August 2022
AUGUST 2022

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

Table of Contents

Inside this Month’s Global Market Analysis Report 1

Highlights 2

1 US Aggregate and Global Indices 2

1.1 Bloomberg US Aggregate and Global Indices 5

2 Sovereign Debt Product Performance Comparisons 6

2.1 Global 10-Year Treasury Yields (Unhedged) 6

2.2 US Treasury Hedged Yields 7

SECONDARY MORTGAGE MARKET 8

3 Fixed Income Product Performance Comparisons 8

3.1 Ginnie Mae Yields – USD 8

3.2 Ginnie Mae Yield Spreads – Intermediate Credit 9

3.3 Global Treasury Yield Per Duration 10

4 Prepayments 11

4.1 Aggregate Prepayments (CPR) 11

4.2 Involuntary Prepayments (CDR) 12

4.3 Voluntary Prepayment Rates (CRR) 13

5 Single-Family MBS Pass-Through Issuance 14

5.1 Gross Issuance of Agency MBS 14

5.2 Net Issuance of Agency MBS 16

5.3 Monthly Issuance Breakdown 18

5.4 Percent Refi at Issuance – Single-Family 19

6 Agency Single-Family MBS Outstanding 20

6.1 Outstanding Single-Family Agency MBS 20

6.2 Origination Volume and Share Over Time 21

6.3 Agency Issuance and Agency Outstanding by State 22

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

7 Agency REMIC Securities 24

7.1 Monthly REMIC Demand for Ginnie Mae MBS 24

7.2 REMIC Market Snapshot 25

8 MBS Ownership 26

8.1 Commercial Bank Holdings of Agency MBS 26

8.2 Bank and Thrift Residential MBS Holdings 27

8.3 Foreign Ownership of MBS 29

8.4 Foreign Ownership of Agency Debt and Agency MBS 30
AUGUST 2022

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

9 Fixed Income Liquidity Indicators 31

PRIMARY MORTGAGE MARKET 32

10 Agency Credit Breakdown 32

10.1 Credit Scores 32

10.2 Loan-to-Value (LTV) 34

10.3 Debt-to-Income (DTI) 36

10.4 High LTV Loans: Ginnie Mae vs. GSEs 38

10.5 Serious Delinquency Rates 39

11 Forbearance Trends 40

12 Holders of Ginnie Mae Mortgage Servicing Rights 43

13 Agency Nonbank Originators 44

13.1 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE 46

13.1.1 (FICO, LTV, DTI) 46

U.S. HOUSING MARKET 50

14 Housing Affordability 50

14.1 Housing Affordability – Home Price Appreciation 50

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

Rent 52

14.2.1 Housing Affordability – Mortgage Rate Trends 53

14.3 Housing Inventory 54

14.4 Size and Value of the US Housing Market 55

15 Disclosure 56
AUGUST 2022

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

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

This month’s Highlights section includes an analysis of the Federal Reserve balance sheet runoff that 

began in June 2022. The section discusses the Fed’s implementation of monthly caps on the

reinvestment of principal payments from securities held in the System Open Market Account (SOMA)

and the preliminary impact of the Fed’s actions on the Ginnie Mae MBS market.

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

• Under the Global Treasury Yield Per Duration section, the yield vs. duration analysis is 

expanded to include a larger coupon stack to reflect new issuance and interest rates.

• The Prepayments section illustrates the convergence of Ginnie Mae aggregate prepayment

rates to those of Fannie Mae and Freddie Mac (GSE) securities.

• The Agency REMIC issuance section continues to capture the current upward trend in coupon

rates for REMIC deals.

• In the Agency Credit Breakdown section, Ginnie Mae remains the leader in high-LTV lending

because of a higher percentage of issuances with LTVs of 95 or above relative to the GSEs.

• In the Agency Nonbank Originators section, an increasing nonbank origination portion of

refinance mortgage loans for Ginnie Mae has resulted in a comparatively higher nonbank

origination share.

• Throughout the U.S. Housing Marketsection, the data details a lack of affordability within the

housing market due to factors that include increasing home prices, and rising inflation that is

outpacing wage growth.
AUGUST 2022

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

Highlights

In response to the economic consequences of the COVID-19 pandemic, the Fed ramped up purchases

of agency Debt, agency MBS and Treasury Securities. In the months leading up to the onset of the

pandemic, Fed purchases of Ginnie Mae MBS, a component of agency MBS, were low relative to the

volume experienced throughout 2020 and 2021. For example, in January 2020, a few months before

the start of the pandemic, the Fed purchased just under $1 billion of Ginnie Mae MBS, but in April

2020, at the beginning of the pandemic, the Fed purchased roughly $84.5 billion of Ginnie Mae MBS.

As of January 1st, 2020, the Fed held roughly $1.4 trillion in agency MBS, but as of August 3rd

, 2022,

the Fed’s holdings of agency MBS reached just over $2.7 trillion.

As the Fed continues to raise the Federal Funds Rate in 2022, they have also started to wind down

their purchases of agency debt, agency MBS and Treasury securities. In a plan released on May 4th

,

2022, the Federal Open Market Committee (FOMC) laid out the process, including a timeline, for

reducing the Fed’s balance sheet:

“The Committee intends to reduce the Federal Reserve's securities holdings over time in a predictable

manner primarily by adjusting the amounts reinvested of principal payments received from securities

held in the System Open Market Account (SOMA). Beginning on June 1, principal payments from

securities held in the SOMA will be reinvested to the extent that they exceed monthly caps. For agency

debt and agency mortgage-backed securities, the cap will initially be set at $17.5 billion per month 

and after three months will increase to $35 billion per month.”1

In the plan, the Fed also included broad details regarding the planned duration of the balance sheet

runoff stating that they intend to hold securities in amounts necessary to carry out the market

activities required to effectively implement monetary policy. The FOMC plans to slow and then cease

the decline in the balance sheet runoff “when reserve balances are somewhat above the level it

judges to be consistent with ample reserves.”1

The direct impact of the Fed’s balance sheet runoff is a reduction in the Fed’s demand for agency

MBS. As of Q1 2022, the Fed held roughly 25% of agency debt and MBS (see section 8 MBS

Ownership). Depending on the size of the Fed’s balance sheet runoff, market participants could 

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

potentially see the Fed’s holdings of agency debt and agency MBS drop from 25% of the total

outstanding agency debt and agency MBS back to the Fed’s January 2020 ownership percentage of

16% (roughly 96.2% of the Fed’s agency debt and agency MBS holdings are agency MBS).

Over the period of January 2020 to May 2022, foreign investors share of the agency MBS market

declined from 17.4% to 13.9% (see section 8.3 Foreign Ownership of MBS). With the Fed

implementing caps on reinvestment of agency debt and agency MBS principal and interest payments,

this transition in the level of demand from the Fed for agency MBS may have capital market impacts

that affect both domestic and foreign investors who hold agency MBS in their portfolio.
AUGUST 2022

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

MBS Supply and Demand Dynamics

Figure 1, below, displays monthly data on Fed Ginnie Mae MBS purchases from January 2020 to July

2022. Prior to the June 2022 implementation of the Fed’s cap on agency debt and agency MBS

purchases, monthly Fed purchases of Ginnie Mae MBS began a downward trend. Since the 

implementation of the cap, the Fed purchased $10 billion of Ginnie Mae MBS in June 2022 and $5

billion of Ginnie Mae MBS in July 2022. Through the first seven months of 2022, the Fed purchased

$74.4 billion in Ginnie Mae MBS, which is a decline of more than $100 billion compared to the same

period in 2021.

Figure 1. Federal Reserve Purchases of Ginnie Mae MBS (in $ billions)2

As of September 1, 2022 the Fed cap on agency debt and agency MBS purchases will double from

$17.5 billion to $35 billion. It is too early to draw conclusions on the impact of the Fed cap on the 

agency MBS market. However, significant changes in the marketplace have taken place such as an

increase in agency MBS holdings by foreign investors3

, shown in Figure 2 below, and a widening of

the spread between Ginnie Mae securities yield and Treasury securities yield4

, shown in Figure 3

below.

2 Federal Reserve Bank of New York data. As of July 31, 2022 3

Calculations based on Treasury International Capital data. As of August 2, 2022 4 Bloomberg data. As of May 10, 2022

$56

$2 $1

$90 $85

$60

$30

$0

$29$26$27$27$26$26

$40

$29$29$30$28

$22$23$27

$19$22$23$22$22$20$18

$13$11 $8 $9 $10 $5

Jan

Feb

Mar

Qtr1

Apr

May

Jun

Qtr2

Jul

Aug

Sep

Qtr3

Oct

Nov

Dec

Qtr4

Jan

Feb

Mar

Qtr1

Apr

May

Jun

Qtr2

Jul

Aug

Sep

Qtr3

Oct

Nov

Dec

Qtr4

Jan

Feb

Mar

Qtr1

Apr

May

Jun

Jul

Qtr2 Qtr3

Fed Purchases (in $ billions)

$1.4

$1.2

$1.0

$0.8

$0.6

$0.4

$0.2

$0.0

$1.18 $1.14 $1.11 $1.12 $1.16 Jan-22 Feb-22 Mar-22 Apr-22 May-22

Agency MBS Holdings (in $

trillions)

Figure 2. Monthly Foreign Holdings of Agency Figure 3. GN II SF Index vs. US 10-YR Yields3

5.0

4.0

3.0

2.0

1.0

4.0%

2.9%

Jul-21

Aug-21

Sep-21

Oct-21

Nov-21

Dec-21

Jan-22

Feb-22

Mar-22

Apr-22

May-22

Jun-22

Jul-22

Yield (%)

GN II SF Index U.S. 10-YR
AUGUST 2022

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

Concurrent with the increase in agency MBS holdings by foreign investors, the size of the portfolio

holdings of the top three foreign agency MBS holders has converged. The range of agency MBS

holdings by the top three foreign holders of agency MBS has tightened from a roughly $90 billion

range in May 2021 to a $22 billion range in May 2022. Japan’s agency MBS holdings have shifted the

most from $300 billion in May 2021 to $241 billion in May 2022. China’s agency MBS holdings have

declined year over year from $239 billion in May 2021 to $236 billion in May 2022, while Taiwan’s

holdings have increased year over year from $210 billion in May 2021 to $219 billion in May 2022. 

