253.75 17% 156,079 177.56 196.85

MO 26% 69,431 186.07 206.96 28% 238,254 137.11 160.60

MS 45% 33,374 189.25 203.83 47% 117,502 138.35 159.30

MT 23% 10,392 277.78 281.70 23% 32,022 201.44 212.78

NC 27% 134,851 227.06 258.51 28% 402,298 168.22 197.93

ND 25% 5,586 236.20 233.57 23% 16,510 189.68 184.72

NE 24% 17,228 200.79 204.11 26% 63,779 143.74 159.20

NH 21% 12,245 282.96 277.43 22% 37,526 219.79 213.02

NJ 21% 77,264 295.57 320.23 20% 221,719 233.72 253.88

NM 35% 26,616 221.55 231.71 37% 92,469 161.04 175.77

NV 30% 53,075 307.85 296.11 29% 127,155 238.57 230.90

NY 18% 71,848 294.84 336.91 19% 298,336 202.93 246.87

OH 26% 114,304 171.48 194.03 28% 409,843 126.03 147.67

OK 39% 48,258 188.22 207.08 41% 184,821 136.29 159.49

OR 19% 39,572 323.36 324.85 19% 107,027 245.70 250.18

PA 22% 99,183 193.53 235.54 25% 377,836 145.96 180.50

RI 30% 11,954 291.55 271.69 29% 34,150 225.90 211.70

SC 33% 81,124 230.66 243.25 33% 224,181 175.86 188.78

SD 28% 8,113 225.13 224.70 29% 28,705 167.25 175.95

TN 29% 85,240 234.36 256.53 31% 264,174 167.09 199.59

TX 29% 328,516 236.80 272.09 31% 1,050,043 174.40 206.74

UT 18% 36,136 335.68 331.67 18% 92,330 247.47 258.97

VA 36% 153,377 320.19 312.25 35% 430,652 251.05 250.02

VT 17% 139 389.85 383.17 23% 754 238.38 296.19

VI 19% 3,455 225.90 244.94 18% 11,840 178.02 179.13

WA 22% 84,810 366.55 368.04 21% 226,821 275.15 286.49

WI 16% 37,719 198.66 213.52 16% 119,846 152.33 163.10

WV 41% 16,589 188.22 191.86 42% 56,830 140.33 144.42

WY 34% 8,709 248.84 250.96 34% 24,506 250.96 200.25

Sources: Recursion. Notes: Outstanding balance is based on loan balance as of April 2022. Ginnie Mae issuance is based on the last 12 months, from March

2021 to April 2022.
State of the US Housing Market

Global Markets Analysis Report

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Markets

Page

18

Outstanding Agency Mortgage‐Backed Securities

2.6 Outstanding Single-Family Agency MBS

As of April 2022, outstanding single-family MBS in the Agency market totaled $8.32 trillion: 42.2% Fannie Mae,

33.7% Freddie Mac, and 24.0% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s, Fannie Mae’s and

Ginnie Mae’s total outstanding MBS increased by approximately 17.8%, 10.2% and 4.7%, respectively. Despite 

this, Fannie outstanding MBS remains larger than either Freddie or Ginnie by approximately $706 billion and 

$1.5 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 April 2022, FHA collateral comprised

52.2% of Ginnie Mae MBS outstanding and VA collateral comprised 42.4% of Ginnie Mae MBS outstanding.

$3,515

$2,809

$2,000

9,000

8,000

7,000

6,000

5,000

4,000

3,000

2,000

1,000

0

$8,324

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae Total

1200

1000

800

600

400

200

0

$1046

$849

$107

1400

$ in Billions

Apr/14 Apr/15 Apr/16 Apr/17 Apr/18 Apr/19 Apr/20 Apr/21 Apr/22

 FHA VA OTHER

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

Sources: Recursion. Notes: Data as of April 2022.

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

As of April 2022, the weighted average coupon on outstanding Ginnie Mae pools remained the same as March

2022 at 2.89% , down 5 bps since December 2021 and 46 bps since December 2020. The share of outstanding

MBS pools with coupons below 3.0% (51% as of December 2021) began a rapid expansion in 2020. The

proportion with coupons under 2.0% has increased approximately 13% (percent change). The bottom chart

illustrates that loans originated since 2019 accounting for 73% of Ginnie MBS collateral outstanding.

Sources: Recursion. Note: April 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.

