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 2
HIGHLIGHTS

Are we in another housing bubble?

US national nominal home prices regained their pre-crisis peak level in August this year (see page 12), 

leading many to wonder if we are in another housing bubble. Housing bubble typically is a result of house 

price growth that isn’t sustainable because it isn’t consistent with underlying fundamentals. After 

adjusting for inflation, real home prices have increased by 34 percent since 2012. Though significant, this 

increase is less than half the pace seen in the years leading up to the previous housing bubble between 

1997 and 2006, which saw home price growth outpace inflation by 87 percent. 

The more important question is whether the recent price appreciation is driven by fundamentals such as 

growth in household incomes. In 2012, a family earning the median income needed to devote 18 percent 

of that income towards their monthly payment to buy the median home with a typical mortgage. Today, 

this measure has increased to 22 percent due to increases in both home prices and mortgage rates. But it 

is still below the historical average of 24 percent, suggesting that nationwide home prices are tracking the 

broader economic expansion and are likely sustainable.

Although at national level, we are not likely in another housing bubble there are greater concerns in a few 

local regions. Cities like San Francisco and the bay area, Miami, Portland, Seattle and Los Angeles have 

experienced the fastest home price growth in recent years, and are also among the least affordable areas 

in the nation. Home financing in these high-priced areas rely more on the conventional market, e.g., 

Freddie Mac, Fannie Mae and jumbo mortgages, than on the government programs, e.g., FHA and VA. In 

other words, geographies that are currently at a higher risk of being in a housing bubble comprise a 

relatively smaller share of the Ginnie Mae market (Page 13).

Highlights this month:

• As the Federal Reserve began to wind down its portfolio in October, Treasury and Ginnie Mae MBS 

yields both increased slightly, while current coupon Ginnie Mae MBS spreads relative to Treasuries 

tightened by 4-5bp (Pages 5 and 6).

• The attractiveness of US MBS yields versus JGBs and German bunds marginally improved in October 

2017 due to slightly higher US yields and lower Bund yields (Pages 7-8).

• Nominal national home prices reached the pre-crisis peak level in August 2017 (Page 12).

• The refinance share edged up while agency gross issuance fell in September, a typical seasonal effect 

associated with lower purchase volumes attributable to the end of the heavy summer purchase activity 

(Pages 19 and 20).

3
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-- slightly 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

4
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

Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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

Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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

Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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 October 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of October 2017

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

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

highest in the developed world, along with Italy. The US 10-year Treasury note was at 2.33 percent in September, 

and has edged up to 2.38 percent this month. Interest rates for Italy, Germany, and the UK declined slightly to 

1.83, 0.36, and 1.33, respectively. Interest rates for Japan stayed stable at 0.07. If the Treasury notes are hedged 

into foreign currencies, 10-year US Treasury yields are 40 basis points (bps) above 10-year JGBs, and 17 below 

10-year Bunds. This month the positive hedged yield differential between 10-year Treasuries and JGBs increased 

by 4 bps while the negative hedged yield spread relative to 10-year Bunds decreased by 7 bps.

Yield(%)Yield(%)

5
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

Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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

Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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 October 2017

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

With the Fed beginning to shrink its investments in MBS and Treasuries in October 2017, nominal yield 

spreads on current coupon GNMA II and GNMA I securities tightened by 5 bps and 4 bps, respectively. Current 

coupon Ginnie Mae securities currently out yield their Treasury counterparts by approximately 63 bps 

(relative to the average of 5- and 10-year Treasury yields). 

Yield(%) Yield(%)

Yield(%)

Yield(%)

6
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

Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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 October 2017

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

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

sovereign alternatives. The figures show that current coupon GNMA MBS hedged into Japanese yen provide 

a yield advantage of 93 bps relative to blended yield of 5-year and 10-year JGBs.

-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

Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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(%)

7
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

Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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

Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Oct-13 Oct-14 Oct-15 Oct-16 Oct-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 October 2017

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

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

alternatives. The figures show that current coupon GNMA MBS hedged with euros provide a yield advantage of 

64 bps relative to the blended yield of 5-year and 10-year German bunds. 

Yield(%) Yield(%)

Yield(%) Yield(%)

8
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 October 2017.