Figure 4. Top Three Foreign Holders of Agency MBS (in $ billions)5

This is the narrowest range of agency MBS holdings between that the top three foreign holders of

agency MBS since July 2016.

5 As the Fed cap enters the fourth month and increases from a $17.5

billion cap to a $35 billion cap, global investors will be keen to measure the impact of the demand

gap on the agency MBS market.

5 Calculations based on Treasury International Capital data. As of August 2, 2022

 $325

 $300

 $275

 $250

 $225

 $200

 $175

$241 

$236 

$219 

Agency MBS Holdings (in $ 

billions)

Japan China, Mainland Taiwan
AUGUST 2022

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

1 US AGGREGATE AND GLOBAL INDICES

1.1 Bloomberg US Aggregate and Global Indices

Figure 5. Bloomberg US Aggregate Index.

US Treasuries contribute approximately 40% to the Bloomberg US Aggregate Index. US MBS (Ginnie

Mae, Fannie Mae, and Freddie Mac) contributes 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%.

Figure 6. Bloomberg Global Aggregate Index by Country.

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

largest share of total outstanding issuance, representing approximately 41% of the total Barclays

Global Aggregate Index. While the Japan share of fixed income decreased to 12% from 13%, all other

categories remained stable when compared to the prior month.

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

2% 2%1% 1% 1%

0%

2%

8%

14%

28%

40%

Treasury - 40%

MBS Passthrough - 28%

Industrial - 14%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

2% 14%

2%

3%

4%

4%

5%

5%

9% 12%

41%

United States - 41%

Japan - 12%

China - 9%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 4%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 14%
AUGUST 2022

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

2 SOVEREIGN DEBT PRODUCT PERFORMANCE COMPARISONS

2.1 Global 10-Year Treasury Yields (Unhedged)

The US 10-year Treasury yield moved to 2.65% at month end July 2022, a MoM decrease of 37 bps.

US Treasury yields remain second highest of all the government treasury yields depicted in the figure

below, behind Italian Treasury yields.

The yield on the UK 10-year notes decreased to 1.86% at month-end July, a MoM decrease of 

37 bps.

The yield on the German 10-year notes decreased to 0.81% at month-end July, a MoM decrease

of 52 bps.

The yield on the Italian 10-year note decreased to 3.01% at month-end July, a MoM decrease of 

25 bps.

The yield on the Japanese 10-year notes decreased to 0.18% at month-end July, a MoM decrease 

of 5 bps.

Figure 7. Global 10-Year Treasury Yields.

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

5.0%

4.0%

3.0%

2.0%

1.0%

0.0%

-1.0%

3.01%

2.65%

1.86%

0.81%

0.18%

% Yield

USA 10-Year UK 10-Year Germany 10-Year Italy 10-Year Japan 10-Year
AUGUST 2022

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

2.2 US Treasury Hedged Yields

The hedged yield for the 10-year Treasury JPY increased MoM 6 bps to 2.37% at month-end July.

The hedged yield for the 10-year Treasury EUR increased MoM 3 bps to 1.35% at month-end July.

Figure 8. 7–10yr Total Return Hedged Index, JPY.

Figure 9. 7–10yr Total Return Hedged, EUR.

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

270

260

250

240

237.73

230

220

280

170

160

150

140

135.68

130

120
AUGUST 2022

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

SECONDARY MORTGAGE MARKET

3 FIXED INCOME PRODUCT PERFORMANCE COMPARISONS

3.1 Ginnie Mae Yields – USD

Ginnie Mae fixed rate MBS yields decreased MoM in July 2022. Ginnie Mae II yields were at 3.76% at

month end May, down by 23 bps MoM, rebounded to 4.12% at month-end June, and have now

decreased to 3.63% at month-end July, down by 49 bps. Ginnie Mae I yields were at 3.72%, down by

17 bps MoM in May, similarly rebounded 36 bps to 4.08% at month-end June, and have now also

decreased to 3.61% at month-end July, down by 47 bps. Over the past year, Ginnie Mae spreads over

the 10-year Treasury yields have widened. Ginnie Mae II spreads over the US 10-year Treasury yield,

just 37 bps at month end July 2021, had increased 25 bpsto 62 bps over the US 10-year Treasury yield

at month end July 2022. The yields on the Ginnie Mae I SF were 60 bps higher than the US 10-year 

Treasury yield at month end July, an decrease in spread of 46 bps MoM but an increase of 3 bps YoY.

Figure 10. Ginnie Mae II SF Yield, USD

Figure 11. Ginnie Mae I SF Yield, USD

Sources Bloomberg. Note: Data as of July 2022

5.0%

4.5%

4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

3.63%

% Yield

4.5%

4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

3.61%

5.0%

% Yield
AUGUST 2022

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

3.2 Ginnie Mae Yield Spreads – Intermediate Credit

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

to 0.88% at month end July. The Ginnie Mae II 30-year OAS decreased 23 bps MoM. The US

Intermediate credit OAS has decreased 11 bps MoM.

Figure 12. US GNMA II 30yr MBS OAS versus US Intermediate Credit OAS.

Figure 13. Spread between US Intermediate Credit and US GNMA II 30yr MBS OAS.

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

4.0%

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

-0.5%

1.11%

0.23%

% Yield

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

3.5%

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0%

0.88%

% Yield
AUGUST 2022

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

3.3 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 

the aftermath of the recent interest rate hikes, sharp declines in duration, particularly for lower

coupon GNMA II securities, have been observed. Yields have increased sharply as well.

Figure 14. Yield vs. Duration.

Security Duration Yield

US 5y 4.59 3.28

US 10y 8.61 3.11

JPY 5y 4.89 -0.02

JPY 10y 9.68 0.20

GER 5y 5.01 0.70

GER 10y 9.18 0.94

ITA 5y 4.42 2.59

ITA 10y 8.72 3.42

UK 5y 4.77 1.59

UK 10y 8.12 1.87

GNMA II 2% 3.54 7.06

GNMA II 2.5% 3.67 6.82

GNMA II 3.0% 3.78 6.56

GNMA II 3.5% 3.91 6.17

GNMA II 4.0% 4.07 5.49

GNMA II 4.5% 4.33 4.91

GNMA II 5.0% 4.42 4.42

GNMA II 5.5% 4.44 2.91

GNMA II 6.0% 5.30 3.66

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

surveyed Bloomberg participants. All data is as of July 2022. Yields are in base currency of security and unhedged.

GNMA II 2%

US 5y US 10y

ITA 5y

ITA 10y

UK 5y

UK 10y

GER 10y

GER 5y

JPY 5y

JPY 10y

GNMA II 2.5%

GNMA II 3%

GNMA II 3.5%

Yield

8.00

7.00

6.00

5.00

4.00

3.00

2.00

1.00

0.00

GNMA II 4%

GNMA II 4.5%

GNMA II 5%

GNMA II 6%

GNMA II 5.5%

0.00 2.00 4.00 6.00 8.00 10.00

-1.00

Duration
AUGUST 2022

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

4 PREPAYMENTS

4.1 Aggregate Prepayments (CPR) 

Fixed rate aggregate prepayment speeds decreased for each of the Agencies in July, driven primarily

by lower voluntary prepayment rates (see below on Voluntary Prepayments). Ginnie Mae, Fannie

Mae and Freddie Mac CPRs have dropped by 13.3%, 16.4% and 20.6% MoM to 11.0, 7.8 and 7.2 CPR,

respectively. ARM prepayments have dropped significantly also, due to decreased refinance activity 

in the current higher interest rate environment.

Figure 15. Fixed Rate Aggregate 1-Month CPR.

Figure 16. ARM Aggregate 1-Month CPR.

Source: Recursion, Note: Data as of July 2022

40

30

20

10

Jul-17

0

11.0

7.8

7.2

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

Constant Prepayment Rate (%)

 Fannie Mae Freddie Mac Ginnie Mae

70

60

50

40

30

20

10

0

17.0

15.7

14.5

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

Constant Prepayment Rate (%)

 Fannie Mae Freddie Mac Ginnie Mae
AUGUST 2022

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

4.2 Involuntary Prepayments (CDR)

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

in prepayment speeds between Ginnie Mae’s and GSE prepayments has converged significantly since

Ginnie Mae’s CDR peak of 12.4 CDR in June 2020. ARM CDRs for Ginnie Mae’s are also typically higher 

than those of the GSEs, due to the lower credit quality of the Ginnie Mae loans.

Figure 17. Fixed Rate Aggregate CDR.

Figure 18. ARM Aggregate CDR.

Source: Recursion, Note: Data as of July 2022

15

10

5

0

Jul-17

1.3

0.4

0.3

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

CDR (

%)

 Fannie Mae Freddie Mac Ginnie Mae

0.5

1.1

50

40

30

20

10

0

Jul-17

3.1

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

CDR (

%)

 Fannie Mae Freddie Mac Ginnie Mae
AUGUST 2022

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

4.3 Voluntary Prepayment Rates (CRR)

Voluntary prepayments (CRR) continue to remain higher for Ginnie Mae relative to the GSEs. In the

existing market of increasing interest rates and higher prices (see section on Housing Affordability -

Mortgage Rate Trends), voluntary prepayments are facing downward trendsfor both Ginnie Mae and 

the GSEs. Fannie Mae and Freddie Mac saw 16.8% and 18.8% MoM decreases in fixed rate aggregate

CRR, respectively. Freddie Mac saw a 14.9% MoM decrease and Fannie Mae saw a 11.8% MoM

decrease in ARM aggregate CRR. Ginnie Mae saw a 16.9% MoM decrease in fixed rate aggregate CRR

and a 16.3% MoM decrease in ARM aggregate CRR. 

Figure 19. Fixed Rate Aggregate CRR.

Figure 20. ARM Aggregate CRR.

Source: Recursion, Note: Data as of July 2022

40

30

20

10

0

9.8

7.4

6.9

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

CRR (%)

 Fannie Mae Freddie Mac Ginnie Mae

14.1

14.8

40

30

20

10

0

14.3

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Sep-20

Nov-20

Jan-21

Mar-21

May-21

Jul-21

Sep-21

Nov-21

Jan-22

Mar-22

May-22

Jul-22

CRR (%)

 Fannie Mae Freddie Mac Ginnie Mae
AUGUST 2022

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

5 SINGLE-FAMILY MBS PASS-THROUGH ISSUANCE

5.1 Gross Issuance of Agency MBS

Agency gross MBS issuance decreased MoM by 7.6% (from June to July). All three agencies saw

decreases in gross issuance as compared to July.

