Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S 

OFFICE OF CAPITAL MARKETS

PREPARED FOR GINNIE MAE 

BY STATE STREET GLOBAL ADVISORS 

URBAN INSTITUTE, HOUSING FINANCE POLICY CENTER
CONTENTS

Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

Barclays US Aggregate and Global Indices 4

Global 10-year treasury yields 5

Ginnie Mae yields and yield spreads—USD, JPY, Euro 6-8

MBS yield per duration 9

Total return and Sharpe Ratios 10 

State of the US housing Market 

Serious delinquency rates 11

National HPI 11

HPI by state 12

Ginnie Mae Agency issuance and Agency outstanding by state 13

Size and value of the US Residential housing and mortgage markets 14

Outstanding Agency MBS 15

Origination volume over time 16

US Agency Market, Originations

Annual Agency Gross Issuance 17

Annual Agency Net Issuance 18

Monthly Agency Issuance 19

Purchase versus refi: Percent Refi at Issuance 20

Credit Box 

First time home buyer share—purchase only loans 21

First time home buyer share— Ginnie Mae purchase only loans 22

FICO score distribution 23

Credit box at a glance (FICO, LTV, DTI) 24-26

Historical credit box (FICO, LTV,DTI) 27-29

Ginnie Mae Nonbank Originators

Nonbank originator share (All, Purchase, Refi) 30

Bank vs. nonbank originators credit box at a glance (FICO, LTV, DTI) 31-33

Bank vs. nonbank originators historical credit box (FICO) 34

Prepayments 

Aggregate 35

Select coupon/origination year cohorts 36-37

Other Ginnie Mae Programs

HMBS 38

Multifamily 39

Market Conditions-Agency MBS

Average daily trading volume and turnover by sector 40

Dealer net positions, repo volume 41

MBS Ownership

Ownership breakdown of total agency debt 42

MBS share of total agency debt and commercial bank ownership of MBS 43

Bank and Thrift Residential MBS Holdings 44

Foreign ownership of MBS 45-46

Fed Ownership of MBS 47
HIGHLIGHTS

MBS spreads respond to Fed’s announcement on wind-down.

The Federal Reserve announced on September 20, 2017 that, in October, it would start the process of reducing its 

holdings of agency MBS accumulated during quantitative easing of the last several years. Prior to this 

announcement, the Fed had only said that it would begin its reductions later this year. The Fed also confirmed that 

the reductions in agency MBS will be capped at $4 billion initially, with caps increasing by $4 billion each quarter 

until they hit $20 billion in October 2018. To the extent the run offs are insufficient to hit the target reduction, the 

Federal Reserve would not sell. 

To the surprise of many market participants, spreads between agency mortgage backed securities (MBS) and 

Treasury securities actually narrowed. The relative attractiveness charts on page 6 show that the spread between 

current coupon Ginnie Mae MBS and the average of 5 and 10 years US treasury notes narrowed towards the end of 

September and early October (by about 7 basis points). The same holds true for the spread between current coupon 

Fannie MBS and the average US treasury, which tightened by 4 basis points since the day of the announcement.

This reaction is very different than the “taper tantrum” in 2013, when Bernanke announced that the Fed may begin 

to taper its Treasury and mortgage backed securities market purchases. In that case, the market was uncertain 

about both the start date and the amount that would be tapered each month. In 2017, by announcing a start date of 

the reductions and by confirming the caps, the Fed effectively ended one source of uncertainty for MBS investors, 

who quickly priced in the new development.

Highlights this month:

• With the tightening of spreads on US MBS after the Federal Reserve announced that it will begin to wind down 

its portfolio in October, US MBS looks less attractive versus both the JGB and Bund in September 2017 (Pages 7-

8).

• Serious delinquency rates continued to decline for all agencies in Q2 2017 (Page 11).

• The total value of the US Housing Market continued to rise in Q2 2017, driven by the increase in household 

equity (Page 14).

• Agency refinance rates stabilized in August 2017, after the prolonged decline since the election day (page 20).

0.72

0.66

0.88 0.82

0

0.2

0.4

0.6

0.8

1

9/15/179/16/179/17/179/18/179/19/179/20/179/21/179/22/179/23/179/24/179/25/179/26/179/27/179/28/179/29/179/30/1710/1/1710/2/1710/3/1710/4/1710/5/1710/6/1710/7/1710/8/1710/9/17

10/10/1710/11/1710/12/1710/13/17

G2 CC minus UST FNM CC minus UST

Source: Credit Suisse and Urban Institute.

Yield (%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 2017

US MBS comprise 28 percent of the Barclays US Aggregate Index-- marginally less than either the US Treasury share 

(37%) or the US Credit share (31%). Fannie Mae 30-year MBS comprises the largest percent of US MBS (10%), while 

Ginnie Mae 30-year MBS and Freddie Mac 30-year MBS comprise 8 percent and 6 percent of the market, 

respectively. Mortgages with terms of 15- and 20- year comprise the balance (4%) of the US MBS share. US securities 

are the largest single contributor to the Barclays Global Aggregate, accounting for 39 percent of the global total. US 

MBS comprises 11 percent of the global aggregate. 

37%

2%

31%

8%

10%

6%

4%

2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

11%

1%

3%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

2%

3% 1%

39%

32%

20%

1%

0.2%

2% 0%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

Barclays Global Aggregate Index by Country Barclays Global Aggregate Index by Sector
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

Yield (%)

Global 10-year Treasury Yields

US 10y UK 10y GER 10y ITA 10y JPY 10y

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

US 10y hedged yield advantage vs 10y JGB (right)

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

10yr US Treasury hedged yield, EUR

10y US hedged yield, EUR (left)

10y US hedge yield advantage vs 10y Bund (right)

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017 

Over the past few years, US Treasury interest rates, as measured by the 10-year note have consistently been the 

highest in the developed world. The US 10-year Treasury note was at 2.1 percent in August, and has edged up to 

2.3 percent this month. Interest rates for Italy, Japan, Germany, and the UK all declined slightly to 2.1, 0.07, 0.5, 

and 1.4 percent respectively. If the Treasury notes are hedged into foreign currencies, the US yield advantage 

stands at 36 basis points (bps) versus the JGB, and -24 bps versus the 10-year Bund. This month showed a 

decrease of 7 bps versus both the JGB and the Bund. 

Yield(%)Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17

G2SF CC yield & nominal spread, USD

G2SF CC yield, USD (left) G2SF CC yield nominal spread vs UST 5/10 blend (50%/50%) (right)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

GNSF CC yield & nominal spread, USD

GNSF CC yield, USD (left) GNSF CC yield nominal spread vs UST 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

Ginnie securities outyield their Treasury counterparts (as measured by the average of the 5- and 10-year 

Treasury yields) 67 and 68 basis points on G2SF and GNSF, respectively. This represents a tightening of 6 and 

8 basis points from last month, respectively. The Federal Reserve announced that it will begin to wind down its 

portfolio in October. With the timing uncertainty resolved, spreads tightened.

Yield(%) Yield(%)

Yield(%)

Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17

G2SF CC yield & nominal spread, JPY

G2SF CC yield, JPY (left) G2SF CC yield nominal spread vs JGB 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis; handily 

outyielding the sovereign debt of other countries. This figure shows that G2SF and GNSF hedged into 

Japanese yen yield more than the JGB 5/10 blend by 90 and 92 basis points, respectively.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

GNSF CC yield & nominal spread, JPY 

GNSF CC yield, JPY (left) GNSF CC yield nominal spread vs JGB 5/10 blend (50%/50%) (right)

Yield(%) Yield(%)

Yield(%) Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17

G2SF CC yield & nominal spread, EUR

G2SF CC yield, EUR (left) G2SF CC yield nominal spread vs GER 5/10 blend (50%/50%) (right)

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Sep-06 Sep-07 Sep-08 Sep-09 Sep-10 Sep-11 Sep-12 Sep-13 Sep-14 Sep-15 Sep-16 Sep-17

GNSF CC yield & nominal spread, EUR

GNSF CC yield, EUR (left) GNSF CC yield nominal spread vs GER 5/10 blend (50%/50%) (right)

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2017

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis versus sovereign 

alternatives. This figure shows that G2SF and GNSF hedged with euros yield more than the average of the 

German 5/10 Bund blend by 59 and 61 basis points, respectively.

Yield(%) Yield(%)

Yield(%) Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. Note: Yields are in base currency of security and unhedged. 

Data as of September 2017.

As interest rates have risen, Ginnie Mae durations have extended by more than a year. Even so, US MBS yields 

are about the same or higher than most securities with the same or shorter durations. The only exception is the 

high yield index, where interest rate risk does not fully capture the volatility of the high yield asset class. 

Investors are unable to match the yield on Ginnie Mae securities, while preserving the full government 

guarantee, even if they extend their duration significantly.