US MBS yields are about the same or higher than most securities with the same or longer durations. The only 

security class with significantly higher yield is the US 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 4.7 2.02

US 10y 8.7 2.38

GNMA II 3% 6.4 2.82

GNMA II 3.5% 4.8 2.72

JPY 5y 4.9 -0.10

JPY 10y 9.8 0.06

GER 5y 4.9 -0.35

GER 10y 9.5 0.36

ITA 5y 4.6 0.61

ITA 10y 8.7 1.82

US credit 7.3 3.09

US credit >= A 7.5 2.94

US HY 3.8 5.43

Pan-Euro corp 5.8 0.95

Pan-Euro HY 3.5 2.2

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

9
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 0.02 -0.05 0.29 0.25 0.72 0.71

3 year 0.15 0.14 0.32 0.24 0.47 0.48

5 year 0.14 0.11 0.28 0.34 0.52 0.61

10 year 0.33 0.30 0.47 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 -0.12 0.22 0.33 0.65 0.78

3 year 0.12 0.11 0.30 0.29 0.44 0.53

5 year 0.12 0.09 0.26 0.37 0.50 0.64

10 year 0.31 0.28 0.45 0.35 0.66 0.74

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 0.96 1.04 0.73 0.75 0.64

3 year 0.46 1.00 1.13 1.15 1.67 1.44

5 year 0.65 0.91 1.15 1.11 1.51 1.30

10 year 0.76 1.22 1.74 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 -0.13 0.22 0.44 0.87 1.23

3 year 0.26 0.11 0.26 0.25 0.26 0.37

5 year 0.19 0.10 0.22 0.33 0.33 0.49

10 year 0.40 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 October 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, as measured by the Sharpe Ratio.

10
State of the US Housing Market

6.9%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

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

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 August 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 6.7-6.9 percent per year, as measured by both CoreLogic and Zillow.

11
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: CoreLogic and Urban Institute. Note: HPI data as of August 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 nominal home prices have improved by 49.9 percent since the trough, and have achieved peak 

valuation. However, the picture is very different for different states, with many states well in excess of the prior 

peak, while Nevada is 34.3 percent below peak levels and Florida is 21.9 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% 49.9% 6.9% 0.0%