Global Markets Analysis Report

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19

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

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

Apr/22 4.1

3.9

3.7

3.5

3.3

3.1

2.9

2.7

Avg Coupon %

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

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Jul/14

Oct/14

Jan/15

Apr/15

Jul/15

Oct/15

Jan/16

Apr/16

Jul/16

Oct/16

Jan/17

Apr/17

Jul/17

Oct/17

Jan/18

Apr/18

Jul/18

Oct/18

Jan/19

Apr/19

Jul/19

Oct/19

Jan/20

Apr/20

Jul/20

Oct/20

Jan/21

Apr/21

Jul/21

Oct/21

Jan/22

Apr/22

Pre 2008 2008-2013 2014-2018 2019-2022

Outstanding Ginnie Mae MBS Balance, by Coupon

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

Global Markets Analysis Report

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20

2.8 Origination Volume and Share Over Time

Origination volume trends declined in Q1 2022, with $725 billion in originations in Q1, which fell short of Q4

2021 issuance by approximately 34%. Ginnie Mae’s share of total origination increased 20.0% from 14.5% to

17.4% in Q1 2022. 

First Lien Origination Volume & Share

Source: Inside Mortgage Finance. Note: Data as of Q1 2022.

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.11 

$0.04 

$0.13 

$0.46

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

14.7%

4.8%

17.4%

63.0%

100%
US Agency Market, Issuance

3.0 US Agency Market, Single‐Family Issuance

Agency gross MBS issuance decreased MoM by 11.0% (from March to April). Fannie Mae and Freddie Mac saw

decreases in gross issuance as compared to March, while Ginnie Mae saw a slight increase. Ginnie Mae’s $47.8 

billion in gross issuance in April was approximately 32% below the average monthly issuance for 2021.

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21

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 $308.5 $266.8 $575.3 $203.2 $778.5

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 $389.7 $370.9 $175.7 $614.5

2022 YTD $105.1 $91.8 $6.3 $203.2
US Agency Market, Issuance

Agency net issuance in April was approximately $87.5 billion, which represents a 11.0% MoM decrease in net 

issuance. Ginnie Mae net issuance was $13.2 billion in April. As noted in Section 2.6, VA net issuance continues

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to outpace FHA.

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 $114.3 $102.3 $216.6 $43.9 $477.0

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 $16.5 $28.6 -$1.1 $43.9
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

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

Feb-22 $73.3 $62.3 $47.3 $135.6 $182.8 $28.7 $28.3 $4.2 $57.0 $61.2

Mar-22 $76.8 $62.9 $47.4 $139.7 $187.1 $23.1 $22.6 $6.9 $45.7 $98.3

Apr-22 $65.3 $53.5 $47.8 $118.8 $166.6 $17.7 $19.5 $13.2 $37.2 $87.5

Source: Net issuance is defined here as the difference between prior period UPB and current period UPB. Data as of February 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 

February 2022 GMAR net issuance data reflect the UPB at security issuance for Fannie Mae and Freddie Mac. As of January 2022, data source is Recursion.
US Agency Market, Issuance

3.1 Percent Refi at Issuance

The Ginnie Mae refinance share was 29% in April:

• The FHA refinance share was at 22% in April 2022, below the 46% share for Fannie, the 49%

refi share for Freddie originations, and the 38% share for the VA.

• Refinances as a share of all Agency originations decreased by 7% to 42% in April.

Sources: Recursion. Notes: Data as of April 2022

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49%

46%

29%

22%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

38%

Aug/13

Nov/13

Feb/14

May/14

Aug/14

Nov/14

Feb/15

May/15

Aug/15

Nov/15

Feb/16

May/16

Aug/16

Nov/16

Feb/17

May/17

Aug/17

Nov/17

Feb/18

May/18

Aug/18

Nov/18

Feb/19

May/19

Aug/19

Nov/19

Feb/20

May/20

Aug/20

Nov/20

Feb/21

May/21

Aug/21

Nov/21

Feb/22

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 decreased by

approximately 5% between periods February 2020 – April 2020 and February 2022 - April 2022. The share of

borrowers with DTIs below 35% increased by approximately 3% over the same period. From the period between

February 2020 – April 2020 to the period between February 2022 – April 2022, the share of high-LTV loans

decreased in the Ginnie Mae guarantee book by approximately 4% and the GSE portfolios increased by

approximately 14%. Still, Ginnie Mae maintains its key role of expanding credit access to low-to-moderate

income borrowers as it continues to dominate high-LTV lending, with 60.00% of its issuances between February

2022 and April 2022 having LTVs of 95 or above, compared to 13.59% for the GSEs.