Security Duration Yield

US 5y 4.8 1.70

US 10y 8.9 2.12

GNMA II 3% 6.2 2.66

GNMA II 3.5% 4.8 2.59

JPY 5y 4.8 -0.14

JPY 10y 9.8 0.00

GER 5y 5.1 -0.35

GER 10y 9.7 0.36

ITA 5y 4.4 0.71

ITA 10y 8.6 2.04

US credit 7.3 2.98

US credit >= A 7.6 2.83

US HY 3.8 5.61

Pan-Euro corp 5.8 0.99

Pan-Euro HY 3.4 2.5

US 5y

US 10y

G2 3.5% G2 3.0%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield per duration
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year 0.01 -0.14 0.19 0.00 0.72 0.64

3 year 0.18 0.17 0.34 0.22 0.49 0.44

5 year 0.14 0.11 0.29 0.33 0.53 0.62

10 year 0.34 0.31 0.48 0.38 0.68 0.76

Source: State Street

*Assumes 2% capitalization max per issuer

Average Excess Return (Per Month)

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year -0.05 -0.20 0.13 0.08 0.65 0.71

3 year 0.15 0.14 0.31 0.26 0.46 0.49

5 year 0.12 0.09 0.27 0.36 0.51 0.65

10 year 0.31 0.28 0.45 0.35 0.66 0.73

Source: State Street

*Assumes 2% capitalization max per issuer

Standard Deviation

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield* Pan EuroHigh Yield*

1 year 0.60 1.00 1.08 0.93 0.74 0.62

3 year 0.48 1.00 1.13 1.15 1.67 1.44

5 year 0.66 0.91 1.16 1.11 1.51 1.31

10 year 0.76 1.22 1.75 1.46 3.04 3.62

Source: State Street

*Assumes 2% capitalization max per issuer

Sharpe Ratio

Time Period US MBS 

Ginnie Mae US Treasury US Credit Corp Pan Euro Credit Corp US High Yield Pan EuroHigh Yield*

1 year -0.08 -0.20 0.12 0.08 0.88 1.14

3 year 0.31 0.14 0.28 0.23 0.28 0.34

5 year 0.18 0.10 0.24 0.33 0.34 0.50

10 year 0.41 0.23 0.26 0.24 0.22 0.20

*Assumes 2% capitalization max per issuer on high yield indices

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of September 2017

The average return on the Ginnie Mae index over the past decade has been in line with the US Treasury Index, but 

lower than many alternatives, including the US Investment-Grade Corporate and US and European High Yield 

Indices. However, the standard deviation of the Ginnie Mae index is the lowest of any sector, as it has the least 

price volatility. The result: the excess return per unit of risk for the mortgage market is the highest of any market 

over the past decade. 
State of the US Housing Market

6.8%

6.7%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Year-over-year growth rate

National Year-Over-Year HPI Growth

CoreLogic HPI year-over-year Zillow HPI year-over-year

Sources: CoreLogic, Zillow, and Urban Institute. Note:Data as of July 2017

1.01%

0.85%

3.78%

2.03%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

2Q054Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q162Q17

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

Sources: Fannie Mae, Freddie Mac, MBA Delinquency Survey and Urban Institute.

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q2 2017.

Serious Delinquency Rates: Single-Family Loans

Serious delinquencies for GSE single-family loans continued to decline. After the seasonal upswing in Q4 2016, 

both FHA and VA delinquencies resumed their decline to 3.78 and 2.03 percent in Q2 2017. GSE delinquencies 

remain higher relative to 2005-2007, while FHA and VA delinquencies (which are higher than their GSE 

counterparts) are at levels lower than 2005-2007. Home price changes turned positive in 2012, and continue to 

increase 6.7-6.8 percent per year, as measured by both CoreLogic and Zillow.
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: CoreLogic and Urban Institute. Note: HPI data as of July 2017. Negative sign indicates that state is above earlier peak. Peak refers to the month when HPI reached 

the highest level for each state/US during the housing boom period, ranging from 09/2005 to 09/2008. Trough represents the month when HPI fell to the lowest level for 

each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 07/2017, the latest HPI data period.

Nationally, the housing market has improved by 49.1 percent since the trough, and needs to increase by only 0.5 

percent to achieve peak valuation. However, the picture is very different for different states, with many states well 

in excess of the prior peak, while Nevada is 35.5 percent below peak levels and Florida is 22.8 percent below peak 

levels.

HPI Changes

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

National 93.7% -33.3% 49.1% 6.7% 0.5%

Alabama 46.3% -20.7% 22.5% 3.8% 3.0%

Alaska 68.8% -9.3% 19.7% 2.3% -7.8%

Arizona 121.5% -50.6% 66.0% 6.2% 21.9%

Arkansas 39.4% -7.7% 14.7% 3.2% -5.5%

California 149.0% -42.5% 73.2% 6.9% 0.4%

Colorado 40.4% -13.8% 64.2% 8.3% -29.4%

Connecticut 79.4% -24.9% 10.4% 1.3% 20.6%

Delaware 90.4% -23.9% 17.2% 1.5% 12.1%

District of Columbia 150.4% -10.5% 38.6% 4.7% -19.4%

Florida 149.2% -49.7% 61.8% 6.2% 22.8%

Georgia 40.3% -30.8% 51.5% 5.6% -4.6%

Hawaii 152.4% -20.5% 45.5% 6.4% -13.5%

Idaho 85.7% -41.0% 69.9% 9.0% -0.2%

Illinois 60.0% -32.7% 31.0% 3.6% 13.4%

Indiana 24.3% -16.4% 27.4% 4.8% -6.1%

Iowa 25.5% -4.8% 20.6% 4.0% -13.0%

Kansas 33.3% -13.9% 26.0% 4.0% -7.8%

Kentucky 26.9% -8.9% 21.1% 4.2% -9.3%

Louisiana 58.5% -7.6% 23.8% 4.9% -12.6%

Maine 92.6% -16.4% 34.1% 4.9% -10.8%

Maryland 137.7% -31.2% 20.8% 2.7% 20.3%

Massachusetts 81.8% -21.3% 38.9% 6.5% -8.6%

Michigan 26.1% -43.3% 73.9% 8.3% 1.5%

Minnesota 69.8% -28.3% 42.7% 6.1% -2.4%

Mississippi 35.4% -18.5% 21.0% 4.8% 1.4%

Missouri 46.2% -22.2% 30.4% 5.1% -1.4%

Montana 80.0% -16.6% 35.8% 3.9% -11.7%

Nebraska 25.2% -5.3% 26.6% 5.4% -16.6%

Nevada 129.0% -60.0% 84.4% 8.2% 35.5%

New Hampshire 82.6% -23.9% 30.4% 5.8% 0.9%

New Jersey 109.5% -26.4% 16.3% 2.1% 16.8%

New Mexico 64.4% -26.6% 20.3% 3.6% 13.2%

New York 102.2% -13.8% 31.7% 7.3% -11.9%

North Carolina 39.6% -14.6% 26.8% 5.1% -7.7%

North Dakota 49.6% -2.1% 49.7% 3.4% -31.8%

Ohio 22.1% -20.6% 30.2% 4.2% -3.2%

Oklahoma 35.7% -3.2% 15.5% 2.0% -10.6%

Oregon 87.5% -29.4% 67.3% 8.3% -15.4%

Pennsylvania 71.6% -12.8% 16.3% 2.9% -1.3%

Rhode Island 130.9% -34.5% 31.3% 6.6% 16.3%

South Carolina 61.4% -22.2% 31.6% 4.3% -2.4%

South Dakota 37.2% -3.5% 30.2% 2.5% -20.4%

Tennessee 41.1% -13.5% 35.7% 7.0% -14.9%

Texas 39.3% -13.1% 47.3% 5.7% -21.8%

Utah 64.8% -31.8% 62.9% 10.8% -10.0%

Vermont 81.6% -9.1% 14.4% 4.8% -3.9%

Virginia 135.2% -30.6% 30.4% 2.7% 10.5%

Washington 90.2% -28.2% 67.4% 12.9% -16.9%

West Virginia 82.5% -28.2% 19.9% -2.2% 16.1%

Wisconsin 48.6% -17.2% 26.9% 6.3% -4.8%

Wyoming 75.4% -14.8% 27.8% 0.4% -8.2%
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State Ginnie Mae Share Ginnie Mae Average

Loan Size (Thousands)

GSE Average Loan 

Size (Thousands)

Ginnie Mae 

Share

Ginnie Mae Average 

Loan Size (Thousands)

GSE Average Loan

Size (Thousands)