Alabama 46.4% -20.7% 22.7% 3.4% 2.8%

Alaska 68.7% -9.4% 18.8% 1.6% -7.1%

Arizona 121.5% -50.6% 66.8% 6.1% 21.3%

Arkansas 39.6% -7.7% 15.3% 3.4% -6.0%

California 149.0% -42.5% 74.2% 7.1% -0.2%

Colorado 40.4% -13.8% 65.3% 8.6% -29.9%

Connecticut 79.5% -24.9% 10.6% 2.0% 20.4%

Delaware 90.3% -23.9% 18.0% 1.5% 11.3%

District of Columbia 150.6% -10.4% 38.3% 3.8% -19.3%

Florida 149.2% -49.7% 62.9% 6.2% 21.9%

Georgia 40.3% -30.8% 52.5% 6.2% -5.2%

Hawaii 152.6% -20.5% 45.7% 6.7% -13.7%

Idaho 85.7% -40.9% 70.5% 8.7% -0.7%

Illinois 60.0% -32.7% 31.7% 3.8% 12.8%

Indiana 24.3% -16.4% 27.9% 5.0% -6.5%

Iowa 25.5% -4.8% 21.4% 4.2% -13.5%

Kansas 33.2% -13.9% 26.7% 3.7% -8.3%

Kentucky 27.0% -8.9% 23.5% 5.9% -11.1%

Louisiana 58.5% -7.6% 24.1% 5.3% -12.8%

Maine 92.5% -19.6% 37.4% 8.6% -9.4%

Maryland 137.7% -31.2% 21.5% 3.1% 19.5%

Massachusetts 81.8% -21.3% 39.5% 6.6% -8.9%

Michigan 26.1% -43.3% 75.9% 8.7% 0.3%

Minnesota 69.7% -28.2% 43.5% 6.1% -2.9%

Mississippi 35.0% -18.6% 20.5% 4.6% 2.0%

Missouri 46.2% -22.2% 31.3% 5.6% -2.1%

Montana 80.3% -16.7% 38.1% 6.0% -13.1%

Nebraska 25.2% -5.3% 27.1% 5.4% -16.9%

Nevada 129.0% -59.9% 85.8% 8.5% 34.3%

New Hampshire 82.5% -23.9% 30.8% 5.5% 0.5%

New Jersey 109.6% -26.4% 17.3% 2.2% 15.8%

New Mexico 64.5% -26.6% 20.6% 3.3% 12.9%

New York 102.2% -13.8% 33.4% 7.9% -13.0%

North Carolina 39.6% -14.6% 27.7% 5.5% -8.3%

North Dakota 49.6% -2.1% 52.1% 5.5% -32.8%

Ohio 22.2% -20.5% 31.5% 5.0% -4.3%

Oklahoma 35.7% -3.2% 15.5% 1.9% -10.6%

Oregon 87.5% -29.3% 67.7% 8.6% -15.6%

Pennsylvania 71.6% -12.8% 16.8% 3.2% -1.8%

Rhode Island 130.9% -34.4% 32.0% 6.2% 15.5%

South Carolina 61.4% -22.2% 32.6% 5.4% -3.1%

South Dakota 37.2% -3.5% 32.7% 5.7% -21.9%

Tennessee 41.1% -13.4% 36.3% 7.1% -15.3%

Texas 39.3% -13.2% 47.7% 5.7% -22.0%

Utah 64.8% -31.8% 64.0% 11.2% -10.6%

Vermont 81.6% -9.1% 14.3% 4.7% -3.7%

Virginia 135.1% -30.6% 30.5% 3.0% 10.5%

Washington 90.2% -28.1% 68.3% 13.0% -17.3%

West Virginia 83.1% -27.1% 21.7% -1.7% 12.7%

Wisconsin 48.6% -17.2% 27.5% 6.1% -5.3%

Wyoming 75.5% -14.5% 28.5% 1.7% -9.0%

12
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 33.4% 211.0 228.4 32.9% 175.9 206.6