Table 1. Agency Gross Issuance ($ in billions).

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

2021 $1,388.0 $1,245.1 $2,633.1 $840.9 $3,474.0

2022 YTD $464.6 $392.8 $857.4 $334.2 $1,191.6

2022 Annualized $796.5 $673.4 $1,469.8 $572.9 $2,042.7

Figure 21. Agency Gross Issuance

*2022 values have been annualized – the annualization methodology is not seasonally adjusted.

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

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

$796

$673

$1,600.0

$1,400.0

$1,200.0

$1,000.0

$800.0

$600.0

$400.0

$200.0

$0.0

$573 $ in Billions

Fannie Mae Freddie Mac Ginnie Mae
AUGUST 2022

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

Ginnie Mae’s $42.4 billion in gross issuance in July was approximately 40% below the average

monthly issuance for 2021. Thus far in 2022, Ginnie Mae is on pace to have lower gross issuance than

2021 by approximately $268.0 billion.

Table 2. Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 $392.2 $422.1 $26.7 $840.9

2022 YTD $175.9 $148.1 $10.1 $334.1

2022 Annualized $301.5 $253.9 $17.3 $572.7

Figure 22. Ginnie Mae Gross Issuance

*2022 values have been annualized – the annualization methodology is not seasonally adjusted.

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

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

$450.0

$400.0

$350.0

$300.0

$250.0

$200.0

$150.0

$100.0

$50.0

$0.0

$302

$254

$17

$ in Billions

FHA VA Other
AUGUST 2022

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

5.2 Net Issuance of Agency MBS

Agency net issuance in July was approximately $44.5 billion, which represents a 7.1% MoM increase

in net issuance. Ginnie Mae net issuance was $18.0 billion in July. VA net issuance continues to

outpace FHA.

Table 3. 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 $151.8 $142.9 $294.7 $93.3 $388.1

2022 Annualized $260.3 $245.0 $505.3 $160.0 $665.3

Figure 23. Agency Net Issuance

*2022 values have been annualized – the annualization methodology is not seasonally adjusted.

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

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

$600.00

$500.00

$400.00

$300.00

$200.00

$100.00

$0.00

-$100.00

-$200.00

$260

$245

$160

$ in Billions

Fannie Mae Freddie Mac Ginnie Mae
AUGUST 2022

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

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

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 -$64.2 $74.2 -$7.3 $2.7

2022 YTD $45.7 $49.2 -$1.5 $93.3

2022 Annualized $78.3 $84.3 -$2.5 $160.0

Figure 24. Ginnie Mae Net Issuance

*2022 values have been annualized – the annualization methodology is not seasonally adjusted.

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

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

$250.0

$200.0

$150.0

$100.0

$50.0

$0.0

-$50.0

-$100.0

$78

$84

-$3

$ in Billions

FHA VA Other
AUGUST 2022

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

5.3 Monthly Issuance Breakdown

Table 5. Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Agency Gross Issuance Amount (in $ Billions) Agency Net Issuance Amount (in $ Billions)

Month Fannie 

Mae

Freddie 

Mac

Ginnie 

Mae

GSEs Total Fannie 

Mae

Freddie 

Mac

Ginnie 

Mae

GSEs Total

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 $85.9 $59.0 $179.0 $238.0 $45.6 $37.6 $14.0 $83.2 $97.3

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

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

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

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

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

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

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

July 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 July 2022 GMAR net issuance data reflect the UPB at security issuance for Fannie 

Mae and Freddie Mac. Note: Numbers are rounded to the nearest hundred million.
AUGUST 2022

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

5.4 Percent Refi at Issuance – Single-Family

Refinance activity has dropped for all of the agencies, but the rate of decline has been greater in the

conventional mortgage market space, as Fannie and Freddie’s refinance percentages have declined

approximately 15% and 26%, respectively. Ginnie Mae’s MoM decline has been approximately 10%, 

with the greater decline taking place with VA lending which was down almost 16% in July MoM. FHA’s

refinance share declined just 9% in July MoM. The decline in refinance activity is leading to, 

particularly in the case of Ginnie Mae, a sharp increase in net issuance.

Freddie Mac’s refinance percentage has dropped to 21% in July, down from 29% in June.

Fannie Mae’s refinance percentage has dropped to 22% in July, down from 26% in June.

Ginnie Mae’s refinance percentage dropped to 18% in July, down from 20% in June.

FHA’s refinance percentage has dropped to 16% in July, down from 18% in June.

VA’ s refinance percentage has dropped to 21% in July, down from 25% in June.

Figure 25. Percent Refinance at Issuance – Single-Family.

Sources: Recursion. Notes: Data as of July 2022

22%

21%

18%

16%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

21%

Freddie Fannie Ginnie FHA VA
AUGUST 2022

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

6 AGENCY SINGLE-FAMILY MBS OUTSTANDING

6.1 Outstanding Single-Family Agency MBS

As of July 2022, outstanding single-family MBS in the Agency market totaled $8.451 trillion: 42.1%

Fannie Mae, 33.7% Freddie Mac, and 24.2% Ginnie Mae MBS. Over the past twelve months, Freddie

Mac’s, Fannie Mae’s and Ginnie Mae’s total outstanding MBS increased by approximately 14.4%, 

7.6% and 6.4%, respectively. Despite this, Fannie Mae outstanding MBS remains larger than either

Freddie or Ginnie by approximately $709 billion and $1.5 trillion, respectively.

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

2017, 61.5% of Ginnie Mae outstanding collateral was FHA and 32.1% was VA. In July 2022, FHA

collateral comprised 52.4% of Ginnie Mae MBS outstanding and VA collateral comprised 42.4% of 

Ginnie Mae MBS outstanding.

Figure 27. Composition of Outstanding Ginnie Mae Mortgage-Backed Securities.

Figure 26. Outstanding Agency Mortgage-Backed Securities.

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

9,000

8,000

7,000

6,000

5,000

4,000

3,000

2,000

1,000

0

$8,451

$3,556

$2,847

$ in Billions

$2,049

Fannie Mae Freddie Mac Ginnie Mae Total

1200

1000

800

600

400

200

0

$1,076

$870

$107

1400

$ in Billions

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

 FHA VA OTHER
AUGUST 2022

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

6.2 Origination Volume and Share Over Time

Origination volume continued to decline in Q2 2022, with $650 billion in originations in Q2, which

represents a decline in issuance from Q1 2022 of approximately 10%. Ginnie Mae’s share of total

origination increased slightly from 17.4% to 17.8% in Q2 2022, while Portfolio origination more than

doubled from 14.7% to over 30.8% in Q2 2022. 

Figure 28. First Lien Origination Volume

Figure 29. First Lien Origination Share

Source: Inside Mortgage Finance. Note: Data as of Q2 2022.

$5.0

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.12 $0.0 $0.31

$0.20

$0.02

$ In Trillions

GSE securitization FHA/VA securitization PLS securitization Portfolio

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

30.8%

3.3%

17.8%

48.1%

GSE securitization FHA/VA securitization PLS securitization Portfolio
AUGUST 2022

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

6.3 Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 26% 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 share still

being in Alaska (50%) and the lowest still in the District of Columbia (16%). The highest Ginnie Mae

outstanding share is in Alaska and Mississippi (47%) and the lowest still in the District of Columbia

(13%). There is currently a 1% difference between Ginnie Mae’s share of new agency issuance and

Ginnie Mae’s share of agency outstanding. 

Table 6. Agency Issuance Breakdown by State

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)