National 33.3% 210.8 229.0 32.9% 175.3 206.1

Alabama 45.5% 158.6 180.4 47.8% 140.4 167.3

Alaska 53.4% 279.4 243.4 52.5% 253.4 226.1

Arizona 36.5% 202.1 206.9 35.5% 172.6 188.3

Arkansas 43.3% 140.1 166.2 47.6% 121.2 151.5

California 26.9% 335.4 321.6 22.6% 279.1 289.3

Colorado 32.3% 265.6 257.7 31.3% 221.5 232.4

Connecticut 30.8% 214.0 228.4 30.1% 202.7 217.4

Delaware 39.8% 211.7 220.5 37.9% 196.8 206.4

District of Columbia 17.6% 400.9 359.0 18.1% 320.2 330.8

Florida 39.5% 202.0 199.6 37.2% 169.0 182.4

Georgia 41.4% 178.0 204.2 41.5% 152.0 184.1

Hawaii 38.8% 480.7 371.8 31.8% 409.8 342.1

Idaho 35.5% 185.0 190.6 36.0% 158.9 172.4

Illinois 24.7% 176.1 201.4 25.5% 153.8 182.3

Indiana 39.4% 138.1 156.0 40.4% 120.4 140.2

Iowa 24.8% 142.3 164.0 27.6% 123.6 147.2

Kansas 35.1% 150.7 174.0 37.8% 131.2 155.4

Kentucky 40.6% 146.4 166.3 40.8% 131.8 148.6

Louisiana 42.5% 168.1 189.5 44.4% 149.2 175.9

Maine 35.7% 180.3 195.0 33.3% 164.9 179.0

Maryland 44.4% 281.6 265.7 40.3% 249.6 245.5

Massachusetts 22.1% 279.6 276.7 19.9% 249.3 252.6

Michigan 26.1% 142.3 167.8 27.5% 121.7 149.8

Minnesota 25.4% 191.7 205.5 26.3% 167.6 188.2

Mississippi 49.8% 148.1 168.6 53.2% 130.4 156.5

Missouri 35.3% 148.6 172.7 37.2% 131.2 154.6

Montana 31.2% 207.0 209.0 32.4% 179.6 189.1

Nebraska 31.6% 157.6 168.8 36.6% 133.2 151.8

Nevada 43.1% 224.7 215.8 41.8% 191.7 194.2

New Hampshire 32.3% 224.9 219.3 30.8% 206.3 199.7

New Jersey 29.4% 248.6 265.8 28.6% 231.5 247.3

New Mexico 44.4% 175.4 184.8 44.6% 155.0 171.6

New York 26.6% 239.4 264.4 27.1% 202.6 240.5

North Carolina 34.9% 175.9 199.9 36.8% 153.0 182.8

North Dakota 27.6% 205.4 203.3 27.4% 177.3 183.3

Ohio 36.7% 138.7 156.6 38.6% 124.0 142.9

Oklahoma 46.5% 149.9 169.5 50.9% 129.8 155.6

Oregon 27.5% 239.5 246.6 26.3% 205.1 217.3

Pennsylvania 34.3% 166.4 193.0 34.5% 150.9 179.4

Rhode Island 37.2% 215.6 214.8 34.4% 197.8 201.2

South Carolina 40.4% 178.9 190.7 39.7% 155.9 175.8

South Dakota 36.0% 172.1 181.8 37.7% 152.7 162.8

Tennessee 41.9% 173.4 194.6 44.0% 147.5 175.7

Texas 35.7% 188.4 209.3 39.5% 149.6 188.5

Utah 31.7% 223.8 237.4 33.3% 196.8 214.5

Vermont 23.5% 194.2 192.9 20.0% 180.4 181.2

Virginia 45.4% 274.4 263.4 42.3% 240.6 242.7

Washington 31.7% 266.5 269.0 31.3% 227.4 239.0

West Virginia 48.0% 153.6 154.5 46.2% 137.6 146.0

Wisconsin 21.8% 162.5 175.3 22.1% 145.3 159.5

Wyoming 41.5% 208.7 208.6 42.2% 191.5 193.8

Sources: eMBS and Urban Institute. Note: Ginnie Mae share are based on loan balance as of July 2017.

Ginnie Mae loans constitute 32.9 percent of outstanding agency issuance by loan balance, 33.3 percent of the 

issuance over the past year. However, the Ginnie Mae share varies widely across states, with the share of 

outstandings (as measured by loan balance) as low as 18.1 percent in the District of Columbia and as high as 53.2 

percent in Mississippi. In general, the Ginnie Mae share is higher in states with lower home prices.
State of the US Housing Market

$10.4

$14.6

$25.1

0

5

10

15

20

25

30

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Q2

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

Sources: Federal Reserve Flow of Funds and Urban Institute. Data as of Q2 2017.

$0.5

$0.6

$6.2

$3.1

0

1

2

3

4

5

6

7

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Q2

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

Sources: Federal Reserve Flow of Funds, Inside Mortgage Finance, Fannie Mae, Freddie Mac, eMBS and Urban Institute.

Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. Data as of Q2 2017.

The Federal Reserve's Flow of Funds report has consistently indicated an increasing total value of the housing 

market driven by growing household equity since 2012, and 2017 Q2 was no different. While total debt and 

mortgages was stable at $10.4 trillion, household equity reached a new high of $14.7 trillion, bringing the total 

value of the housing market to $25.1 trillion, surpassing the pre-crisis peak of $23.9 trillion in 2006. Agency MBS 

make up 59.6 percent of the total mortgage market, private-label securities make up 4.7 percent, and 

unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 30.1 

percent. Second liens comprise the remaining 5.6 percent of the total.
State of the US Housing Market

As of August 2017, outstanding securities in the agency market totaled $6.27 trillion and were 44.0 percent Fannie 

Mae, 27.3 percent Freddie Mac, and 28.7 percent Ginnie Mae. Ginnie Mae now has more outstandings than 

Freddie Mac. Within the Ginnie Mae market, VA has been growing very rapidly--comprising 32.3 percent of total 

Ginnie Mae outstandings.

$2.8

$1.7

$1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Feb-01

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

Sources: eMBS and Urban Institute. Note: Data as of August 2017

$1.1

$0.6

$0.1

0

0

0

1

1

1

1

Feb-01

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of August 2017
State of the US Housing Market

$0.39

$0.21

$0.01

$0.23

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Q1-Q2

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2017.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

Q1-Q2

First Lien Origination Share

After a record high origination year in 2016 ($2.1 trillion), the first lien originations totaled $840 billion in the first 

half of 2017, down 6 percent from the same period last year, mostly due to the elevated interest rates. The share of 

portfolio originations was 28 percent, down slightly from 30 percent in 2016. The GSE share stayed at about 46 

percent. The FHA/VA share was slightly up: 25 percent for the first half of 2017 versus 24 percent in 2016. 

Origination of private-label securities was well under 1 percent in both periods.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2017. 

27.9%

0.7%

25.0%

46.4%
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total Agency

2000 $80.2 $18.8 $3.2 $102.2

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 YTD $175.1 $114.6 $13.3 $303.0

2017 YTD %Change YOY -2.1% -6.8% 6.7% -3.6%

2017 Ann. $262.7 $171.8 $20.0 $454.5

Agency Gross Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

2000 $202.8 $157.9 $360.6 $102.2 $462.8

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 YTD $352.3 $216.1 $568.4 $303.0 $871.5

2017 YTD %Change YOY 1.5% -6.2% -1.6% -3.6% -2.3%

2017 Ann. $528.5 $324.1 $852.6 $454.5 $1,307.2

Sources: eMBS and Urban Institute (top and bottom). 

Note : Dollar amounts are in billions. Annualized figure based on data from August 2017. “Other“ refers to loans insured by HUD’s Office of 

Public and Indian Housing and the Department of Agriculture’s Rural Development. All data is as of August 2017.

Agency gross issuance totaled $1,307.2 billion in the first eight months of 2017, a 2.3 percent decrease from the 

same period last year. Ginnie Mae gross issuance is down by 3.6 percent, while GSE gross issuance is down by 1.6 

percent. Within the Ginnie Mae market, FHA is down by 2.1 percent and VA origination is down by 6.8 percent. As 

a result of higher rates, origination for full year 2017 is expected to be down substantially compared to 2016.
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

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 YTD $39.7 $51.7 $3.3 $94.7

2017 YTD %Change YOY 16.3% 19.7% -33.1% 15.1%

2017 (Ann.) $59.56 $77.61 $4.93 $142.1

Agency Net Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

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 $57.5 $11.6 $69.1 $87.9 $157.0

2014 $0.5 $30.0 $30.5 $61.6 $92.1

2015 $10.2 $65.0 $75.1 $97.3 $172.5

2016 $68.6 $66.8 $135.5 $125.3 $260.8

2017 YTD $62.3 $39.1 $101.4 $94.7 $196.1

2017 YTD %Change YOY 119.6% 5.9% 55.3% 15.1% 32.9%

2017 Ann. $93.4 $58.6 $152.1 $142.1 $294.2

Sources: eMBS and Urban Institute (top and bottom) 

Note : Dollar amounts are in billions. Annualized figure based on data from August 2017. “Other“ refers to loans insured by HUD’s Office of Public and 

Indian Housing and the Department of Agriculture’s Rural Development. All data is as of August 2017.