Alabama 45.7% 158.7 180.0 47.8% 140.7 167.6

Alaska 53.5% 279.6 243.1 52.5% 254.1 226.7

Arizona 36.3% 202.7 207.1 35.5% 173.3 188.8

Arkansas 43.5% 140.3 165.6 47.5% 121.5 151.8

California 27.2% 335.7 320.8 22.7% 280.2 289.7

Colorado 32.5% 266.9 258.4 31.3% 222.9 233.3

Connecticut 31.2% 214.5 228.7 30.1% 202.9 217.6

Delaware 39.7% 211.8 220.0 37.9% 197.1 206.6

District of Columbia 17.8% 403.6 358.4 18.0% 321.7 331.4

Florida 39.5% 202.7 199.9 37.2% 169.9 182.9

Georgia 41.4% 178.4 203.8 41.5% 152.6 184.6

Hawaii 38.9% 479.5 371.4 31.9% 411.2 342.6

Idaho 35.7% 186.0 190.6 36.0% 159.7 172.9

Illinois 25.0% 176.3 200.7 25.5% 154.2 182.5

Indiana 39.4% 138.2 155.6 40.3% 120.7 140.5

Iowa 25.0% 142.5 163.6 27.5% 123.9 147.6

Kansas 35.4% 150.9 174.2 37.7% 131.5 155.8

Kentucky 40.7% 146.5 165.8 40.8% 132.2 149.0

Louisiana 42.9% 168.2 189.4 44.4% 149.5 176.2

Maine 35.6% 180.3 195.7 33.3% 165.2 179.5

Maryland 44.4% 281.4 264.9 40.3% 250.2 245.8

Massachusetts 22.2% 281.3 277.1 20.0% 250.3 253.2

Michigan 26.2% 142.8 167.6 27.4% 122.1 150.2

Minnesota 25.5% 192.1 205.2 26.3% 168.1 188.7

Mississippi 50.2% 148.9 168.1 53.2% 130.8 156.8

Missouri 35.5% 148.9 172.1 37.2% 131.5 154.9

Montana 31.5% 207.9 209.0 32.4% 180.3 189.6

Nebraska 31.7% 158.0 168.0 36.4% 133.6 152.1

Nevada 42.7% 226.0 216.5 41.7% 192.5 194.9

New Hampshire 32.4% 225.3 219.9 30.7% 206.9 200.4

New Jersey 29.4% 248.4 265.1 28.6% 231.7 247.6

New Mexico 44.5% 175.7 184.5 44.6% 155.3 171.8

New York 26.6% 240.2 265.0 27.0% 203.0 241.0

North Carolina 35.0% 176.2 199.6 36.7% 153.4 183.2

North Dakota 27.8% 206.1 202.7 27.4% 177.9 183.6

Ohio 36.8% 138.9 156.5 38.5% 124.3 143.2

Oklahoma 46.7% 150.0 168.8 50.8% 130.1 155.9

Oregon 27.6% 241.0 247.1 26.3% 206.0 218.1

Pennsylvania 34.1% 166.8 192.8 34.5% 151.2 179.8

Rhode Island 36.9% 217.9 214.7 34.4% 198.3 201.7

South Carolina 40.5% 179.2 190.6 39.7% 156.4 176.2

South Dakota 36.4% 172.7 180.8 37.6% 153.1 163.2

Tennessee 41.8% 174.1 194.4 43.9% 148.1 176.2

Texas 35.7% 188.9 209.3 39.4% 150.3 189.1

Utah 31.6% 224.8 237.5 33.1% 197.6 215.3

Vermont 23.3% 194.2 193.0 20.1% 180.7 181.5

Virginia 45.4% 274.2 262.6 42.3% 241.3 243.1

Washington 31.8% 267.6 269.3 31.2% 228.4 239.8

West Virginia 48.3% 153.5 154.0 46.3% 137.8 146.1

Wisconsin 22.0% 162.7 175.0 22.1% 145.6 159.9

Wyoming 41.8% 209.7 207.5 42.2% 191.9 193.9

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

Ginnie Mae loans constitute 32.9 percent of outstanding agency issuance by loan balance, 33.4 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 18.0 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.

13
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.

14
State of the US Housing Market

As of September 2017, outstanding securities in the agency market totaled $6.29 trillion and were 43.9 percent 

Fannie Mae, 27.3 percent Freddie Mac, and 28.8 percent Ginnie Mae. Ginnie Mae now has more outstandings than 

Freddie Mac. Within the Ginnie Mae market, VA has been growing very rapidly--comprising 32.5 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

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

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

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

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

$1.1

$0.6

$0.1

0

0

0

1

1

1

1

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

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

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of September 2017

15
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) since the great recession, 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%

16
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 $196.9 $131.1 $15.2 $343.3

2017 YTD %Change YOY -4.7% -9.9% 4.8% -6.4%

2017 Ann. $262.5 $174.9 $20.3 $457.7

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 $399.7 $244.0 $643.7 $343.3 $986.9

2017 YTD %Change YOY -3.2% -11.1% -6.4% -6.4% -6.4%

2017 Ann. $532.9 $325.3 $858.2 $457.7 $1,315.9

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 September 2017.

Agency gross issuance totaled $1,315.9 billion in the first three quarters of 2017, a 6.4 percent decrease from the 

same period last year. Ginnie Mae and GSE gross issuance were both down by 6.4 percent. Within the Ginnie Mae 

market, FHA is down by 4.7 percent and VA origination is down by 9.9 percent. As a result of higher rates, 

origination for full year 2017 is expected to be down substantially compared to 2016.

17
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 $42.2 $59.6 $3.7 $105.5

2017 YTD %Change YOY 11.1% 16.2% -32.6% 11.3%

2017 (Ann.) $56.3 $79.5 $4.9 $140.7

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 $69.7 $42.9 $120.7 $105.5 $218.1

2017 YTD %Change YOY 87.9% -6.5% 45.5% 11.3% 22.7%

2017 Ann. $92.9 $57.2 $144.9 $140.7 $290.8

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 September 2017.

Agency net issuance totaled $218.1 billion for the first three quarters of 2017, up 22.7 percent over the same 

period last year. This increase is partly driven by slow prepayment with higher interest rates. Ginnie Mae net 

issuance was $105.5 billion, comprising 48.4 percent of total agency net issuance. Note that Ginnie Mae net 

issuance is up 11.3 percent versus the same time last year. Ginnie Mae net issuance is comprised of 56.5 percent 

VA issuance, 40.0 percent FHA issuance and 3.5 percent other issuance.

18
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 September 2017.

Agency gross issuance totaled 115.5 billion in September 2017, down slightly from 121.1 billion of issuance in 

August 2017, after growing for five consecutive months. The monthly agency gross issuance is down year-overyear since March 2017, due to the elevated mortgage rates. Less dependent on refinances, Ginnie Mae share has 

increased from 29 percent to 35 percent in the first nine months of 2017. Despite the variability in gross issuance, 

Ginnie Mae net issuance is relatively constant; 11.7 billion per month through September in 2017, versus 10.4 

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

Sep-17 $47.3 $27.9 $40.2 $7.4 $3.8 $10.5

Monthly Agency Issuance

19
US Agency Market, Originations

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

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

Mortgage Rate

Percent Refi

Percent Refi at Issuance

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

25%

40%

3%

0%

10%

20%

30%

40%

50%

60%

70%

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

Mar-17

May-17

Jul-17

Sep-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 September 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 September 2017.

The Ginnie Mae refi share stood at 28 percent in September 2017, below the 36 and 40 percent shares for Fannie 

Mae and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share at 40 percent in September 

2017, followed by FHA’s 25 percent refi share. 