26% 3,007,326 267.40 274.84 25% 10,449,872 200.70 210.07

AK 50% 10,069 323.93 286.50 47% 36,739 259.02 221.02

AL 40% 63,560 211.21 226.91 40% 230,836 153.23 176.58

AR 37% 34,147 180.07 209.57 38% 134,299 129.27 159.86

AZ 24% 93,039 289.05 296.12 24% 265,205 212.75 224.01

CA 19% 220,393 421.80 414.72 16% 662,724 322.32 321.56

CO 25% 71,472 375.05 357.05 23% 208,403 285.20 275.97

CT 26% 28,655 251.99 269.34 25% 103,198 199.45 209.34

DC 16% 2,477 500.26 436.42 13% 8,701 377.66 352.49

DE 31% 14,748 254.39 273.02 31% 50,370 201.35 210.15

FL 31% 263,445 269.53 273.59 31% 822,199 206.14 208.85

GA 33% 149,728 234.63 268.51 33% 484,627 174.59 204.54

HI 37% 10,415 593.29 472.18 31% 32,859 466.13 359.01

IA 23% 20,447 178.49 193.16 21% 80,874 131.73 148.96

ID 23% 18,062 316.07 302.17 23% 62,240 211.91 221.25

IL 23% 100,002 204.04 237.38 21% 354,803 157.52 179.33

IN 29% 73,858 179.49 197.26 29% 272,355 130.56 149.62

KS 29% 24,295 187.15 215.49 28% 94,631 137.43 163.46

KY 33% 43,320 188.86 204.21 34% 160,794 140.65 155.26

LA 42% 54,001 199.66 228.47 39% 194,501 155.87 177.53

MA 19% 34,133 355.64 352.95 15% 110,129 279.85 269.73

MD 36% 87,858 327.14 317.61 33% 284,041 262.63 249.99

ME 26% 10,263 229.85 253.38 25% 36,959 174.02 191.00

MI 20% 71,035 178.56 206.26 20% 268,475 131.01 156.58

MN 18% 40,372 237.58 260.57 17% 156,704 179.62 198.12

MO 28% 62,497 189.56 210.68 28% 239,420 139.13 161.67

MS 47% 31,114 192.91 206.93 47% 119,217 140.66 160.52

MT 23% 8,518 285.67 291.59 23% 31,864 204.32 215.01

NC 28% 117,524 232.84 265.38 28% 404,586 171.09 200.14

ND 28% 4,881 239.40 237.36 23% 16,674 191.72 185.36

NE 25% 15,313 205.64 209.17 26% 63,826 145.86 160.48

NH 22% 10,249 289.98 285.22 22% 37,515 222.09 214.21

NJ 23% 67,833 299.65 323.13 21% 224,900 236.30 254.49

NM 36% 23,525 226.48 236.09 37% 93,070 163.34 177.26

NV 30% 44,494 316.98 305.63 29% 128,751 242.65 233.53

NY 20% 65,466 297.54 338.30 19% 300,497 205.66 247.90

OH 27% 104,942 174.06 196.17 28% 412,927 127.64 148.60

OK 39% 44,391 191.71 211.04 41% 185,575 138.20 161.09

OR 20% 32,997 331.79 335.69 19% 107,934 249.55 252.53

PA 24% 88,287 195.17 238.56 25% 380,478 147.11 181.50

RI 32% 10,286 298.90 278.59 29% 34,459 229.00 212.88

SC 34% 71,791 236.06 247.85 33% 227,132 178.90 190.70

SD 30% 7,286 231.61 230.23 29% 28,719 169.84 177.25

TN 29% 75,875 240.71 263.11 31% 264,594 170.53 202.16

TX 29% 290,246 242.88 279.25 31% 1,058,882 177.22 209.65

UT 19% 30,518 346.15 345.52 18% 93,029 252.95 261.91

VA 38% 129,290 324.12 314.56 35% 435,738 253.94 250.76

VI 18% 145 375.56 393.54 23% 767 240.30 300.78

VT 19% 2,987 229.23 249.76 18% 11,878 179.14 179.95

WA 23% 71,208 376.30 378.37 21% 227,659 279.55 288.67

WI 18% 33,151 201.81 217.96 16% 120,760 154.19 163.75

WV 43% 15,291 189.16 193.16 43% 57,746 141.87 145.14

WY 35% 7,427 255.00 255.93 34% 24,609 203.92 201.46

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

June 2021 to July 2022. Values above are based on loan level disclosure data, thus excluding loan balances for the first six months that loans are in a 

pool. This accounts for the difference in the share of outstanding MBS represented above and in Outstanding Single-Family Agency MBS.
AUGUST 2022

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

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

As of July 2022, the weighted average coupon (WAC) on outstanding Ginnie Mae MBS increased 

slightly from 2.92% in June 2022 to 2.95% in July. With 30-year fixed mortgage rates for certain credit

profiles at over 6.0% in July, this increase in WAC is likely to continue. The bottom chart illustrates

that loans originated since 2019 account for 75% of Ginnie MBS collateral outstanding.

Figure 30. Outstanding Ginnie Mae MBS Balance, by Coupon.

Figure 31. Outstanding Ginnie Mae MBS Balance, by Vintage.

Sources: Recursion. Note: July 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.

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

4.1

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

Jul/22

3.9

3.7

3.5

3.3

3.1

2.9

2.7

Av

g

C

oup

on %

<3 >=3 and <3.5 >=3.5 and <4 >=4

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

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

Jul/22

Average Coupon %

Pre 2008 2008-2013 2014-2018 2019-2022
AUGUST 2022

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

7 AGENCY REMIC SECURITIES

7.1 Monthly REMIC Demand for Ginnie Mae MBS

In July 2022, $8.8 billion of Ginnie Mae MBS were securitized into Real Estate Mortgage Investment 

Conduits (REMICs) as underlying collateral, a 19% MoM increase. Of that, approximately $0.9 billion

were Multifamily MBS having coupons between 2.5% and 3.5%. $7.8 billion were Single Family MBS

with 84% of the Single-Family MBS having coupons over 4.5%.

Through ten months of Fiscal Year 2022, approximately $119 billion of Ginnie Mae Single Family and

Multifamily MBS were securitized into Ginnie Mae REMIC transactions. Thisrepresents a roughly 28%

decrease over the same period in Fiscal Year 2021 ($165 billion).

Figure 32. Ginnie Mae Single-Family and Multifamily MBS Securitized into REMICs.

Table 7. July 2022 REMIC Collateral Coupon Distribution.

Source: Ginnie Mae Disclosure Files

6

Totals may not sum due to rounding.

$17.1 $18.2

$14.2

$16.6

$13.2

$15.7 $15.3

$10.4 $11.2

$5.9 $7.4

$25

$20

$15

$10

$5

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

$8.8

in $ billions

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

REMIC Deals ($MM)6

% Breakdown of REMIC 

Collateral by coupon17

Multifamily

2.01-2.50 339.3 36%

2.51-3.00 590.8 64%

Subtotal 930.1 100%

Single-Family

<2.00 - 0%

2.01-2.50 - 0%

2.51-3.00 349.4 4%

3.01-3.50 429.7 5%

3.51-4.00 224.2 3%

4.01-4.50 302.4 4%

4.51-5.00 5,933.6 76%

5.01-5.50 609.3 8%

5.50-6.00 - 0%

6.01-6.50 - 0%

Subtotal 7,848.6 100%

Grand Total 8,778.7
AUGUST 2022

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

7.2 REMIC Market Snapshot

In July 2022, Ginnie Mae, Fannie Mae, and Freddie Mac Single-Family REMIC collateral WAC

surpassed 4.75%. To note, Ginnie Mae, Fannie Mae, and Freddie Mac Single-Family REMIC collateral

WAC similarly surpassed 4.00% in June as well. In July 2022, Ginnie Mae REMIC issuance volume

increased for the third consecutive month.

 In May 2022, Ginnie Mae REMIC issuance volume was $7.0 billion.

 In June 2022, Ginnie Mae REMIC issuance volume was $9.1 billion.

 In July 2022, Ginnie Mae REMIC issuance volume was $10.0 billion.

In July 2022, Fannie Mae REMIC issuance volume declined to $1.9 billion across nine Single-Family

transactions.

 In July 2022, Fannie Mae did not guarantee a Multifamily REMIC transaction, which is the third

instance of Fannie Mae not guaranteeing a Multifamily REMIC transaction since October 2016.

 Fannie Mae’s REMIC issuance volume of $1.9 billion in July 2022 is the lowest monthly Fannie

Mae REMIC issuance volume since December 2018.

Figure 33. REMIC Issuance by Agency

Table 8. Monthly REMIC Issuance by Agency

SF

REMIC

Issuance

Volume

($B)

% of SF

REMIC

Issuance

Volume

Number of

SF REMIC

Transactions

MF REMIC

Issuance

Volume ($B)

% of MF

REMIC

Issuance

Volume

Number of

MF REMIC

Transactions

Ginnie Mae 8.2 64.8 10 1.1 16.4 6

Freddie Mac 2.5 20.2 8 5.4 83.6 7

Fannie Mae 1.9 15.1 9 0.0 0.0 0

Total $12.6 100% 27 $6.4 100% 13

Source: Ginnie Mae, Fannie Mae, and Freddie Mac Disclosure Files

1.9

July

2.5

1.1

5.4 8.2

Ginnie Mae Freddie Mac

Outer: Single Family

Inner: Multifamily

Fannie Mae
AUGUST 2022

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

8 MBS OWNERSHIP

As of Q1 2022, the largest holders of agency debt (agency MBS +agency notes and bonds) included

commercial banks (26%), the Federal Reserve (25%), and foreign investors (11%). The Federal

Reserve’s share remained at 25% in the first quarter of 2022, 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 nearly $2.9 trillion in holdings as of the end of June 2022, $2.1 trillion was

held by the top 25 domestic banks.

Figure 34. Who Owns Total Agency Debt?

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

governments, households and nonprofits. Data as of Q1 2022.

8.1 Commercial Bank Holdings of Agency MBS

Table 9. Commercial Bank Holdings of Agency MBS

Commercial Bank Holdings ($Billions) Week Ending

Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 6-Jul 13-Jul 20-Jul 27-Jul

Largest 25 

Domestic Banks

2,140.2 2,153.7 2,188.8 2,200.4 2,186.8 2,163.9 2,143.9 2,122.4 2,125.4 2,121.8 2,118.7 2,127.0

Small Domestic 

Banks

721.5 730.7 742.2 748.6 744.1 736.1 730.8 735.8 729.4 730.8 728.9 730.5

Foreign Related 

Banks

46.2 43.2 42.2 39.3 36.6 34.2 34.1 37.4 40.8 37.6 36.7 38.0

Total, Seasonally 

Adjusted

2,907.9 2,927.6 2,973.2 2,988.3 2,967.5 2,934.2 2,908.8 2,895.6 2,895.6 2,890.2 2,884.3 2,895.5

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

top 25. Data as of July 2022.

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Other

Foreign Investment

Credit Unions

Money Market Funds

& Pension Funds

Mutual Funds

REITs

GSEs

Dealers

Commercial Banks

Fed
AUGUST 2022

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

8.2 Bank and Thrift Residential MBS Holdings

In Q2 2022, MBS holdings at banks and thrifts decreased for the second time in fourteen consecutive

quarters. Like Q1 2022, the decrease was driven by GSE pass-throughs, Private MBS, and agency CMO

holdings, with GSE pass-throughs seeing the largest decrease. In contrast, Ginnie Mae pass-throughs

saw an increase of 0.2%. Total bank and thrift MBS holdings decreased by approximately 5.7% from

Q2 2021 and 6.3% from Q1 2022. Out of the $2.6 trillion in MBS holdings at banks and thrifts as of Q2

2022, $2 trillion were GSE pass-throughs and $369 billion of Ginnie Mae pass-throughs.