Agency net issuance totaled $196.1 billion for the first eight months of 2017, up 44.3 percent over the same 

period last year. Ginnie Mae net issuance was $94.7 billion, comprising 48.3 percent of total agency net issuance. 

Note that Ginnie Mae net issuance is up 15.1 percent versus the same time last year. Ginnie Mae net issuance is 

comprised of 54.6 percent VA issuance, 41.9 percent FHA issuance and 3.5 percent other issuance.
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Sources: eMBS and Urban Institute

Note : Dollar amounts are in billions. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s 

Rural Development. All data is as of August 2017.

Agency gross issuance totaled 121.1 billion in August 2017, the fourth consecutive monthly gain for the GSEs and 

the fifth for Ginnie Mae. The steady growth in recent months is mainly driven by purchase mortgages, while the 

agency gross issuance is down compared to the same period last year, due to the elevated mortgage rates. Less 

dependent on refinances, Ginnie Mae share has increased from 29 percent to 35 percent in the first eight months 

of 2017. Despite the variability in gross issuance, Ginnie Mae net issuance is relatively constant; 12.7 billion per 

month through August in 2017, versus 10.3 billion per month in 2016.

Date

Gross Issuance Net Issuance

Fannie Mae Freddie Mac Ginnie Mae Fannie Mae Freddie Mac Ginnie Mae

Jan-14 $28.2 $20.0 $21.6 -$4.9 $0.5 $4.9

Feb-14 $27.9 $17.9 $20.1 -$0.2 $1.2 $5.2

Mar-14 $24.1 $14.7 $16.7 -$2.3 -$0.9 $1.9

Apr-14 $28.0 $18.7 $21.7 -$1.9 $1.2 $5.2

May-14 $27.7 $18.1 $23.9 -$3.7 $0.0 $4.9

Jun-14 $32.1 $20.7 $24.9 -$0.4 $1.8 $4.5

Jul-14 $36.3 $23.2 $27.4 $0.6 $2.6 $5.4

Aug-14 $34.2 $28.4 $30.0 -$2.7 $7.4 $7.9

Sep-14 $39.6 $25.9 $27.0 $4.8 $5.6 $5.2

Oct-14 $39.5 $25.8 $29.9 $4.3 $6.2 $8.4

Nov-14 $32.0 $23.1 $26.4 -$3.0 $2.7 $4.2

Dec-14 $43.3 $21.6 $26.7 $9.9 $1.8 $4.1

Jan-15 $36.8 $22.9 $27.5 -$1.2 $0.8 $2.5

Feb-15 $35.4 $29.9 $23.9 $1.5 $10.1 $2.9

Mar-15 $44.8 $26.0 $30.7 $3.1 $1.1 $0.6

Apr-15 $49.3 $33.8 $40.6 -$1.2 $3.8 $4.3

May-15 $42.4 $33.2 $39.4 -$2.9 $6.6 $5.8

Jun-15 $44.6 $34.4 $40.5 $0.8 $8.3 $9.1

Jul-15 $46.0 $39.2 $45.6 $1.0 $12.3 $13.3

Aug-15 $39.4 $27.6 $43.4 -$2.2 $3.1 $14.9

Sep-15 $45.3 $30.4 $39.4 $7.6 $7.9 $12.7

Oct-15 $41.5 $28.4 $39.2 $4.8 $6.4 $12.4

Nov-15 $28.8 $23.3 $35.8 -$8.1 $1.3 $10.6

Dec-15 $39.7 $22.8 $30.3 $7.1 $3.2 $8.2

Jan-16 $35.6 $22.5 $32.5 -$0.6 $1.0 $7.3

Feb-16 $32.4 $21.2 $30.5 $2.4 $3.1 $8.4

Mar-16 $39.7 $27.5 $32.9 $7.9 $8.2 $9.6

Apr-16 $43.8 $26.2 $40.1 $0.8 -$0.2 $8.8

May-16 $44.2 $29.9 $41.6 $2.4 $4.4 $11.4

Jun-16 $46.7 $30.1 $43.9 $2.7 $3.0 $11.9

Jul-16 $49.8 $35.3 $46.1 $2.3 $6.3 $10.8

Aug-16 $54.9 $37.9 $46.7 $10.4 $11.0 $13.8

Sep-16 $65.8 $44.0 $52.5 $8.7 $9.0 $12.5

Oct-16 $66.0 $35.9 $47.4 $11.8 $2.7 $9.3

Nov-16 $48.8 $40.2 $47.2 -$3.5 $7.9 $10.3

Dec-16 $72.7 $40.5 $46.8 $23.3 $10.4 $10.8

Jan-17 $55.6 $38.5 $42.6 $10.3 $10.7 $10.3

Feb-17 $37.6 $27.4 $33.1 $3.1 $6.5 $9.2

Mar-17 $39.5 $24.4 $31.3 $10.3 $6.2 $9.6

Apr-17 $39.3 $21.2 $36.4 $4.8 $0.4 $11.7

May-17 $40.3 $22.6 $36.4 $7.6 $2.7 $13.1

Jun-17 $45.7 $25.1 $39.9 $8.3 $2.4 $13.2

Jul-17 $45.3 $27.6 $40.6 $5.8 $3.5 $12.1

Aug-17 $49.1 $29.3 $42.8 $12.0 $6.7 $15.6

Monthly Agency Issuance
US Agency Market, Originations

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Mortgage Rate

Percent Refi

Percent Refi at Issuance

Freddie Mac (left) Fannie Mae (left) Ginnie Mae (left) Mortgage rate (right)

22%

37%

3%

0%

10%

20%

30%

40%

50%

60%

70%

Dec-13

Jan-14

Feb-14

Mar-14

Apr-14

May-14

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Apr-15

May-15

Jun-15

Jul-15

Aug-15

Sep-15

Oct-15

Nov-15

Dec-15

Jan-16

Feb-16

Mar-16

Apr-16

May-16

Jun-16

Jul-16

Aug-16

Sep-16

Oct-16

Nov-16

Dec-16

Jan-17

Feb-17

Mar-17

Apr-17

May-17

Jun-17

Jul-17

Aug-17

Percent Refi

Percent Refi at Issuance: Ginnie Mae Breakdown

FHA VA Other

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of August 2017.

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s 

Rural Development. Data as of August 2017.

The Ginnie Mae refi share stood at 25 percent in August 2017, below the 37 and 34 percent shares for Fannie Mae 

and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share at 37 percent in August 2017, 

followed by FHA’s 22 percent refi share. 
Credit Box

38.9%

41.9%

69.5%

52.3%

20%

30%

40%

50%

60%

70%

80%

Aug-13 Nov-13 Feb-14 May-14Aug-14 Nov-14 Feb-15 May-15Aug-15 Nov-15 Feb-16 May-16Aug-16 Nov-16 Feb-17 May-17Aug-17

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

Sources: eMBS and Urban Institute. Note: Data as of August 2017.

First time homebuyers are important to the Ginnie Mae market, comprising 70 percent of purchase originations, 

compared to Fannie and Freddie’s 42 percent and 39 percent share of the first-time homebuyer market. The 

bottom table shows that based on mortgages originated in August 2017, the average first-time homebuyer was 

more likely than an average repeat buyer to take out a smaller loan and have a lower credit score, a much higher 

LTV and a higher DTI, thus requiring a higher interest rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount 

($Thousands ) 236,376 261,519 224,967 250,882 202,621 249,467 214,999 253,477 

Credit Score 741.4 755.2 739.0 755.6 684.2 705.0 710.1 740.0

LTV (%) 86.9 79.7 87.1 78.2 96.9 95.5 92.3 83.9

DTI (%) 34.7 35.4 34.2 34.6 40.7 41.6 37.8 36.9

Loan Rate (%) 4.22 4.10 4.22 4.06 4.14 4.01 4.17 4.05

Sources: eMBS and Urban Institute. 

Note: In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the financed upfront mortgage insurance 

premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage insurance premium by 

subtracting 169 bps from this new issuer-reported LTV. Data as of August 2017.
Credit Box

75.6%

52.6%

80.7%

69.5%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Purchase Only Loans Breakdown by Source

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of August 2017. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and 

the Department of Agriculture’s Rural Development. In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the 

financed upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. 

Within the Ginnie Mae purchase market, 76 percent of FHA loans, 53 percent of VA loans and 81 percent of other 

loans represent financing for first time home buyers. The bottom table shows that based on mortgages originated 

in August 2017, the average first-time homebuyer was more likely than an average repeat buyer to take out a 

smaller loan and have a lower credit score, a higher LTV and slightly lower DTI, thus requiring a higher interest 

rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount

($ Thousands) 199,443 220,691 241,591 293,440 142,430 155,392 202,621 249,467 

Credit Score 676.6 682.9 701.5 730.0 696.9 700.9 684.2 705.0

LTV (%) 95.5 94.2 99.7 96.3 99.4 99.4 96.9 95.5

DTI (%) 42.1 43.1 39.5 40.6 34.8 35.3 40.7 41.6

Loan Rate (%) 4.20 4.13 3.98 3.86 4.06 4.11 4.14 4.01

Sources: eMBS and Urban Institute. Note: Data as of August 2017.
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2016.