20
Credit Box

37.5%

41.8%

69.5%

51.9%

20%

30%

40%

50%

60%

70%

80%

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 Sep-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 September 2017.

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

compared to Fannie and Freddie’s respective 42 percent and 38 percent share of the first-time homebuyer 

market. The bottom table shows that based on mortgages originated in September 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 ) 223,566 252,826 230,555 253,156 202,454 248,858 213,454 251,722 

Credit Score 738.5 755.2 741.2 755.3 683.1 703.7 709.3 739.6

LTV (%) 87.2 78.6 86.7 79.6 96.8 95.4 92.3 84.0

DTI (%) 34.6 34.9 34.6 35.1 40.9 41.6 38.0 37.0

Loan Rate (%) 4.22 4.06 4.18 4.07 4.18 4.04 4.19 4.06

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 September 2017.

21
Credit Box

75.8%

52.5%

80.2%

69.5%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

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 Sep-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 September 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 80 percent of other 

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

in September 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) 199,816 221,216 240,929 291,963 142,529 158,883 202,454 248,858 

Credit Score 675.8 681.5 699.8 728.7 695.3 700.1 683.1 703.7

LTV (%) 95.5 94.0 99.8 96.4 99.3 99.3 96.8 95.4

DTI (%) 42.2 43.1 39.8 40.8 34.9 35.4 40.9 41.6

Loan Rate (%) 4.24 4.16 4.01 3.88 4.10 4.12 4.18 4.04

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

22
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).

23
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 314,314 645 681 731 776 797 726 

Fannie 114,058 684 717 757 787 802 749 

Freddie 74,666 688 721 759 788 802 751 

Ginnie 125,590 626 649 682 726 771 689 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 170,050 643 681 726 771 796 722 

Fannie 78,321 663 700 742 779 800 736 

Freddie 47,162 668 702 743 779 799 737 

Ginnie 44,567 612 643 679 723 767 683 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 484,364 645 681 729 774 797 725 

Fannie 192,379 675 709 752 784 801 744 

Freddie 121,828 680 713 753 785 801 746 

Ginnie 170,157 623 648 681 725 770 688 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 125,590 626 649 682 726 771 689 

FHA 77,942 622 644 671 707 745 677 

VA 35,844 634 665 713 765 794 714 

Other 11,804 641 660 692 731 766 696 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 44,567 612 643 679 723 767 683 

FHA 23,225 601 633 665 701 741 667 

VA 20,958 627 658 698 745 782 700 

Other 384 610 651 687 731 772 688 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 170,157 623 648 681 725 770 688 

FHA 101,167 619 642 670 706 744 675 

VA 56,802 632 662 706 758 791 708 

Other 12,188 640 660 692 731 766 696 

September 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 September 2017.

In September 2017, the median Ginnie Mae FICO score was 681 versus 752 for Fannie and 753 for Freddie. Note that 

the FICO score for the 10th percentile was 623 for Ginnie Mae, versus 675 for Fannie and 680 for Freddie. Within the 

Ginnie Mae market, FHA loans have a median FICO score of 670, VA loans have a median FICO score of 706 and 

other loans have a median FICO score of 692.

24
September 2017 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 314,629 72.0 80.0 95.0 96.5 100.0 87.6 

Fannie 113,979 62.0 79.0 80.0 95.0 97.0 81.9 

Freddie 74,759 63.0 79.0 80.0 95.0 95.0 81.6 

Ginnie 125,891 92.7 96.5 96.5 100.0 101.6 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 172,788 46.0 61.0 75.0 83.0 94.0 71.5 

Fannie 78,327 42.0 56.0 70.0 79.0 80.0 66.0 

Freddie 47,216 42.0 57.0 70.0 79.0 80.0 66.3 

Ginnie 47,245 68.1 81.2 86.5 96.5 100.0 85.9 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 487,417 57.0 75.0 85.0 96.5 98.8 81.9 

Fannie 192,306 50.0 67.0 80.0 90.0 95.0 75.4 

Freddie 121,975 51.0 68.0 80.0 90.0 95.0 75.7 

Ginnie 173,136 82.4 92.5 96.5 100.0 101.0 93.5 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 125,891 92.7 96.5 96.5 100.0 101.6 96.4 

FHA 78,117 92.9 96.5 96.5 96.5 96.5 95.1 

VA 35,914 91.1 100.0 100.0 102.2 103.3 98.2 

Other 11,860 95.4 99.2 101.0 101.0 101.0 99.3 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 47,245 68.1 81.2 86.5 96.5 100.0 85.9 

FHA 23,600 66.8 79.7 86.5 87.0 96.4 82.6 

VA 23,260 69.7 83.2 93.0 100.0 102.1 89.2 

Other 385 77.0 89.1 97.7 101.1 102.1 93.1 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 173,136 82.4 92.5 96.5 100.0 101.0 93.5 

FHA 101,717 82.9 90.7 96.5 96.5 96.5 92.2 

VA 59,174 79.9 91.8 100.0 100.5 103.0 94.7 

Other 12,245 94.9 99.1 101.0 101.0 101.0 99.1 

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 September 2017.