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Share of Loans with LTV > 95

Ginnie Mae GSE All

Feb 2020 - April 2020 62.48% 11.90% 27.06%

Feb 2022 - April 2022 60.00% 13.59% 25.97%

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

Feb 2020‐Apr 2020

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 3.50% 4.41% 3.08% 3.80% 0.75% 15.53%

35‐45 7.44% 8.68% 5.23% 4.12% 0.23% 25.70%

≥45 8.00% 10.75% 6.92% 4.47% 0.11% 30.25%

NA 3.89% 5.06% 4.10% 4.14% 11.33% 28.52%

All 22.83% 28.89% 19.33% 16.52% 12.42% 100.00%

Feb 2022‐Apr 2022

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 3.81% 5.00% 3.06% 4.00% 0.10% 15.97%

35‐45 9.09% 11.47% 5.88% 4.93% 0.09% 31.46%

≥45 10.73% 15.67% 9.10% 6.13% 0.08% 41.73%

NA 1.79% 1.33% 0.83% 0.67% 6.22% 10.85%

All 25.42% 33.47% 18.88% 15.74% 6.49% 100.00%

Sources: Recursion and Ginnie Mae. Data as of April 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 82.8% of Ginnie Mae MSRs (see Cumulative Share). Twenty-three of

these top 30 are non-depository institutions, the remaining 7 are depository institutions. As of April 2022, over 

half (50.3%) 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 ($ millions) Share Cumulative Share

1 FREEDOM HOME MORTGAGE $256,028,554,317 12.8% 12.8%

2 PENNYMAC LOAN SERVICING $228,641,937,818 11.4% 24.0%

3 LAKEVIEW LOAN SERVICING $210,386,709,332 10.5% 34.7%

4 WELLS FARGO BANK $119,584,800,856 6.0% 40.7%

5 ROCKET MORTGAGE $99,747,860,564 5.0% 45.7%

6 NATIONSTAR MORTGAGE $92,383,621,597 4.6% 50.3%

7 CARRINGTON MORTGAGE $75,579,869,029 3.8% 54.0%

8 NEWREZ $61,816,350,207 3.1% 57.1%

9 CALIBER HOME LOANS $50,599,334,041 2.5% 59.7%

10 U. S. BANK $48,573,373,156 2.4% 62.1%

11 UNITED WHOLESALE MORTGAGE $38,008,500,377 1.9% 64.0%

12 LOANDEPOT.COM, LLC $36,047,438,244 1.8% 65.8%

13 MORTGAGE RESEARCH CENTER $32,676,396,283 1.6% 67.4%

14 PLANET HOME LENDING $31,774,340,204 1.6% 69.0%

15 USAA FEDERAL SAVINGS $30,376,109,329 1.5% 70.5%

16 NAVY FEDERAL CREDIT $28,440,780,622 1.4% 71.9%

17 THE MONEY SOURCE INC $21,149,686,569 1.1% 73.0%

18 TRUIST BANK $21,117,629,313 1.1% 74.1%

19 GUILD MORTGAGE COMPA $20,714,940,465 1.0% 75.1%

20 AMERIHOME MORTGAGE C $20,175,783,173 1.0% 76.1%

21 CROSSCOUNTRY MORTGAG $16,094,713,994 0.8% 76.9%

22 NEW AMERICAN FUNDING $15,282,576,231 0.8% 77.7%

23 VILLAGE CAPITAL & INVESTMENT $14,472,110,345 0.7% 78.4%

24 CITIZENS BANK N.A. $13,381,341,628 0.7% 79.1%

25 IDAHO HOUSING AND FINANCE $13,301,606,237 0.7% 79.7%

26 RUSHMORE LOAN MANAGEMENT $13,270,296,483 0.7% 80.4%

27 MOVEMENT MORTGAGE, LL $12,876,905,760 0.6% 81.0%

28 CMG MORTGAGE, INC. $12,843,754,380 0.6% 81.7%

29 MIDFIRST BANK $12,754,989,684 0.6% 82.3%

30 PHH MORTGAGE CORPORA $10,905,126,653 0.5% 82.8%

Source: Deloitte. Data as of April 2022.
Non-bank Originators

6.0 Agency Non‐bank Originators

Total Agency non-bank origination experienced an increase in April, up approximately 3% since last month. This

increase in non-bank origination share was driven primarily by Freddie Mac (non-bank origination share up 5%

MoM). The Ginnie Mae non-bank share reached 88.0% as of April 2022 and has been consistently higher than

the GSEs since September 2021 (89.1%). Ginnie Mae non-bank origination share of refinance mortgage loans has

continued to drive Ginnie Mae’s relatively higher non-bank origination share. GSE origination volume of

purchase mortgage loans has been the primary driver in the MoM decline of Agency non-bank origination share.