FICO Score Distribution: Mortgage Owners vs All Consumers

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

300-500500-520520-540540-560560-580580-600600-620620-640640-660660-680680-700700-720720-740740-760760-780780-800800-820820-850

All Consumers Mortgage owners

All Consumers- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 502 524 583 676 772 813 822 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

308 569 613 680 751 801 818 824 839

Consumers who have a mortgage are concentrated at the high end of the general credit score spectrum. The top 

table shows that the median FICO score for all consumers (676) is lower than the 25th percentile of those with a 

mortgage (680).
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 341,034 646 682 731 776 798 726 

Fannie 124,283 683 718 758 787 802 749 

Freddie 79,553 688 720 759 787 802 751 

Ginnie 137,198 627 650 683 728 773 691 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 162,099 644 681 726 772 797 723 

Fannie 75,702 661 696 740 779 800 735 

Freddie 44,656 669 703 744 780 800 738 

Ginnie 41,741 614 645 681 724 769 685 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 503,133 645 681 729 775 797 725 

Fannie 199,985 673 709 752 785 801 744 

Freddie 124,209 681 713 754 785 801 746 

Ginnie 178,939 625 649 682 727 772 689 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 137,198 627 650 683 728 773 691 

FHA 85,217 623 644 672 708 747 678 

VA 39,548 636 666 714 768 795 715 

Other 12,433 642 661 693 733 768 698 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 41,741 614 645 681 724 769 685 

FHA 21,304 603 634 666 702 742 668 

VA 20,121 628 660 698 746 783 701 

Other 316 623 659 704 755 785 703 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 178,939 625 649 682 727 772 689 

FHA 106,521 620 643 671 707 746 676 

VA 59,669 633 664 708 761 792 710 

Other 12,749 642 661 693 734 769 698 

August 2017 Credit Box at a Glance

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development.Data as of August 2017.

In August 2017, the median Ginnie Mae FICO score was 682 versus 752 for Fannie and 754 for Freddie. Note that the 

FICO score for the 10th percentile was 625 for Ginnie Mae, versus 673 for Fannie and 681 for Freddie. Within the 

Ginnie Mae market, FHA loans have a median FICO score of 671, VA loans have a median FICO score of 708 and 

other loans have a median FICO score of 693.
August 2017 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 341,497 72.0 80.0 95.0 96.5 100.0 87.6 

Fannie 124,385 62.0 78.0 80.0 95.0 95.0 81.6 

Freddie 79,679 64.0 79.0 80.0 95.0 95.0 81.9 

Ginnie 137,433 92.8 96.5 96.5 100.0 102.0 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 165,598 45.0 60.0 75.0 83.0 94.3 71.6 

Fannie 75,705 42.0 56.0 70.0 79.0 80.0 65.9 

Freddie 44,846 42.0 57.0 70.0 80.0 80.0 66.6 

Ginnie 45,047 68.3 81.2 86.5 96.7 100.0 86.1 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 507,095 58.0 75.0 86.0 96.5 99.0 82.4 

Fannie 200,090 50.0 67.0 80.0 90.0 95.0 75.7 

Freddie 124,525 52.0 69.0 80.0 90.0 95.0 76.4 

Ginnie 182,480 83.1 93.9 96.5 100.0 101.0 93.9 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 137,433 92.8 96.5 96.5 100.0 102.0 96.4 

FHA 85,357 93.3 96.5 96.5 96.5 96.5 95.2 

VA 39,592 90.5 100.0 100.0 102.2 103.3 98.1 

Other 12,484 95.7 99.3 101.0 101.0 101.0 99.4 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 45,047 68.3 81.2 86.5 96.7 100.0 86.1 

FHA 22,040 67.4 79.9 86.5 88.6 96.8 83.0 

VA 22,678 69.4 82.6 92.8 100.0 102.2 89.0 

Other 329 77.8 87.3 97.6 100.8 101.9 92.8 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 182,480 83.1 93.9 96.5 100.0 101.0 93.9 

FHA 107,397 84.1 93.5 96.5 96.5 96.5 92.7 

VA 62,270 80.0 92.0 100.0 101.4 103.0 94.8 

Other 12,813 95.2 99.2 101.0 101.0 101.0 99.2 

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the financed 

upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Data as of August 2017.

In August 2017, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, and 80.0 percent for Fannie 

Mae and Freddie Mac. The 10th percentile was 83.1 percent for Ginnie Mae and 50-52 percent for the GSEs. Within 

the Ginnie Mae market, the median LTV was 96.5 for FHA, 100.0 for VA and 101.0 for other lending programs. 
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 341,096 24.0 30.7 38.0 44.0 49.0 37.1 

Fannie 124,380 22.0 28.0 36.0 42.0 45.0 34.3 

Freddie 79,619 22.0 29.0 36.0 42.0 45.0 35.0 

Ginnie 137,097 28.1 34.6 41.6 48.1 53.3 41.0 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 150,250 22.0 29.0 37.0 43.0 47.4 35.8 

Fannie 74,291 21.0 28.0 35.0 42.0 45.0 34.2 

Freddie 43,836 22.0 28.0 37.0 43.0 46.0 35.3 

Ginnie 32,123 25.6 32.9 41.1 47.9 52.9 40.0 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 491,346 23.0 30.0 38.0 44.0 48.7 36.7 

Fannie 198,671 21.0 28.0 35.0 42.0 45.0 34.3 

Freddie 123,455 22.0 29.0 36.0 43.0 46.0 35.1 

Ginnie 169,220 27.6 34.3 41.5 48.1 53.2 40.8 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 137,097 28.1 34.6 41.6 48.1 53.3 41.0 

FHA 85,356 29.6 36.3 43.2 49.3 53.9 42.3 

VA 39,400 26.3 33.2 40.6 47.3 52.7 40.0 

Other 12,341 25.4 30.5 35.9 40.1 42.9 34.9 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 32,123 25.6 32.9 41.1 47.9 52.9 40.0 

FHA 17,013 27.0 34.4 42.3 48.7 53.5 41.1 

VA 14,873 24.4 31.6 39.8 46.7 52.2 39.0 

Other 237 16.3 20.6 29.8 37.3 41.8 29.8 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 169,220 27.6 34.3 41.5 48.1 53.2 40.8 

FHA 102,369 29.2 36.0 43.1 49.2 53.8 42.1 

VA 54,273 25.8 32.8 40.4 47.1 52.6 39.8 

Other 12,578 25.1 30.4 35.8 40.0 42.9 34.8 

August 2017 Credit Box at a Glance

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. Data as of August 2017.

In August 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.5 percent, considerably higher than the 

35.0 and 36.0 percent median DTIs for Fannie Mae and Freddie Mac, respectively. The 90th percentile for Ginnie 

Mae was 53.2 percent, also much higher than the 45-46 percent DTIs for the GSEs. Fannie Mae has recently 

announced they will raise their DTI limit from 45.0 to 50.0. Within the Ginnie Mae market, the median FHA DTI 

ratio was 43.1 percent, versus 40.4 percent for VA and 35.8 percent for other lending programs. 
Credit Box: Historical

660

680

700

720

740

760

780

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

FICO Scores

FICO Scores for Purchase Loans 

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

660

680

700

720

740

760

780

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

752

754

682

729

660

680

700

720

740

760

780

Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17

FICO Scores

FICO Scores for All Loans

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

Sources: eMBS and Urban Institute. Note:Data as of August 2017 Sources: eMBS and Urban Institute. Note: Data as of August 2017

Sources: eMBS and Urban Institute. Note: Data as of August 2017

The median FICO score for all agency MBS originated in August now stands at 729, stable since last month. 

The figures clearly shows the median FICO score for Ginnie Mae borrowers has always been considerably 

lower than for GSE borrowers. The difference between Ginnie Mae and GSE borrowers is wider in purchase 

loans than in refi loans.
Credit Box: Historical

80.0

96.5

86.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17

Loan-to-Value Ratio

LTV Ratio for All Loans

Freddie Median LTV Fannie Median LTV Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

LTV Ratio for Refinance Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Loan-to-Value Ratio

LTV Ratio for Purchase Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

Median LTVs for Ginnie Mae loans have historically been at 96.5, much higher than the 75-80 average for 

the GSEs. Through time, refinances have LTVs about 10 points lower than their purchase counterparts. 