In September 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 82.4 percent for Ginnie Mae and 50-51 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 programs. 

25
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 314,375 24.0 30.9 38.0 44.0 49.0 37.2 

Fannie 114,161 22.0 28.0 36.0 42.0 45.0 34.6 

Freddie 74,710 22.0 28.0 36.0 42.0 46.0 34.8 

Ginnie 125,504 28.2 34.8 41.7 48.1 53.3 41.1 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 157,893 22.0 29.0 37.0 43.0 48.0 35.9 

Fannie 77,018 21.0 28.0 36.0 42.0 45.0 34.4 

Freddie 46,164 22.0 28.0 37.0 43.0 46.0 35.2 

Ginnie 34,711 25.8 33.2 41.2 48.0 53.0 40.2 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 472,268 23.0 30.0 38.0 44.0 48.9 36.8 

Fannie 191,179 22.0 28.0 36.0 42.0 45.0 34.5 

Freddie 120,874 22.0 28.0 36.0 43.0 46.0 34.9 

Ginnie 160,215 27.7 34.5 41.6 48.1 53.3 40.9 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 125,504 28.2 34.8 41.7 48.1 53.3 41.1 

FHA 78,099 29.8 36.4 43.4 49.3 54.0 42.4 

VA 35,710 26.6 33.6 40.8 47.4 52.9 40.3 

Other 11,695 25.6 30.6 35.9 40.1 43.1 35.0 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 34,711 25.8 33.2 41.2 48.0 53.0 40.2 

FHA 18,567 27.0 34.3 42.3 48.7 53.4 41.0 

VA 15,842 25.0 32.1 40.1 47.1 52.5 39.3 

Other 302 16.2 22.5 31.7 38.9 44.9 31.2 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 160,215 27.7 34.5 41.6 48.1 53.3 40.9 

FHA 96,666 29.2 36.0 43.2 49.2 53.9 42.1 

VA 51,552 26.0 33.1 40.6 47.3 52.8 40.0 

Other 11,997 25.3 30.5 35.8 40.1 43.1 34.9 

September 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 September 2017.

In September 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.6 percent, considerably higher than 

the 36.0 percent median DTIs for Fannie Mae and Freddie Mac. The 90th percentile for Ginnie Mae was 53.3 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 43.2 percent, versus 40.6 

percent for VA and 35.8 percent for other lending programs. 

26
Credit Box: Historical

660

680

700

720

740

760

780

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

Mar-17

May-17

Jul-17

Sep-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

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

Mar-17

May-17

Jul-17

Sep-17

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

752

753

681

729

660

680

700

720

740

760

780

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 Sep-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 September 2017 Sources: eMBS and Urban Institute. Note: Data as of September 2017

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

The median FICO score for all agency MBS originated in September 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.

27
Credit Box: Historical

80.0

96.5

85.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

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 Sep-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

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

Sep-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

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

Sep-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 percent, much higher than the 75-80 

percent 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 September 

2017.

28
Credit Box: Historical

36.0

41.6

38.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

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 Sep-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

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

Sep-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

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

Sep-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 September 2017

Sources: eMBS and Urban Institute. 

Note:Data as of September 2017

Sources: eMBS and Urban Institute. 

Note:Data as of September 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.

29
Ginnie Mae Non-bank Originators

Sources: eMBS and Urban Institute

Note:Data as of September 2017.

Sources: eMBS and Urban Institute

Note:Data as of September 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 September 2017.

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

June. The non-bank share of VA issuance stood at 70 percent in September, while the non-bank share of FHA 

issuance was 80 percent and Other issuance was 81 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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 Sep-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

Sep-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%

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

Sep-17

Ginnie Mae Non-bank Share: Refi

Loans

All FHA VA Other

76%

70%

30
All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 169,220 623 648 681 725 770 688

Bank 39,180 643 665 702 752 788 707

Non-Bank 130,040 621 643 676 717 761 682

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 100,476 619 642 670 706 744 675

Bank 19,910 641 659 685 722 760 692

Non-Bank 80,566 614 637 666 701 739 671

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 56,622 632 662 706 758 791 708

Bank 16,844 646 678 729 777 798 726

Non-Bank 39,778 627 656 698 748 784 701

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 12,122 640 660 692 731 766 696

Bank 2,426 640 666 711 756 783 707

Non-Bank 9,696 640 658 688 725 758 693

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 September 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 681-- it is 702 for bank borrowers 

versus 676 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 685 versus 

666 for non-banks. For VA borrowers, the median FICO score for bank originators is 729 versus 698 for non-banks. 