6.1 Agency Non-bank Originator Share (All, Purchase, Refi)

Sources: Recursion. Notes: Data as of April 2022.

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79.7%

76.8%

76.0%

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

88.0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Fannie Freddie Ginnie

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Fannie Freddie Ginnie

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Fannie Freddie Ginnie

Non‐bank Origination Share: Purchase Loans Non‐bank Origination Share: Refi Loans
Non-bank Originators

Ginnie Mae’s total non-bank originator share increased in April 2022, up 1.6% MoM. This increase in Ginnie Mae

non-bank origination share was driven by increases in all three loans: FHA insured loans, VA guaranteed loans,

and PIH and RD- guaranteed (“Other”) origination. The increase in non-bank origination share of refi loans was

primarily driven by Other loans, with an increase of approximately 0.8% MoM.

6.2 Ginnie Mae Non-bank Originator Share (All, Purchase, Refi)

Sources: Recursion. Data as of April 2022.

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85.0%

84.8%

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22 91.8%

88.0%

FHA VA Other All

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All FHA VA Other

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All FHA VA Other

Ginnie Mae Non‐bank Share: Purchase Loans Ginnie Mae Non‐bank Share: Refi Loans
Non-bank Originators

6.3 Bank vs. Non-bank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI)

The mortgage loan originations of non-banks continue to have a consistently lower median FICO score than their 

bank counterparts across all Agencies. The spread between non-bank and bank FICO scores increased by 2 FICO

score points from March 2022 to April 2022. The Agency median FICO decreased by 7 FICO score points to 731

MoM.

Sources: Recursion. Notes: Data as of April 2022.

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780

770

760

750

740

730

720

710

700

690

680

670

746

731

726

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median FICO Bank Median FICO FICO Nonbank Median FICO

780

770

760

750

740

730

720

710

700

690

680

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median FICO Bank Median FICO Nonbank Median FICO

660

640

720

710

700

690

680

670

650

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median FICO Bank Median FICO Nonbank Median FICO

Agency FICO: Bank vs. Non-bank

GSE FICO: Bank vs. Non-bank Ginnie Mae FICO: Bank vs. Non-bank
Non-bank Originators

The median LTV for all GSE originators increased by 2.0% in April 2022 MoM to 75%. While Ginnie Mae Median

Bank LTV has been very flat at 98.19% since January 2021, Non-bank Median LTV has fluctuated more, although

remaining within 20 bps of 96.5% since April of 2021. Ginnie Mae median DTI remained consistent MoM at

approximately 43%in April 2022 in non-bank originations. 

Sources: Recursion. Notes: Data as of April 2022.

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64

66

68

70

72

74

76

78

80

82

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median LTV Bank Median LTV

Nonbank Median LTV

90

92

94

96

98

100

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median LTV Bank Median LTV Nonbank Median LTV

30

32

34

36

38

40

42

44

46

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median DTI Bank Median DTI

Nonbank Median DTI

GSE LTV: Bank vs Non‐bank Ginnie Mae LTV: Bank vs. Non‐bank

GSE DTI: Bank vs Non‐bank Ginnie Mae DTI: Bank vs. Non‐bank
Non-bank Originators

In April 2022, the median FICO score for Ginnie Mae bank and non-bank originators continued to decline since

February 2022. The median FICO for all Ginnie originations declined to 670 MoM. The gap between banks and

non-banks continues and is most apparent in “Other” lending (13-point spread).

Sources: Recursion. Notes: Data as of April 2022.