Sources: eMBS and Urban Institute. Note: In May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the 

financed upfront mortgage insurance premium. To make it consistent with the previously reported LTV, we removed the financed upfront mortgage 

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Sources and note apply to all three graphs. Data as of August 2017.
Credit Box: Historical

36.0

35.0

41.5

38.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17

Debt-to-Income Ratio

DTI Ratio for All Loans

Freddie Median DTI Fannie Median DTI Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

DTI Ratio for Refinance Loans 

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Debt-to-income Ratio

DTI Ratio for Purchase Loans

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

Sources: eMBS and Urban Institute. Note:Data as of August 2017

Sources: eMBS and Urban Institute. 

Note:Data as of August 2017

Sources: eMBS and Urban Institute. 

Note:Data as of August 2017

Median debt-to-income ratios on Ginnie Mae loans have historically been in the low 40s, considerably higher 

than the 35-36 percent DTIs for the GSEs. The DTIs for refinance loans have historically been much lower than 

for purchase loans, but the DTIs for refinance loans have been creeping up sharply since November 2016, and 

started to stabilize in recent months.
Ginnie Mae Non-bank Originators

Sources: eMBS and Urban Institute

Note:Data as of August 2017.

Sources: eMBS and Urban Institute

Note:Data as of August 2017.

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s Rural 

Development. Data as of August 2017.

The non-bank originator share of the Ginnie Mae was 76 percent in August 2017, a slight decrease from June. 

The non-bank share of VA issuance stood at 69 percent in August, while the non-bank share of FHA and Other 

issuance both stood at 80 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17

Non-bank originator share

Ginnie Mae Non-bank Originator Share: All Loans

All FHA VA Other

80%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-13

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Non-bank originator share

Ginnie Mae Non-bank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Ginnie Mae Non-bank Share: Refi

Loans

All FHA VA Other

76%

69%
All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 178,168 625 649 682 727 772 689

Bank 42,421 643 665 703 755 790 709

Non-Bank 135,747 621 645 677 718 762 683

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 105,967 620 643 671 707 746 676

Bank 21,143 642 660 687 724 762 694

Non-Bank 84,824 616 639 667 702 740 672

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 59,528 633 664 708 761 792 710

Bank 18,655 647 678 731 780 799 727

Non-Bank 40,873 628 658 700 750 786 703

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 12,673 642 661 694 734 769 698

Bank 2,623 642 668 715 757 783 710

Non-Bank 10,050 642 659 690 726 761 695

Ginnie Mae Non-bank Originators: 

August 2017 Credit Box

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. Data as of August 2017.

An analysis of recent origination suggests that non-bank originators have considerably lower median borrower FICO 

scores than do bank originators. Overall, the median Ginnie Mae FICO score is 682-- it is 703 for bank borrowers 

versus 677 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 687 versus 

667 for non-banks. For VA borrowers, the median FICO score for bank originators is 731 versus 700 for non-banks. 

For “Other” loans, the median FICO score for bank originators is 715 versus 690 for non-banks.
All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 181,708 83.1 93.9 96.5 100.0 101.0 93.9

Bank 42,932 85.0 94.8 96.5 100.0 102.0 94.8

Non-Bank 138,776 82.5 92.9 96.5 99.0 101.0 93.6

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 106,841 84.1 93.4 96.5 96.5 96.5 92.7

Bank 21,437 86.5 94.8 96.5 96.5 96.5 94.0

Non-Bank 85,404 83.0 91.6 96.5 96.5 96.5 92.4

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 62,130 80.0 92.0 100.0 101.4 103.0 94.8

Bank 18,829 80.0 93.0 100.0 100.0 102.6 94.9

Non-Bank 43,301 79.8 91.4 100.0 102.1 103.3 94.7

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 12,737 95.2 99.2 101.0 101.0 101.0 99.2

Bank 2,666 96.8 100.5 101.0 101.0 102.0 100.0

Non-Bank 10,071 94.8 99.1 101.0 101.0 101.0 99.0

Ginnie Mae Non-bank Originators: 

August 2017 Credit Box

An analysis of the loans backing Ginnie Mae origination indicates that there are virtually no differences in median 

LTV ratios between bank originated loans and non-bank originated loans. Mean LTVs for banks are actually 

marginally higher than their non-bank counterparts.

Sources: eMBS and Urban Institute. 

Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s Rural Development. In 

May 2017 Ginnie Mae began disclosing issuer-reported LTV for FHA loans, which includes the financed upfront mortgage insurance premium. To 

make it consistent with the previously reported LTV, we removed the financed upfront mortgage insurance premium by subtracting 169 bps from 

this new issuer-reported LTV. Data as of August 2017. 
All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 161,124 27.5 34.3 41.5 48.0 53.1 40.8 

Bank 39,869 26.1 33.0 40.5 46.6 52.0 39.6 

Non-Bank 121,255 28.0 34.7 41.9 48.4 53.4 41.1 

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 98,507 28.9 35.7 43.0 49.1 53.7 41.9 

Bank 20,739 28.2 35.1 42.1 47.8 52.9 41.0 

Non-Bank 77,768 29.1 36.0 43.3 49.3 53.9 42.2 

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 50,898 25.9 33.0 40.5 47.2 52.6 39.8 

Bank 16,763 24.1 31.3 39.1 45.9 51.4 38.5 

Non-Bank 34,135 26.8 33.8 41.1 47.8 53.1 40.5 

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 11,719 25.2 30.3 36.0 40.2 43.0 34.9 

Bank 2,367 25.0 30.0 35.7 40.3 43.4 34.8 

Non-Bank 9,352 25.4 30.4 36.0 40.2 42.9 34.9 

Ginnie Mae Non-bank Originators: 

August 2017 Credit Box

An analysis of the borrowers’ DTI ratios for bank versus non-bank originators indicates the former are very slightly 

more conservative. That is, the median DTI ratio for bank originators is 40.5, versus 41.9 for non-banks. 

Sources: eMBS and Urban Institute. Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of 

Agriculture’s Rural Development. Data as of August 2017.
670

680

690

700

710

720

730

740

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

FICO scores

Ginnie Mae VA FICO Scores: Bank 

vs. Nonbank

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

Ginnie Mae Nonbank Originators: 

Historical Credit Box

Sources: eMBS and Urban Institute

Note:Data as of August 2017

Sources: eMBS and Urban Institute

Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing 

and the Department of Agriculture’s Rural Development.

Data as of August 2017.

The FICO scores for Ginnie Mae bank originators increase relative to their non-bank counterparts in August. 

This brings the spread in the FICO scores between banks and non-banks to their widest level since the data 

became available in 2013.

660

665

670

675

680

685

690

695

700

705

710

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

660

665

670

675

680

685

690

695

700

705

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Ginnie Mae FHA FICO Scores: Bank 

vs. Nonbank

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

670

680

690

700

710

720

730

740

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Ginnie Mae Other FICO Scores: Bank 

vs. Nonbank

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

Sources: eMBS and Urban Institute Note:Data as of August 2017 Sources: eMBS and Urban Institute Note:Data as of August 2017
Prepayments

0%

5%

10%

15%

20%

25%

30%

Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

12%

13%

18%

0%

5%

10%

15%

20%

25%

30%

35%

Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

Freddie 2015 3.5 Coupon CPR Fannie 2015 3.5 Coupon CPR Ginnie II 2015 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

Prepayments on Ginnie Mae securities were lower than on GSE securities from 2011 through mid-2013, but have 

been higher since. These differences hold across all coupon buckets. The differences are especially pronounced on 

more recent production. These increased Ginnie speeds reflect the growing share of VA loans, which prepay at 

faster speeds than FHA loans. This also reflects the fact that FHA streamlined refinances apply to a wide range of 

borrowers and unlike GSE streamlined refinances, requires no credit report and no appraisal. Some of the upfront 

mortgage insurance premium can also be applied to the refinanced loan. Moreover, FHA permits refinancing of 

existing mortgages after 6 months, while the GSEs do not allow refinancing for a year. With the increase in interest 

rates since November 2016, the prepayment speeds for all agencies have slowed down considerably. In 2017, with 

the bulk of the mortgage universe finding it non-economic to refinance, the muted month to month variations in 

speeds reflect seasonality, changes in day count and changes in mortgage interest rates. 