For “Other” loans, the median FICO score for bank originators is 711 versus 688 for non-banks.

31
All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 172,200 82.3 92.5 96.5 100.0 101.0 93.5

Bank 39,531 85.0 94.8 96.5 100.0 102.0 94.6

Non-Bank 132,669 81.6 91.2 96.5 99.0 101.0 93.2

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 101,027 82.9 90.5 96.5 96.5 96.5 92.2

Bank 20,087 86.5 94.8 96.5 96.5 97.3 93.8

Non-Bank 80,940 81.5 89.6 96.5 96.5 96.5 91.8

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 58,995 79.9 91.8 100.0 100.5 103.0 94.7

Bank 16,984 80.0 92.3 100.0 100.0 103.0 94.8

Non-Bank 42,011 79.5 91.5 100.0 101.5 103.1 94.6

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 12,178 94.9 99.1 101.0 101.0 101.0 99.1

Bank 2,460 96.9 100.1 101.0 101.0 102.0 100.0

Non-Bank 9,718 94.6 98.8 100.9 101.0 101.0 98.9

Ginnie Mae Non-bank Originators: 

September 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 September 2017. 

32
All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 159,278 27.7 34.5 41.6 48.1 53.3 40.9 

Bank 37,860 26.3 33.3 40.5 46.7 52.2 39.7 

Non-Bank 121,418 28.1 34.9 42.0 48.5 53.5 41.3 

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 95,975 29.2 36.1 43.2 49.2 53.9 42.1 

Bank 19,277 28.8 35.5 42.3 47.8 53.1 41.3 

Non-Bank 76,698 29.3 36.2 43.5 49.5 54.0 42.4 

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 51,373 26.0 33.1 40.6 47.3 52.8 40.0 

Bank 16,272 24.3 31.3 39.2 45.9 51.7 38.6 

Non-Bank 35,101 27.0 34.0 41.2 47.9 53.1 40.6 

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 11,930 25.3 30.5 35.8 40.1 43.1 34.9 

Bank 2,311 24.6 29.8 35.4 40.0 43.2 34.6 

Non-Bank 9,619 25.5 30.6 36.0 40.2 43.1 35.0 

Ginnie Mae Non-bank Originators: 

September 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 42.0 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 September 2017.

33
670

680

690

700

710

720

730

740

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

Sep-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 September 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 September 2017.

The FICO scores for both Ginnie Mae bank and nonbank originators decreased slightly in September. The 

spread in the FICO scores between banks and non-banks remains at their widest level since the data became 

available in 2013.

660

665

670

675

680

685

690

695

700

705

710

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

Sep-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

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

Sep-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

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

Sep-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 September 2017 Sources: eMBS and Urban Institute Note:Data as of September 2017

34
Prepayments

0%

5%

10%

15%

20%

25%

30%

Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

14%

19%

0%

5%

10%

15%

20%

25%

30%

35%

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 Oct-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 October 2017

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

16%

15%

12%

11%

35

19%

14%

19%

14%
Prepayments

9%

14%

0%

5%

10%

15%

20%

25%

Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 Sep-15 Feb-16 Jul-16 Dec-16 May-17 Oct-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%

Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-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 October 2017

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

17%

12%

36
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-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%

Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-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 October 2017

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

19%

14%

19%

17%

16%

37
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.

38
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.

39
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of October 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)

3.36%

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 ten 

months of 2017, daily MBS turnover was 3.36 percent versus 3.76 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 October 2017

40
Market Conditions

$208.5

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

$37

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 October 2017

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

41
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 notes and bonds) 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

42
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 October 2017

As Fannie and Freddie reduce the size of their retained portfolio, fewer agency notes and bonds are 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 September 2017, $1.3 trillion of it was held by the top 

25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Sep-16 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct 4 Oct 11 Oct 18 Oct 25

Largest Domestic 

Banks 1205.3 1233 1240.2 1258 1272.9 1285.7 1288.7 1296.9 1305.6 1307.3 1304.5 1309.7