Table 10. Bank and Thrift Residential MBS Holdings

All Banks & Thrifts

($ in billions)

All MBS

($ in billions)

Year Total GSE PT GNMA PT Private 

MBS

Agency 

CMO

Private 

CMO Banks Thrifts

2001 730.84 380.12 109.53 37.62 236.91 76.18 606.91 203.37

2002 832.50 477.57 101.46 20.08 244.98 89.88 702.44 209.66

2003 899.89 536.83 75.11 19.40 236.81 106.86 775.66 206.45

2004 1,011.01 621.73 49.33 20.55 208.18 160.55 879.75 234.31

2005 1,033.77 602.73 35.92 29.09 190.70 211.25 897.06 242.69

2006 1,124.46 659.65 31.13 42.32 179.21 243.28 983.49 223.42

2007 1,149.10 591.34 31.58 26.26 174.27 357.24 971.42 264.59

2008 1,218.77 739.14 100.36 12.93 207.66 259.04 1,088.00 211.73

2009 1,275.52 784.18 155.00 7.53 271.17 212.64 1,161.67 184.07

2010 1,433.38 763.93 163.13 7.34 397.30 181.61 1,233.28 200.09

2011 1,566.88 842.17 214.81 3.28 478.82 167.70 1,359.24 207.64

2012 1,578.86 950.41 242.54 17.16 469.27 138.67 1,430.63 148.22

2013 1,506.60 937.91 231.93 26.11 432.60 114.15 1,363.65 142.94

2014 1,539.32 964.16 230.45 20.33 449.90 104.94 1,409.84 129.48

2015 1,643.56 1,115.40 292.30 11.14 445.39 71.63 1,512.67 130.89

2016 1,736.93 1,254.13 323.46 7.40 419.80 55.60 1,576.07 160.86

1Q17 1,762.38 1,280.63 329.91 7.03 419.34 55.39 1,589.93 172.45

2Q17 1,798.66 1,320.59 335.47 6.38 417.89 53.79 1,635.11 163.55

3Q17 1,838.93 1,364.75 351.86 5.65 418.08 50.45 1,661.84 177.09

4Q17 1,844.15 1,378.53 367.70 4.63 413.97 47.01 1,672.93 171.22

1Q18 1,809.98 1,352.28 360.71 3.92 412.41 41.37 1,635.52 174.46

2Q18 1,806.58 1,345.80 368.88 7.45 414.41 38.92 1,631.65 174.93

3Q18 1,794.39 1,339.73 373.21 2.42 416.20 36.04 1,618.29 176.10

2018 1,814.97 1,361.00 380.43 2.69 416.59 34.69 1,634.99 179.98

1Q19 1,844.99 1,385.10 383.49 3.06 422.18 34.65 1,673.40 171.59

2Q19 1,907.13 1,445.91 407.97 2.90 421.56 36.76 1,727.65 179.47

3Q19 1,975.78 1,506.92 427.10 4.74 428.69 35.44 1,786.74 189.04

2019 1,985.38 1,516.26 426.85 4.62 428.99 35.52 1,796.29 189.09

1Q20 2,107.66 1,621.70 448.34 4.65 443.73 37.57 1,907.02 200.64

2Q20 2,195.19 1,669.93 441.06 5.00 478.11 42.14 1,946.36 248.83

3Q20 2,310.42 1,764.72 415.24 4.43 499.50 41.78 2,040.61 269.81

4Q20 2,520.90 1,928.21 390.66 3.94 548.65 40.10 2,210.22 310.68

1Q21 2,690.92 2,088.41 374.63 4.88 555.35 42.28 2,350.94 339.98

2Q21 2,781.91 2,178.57 352.77 4.77 555.45 43.12 2,431.76 350.15

3Q21 2,858.59 2,239.90 353.12 4.24 565.51 48.95 2,487.32 371.27

4Q21 2,906.04 2,268.19 352.71 4.45 577.98 55.42 2,529.78 376.26

1Q22 2,799.21 2,186.14 368.43 4.04 548.60 60.43 2,476.11 323.10

2Q22 2,623.79 2,035.14 369.20 3.81 523.01 61.83 2,321.17 302.62

Change:

1Q22-2Q22 -6.3% -6.9% -8.4% 0.2% -5.6% -4.7% -6.3% -6.3%

2Q21-2Q22 -5.7% -6.6% -8.8% 4.7% -20.0% -5.8% -4.5% -13.6%

Source: Inside Mortgage Finance. Notes: Data as of Q2 20222
AUGUST 2022

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

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

Institution Total GSE PT GNMA PT Agency 

CMO

NonAgency Share

1 BANK OF AMERICA 

CORPORATION

$495,136.0 $415,280.0 $71,947.0 $7,758.0 $151.0 18.9%

2 WELLS FARGO & COMPANY $249,055.0 $177,562.0 $68,239.0 $3,125.0 $129.0 9.5%

3 CHARLES SCHWAB $193,778.0 $109,214.0 $7,006.0 $77,558.0 $0.0 7.4%

4 JPMORGAN CHASE & CO. $166,937.0 $83,341.0 $67,650.0 $98.0 $15,848.0 6.4%

5 Truist Bank $119,517.0 $58,899.0 $13,721.0 $43,472.0 $3,425.0 4.6%

6 U.S. BANCORP $111,998.70 $74,187.8 $23,448.4 $14,362.4 $0.1 4.3%

7 CITIGROUP INC. $88,468.0 $80,696.0 $4,199.0 $2,754.0 $819.0 3.4%

8 Silicon Valley Bank $72,216.0 $52,841.0 $8,614.0 $10,761.0 $0.0 2.8%

9 PNC Bank, National 

Association

$69,410.6 $56,515.3 $4,870.6 $6,817.9 $1,206.7 2.6%

10 CAPITAL ONE FINANCIAL

CORPORATION

$65,099.6 $32,784.9 $14,056.7 $17,864.0 $394.0 2.5%

11 MORGAN STANLEY $52,526.0 $37,767.0 $8,449.0 $6,310.0 $0.0 2.0%

12 BANK OF NEW YORK 

MELLON CORP

$44,587.0 $33,805.0 $1,452.0 $6,984.0 $2,346.0 1.7%

13 USAA Federal Savings Bank $44,229.0 $37,351.0 $2,244.0 $4,634.0 $0.0 1.7%

14 State Street Bank and Trust

Company

$37,413.3 $16,068.0 $3,830.0 $15,526.3 $1,989.0 1.4%

15 The Huntington National Bank $30,194.1 $12,956.1 $9,571.6 $7,514.8 $151.6 1.2%

16 KeyBank National Association $27,174.5 $4,278.4 $237.6 $22,658.5 $0.0 1.0%

17 TD Bank USA/TD Bank NA $24,125.3 $1,005.3 $89.5 $22,989.6 $41.0 0.9%

18 Citizens Bank, National

Association

$23,774.7 $13,187.7 $5,149.5 $5,437.5 $0.0 0.9%

19 Ally Bank $22,166.0 $14,142.0 $1,756.0

Total Top 20

$1,874.0

$1,959,755.5

$4,394.0

$1,318,836.8

0.8%

$324,838.2 

20 HSBC Bank USA, National

Association

$21,949.7 $6,955.3 $8,307.3 $6,686.2 $1.0 0.8%

$285,185.2 $30,895.4 74.8%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2022.
AUGUST 2022

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

8.3 Foreign Ownership of MBS

For the month of May 2022, foreign ownership of MBS represents $1.16 trillion in agency MBS, up

approximately $37 billion from April 2022. Total foreign ownership includes $516 billion held by

foreign private institutions and $641 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 13.91% in May of 2022.

Figure 35. Foreign Share of Agency MBS Market

Figure 36. Monthly Foreign MBS Holdings

Sources: Recursion and Treasury International Capital (TIC) [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 May 2022.

19.0%

18.0%

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

13.91%

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

May-22

Percent of A

gency

M

B

S O

wned

b

y F

oreigners

Foreign Share of MBS

1,400

1,200

1,000

800

600

400

200

0

1,157

641

516

$ Billions

Foreign Official MBS Foreign Private MBS Total Agency MBS Held by Foreigners
AUGUST 2022

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

8.4 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.

Table 12. All Agency Debt

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

6/1/2021 9/1/2021 12/1/2021 3/1/2022 Q2 

2021 Q3 2021 Q4 2021 Q1 2022

Japan 311,375 311,892 301,979 259,844 -8,396 517 -9,913 -42,135

Taiwan 250,081 247,341 244,375 233,340 -2,955 -2,740 -2,966 -11,035

China 217,842 215,102 202,659 219,553 16,870 -2,740 -12,443 16,894

Luxembourg 35,497 33,339 34,277 33,130 1,126 -2,158 938 -1,147

Ireland 21,453 22,617 21,305 20,589 -5,512 1,164 -1,312 --716

South Korea 43,201 43,208 42,051 40,362 169 7 -1,157 -1,689

Cayman Islands 36,027 36,160 35,004 31,795 -1,084 133 -1,156 -3,209

Bermuda 23,806 24,411 23,209 21,159 -2,637 605 -1,202 -2,050

Netherlands 12,544 17,435 16,249 14,851 -505 4,891 -1,186 -1,398

Malaysia 19,089 19,445 18,830 18,305 42 356 -615 -525

Other 166,009 268,746 302,816 269,544 -7,896 102,737 34,070 -33,372

Total 1,136,924 1,239,696 1,242,754 1,162,472 -10,778 102,772 3,058 -80,282

Table 13. 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

of June 2021. Revised to include top 10 holders of agency debt listed as of June 2018.

Sources: Treasury International Capital (TIC). Notes: Level of agency debt Holdings by month data as of Q1 2022. Agency MBS as
AUGUST 2022

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

9 FIXED INCOME LIQUIDITY INDICATORS

The agency MBS average daily trading volume as of July 2022 was $252 billion for 2022 YTD, which is

down from $281 billion from January 2021 to December 2022. Compared to June 2022, agency MBS

average daily trading volume saw a 1.5% decrease MoM. In 2021, average agency MBS was at 2.70%,

25 bps lower than the 2020 average of 2.95%. In 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.