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700

690

680

670

660

650

640

630

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

770

750

730

710

690

670

650

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

740

730

720

710

700

690

680

670

660

650

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

Ginnie Mae FICO Score: Bank vs. Non‐bank Ginnie Mae FHA FICO Score: Bank vs. Non‐bank

Ginnie Mae VA FICO Score: Bank vs. Non‐bank Ginnie Mae Other FICO Score: Bank vs. Non‐bank

720

710

700

690

680

670

660

650

640

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median FICO Bank Median FICO

Nonbank Median FICO
Non-bank Originators

Median DTI for Ginnie Mae non-bank originations has been consistently higher than the median DTI for Ginnie

Mae bank originations. This is a trend evident for all Ginnie Mae-eligible loan types except for the “Other”

category, where the spread between median bank and non-bank DTI is relatively small.

Sources: Recursion. Notes: Data as of April 2022.

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46

44

42

40

38

36

34

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

44

42

40

38

36

34

32

30

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI 46

44

42

40

38

36

34

32

30

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

Ginnie Mae DTI: Bank vs. Non-bank Ginnie Mae FHA DTI: Bank vs. Non-bank

Ginnie Mae VA DTI: Bank vs. Non-bank Ginnie Mae Other DTI: Bank vs. Non-bank

30

32

34

36

38

40

42

44

46

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Apr-20

Oct-20

Apr-21

Oct-21

Apr-22

All Median DTI Bank Median DTI

Nonbank Median DTI
Fixed Income Market Conditions

7.0 Fixed Income Market Conditions

Agency MBS average daily trading volume as of April 2022 was $272 billion for 2022 YTD, which is down from

$281 billion from January 2021 to December 2021. January 2022 was the highest month of Agency MBS trading

volume since February 2021. Agency MBS turnover in 2021 was 25 bps lower than its 2020 average, at 2.70%

and 2.95% respectively. 2021 Agency MBS turnover and US Treasury turnover both finished lower than the 2020 

averages at 2.70% and 2.87% respectively. Corporates turnover remains minimal relative to either Agency MBS

or Treasury turnover.

7.1 Average Daily Trading Volume and Turnover by Sector

Source: SIFMA. Note: Data as of April 2022 for Average Daily Trading Volume by Sector and as of December 2021 for Average Daily Turnover by Sector

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$600

$400

$200

$0

$677

$272

$40

$800

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022

$ Billions

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

15%

10%

5%

0%

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

2.87%

2.70%

0.37%

Agency MBS Turnover Treasury Turnover Corporates Turnover

Average Daily Trading Volume by Sector

Average Daily Turnover by Sector
Prepayments

8.0 Prepayments

In April 2022, Ginnie Mae fixed rate prepayment speed decreased by 15.1%, to 16.4 CPR. Comparatively, Fannie

Mae and Freddie Mac fixed rate prepayment speeds decreased by 18.6% and 12.4% MoM, respectively. ARM MBS

prepayments for Ginnie Mae decreased by 35.8% MoM, while Freddie Mac and Fannie Mae posted decreases in

ARM prepayment speeds of 22.4% and 6.8% MoM respectively.

8.1 Aggregate Prepayments

Source: Recursion; Note: Data as of April 2022.

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60

40

20

0

16.4 

11.2 

11.1

Constant Prepayment Rate (%)

Fixed Rate Aggregate Prepayments

 FHL FNM GNM

70

60

50

40

30

20

10

0

18.3

18.0

17.8

Constant Prepayment Rate (%)

ARM Aggregate Prepayments

 FHL FNM GNM
MBS Ownership

9.0 MBS 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.

9.1 Commercial Bank Holdings of Agency MBS

Global Markets Analysis Report

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Commercial Bank Holdings ($Billions) Week Ending

Mar‐

21 Sep‐21 Oct‐21 Nov‐21 Dec‐21 Jan‐22 Feb‐22 Mar‐22 6‐Apr 13‐Apr 20‐Apr 27‐Apr

Largest 25 Domestic 

Banks 1,966.5 2,139.5 2,149.9 2,140.2 2,153.7 2,188.8 2,200.4 2,186.8 2,179.8 2,175.8 2,156.3 2,157.6

Small Domestic Banks 667.7 694.8 712.0 721.5 730.7 742.2 748.6 744.1 735.3 739.6 736.0 737.3

Foreign Related Banks 54.2 48.0 47.9 46.2 44.0 43.3 40.7 36.4 36.5 34.7 32.5 28.3

Total, Seasonally 

Adjusted 2,688.4 2,882.3 2,909.8 2,907.9 2,928.4 2,974.3 2,989.7 2,967.3 2,951.6 2,950.1 2,924.8 2,923.2

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

2022.