15%

14%

11%

10%
Prepayments

9%

14%

0%

5%

10%

15%

20%

25%

Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17

Constant Prepayment Rate (%)

2013 Issued 3.0 Coupon CPR

Freddie 2013 3.0 Coupon CPR Fannie 2013 3.0 Coupon CPR Ginnie II 2013 3.0 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17

Constant Prepayment Rate (%)

2012 Issued 3.5 Coupon CPR

Freddie 2012 3.5 Coupon CPR Fannie 2012 3.5 Coupon CPR Ginnie II 2012 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

The 2013 Ginnie II 3.0s are prepaying faster than their conventional counterparts. 2012 Ginnie II 3.5s have been 

faster since mid-2013. The differences accelerated in 2015—potentially due to the FHA mortgage insurance 

premium (MIP) cut. In January 2015 FHA lowered its MIPs from 135 basis points per annum to 85 basis points 

per annum; this gives 2012 and 2013 FHA mortgages taken out with MIPs of 125-135 bps a 40-50 basis point 

rate incentive that conventional mortgages do not have. GSE guarantee fees have gone up over that same period, 

creating a disincentive for conventional loans. Moreover, recent originations are more heavily VA loans, which 

are more prepayment responsive than either FHA or Conventional loans. After a sharp mortgage rate rise in 

November, the prepayment speeds of Ginnie and Conventional loans both fell dramatically. In 2017, with the 

bulk of the mortgage universe finding it non-economic to refinance, the muted month to month variations in 

speeds reflect seasonality, changes in day count and changes in mortgage interest rates.

16%

11%
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17

Constant Prepayment Rate (%)

2011 Issued 4.5 Coupon CPR

Freddie 2011 4.5 Coupon CPR Fannie 2011 4.5 Coupon CPR Ginnie II 2011 4.5 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

35%

Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

Freddie 2011 4.0 Coupon CPR Fannie 2011 4.0 Coupon CPR Ginnie II 2011 4.0 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of September 2017

The 2011 Ginnie II 4.0s and 4.5s have been prepaying faster than their conventional counterparts since late 

2013. Faster VA mortgage prepays plus simplifications to the FHA streamlined programs in 2013 are likely 

contributors to the faster speeds. However, as mortgage rates rose sharply since November 2016, the speeds 

for all agencies have slowed down considerably. In 2017, with the bulk of the mortgage universe finding it noneconomic to refinance, the muted month to month variations in speeds reflect seasonality, changes in day 

count and changes in mortgage interest rates.

17%

14%

13% 

19%

16%

15%
Reverse Mortgage Volumes

$0.9

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

Sep-17

Jul-17

Mar-17

May-17

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

$ Billions

HMBS Issuance Volume

$55 

$0

$10

$20

$30

$40

$50

$60

Sep-17

Jul-17

Mar-17

May-17

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of September 2017

Sources: Ginnie Mae and Urban Institute. Note: Data as of September 2017

Ginnie Mae reverse mortgage volumes remain steady, with issuance of $0.9 billion in September. Outstanding 

securities totaled $55.0 billion in September.
Multifamily Market

$1.3

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Sep-17

Jul-17

Mar-17

May-17

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

$ Billions

Ginnie Mae Multifamily MBS Issuance

$105.8

$0

$20

$40

$60

$80

$100

$120

Sep-17

Jul-17

Mar-17

May-17

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of September 2017.

Sources: Ginnie Mae and Urban Institute. Note: Data as of September 2017

Ginnie Mae multifamily issuance volumes in September totaled $1.3 billion. Outstanding multifamily securities 

totaled $105.8 billion in September.
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of September 2017

$206 

$508 

$31 

$0

$100

$200

$300

$400

$500

$600

1996 1999 2002 2005 2008 2011 2014 2017

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.34%

3.64%

0.37%

0%

2%

4%

6%

8%

10%

12%

14%

1996 1999 2002 2005 2008 2011 2014 2017

$Billions

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume in 2017 has been slightly more robust than in the 2014-2015 period, and slightly 

less robust than 2016. Agency MBS turnover, however, has been lower in 2017 than in 2016; in the first nine 

months of 2017, daily MBS turnover was 3.34 percent versus 3.55 percent in 2016. Current turnover levels are 

on par with those in 2015. Note that average daily Treasury turnover is also down dramatically from its 2005 

peak. Corporate turnover is miniscule relative to either Agency MBS or Treasury turnover.

Sources: SIFMA and Urban Institute. Note: Data as of September 2017
Market Conditions

$219.9

150

200

250

300

350

400

450

500

550

600

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

$ Billions

Repo Volume: Securities In

$44

0

10

20

30

40

50

60

70

80

90

100

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of September 2017

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of September 2017

Dealer net positions in Agency MBS are now at the very lower end of the recent range, although gross 

positions may well be down more. The volume of repurchase activity is down sharply. This reflects banks 

cutting back on lower margin businesses. 
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2007Q2 2008Q2 2009Q2 2010Q2 2011Q2 2012Q2 2013Q2 2014Q2 2015Q2 2016 Q2 2017 Q2

GSEs

Commercial Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual 

Funds

Money Market and Pension Funds

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q2 2017.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + agency debt) include the Federal Reserve (20 percent), 

commercial banks (20 percent) and foreign investors (11 percent). The broker/dealer and GSE shares are a 

fraction of what they once were. 

% of Total Agency 

Debt by Owner
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q2 2017.

74.0%

50%

55%

60%

65%

70%

75%

2007Q2 2008Q2 2009Q2 2010Q2 2011Q2 2012Q2 2013Q2 2014Q2 2015Q2 2016 Q2 2017 Q2

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

Sources: Federal Reserve Bank and Urban Institute. Note: Data as of September 2017

As Fannie and Freddie reduce the size of their retained portfolio, less agency debt is required to fund that activity, 

hence the MBS share of total agency debt increases. For Q2 2017, the MBS share of total agency debt stood at 74.0 

percent. Commercial banks are the second largest holders of Agency MBS behind the Federal Reserve. Out of their 

$1.8 trillion in holdings as of the end of August 2017, $1.3 trillion of it was held by the top 25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Aug-16 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep 6 Sep 13 Sep 20 Sep 27

Largest Domestic 

Banks 1191.3 1230.4 1223.0 1240.2 1258.0 1272.9 1285.7 1288.7 1287.6 1284.8 1304.1 1306.0

Small Domestic 

Banks 439.1 459.1 461.9 464.2 467.7 469.6 473.9 477.4 481.4 482.7 481.6 481.9

Foreign Related 

Banks 13.4 13 13 13.1 12 12.5 12.5 12.6 12.3 11.8 11.8 11.6

Total, 

Seasonally

Adjusted 1643.8 1702.5 1697.9 1717.5 1737.7 1755 1772.1 1778.7 1781.3 1779.3 1797.5 1799.5
MBS Ownership

Debt,

household 

mortgages,

$9,833

Top Bank & Thrift Residential MBS Investors Total ($MM) GSE PT ($MM)

GNMA PT 

($MM)

Agency REMIC 

($MM)

Non-Agency 

($MM)

Market 

Share

1 Bank of America Corporation $316,509 $183,276 $118,810 $13,824 $599 17.60%

2 Wells Fargo & Company $219,976 $176,267 $31,535 $5,035 $7,139 12.20%

3 JP Morgan Chase & Co. $104,986 $72,022 $20,307 $560 $12,097 5.80%

4 U S. Bancorp. $78,648 $32,324 $10,531 $35,790 $2 4.40%

5 Charles Schwab Bank $68,270 $51,991 $1,645 $9,512 $5,122 3.80%

6 Citi Group Inc. $62,429 $37,310 $10,123 $14,996 $0 3.50%

7 Capital One Financial Corporation $52,738 $17,877 $10,896 $22,275 $1,691 2.90%

8 Bank of New York Mellon Corp. $51,855 $31,363 $1,996 $16,165 $2,331 2.90%

9 PNC Bank, National Association $42,799 $31,409 $4,760 $3,378 $3,252 2.40%

10 Branch Banking and Trust Company $35,468 $9,572 $3,516 $21,748 $632 2.00%

11 State Street Bank and Trust Company $30,324 $3,710 $6,628 $10,678 $9,308 1.70%

Morgan Stanley $24,627 $998 $1,267 $22,362 $0 1.40%

12 KeyBank National Association $24,581 $9,685 $7,110 $7,786 $0 1.40%

SunTrust Bank $22,592 $13,074 $3,818 $5,701 $0 1.30%

13 HSBC Bank USA, National Association $22,335 $12,089 $10,178 $0 $68 1.20%

16 E*TRADE Bank $20,826 $6,225 $7,026 $7,569 $6 1.20%

17 Regions Bank $18,641 $11,227 $5,278 $2,132 $4 1.00%

18 Fifth Third Bank $17,614 $5,408 $5,119 $6,589 $499 1.00%

19 MUFG Union Bank, National Association $16,177 $4,201 $3,830 $8,146 $0 1.00%

20 Santander Bank, N.A. $15,889 $3,999 $3,725 $8,166 $0 0.90%

Total Top 20 $1,247,283 $714,026 $268,096 $222,411 $42,748 69.60%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2017

Out of the $1.8 trillion in MBS holdings at banks and thrifts, $1.3 trillion is in agency pass-through form: $985.1 

billion in GSE pass-throughs and $335.5 billion in Ginnie Mae pass-throughs. There are another $417.9 billion in 

Agency CMOs. Non-agency holdings total $60.2 billion. Ginnie Mae pass-throughs have been the fastest growing 

sector in the past 2 years. Bank and thrift holdings of MBS are very concentrated, with the top 20 holders 

accounting for 70 percent of the total, and the top 5 holders accounting for 44 percent of the total.