Small Domestic 

Banks 440.5 461.9 464.2 467.7 469.6 473.9 477.5 482 481.7 481.6 483.3 484.2

Foreign Related 

Banks 13.7 13 13.1 12 12.5 12.5 12.6 11.8 11.7 11.7 11.9 12.1

Total, 

Seasonally

Adjusted 1659.5 1707.9 1717.5 1737.7 1755 1772.1 1778.8 1790.7 1799 1800.6 1799.7 1806

43
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 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

44
MBS Ownership

$895.7

$388.8

$506.9

0

100

200

300

400

500

600

700

800

900

1,000

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

Mar-17

May-17

Jul-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 July 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 from the lows in 2013. For the month of July, this 

represents $895.7 billion in agency MBS, $388.8 billion held by foreign official institutions and $506.9 billion 

held by foreign private investors. 

45
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 July 2017.

The 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 

September 2016 and July 2017, adding $19 billion over the 11 month period.

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

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

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017 Jul-17

Taiwan 206,954 208,142 203,807 212,540 227,077 228,323 1,188 -4,335 8,734 14,536 1,247

China 186,993 185,881 178,556 183,103 178,934 179,807 -1,112 -7,325 4,547 -4,169 873

Japan 185,034 213,615 212,661 208,162 221,447 232,597 28,581 -954 -4,499 13,285 11,150

Ireland 37,695 39,142 38,405 38,910 38,381 39,149 1,447 -737 505 -530 769

South Korea 34,173 34,726 34,505 32,126 34,905 35,239 553 -221 -2,379 2,779 334

Luxembourg 27,187 28,094 31,198 25,455 25,821 27,055 907 3,104 -5,744 366 1,234

Bermuda 23,994 24,767 23,888 23,825 23,786 23,989 773 -879 -63 -39 203

Cayman Islands 22,815 22,918 22,851 22,847 22,855 23,716 103 -67 -3 8 861

Switzerland 11,717 16,446 11,596 12,873 14,380 14,674 4,729 -4,850 1,277 1,507 294

Netherlands 11,471 9,717 9,553 10,383 11,442 11,817 -1,754 -165 830 1,059 375

Rest of World 83,560 78,246 81,668 76,757 80,909 79,332 -5,314 3,422 -4,910 4,152 -1,577

Total 831,593 861,694 848,688 846,981 879,935 895,697 30,101 -13,006 -1,707 32,954 15,762

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

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

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017 Jul-17

Taiwan 207,164 208,352 204,005 212,707 227,236 228,476 1,188 -4,347 8,702 14,529 1,240

China 195,933 191,743 184,151 187,664 183,396 184,110 -4,190 -7,592 3,513 -4,268 714

Japan 197,101 222,116 220,644 214,838 227,721 238,525 25,015 -1,472 -5,806 12,883 10,804

Ireland 47,635 48,307 47,065 46,178 45,353 45,839 672 -1,242 -887 -825 486

South Korea 50,323 50,072 49,000 44,349 46,577 46,444 -251 -1,072 -4,651 2,228 -133

Luxembourg 32,164 32,549 35,352 29,014 29,229 30,316 385 2,803 -6,338 215 1,087

Bermuda 28,402 28,714 27,624 26,960 26,793 26,877 312 -1,090 -664 -167 84

Cayman Islands 31,076 30,686 30,186 29,014 28,763 29,380 -390 -500 -1,172 -251 617

Switzerland 16,240 20,638 15,626 16,244 17,591 17,755 4,398 -5,012 618 1,347 164

Netherlands 12,459 10,536 10,326 11,018 12,039 12,388 -1,923 -210 692 1,021 349

Rest of World 148,288 140,716 140,625 126,439 128,428 124,975 -7,572 -91 -14,186 1,989 -3,453

Total 954,326 984,429 964,604 944,425 973,126 985,085 30,103 -19,825 -20,179 28,701 11,959

46
MBS Ownership

0

50

100

150

200

250

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

Mar-17

May-17

Jul-17

Sep-17

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Mar-10

Sep-10

Mar-11

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

$ 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 September 2017.

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

Institute. Note: Data as of September 2017.

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

Note: Data as of September 2017.

0

10

20

30

40

50

60

70

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

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

Sep-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 23.2 percent for September 2017. 

During this month, the Fed has been buying 24.6 percent Ginnie Mae securities and 22.5 percent GSE securities. 

Over the past year, the Fed has absorbed an average of 24.4 percent of GSE and Ginnie Mae issuance. In their 

September 2017 meeting, the Fed announced that 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.

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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 November 15, 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.   

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