Who Owns Total Agency Debt?
MBS Ownership

9.2 Bank and Thrift Residential MBS Holdings

In Q4 2021, MBS holdings at banks and thrifts increased for the thirteenth 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. Ginnie Mae pass-throughs declined by less than 1%. Total bank and thrift MBS holdings

increased by 2% from Q3 2021. Out of the $2.9 trillion in MBS holdings at banks and thrifts as of Q4 2021, $2.3

trillion were Agency pass-throughs, including $1.9 trillion of GSE pass-throughs and $353 billion of Ginnie Mae

pass-throughs. In addition, another $578 billion in bank and thrift holdings were Agency CMOs, while holdings of 

Private MBS and Private CMOs totaled $60 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

2001 810.50 270.59 109.53 37.62 236.91 76.18 606.91 203.37

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

4Q21 2,906.07 1,915.48 352.71 4.45 578.01 55.42 2,529.81 376.26 

Change:

3Q21-4Q21 2% 2% 0% 5% 2% 13% 2% 1%

4Q20-4Q21 15% 25% -10% 13% 5% 38% 14% 21%

Source: Inside Mortgage Finance. Notes: Data as of Q4 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 599,912.0 518,605.0 71,466.0 9,675.0 166.0 21%

2 WELLS FARGO & COMPANY 290,952.0 216,803.0 69,862.0 3,963.0 324.0 10%

3 CHARLES SCHWAB 230,495.0 122,754.0 9,208.0 98,533.0 - 8%

4 JPMORGAN CHASE & CO. 166,570.0 98,276.0 54,898.0 115.0 13,281.0 6%

5 Truist Bank 139,783.0 66,766.0 16,573.0 52,186.0 4,258.0 5%

6 U.S. BANCORP 118,800.9 81,370.7 20,818.8 16,611.0 0.4 4%

7 CITIGROUP INC. 89,216.0 82,756.0 2,006.0 3,336.0 1,118.0 3%

8 Silicon Valley Bank 83,437.0 62,391.0 9,874.0 11,172.0 - 3%

9 CAPITAL ONE FINANCIAL 

CORPORATION 73,102.1 40,027.5 12,506.1 20,086.3 482.2 3%

10 PNC Bank, National Association 68,787.6 53,187.7 5,880.7 8,561.4 1,157.8 2%

11 BANK OF NEW YORK MELLON 

CORP 53,526.0 40,889.0 1,845.0 7,999.0 2,793.0 2%

12 USAA Federal Savings Bank 46,889.1 38,965.2 2,616.5 5,307.4 - 2%

13 State Street Bank and Trust 

Company 40,144.8 16,734.0 3,631.0 17,748.8 2,031.0 1%

14 MORGAN STANLEY 33,912.0 21,773.0 5,933.0 6,206.0 - 1%

15 The Huntington National Bank 30,336.2 15,947.0 7,018.4 7,265.2 105.5 1%

16 E*TRADE Bank 30,194.2 24,473.3 4,099.2 1,621.8 - 1%

17 KeyBank National Association 28,640.4 4,994.6 297.5 23,348.3 - 1%

18 HSBC Bank USA, National 

Association 25,866.4 8,068.9 9,558.6 8,237.5 1.5 1%

19 Ally Bank 23,771.0 16,454.0 764.0 2,322.0 4,231.0 1%

20 BMO Harris Bank National 

Association 23,723.8 3,637.7 369.6 19,711.0 5.6 1%

Total Top 20 2,198,059.6 1,534,873.5 309,225.4 324,005.6 29,955.0 76%

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

9.3 Foreign Ownership of MBS

For the month of March 2022, foreign ownership of MBS represents $1.11 trillion in Agency MBS, down

approximately $30 billion from February 2022. Total foreign ownership includes $493 billion held by foreign

private institutions and $621 billion held by foreign official institutions. The foreign share of the Agency MBS

Market continues to decline since the beginning of COVID. The pre-Covid peak of approximately 17.5% has fallen

all the way to 13.17% in March of 2022.

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 February 2022.

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18.0%

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

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

Mar-22 13.17%

Percent of Agency MBS Owned

by Foreigners

Foreign Share of MBS

1,400

1,200

1,000

800

600

400

200

0

1,114

621

493

$ Billions

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

Monthly Foreign MBS Holdings
MBS Ownership

9.4 Foreign Ownership of Agency Debt and Agency MBS

The largest non-US holders of Agency MBS are in Japan, Taiwan, and China. 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

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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

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