Figure 37. Average Daily Trading Volume by Sector

Figure 38. Average Daily Turnover by Sector

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

Turnover by Sector

$600

$500

$400

$300

$200

$100

$0

$636

$252

$39

$700

$ Billions

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

14%

12%

10%

8%

6%

4%

2%

0%

2.87%

2.70%

0.37%

Agency MBS Turnover Treasury Turnover Corporates Turnover
AUGUST 2022

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

PRIMARY MORTGAGE MARKET

10 AGENCY CREDIT BREAKDOWN

The tables below outline the population distributions of FICOs, DTIs, and LTVs between the agencies

and between FHA, VA, and the Other Ginnie Mae loan sources as of the end of July 2022. The 

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

10.1 Credit Scores

Table 14. Share of Loans by FICO Score

Purchase FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 301,852 649 689 741 778 798 731

Fannie 109,540 687 720 757 785 801 750

Freddie 93,823 695 727 761 787 801 754

Ginnie 98,489 625 647 679 729 776 690

Refi FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All 104,314 631 662 707 756 788 708

Fannie 41,740 654 688 731 771 796 728

Freddie 34,558 648 680 720 762 790 720

Ginnie 28,016 603 628 658 695 740 664

All FICO

Names Number of Loans P10 P25 Median P75 P90 Mean

All All 406,166 644 681 733 774 796

Fannie Fannie 151,280 676 711 751 782 800

Freddie Freddie 128,381 678 713 753 783 800

Ginnie Ginnie 126,505 620 643 674 722 771

Purchase FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All All 98,489 625 647 679 729 776

FHA FHA 57,382 620 640 664 694 731

VA VA 36,331 639 671 724 773 796

Other Other 4,776 638 659 692 731 763

Refi FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All All 28,016 603 628 658 695 740

FHA FHA 15,939 593 619 644 671 698

VA VA 12,030 622 647 683 727 766

Other Other 47 639 691 750 750 785

All FICO: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 126,505 620 643 674 722 771 684

FHA 73,321 612 634 660 689 726 664

VA 48,361 633 663 712 764 793 712

Other 4,823 638 659 693 732 764 696
AUGUST 2022

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

Figure 39. FICO Distributions by Agency

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

800 - 850

750 - 800

700 - 750

650 - 700

600 - 650

550 - 600

9.22%

9.29%

5.54%

0.38%

42.5

41.16%

25.29%

4.45%

29.46%

29.75%

23.18%

13.25%

39.57%

14.75%

15.60%

26.19%

3.97%

4.01%

35.29%

17.63%

0.01%

0.15%

1.54%

5.72%

59%

Freddie Mac

Fannie Mae

VA

FHA
AUGUST 2022

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

10.2 Loan-to-Value (LTV)

Table 15. Share of Loans by LTV

Purchase LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 302,127 66 80 92 97 100 86

Fannie 109,699 59 75 80 95 96 81

Freddie 93,845 60 75 80 95 95 81

Ginnie 98,583 90 97 98 100 101 96

Refi LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 104,484 39 54 68 79 81 65

Fannie 41,775 34 48 61 73 80 59

Freddie 34,560 37 51 64 74 80 61

Ginnie 28,149 58 70 80 85 90 77

All LTV

Names Number of Loans P10 P25 Median P75 P90 Mean

All 406,611 53 71 81 95 98 80

Fannie 151,474 47 65 80 91 95 75

Freddie 128,405 49 66 80 90 95 75

Ginnie 126,732 75 89 98 100 100 92

Purchase LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 98,583 90 97 98 100 101 96

FHA 57,438 92 97 98 98 98 96

VA 36,356 86 100 100 100 102 97

Other 4,789 93 99 101 101 101 98

Refi LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 28,149 58 70 80 85 90 77

FHA 15,998 56 68 78 81 81 73

VA 12,082 62 75 86 90 100 82

Other 69 56 69 91 99 101 83

All LTV: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 126,732 75 89 98 100 100 92

FHA 73,436 74 85 98 98 98 91

VA 48,438 76 90 100 100 102 93

Other 4,858 93 99 101 101 101 98

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files. Note: All averages are rounded to the nearest whole number.
AUGUST 2022

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

Figure 40. Loan-to Value by Agency

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

95 - 100%

80 - 95%

60 - 80%

0 - 60%

3.20%

7.34%

44.56%

32.00%

28.82%

24.96%

18.86%

20.24%

12.07%

11.86%

4.15%

3.13%

22.20%

41.64%

58.83%

66.14%

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

Freddie Mac Fannie Mae VA FHA
AUGUST 2022

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

10.3 Debt-to-Income (DTI)

Table 16. Share of Loans by DTI

Purchase DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 301,457 25 33 40 46 50 39

Fannie 109,699 24 31 39 45 48 37

Freddie 93,845 24 31 38 44 48 37

Ginnie 97,913 31 38 45 51 55 44

Refi DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 104,008 24 32 40 45 49 39

Fannie 41,775 23 30 38 44 47 37

Freddie 34,560 24 32 39 44 48 38

Ginnie 27,673 28 35 43 49 54 42

All DTI

Names Number of Loans P10 P25 Median P75 P90 Mean

All 405,465 25 32 40 46 50 39

Fannie 151,474 24 31 38 44 48 37

Freddie 128,405 24 31 39 44 48 37

Ginnie 125,586 30 37 44 50 55 43

Purchase DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 97,913 31 38 45 51 55 44

FHA 57,420 33 39 46 51 55 45

VA 35,711 29 36 44 51 56 43

Other 4,782 27 31 36 40 43 35

Refi DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 27,673 28 35 43 49 54 42

FHA 15,820 29 36 44 50 55 43

VA 11,803 27 34 42 49 54 41

Other 50 15 22 31 38 41 30

All DTI: Ginnie Mae Breakdown By Source

Names Number of Loans P10 P25 Median P75 P90 Mean

All 125,586 30 37 44 50 55 43

FHA 73,240 32 39 45 51 55 44

VA 47,514 29 36 43 50 56 43

Other 4,832 27 31 36 40 43 35

Sources: Fannie Mae, Freddie Mac, and Ginnie Mae disclosure files. Note: All averages are rounded to the nearest whole number.
AUGUST 2022

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

Figure 41. Debt-to Income by Agency

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

> 44%

35 - 44 %

0 - 35%

23.44%

23.50%

24.38%

47.10%

37.62%

36.04%

29.46%

28.98%

16.18%

38.88%

39.58%

54.84%

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

Freddie Mac Fannie Mae

VA FHA
AUGUST 2022

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

10.4 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 May 2020 – July 2020 and May 2022 - July 2022. The share of

borrowers with DTIs below 35% decreased by approximately 12% over the same period. From the 

period between May 2020 – July 2020 to the period between May 2022 – July 2022, the share of highLTV loans increased in the Ginnie Mae guarantee book by approximately 6% and the GSE portfolios

increased by approximately 111%. 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 66.03% of

its issuances between May 2022 and July 2022 having LTVs of 95 or above, compared to 20.21% for

the GSEs.

Table 17. Share of Loans with LTV > 95

Ginnie Mae GSE All

May 2020 - Jul 2020 62.09% 9.58% 21.48%

May 2022 - Jul 2022 66.03% 20.21% 34.74%

Table 18. Agency Market Share by DTI and FICO for Loans with LTV > 95 (May 2020-Jul 2020)

FICO

DTI <650 650-700 700-750 ≥750 NA All

<35 2.17% 4.31% 6.43% 10.50% 0.42% 23.82%

35-45 4.54% 8.59% 10.07% 10.66% 0.16% 34.01%

≥45 4.17% 7.65% 6.70% 5.59% 0.08% 24.20%

NA 1.83% 2.82% 2.53% 2.85% 7.93% 17.97%

All 12.71% 23.37% 25.74% 29.59% 8.59% 100.00%

Table 19. Agency Market Share by DTI and FICO for Loans with LTV > 95 (May 2022-Jul 2022)

FICO

DTI <650 650-700 700-750 ≥750 NA All

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

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

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

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

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

Sources: Recursion and Ginnie Mae. Data as of July 2022.
AUGUST 2022

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

10.5 Serious Delinquency Rates

Serious delinquency rates for single-family GSE, FHA, and VA loans all continued to fall sharply in Q2

2022. From Q1 2022 to Q2 2022, Fannie and Freddie serious delinquencies decreased 20 and 16 bps,

respectively, or 20% and 17% 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

72 and 32 bps respectively. This decline in serious delinquency rates is consistent with the decrease

in the number of loans in forbearance captured in Section 11 below.

Figure 42. Serious Delinquency Rates: Single-Family Loans.

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 Q2 2022.

12%

10%

8%

6%

4%

2%

0%

4.43%

2.83%

0.81%

0.76%

4Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q162Q174Q172Q184Q182Q194Q192Q204Q202Q214Q212Q22

Serious Delinquency Rates

FHA Fannie Mae Freddie Mac VA
AUGUST 2022

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

11 FORBEARANCE TRENDS

As of the end of June 2022, 129,734 Ginnie Mae loans were in forbearance. This represents a 5.6%

decrease MoM. 3,074 of loans in forbearance were removed from MBS pools and 126,660 loans in

forbearance still actively remain in pools. Most liquidated loans (2,209) were FHA and within that

subset, 1,402 of those loans were originated by non-banks.

Table 20. Forbearance Snapshot

All Loans in Forbearance – June 2022

FICO Note Current Principal First Time Purchase Loan Count

Ginnie 657 3.3 $187,386.55 77.2 71.4 129,734 

Bank 673 3.6 $139,477.52 79.5 81.5 13,510

Nonbank 656 3.3 $193,254.76 76.9 70.6 116,224 

FHA 654 3.4 $184,105.90 80.0 76.2 94,080

Bank 668 3.7 $133,454.30 83.1 85.2 10,264

Nonbank 652 3.4 $190,572.75 79.7 75.5 83,816

VA 667 3.1 $234,876.20 63.6 52.4 24,998

Bank 684 3.4 $183,424.45 64.3 67.6 2,412 

Nonbank 665 3.0 $239,897.11 63.5 51.2 22,586

Loans in Forbearance and Removed from Pools – June 2022

FICO Note Current Principal First Time Purchase Loan Count

Ginnie 659 3.7 $147,022.21 73.3 68.5 3,074

Bank 667 4.3 $99,293.00 72.6 73.6 1,003

Nonbank 657 3.6 $175,468.10 73.5 67.2 2,071

FHA 653 3.9 $137,821.70 76.8 73.6 2,209

Bank 662 4.4 $96,581.25 75.1 72.6 807

Nonbank 651 3.7 $170,186.06 77.4 73.9 1,402

VA 670 3.3 $206,214.36 58.0 51.0 607

Bank 682 3.8 $137,212.56 57.9 70.2 125

Nonbank 668 3.2 $220,728.30 58.0 47.8 482

Loans in Forbearance that Remain in Pools – June 2022

FICO Note Current Principal First Time Purchase Loan Count

Ginnie 657 3.3 $188,310.06 77.2 71.5 126,660

Bank 673 3.6 $142,924.55 79.9 81.9 12,507

Nonbank 656 3.3 $193,508.91 77.0 70.7 114,153

FHA 654 3.4 $185,141.26 80.1 76.3 91,871

Bank 669 3.7 $137,414.16 83.5 85.9 9,457

Nonbank 652 3.4 $190,957.22 79.7 75.5 82,414

VA 666 3.1 $235,564.16 63.7 52.4 24,391

Bank 684 3.4 $186,851.06 64.6 67.5 2,287

Nonbank 665 3.0 $240,316.50 63.6 51.2 22,104

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 June 2022; *Averages weighted by remaining principal balance of the loans.
AUGUST 2022

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

The current share of Ginnie Mae loans in forbearance stands at 1.18% as of the end of July 2022, the

same as observed as of the end of June 2022. With the forbearance rate for Ginnie Mae collateral

having been just 0.25% in March of 2020, prior to lockdown and the introduction of borrowers’ right

to forbearance under the CARES Act, the current rates remain approximately five times higher than

the forbearance rate just prior to the pandemic, and the rate of convergence to pre-pandemic rates

has continued to slow down in July 2022.