All Banks & Thrifts ($Billions)

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

2000 $683.90 $392.85 $234.01 $84.26 $198.04 $21.57 $71.43 

2001 $810.50 $459.78 $270.59 $109.53 $236.91 $37.62 $76.18 

2002 $912.36 $557.43 $376.11 $101.46 $244.98 $20.08 $89.88 

2003 $982.08 $619.02 $461.72 $75.11 $236.81 $19.40 $106.86 

2004 $1,113.89 $724.61 $572.40 $49.33 $208.18 $20.55 $160.55 

2005 $1,139.68 $708.64 $566.81 $35.92 $190.70 $29.09 $211.25 

2006 $1,207.09 $742.28 $628.52 $31.13 $179.21 $42.32 $243.28 

2007 $1,236.00 $678.24 $559.75 $31.58 $174.27 $26.26 $357.24 

2008 $1,299.76 $820.12 $638.78 $100.36 $207.66 $12.93 $259.04 

2009 $1,345.74 $854.40 $629.19 $155.00 $271.17 $7.53 $212.64 

2010 $1,433.38 $847.13 $600.80 $163.13 $397.30 $7.34 $181.61 

2011 $1,566.88 $917.10 $627.37 $214.81 $478.82 $3.28 $167.70 

2012 $1,578.86 $953.76 $707.87 $242.54 $469.27 $17.16 $138.67 

2013 $1,506.60 $933.73 $705.97 $231.93 $432.60 $26.11 $114.15 

1Q14 $1,574.44 $1,029.68 $713.50 $232.44 $500.09 $27.08 $104.97 

2Q14 $1,526.12 $951.82 $717.27 $232.75 $445.17 $24.72 $104.41 

3Q14 $1,534.59 $951.99 $725.96 $226.03 $447.46 $21.89 $113.24 

4Q14 $1,539.32 $964.16 $733.71 $230.45 $449.90 $20.33 $104.94 

1Q15 $1,579.21 $1,012.26 $767.71 $244.55 $455.47 $17.70 $93.78 

2Q15 $1,583.22 $1,032.26 $784.22 $248.05 $445.91 $16.47 $88.57 

3Q15 $1,608.44 $1,064.67 $805.05 $259.62 $447.01 $13.60 $83.16 

4Q15 $1,643.56 $1,115.40 $823.10 $292.30 $445.39 $11.14 $71.63 

1Q16 $1,660.58 $1,133.29 $833.25 $300.04 $448.63 $10.27 $68.39 

2Q 16 $1,684.33 $1,169.67 $867.64 $302.03 $440.25 $9.11 $65.29 

3Q16 $1,732.36 $1,227.52 $924.81 $302.71 $435.77 $7.90 $61.17 

4Q16 $1,736.93 $1,254.13 $930.67 $323.46 $419.80 $7.40 $55.60

1Q17 $1,762.38 $1,280.63 $950.72 $329.91 $419.34 $7.03 $55.39 

2Q17 $1,798.66 $1,320.59 $985.12 $335.47 $417.89 $6.38 $53.79 

Bank and Thrift Residential MBS Holdings
MBS Ownership

$880.0

$387.8

$492.0

0

100

200

300

400

500

600

700

800

900

1,000

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

$ Billions

Monthly Agency MBS Holdings by Foreigners

Total Agency MBS Held by Foreigners Foreign Official Foreign Private

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of June 2017.

Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of Q2 2017.

13.8%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%

14.0%

14.5%

15.0%

Q1 2012Q2 2012Q3 2012Q4 2012Q1 2013Q2 2013Q3 2013Q4 2013Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016Q3 2016Q4 2016Q1 2017Q2 2017

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

Foreign investors hold 13.8 percent of agency MBS, up considerably from the lows in 2013. For the month of 

June, this represents $880.0 billion in agency MBS, $387.8 billion held by official institutions and $492.0 billion 

held by private investors. 
MBS Ownership

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

Sources :Treasury International Capital (TIC) and Urban Institute. 

Note: *calculated based on June 2016 report with amount asset backed per country. Revised to include Top 10 holders of MBS listed as of 

June 2016. Monthly data as of June 2017.

The single largest foreign holders of agency MBS are Taiwan, China and Japan; these three countries comprise 

around 70 percent of all foreign holdings. Since June of 2016, we estimate Taiwan and Japan have expanded their 

holdings while China has contracted. Our estimates indicate that Japan has been the single largest buyer of MBS 

between June 2016 and May 2017, adding $36 billion over the 1 year period. 

Level of Holdings ($Millions)*

Change in Holdings 

($Millions)*

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017

Taiwan 206,954 208,142 203,807 212,540 227,077 1,188 -4,335 8,734 14,536

China 186,993 185,881 178,556 183,103 178,934 -1,112 -7,325 4,547 -4,169

Japan 185,034 213,615 212,661 208,162 221,447 28,581 -954 -4,499 13,285

Ireland 37,695 39,142 38,405 38,910 38,381 1,447 -737 505 -530

South Korea 34,173 34,726 34,505 32,126 34,905 553 -221 -2,379 2,779

Luxembourg 27,187 28,094 31,198 25,455 25,821 907 3,104 -5,744 366

Bermuda 23,994 24,767 23,888 23,825 23,786 773 -879 -63 -39

Cayman Islands 22,815 22,918 22,851 22,847 22,855 103 -67 -3 8

Switzerland 11,717 16,446 11,596 12,873 14,380 4,729 -4,850 1,277 1,507

Netherlands 11,471 9,717 9,553 10,383 11,442 -1,754 -165 830 1,059

Rest of World 83,560 78,246 81,668 76,757 80,909 -5,314 3,422 -4,910 4,152

Total 831,593 861,694 848,688 846,981 879,935 30,101 -13,006 -1,707 32,954

Levelof Holdings ($Millions)* Change in Holdings ($Millions)*

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017

Taiwan 207,164 208,352 204,005 212,707 227,236 1,188 -4,347 8,702 14,529

China 195,933 191,743 184,151 187,664 183,396 -4,190 -7,592 3,513 -4,268

Japan 197,101 222,116 220,644 214,838 227,721 25,015 -1,472 -5,806 12,883

Ireland 47,635 48,307 47,065 46,178 45,353 672 -1,242 -887 -825

South Korea 50,323 50,072 49,000 44,349 46,577 -251 -1,072 -4,651 2,228

Luxembourg 32,164 32,549 35,352 29,014 29,229 385 2,803 -6,338 215

Bermuda 28,402 28,714 27,624 26,960 26,793 312 -1,090 -664 -167

Cayman Islands 31,076 30,686 30,186 29,014 28,763 -390 -500 -1,172 -251

Switzerland 16,240 20,638 15,626 16,244 17,591 4,398 -5,012 618 1,347

Netherlands 12,459 10,536 10,326 11,018 12,039 -1,923 -210 692 1,021

Rest of World 148,288 140,716 140,625 126,439 128,428 -7,572 -91 -14,186 1,989

Total 954,326 984,429 964,604 944,425 973,126 30,103 -19,825 -20,179 28,701
MBS Ownership

0

50

100

150

200

250

Feb-10

Apr-10

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

$ Billions

Fed Absorption of GSE MBS

Gross Issuance Total Fed Purchases

Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. Note: Data as of August 2017.

Sources: eMBS, Federal Reserve Bank of New York and Urban 

Institute. Note: Data as of August 2017.

Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. 

Note: Data as of August 2017.

0

10

20

30

40

50

60

70

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

In October 2014, the Fed ended its purchase program, but continued buying at a significantly reduced level, 

reinvesting funds from pay downs on mortgages and agency debt into the mortgage market. Since then, the Fed’s 

absorption of gross issuance has been between 20 and 30 percent; it was 22.5 percent for August 2017. During 

this month, the Fed has been buying Ginnie Mae securities and GSE securities at the same rate. Over the past 

year, the Fed has absorbed an average of 24.5 percent of GSE and Ginnie Mae issuance. In their September 2017 

meeting, the Fed announced the balance sheet reduction plan, which would reduce the size of both their 

mortgage and treasury portfolios, will begin in October. This is a slow wind down; initially, the Fed would continue 

to reinvest, but by less than their run off.
All the information contained in this document is as of date Indicated unless otherwise noted. The

information provided does not constitute investment advice and it should not be relied on as such. All

information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed.

The views expressed in this material are the views of Urban Institute and State Street Global Advisors as

of October 16, 2017 and are subject to change based on market and other conditions. This document

contains certain statements that may be deemed forward‐looking statements. Please note that any such

statements are not guarantees of any future performance and actual results or developments may differ

materially from those projected.   

© 2017 State Street Corporation. All Rights Reserved.