Figure 43. Share of Ginnie Mae Loans in Forbearance.

Sources: Recursion. Notes: Data as of July 2022

Sources: Recursion. Notes: data as of July 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

 350,000

 300,000

 250,000

 200,000

 150,000

 100,000

 50,000

 -

MORTGAGOR PAYOFF REPURCHASE OF DELINQUENT LOAN LOSS MITIGATION

 -

 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

Figure 44. Number of Loans Removed 

from Pools: Non-bank

Figure 45. Number of Loans Removed 

from Pools: Bank
AUGUST 2022

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

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 now more

likely to have coupons less than 3.5% (bottom charts: “Number of Loans Removed from Pools by

Coupon”). In July 2022, the number of loans repurchased due to delinquency increased 77% to 4,600

for FHA and increased 67% to 782 for VA loans.

.

Figure 46. Number of Loans Removed from

Pools: FHA

Figure 47. Number of Loans Removed

from Pools: VA

Figure 48. Number of Loans Removed from Pools by Coupon:

0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

 MORTGAGOR PAYOFF REPURCHASE OF DELINQUENT LOAN LOSS MITIGATION

0

50,000

100,000

150,000

200,000

250,000

300,000

 MORTGAGOR PAYOFF REPURCHASE OF DELINQUENT LOAN LOSS MITIGATION

0

20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

180,000

<3.5 LOSS MITIGATION <3.5 REPURCHASE OF DELINQUENT LOAN

 <3.5 MORTGAGOR PAYOFF

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

 >=3.5 LOSS MITIGATION >=3.5 REPURCHASE OF DELINQUENT LOAN

 >=3.5 MORTGAGOR PAYOFF
AUGUST 2022

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

12 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 83.2% 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 July 2022, over half (51.1%) of the Ginnie Mae MSRs are owned by the

top six firms.

Table 21. Top 30 Holders of Ginnie Mae Mortgage Servicing Rights (MSRs), by UPB

Rank MSR Holder UPB ($ millions) Share Cumulative Share

1 DBA FREEDOM HOME MOR $253,806,254,213 12.4% 12.37%

2 PENNYMAC LOAN SERVIC $234,374,013,524 11.4% 23.79%

3 LAKEVIEW LOAN SERVIC $222,499,226,187 10.8% 34.63%

4 NATIONSTAR MORTGAGE, $119,826,875,599 5.8% 40.47%

5 WELLS FARGO BANK, NA $116,873,257,202 5.7% 46.16%

6 ROCKET MORTGAGE, LLC $100,832,781,176 4.9% 51.08%

7 CARRINGTON MORTGAGE $76,414,538,333 3.7% 54.80%

8 NEWREZ LLC $64,336,218,617 3.1% 57.93%

9 CALIBER HOME LOANS, $52,110,404,567 2.5% 60.47%

10 U. S. BANK, NA $48,729,226,940 2.4% 62.85%

11 UNITED WHOLESALE MOR $44,464,385,062 2.2% 65.01%

12 PLANET HOME LENDING, $35,293,835,485 1.7% 66.73%

13 MORTGAGE RESEARCH CE $35,050,605,276 1.7% 68.44%

14 LOANDEPOT.COM, LLC $34,294,148,393 1.7% 70.11%

15 NAVY FEDERAL CREDIT $28,639,304,476 1.4% 71.51%

16 AMERIHOME MORTGAGE C $25,333,060,748 1.2% 72.74%

17 GUILD MORTGAGE COMPA $21,305,064,478 1.0% 73.78%

18 THE MONEY SOURCE INC $21,141,396,150 1.0% 74.81%

19 TRUIST BANK $20,472,321,949 1.0% 75.81%

20 CROSSCOUNTRY MORTGAG $16,974,158,115 0.8% 76.64%

21 NEW AMERICAN FUNDING $16,250,929,981 0.8% 77.43%

22 VILLAGE CAPITAL & IN $14,739,825,023 0.7% 78.15%

23 MOVEMENT MORTGAGE, LL $14,139,619,935 0.7% 78.83%

24 CMG MORTGAGE, INC. $14,052,326,953 0.7% 79.52%

25 RUSHMORE LOAN MANAGE $13,958,889,004 0.7% 80.20%

26 IDAHO HOUSING AND FI $13,667,083,833 0.7% 80.87%

27 CITIZENS BANK N.A. $13,564,535,727 0.7% 81.53%

28 MIDFIRST BANK $12,240,447,859 0.6% 82.12%

29 PHH MORTGAGE CORPORA $11,577,506,171 0.6% 82.69%

30 CARDINAL FINANCIAL C $10,686,832,838 0.5% 83.21%

Source: Deloitte. Data as of July 2022.
AUGUST 2022

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

13 AGENCY NONBANK ORIGINATORS

Total agency non-bank origination experienced an increase in July, up approximately 6% since last

month. This increase in non-bank origination share was driven primarily by Freddie Mac (non-bank

origination share up 16% MoM). The Ginnie Mae non-bank share rose to 88.1% as of July 2022 and

hasremained 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. 

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

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

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

88.1%

78.3%

75.4%

71.2%

All Fannie Freddie Ginnie

Figure 50. Nonbank Origination Share:

Purchase Loans

Figure 51. Nonbank Origination Share: 

Refi Loans

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

All Fannie Freddie Ginnie

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

All Fannie Freddie Ginnie
AUGUST 2022

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

Ginnie Mae’s total non-bank originator share remained relatively stable in July 2022.

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

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

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

88.4%

88.1%

87.8%

86.6%

FHA VA Other All

Figure 53. Ginnie Mae Nonbank Share: 

Purchase Loans

Figure 54. Ginnie Mae Nonbank Share: 

Refi Loans

120%

100%

80%

60%

40%

20%

0%

All FHA VA Other

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

All FHA VA Other
AUGUST 2022

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

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

13.1.1 (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 remained the same from June 2022 to July 2022. The agency median FICO decreased by 2 FICO

score points to 729 MoM.

Figure 55. Agency FICO: Bank vs. Nonbank

Sources: Recursion: Data as of July 2022.

729

748

723

680

690

700

710

720

730

740

750

760

770

780

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

Jan-21

Jul-21

Jan-22

Jul-22

All Median FICO Bank Median FICO Nonbank Median FICO

640

650

660

670

680

690

700

710

720

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

Jan-21

Jul-21

Jan-22

Jul-22

All Median FICO Bank Median FICO

Nonbank Median FICO

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

680

690

700

710

720

730

740

750

760

770

780

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

Jan-21

Jul-21

Jan-22

Jul-22

All Median FICO Bank Median FICO

Nonbank Median FICO
AUGUST 2022

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

The median LTV for all GSE originators remained the same in July 2022 MoM at 80%. While Ginnie

Mae median bank LTV has been very flat at 98.19% since January 2021, non-bank median LTV has

fluctuated more, increasing 0.5% MoM to 98.18% in July 2022. Ginnie Mae median DTI remained

consistent MoM at approximately 44% in July 2022 in non-bank originations. 

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

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

Figure 60. GSE DTI: Bank vs. Nonbank Figure 61. Ginnie Mae DTI: Bank vs. Nonbank

64

66

68

70

72

74

76

78

80

82

All Median LTV Bank Median LTV

Nonbank Median LTV

30

32

34

36

38

40

42

44

46

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

All Median DTI Bank Median DTI

Nonbank Median DTI

90

92

94

96

98

100

All Median LTV Bank Median LTV

Nonbank Median LTV
AUGUST 2022

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

In July 2022, the median FICO score for Ginnie Mae bank decreased by 16 points and non-bank

originators increased by 21 points MoM. The median FICO for all Ginnie originations increased to 671

MoM. The gap between banks and non-banks is most apparent in VA lending (36-point spread).

Sources: Recursion. Data as of July 2022.

Figure 63. Ginnie FHA FICO Score:

Bank vs. Nonbank

Figure 62. Ginnie Mae FICO Score:

Bank vs. Nonbank

Figure 64. Ginnie Mae VA FICO Score:

Bank vs. Nonbank

Figure 65. Ginnie Mae Other FICO Score:

Bank vs. Nonbank

630

640

650

660

670

680

690

700

710

All Median FICO Bank Median FICO

Nonbank Median FICO

630

640

650

660

670

680

690

700

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

650

670

690

710

730

750

770

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO
AUGUST 2022

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

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

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

for the “Other” category, where the spread between median bank and nonbank DTI is relatively small.

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

Figure 66. Ginnie Mae DTI FI:

Bank vs. Nonbank

Figure 68. Ginnie Mae VA DTI:

Bank vs. Nonbank

Figure 69. Ginnie Mae Other DTI:

Bank vs. Nonbank

30

32

34

36

38

40

42

44

46

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

FHA Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

Figure 67. Ginnie Mae FHA DTI: 

Bank vs. Nonbank

30

32

34

36

38

40

42

44

46

VA Median DTI VA Bank Median DTI

VA Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Other Median DTI Other Bank Median DTI

Other Nonbank Median DTI
AUGUST 2022

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

U.S. HOUSING MARKET

14 HOUSING AFFORDABILITY

14.1 Housing Affordability – Home Price Appreciation

Home prices have increased rapidly during the pandemic, with Compound Annual Growth Rate

(CAGR) for HPI at 19.2% between April 2020 and May 2022. Over that same period, the Mountain

region has had the greatest home price appreciation (24.0% CAGR), while in the West North Central

region, increases in home values have been the slowest (16.3% CAGR).

Table 22. Regional HPI Trend Analysis

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 -8.4% -5.3% -9.8% -5.5% -14.2% -5.9% -2.1% -15.1% -17.9% -10.4%

Trough to Pandemic 

CAGR 3.7% 3.5% 4.8% 4.5% 5.9% 4.6% 5.1% 8.3% 8.1% 5.4%

Pandemic CAGR 19.9% 16.5% 16.4% 19.4% 22.3% 16.3% 18.7% 24.0% 19.4% 19.2%

12-Month Period of Max 

HPI Growth During 

Pandemic

7-2020 to 

6-2021

8-2020 

to 7-

2021

7-2020 

to 6-

2021

4-2021 

to 3-

2022

3-2021 

to 2-

2022

5-2021 

to 4-

2022

6-2021 

to 5-

2022

9-2020 to 

8-2021

7-2020 

to 6-

2021

8-2020 

to 7-

2021

Max 12-Month Period 

Change, During 21.8% 18.1% 17.1% 21.5% 23.9% 16.1% 19.3% 25.7% 21.8% 19.3%

Pandemic

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, Pre-Pandemic 14.0% 12.4% 6.8% 8.5% 15.3% 7.4% 7.4% 18.0% 22.3% 10.7%

Figure 70. FHFA.US Census Subregions as defined by the US Census Bureau.

Source: HPI data from FHFA.US Census Subregions as defined by the US Census Bureau. Notes: HPI data as of May 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, 3/2022. CAGR = (End Value/Starting Value) ^(1/n) – 1
AUGUST 2022

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

S&P’s CoreLogic Case-Shiller US National Housing Price Index’s June 30, 2022, reporting data

indicated that home prices had increased by 18.3% YoY as of June 2022. This latest reported YoY HPI

appreciation value marks the 125th consecutive month of YoY increases, suggesting a continuity of 

home price increases.

Table 23. Home Price Trends by State

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 March 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

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

National 59.6% -21.1% 91.9% 14.4% 51.4%

AK 67.0% -5.4% 42.3% 10.6% 34.7%

AL 41.6% -15.1% 68.3% 15.8% 42.9%

AR 39.8% -11.1% 60.6% 16.1% 42.7%

AZ 110.1% -49.5% 186.7% 24.6% 44.8%

CA 144.8% -47.1% 142.1% 19.0% 28.2%

CO 32.2% -10.3% 144.6% 18.2% 119.3%

CT 72.8% -19.7% 38.6% 17.0% 11.2%

DC 162.2% -11.7% 113.5% 10.0% 88.4%

DE 88.4% -23.5% 54.2% 15.5% 17.9%

FL 130.0% -46.5% 152.3% 21.1% 35.0%

GA 35.9% -27.1% 118.4% 18.1% 59.2%

HI 138.9% -27.1% 101.4% 15.1% 46.8%

IA 27.8% -5.4% 56.4% 11.5% 47.9%

ID 73.3% -32.2% 207.0% 31.0% 108.0%

IL 49.8% -23.8% 48.3% 12.4% 13.0%

IN 19.1% -8.6% 79.6% 15.1% 64.1%

KS 31.0% -7.7% 68.2% 14.3% 55.2%

KY 28.9% -5.4% 66.7% 14.4% 57.7%

LA 51.6% -6.7% 46.7% 9.7% 36.8%

MA 69.8% -18.3% 79.1% 16.2% 46.4%

MD 126.2% -26.4% 53.1% 12.8% 12.7%

ME 72.0% -12.4% 80.0% 20.8% 57.7%

MI 18.4% -31.6% 113.9% 15.6% 46.4%

MN 52.6% -23.0% 85.6% 13.3% 42.9%

MO 39.2% -15.0% 76.5% 15.2% 50.1%

MS 38.9% -12.8% 47.2% 13.0% 28.3%

MT 79.4% -13.5% 103.1% 22.5% 75.8%

NC 39.7% -14.1% 88.4% 19.3% 61.8%

ND 51.6% -0.8% 71.6% 9.5% 70.3%

NE 24.3% -5.9% 79.9% 14.8% 69.2%

NH 72.8% -21.9% 84.2% 19.5% 43.8%

NJ 102.2% -22.8% 52.4% 16.4% 17.7%

NM 66.5% -17.9% 58.2% 14.7% 29.9%

NV 117.4% -59.4% 211.9% 20.1% 26.8%

NY 75.6% -10.6% 58.3% 15.0% 41.6%

OH 19.5% -16.6% 79.8% 14.9% 50.0%

OK 36.7% -4.5% 63.0% 14.3% 55.6%

OR 85.6% -28.6% 133.5% 18.4% 66.7%

PA 68.8% -10.9% 59.2% 14.2% 41.8%

RI 108.1% -28.2% 82.4% 18.9% 30.9%

SC 40.5% -16.0% 89.3% 17.4% 59.0%

SD 40.1% -2.3% 76.6% 17.5% 72.5%

TN 38.3% -12.6% 105.8% 20.6% 79.9%

TX 35.8% -3.0% 101.2% 17.2% 95.2%

UT 65.1% -26.0% 158.9% 26.2% 91.4%

VA 95.0% -18.8% 61.7% 14.3% 31.3%

VT 78.4% -10.5% 58.5% 19.3% 41.9%

WA 83.3% -27.3% 149.2% 19.9% 81.1%

WI 38.6% -14.3% 72.0% 14.2% 47.4%

WV 39.2% -5.9% 41.9% 12.7% 33.5%

WY 84.7% -9.7% 56.1% 13.3% 41.0%
AUGUST 2022

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

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

Rent

While housing affordability is directly affected by real estate price fluctuation, affordability is also

impacted by general asset price changes. In June of 2022, inflation, as measured by the 12-month

percent change in the Bureau of Labor Statistics’ Consumer Price Index, had hit a 40-year high of

9.1%. Inflation has dropped slightly to 8.5% in July of 2022. As of June of 2022, rents were up 39.0%

for 1 Bedroom units year over year, and 38.3% for 2 Bedroom units year over year. Meanwhile, wage

growth remains significantly lower, and relatively flat at just 5.5%.

Figure 71. Inflation | 12-Month Percent Change in CPI

Figure 72. Asset Price Appreciation vs. Wage Increases

Sources: Bureau of Labor Statistics – Consumer Price Index and Wage-Growth Data; Rent.com - Rental Price Appreciation;

S&P/Case-Schiller U.S. National Home Price Index – Home Price Appreciation.

10.0%

8.0%

6.0%

4.0%

2.0%

0.0%

-2.0%

8.5%

Mar-12

Jul-12

Nov-12

Mar-13

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

Nov-20

Mar-21

Jul-21

Nov-21

Mar-22

Jul-22

25.0%

20.0%

15.0%

10.0%

5.0%

0.0%

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Feb-20

Jun-20

Oct-20

Feb-21

Jun-21

Oct-21

Feb-22

19.3%

8.6%

5.5%

Wage Growth (Weighted Overall) Home Price Appreciation

Home Price 

General Inflation

Appreciation 19.3%

Metric Statistic

General 

Inflation

Rental Price 

8.5%

Appreciation

1 

Bedroom

2 

Bedroom

39.0% 38.3%

Wage 

Growth 5.5%
AUGUST 2022

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

14.2.1 HOUSING AFFORDABILITY – MORTGAGE RATE TRENDS

While there have been recent decreases in mortgage rates, the Federal Reserve raised the Federal

Funds Target Rate to address surging inflation. In June, Federal Reserve Chairman Jerome Powell

indicated a potential increase in interest rates as inflation hit a 40-year high. Accordingly, the rate

was raised by 75bps to a range of 2.25%-2.5% in July as inflation dropped by 60 bps (shown above in

Housing Affordability – Inflation, Wages, and the Price of Real Estate and Rent). Thisincrease in the target

rate was the fourth consecutive hike since March 2022. As of August 25, 2022, the average 30-year 

and 15-year fixed rate mortgage rates were 5.55% and 4.85% respectively.

Figure 73. Average Fixed Rate Mortgage Rates

Sources: federalreserve.gov/monetarypolicy/openmarket.htm; Federal Reserve Chair News Conference, June 15, 2022, FRED

7.00

6.00

5.00

4.00

3.00

2.00

1.00

0.00

5.55%

4.85%

30-Year 15-Year
AUGUST 2022

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

14.3 Housing Inventory

As of July 2022, there was 10.9 months of housing inventory on the market, despite estimates of a 

housing shortfall in excess of 1.5 million homes.

7 The July housing inventory values increased 18.5%

MoM. As housing affordability continues to decline (see above section 14.2 – Inflation, Wages, and

the Price of Real Estate and Rent) single family home sales are unlikely to play a large role in the 

resolution of the housing shortfall. Multifamily construction volume metrics, shown in the bottom

table, have been increasing.

Figure 75. Multifamily Construction Metrics: Permits, Starts, Completions

Figure 74. Single-Family Housing Inventory

7

 “President Biden Announces New Actions to Ease the Burden of Housing Costs.”, The White House, 16 May 2022, 

https://www.whitehouse.gov/briefing-room/statements-releases/2022/05/16/president-biden-announces-new-actions-to-ease-theburden-of-housing-costs/. Press Release

12.0

11.0

10.0

9.0

8.0

7.0

6.0

5.0

4.0

3.0

10.9

600,000

550,000

500,000

450,000

400,000

350,000

300,000

566,500

459,800

363,700

2015 2016 2017 2018 2019 2020 2021

Number of Starts Number of Completions Number of Permits
AUGUST 2022

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

14.4 Size and Value of the US Housing Market

The total value of the single-family housing market reached $39.8 trillion in Q1 2022. The total value

of the US housing market is up 109% from its trough in 2011. Over that same period, mortgage debt

outstanding has increased just 17%, approximately six times less rapidly. From Q4 2021 to Q1 2022

mortgage debt outstanding has increased from $11.7 trillion to $12.0 trillion. Thus, the expansion in

the housing market is being driven primarily by increases in home values, as detailed in the Housing

Affordability Section, 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. 

Sources:

Figure 76. Value of the US Housing Market.

Figure 77. Size of the US Residential Mortgage Market.

1. Federal Reserve Flow of Funds Data. Notes: Data as of Q1 2022. 

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-even-more-aggressive-fighting-inflation-as-u-s-householdcash-exceeds-debt-for-first-time-in-three-decades-warns-deutsche-bank-11650474606.

45.0

40.0

35.0

30.0

25.0

20.0

15.0

10.0

5.0

0.0

$39.8

$27.8

$12.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q32021Q42022Q1

$ Trillions

Debt

Private Label Securities

Household Equity

Home Equity loans

Total Value

Agency MBS

10

9

8

7

6

5

4

3

2

1

0

$8.58

$3.41

$0.40

$0.39

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021Q4 2021Q1 2022

$ Trillions

Unsecuritized first liens
AUGUST 2022

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

15 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.”