Globa Markets

Analy i Rep t

A M th P bli i f Gi

Mae’s Office of Capital Markets

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Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

JANUARY

2022
Global Markets Analysis Report

 

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Global Markets Analysis Report

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

Table of Contents

Table of Contents i

Highlights 2

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

2.0 State of the US Housing Market 11

2.1 National HPI 11

2.2 Size and Value of the US Housing Market 13

2.3 Serious Delinquency Rates 14

2.4 Characteristics of Ginnie Mae Loans in Forbearance 15

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 18

2.6 Outstanding Single-Family Agency MBS 19

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

2.8 Origination Volume and Share Over Time 21

3.0 US Agency Market, Issuance 22

3.1 Percent Refi at Issuance 25

4.0 High LTV Loans: Ginnie Mae vs. GSEs 26

5.0 Holders of Ginnie Mae Mortgage Servicing Rights 27

6.0 Prepayments 28

6.1 Aggregate Prepayments 28

7.0 MBS Ownership 32

7.1 Commercial Bank Holdings of Agency MBS 32

7.2 Bank and Thrift Residential MBS Holdings 33

7.3 Foreign Ownership of MBS 35

7.4 Foreign Ownership of Agency Debt and Agency MBS 36
Highlights

Highlights

In calendar year 2021, $903 billion of Ginnie Mae mortgage-backed securities (MBS) were issued, which is an

increase of 11.2% from 2020 and an increase of 72.3% from 2019. However, market participants expect that in

2022 we may see a decrease in Agency MBS gross issuance. As potential rate hikes are on the horizon, market

participants anticipate that the majority of mortgage originations will shift from refinance to purchase as we

move into 2022. Figure 1, below, provides a breakdown of the 2020 mortgage loan origination market as well as

MBA’s estimates of the origination market for the end of 2021 through 2024.

1

The Global Market Analysis Report sought

the opinions of market participants,

including Mortgage Bankers Association’s

(MBA’s) Michael Fratantoni; T. Rowe

Price’s Keir Joyce; and Barclays Michael

Khankin, to provide an outlook for the

Ginnie Mae MBS market in 2022. Michael

Fratantoni is MBA's Chief Economist and

Senior Vice President of Research and

Industry Technology. Keir Joyce is a

portfolio manager in the Fixed Income

Division for T. Rowe Price. Mr. Joyce

manages the US Ginnie Mae Bond

Strategy and the Mortgage-Backed

Securities Multi-Sector Account Portfolio.

Michael Khankin is the Head of RMBS

Research at Barclays Investment Bank.

Mr. Fratantoni: 2022 should be a year of higher mortgage rates, fewer refinances, more purchase volume, a

more sustainable rate of home-price growth, an increased, but still low level of foreclosures, and tighter margins

for originators. A more hawkish Fed, a strongly recovering economy, and large federal budget deficits are all

likely to put upward pressure on longer-term rates, including mortgage rates. MBA forecasts that 30-year

mortgage rates, averaging about 3.3% today, will reach 4% by the end of 2022.

While the market struggled with a lack of inventory in 2021, with builders reporting ongoing supply chain

challenges, there are more than 750,000 homes under construction right now, and a growing inventory of new

homes for sale. The inventory of existing homes remains quite tight at less than 2.5 months, but the addition of

new homes to the mix should lead to more choices for potential buyers in 2022, including many who had

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 2

1 https://www.mba.org/news-research-and-resources/research-and-economics/forecasts-and-commentary

Figure 1. MBA Mortgage Finance Forecast, December 21, 20212

$ in Billions 2800

2400

2000

1600

1200

800

400

0

2021 2023

Estimated

2020 2022

Actual Estimated Estimated

2024

Estimated

Purchase Refinance FHA Originations
Highlights

 

hesitated to list their homes in 2021. This in turn should lead to an increase in the number of existing homes

listed. MBA’s forecast for an increase in housing starts and home sales, coupled with our expectation of

somewhat higher mortgage rates, should together lead to deceleration in home-price growth to around 5% in

2022.

Refinance volume totaled more than $5 trillion between 2020 and 2021, roughly half of mortgage debt

outstanding. MBA is forecasting a sharp drop in total refinance volume in 2022 and expects that volume to stay

lower in 2023.

However, while total origination volume is forecast to drop from $3.9 trillion in 2021 to $2.6 trillion in 2022,

perhaps the bigger shift is the transition from a refi market to a purchase market. MBA forecasts a record year

for purchase volume in 2022, driven by millennials reaching peak first-time homebuyer age, a strong job market,

and continued increases in home prices. We expect that this purchase market growth will heavily rely upon

demand from first-time homebuyers, many of whom will utilize FHA, VA, or USDA loans securitized through

Ginnie Mae. Thus, we expect Ginnie Mae net issuance will increase as a result, while prepayment speeds will

slow due to the drop in refinance demand.

While MBA does not forecast industry-level margins, it is reasonable to expect more tightening in the year

ahead given our forecast of a move to a purchase market coupled with a sharp drop in refinances. We have

already seen tightening to an even greater extent in third-party channels, as the industry right sizes following a

refinance wave. With tighter margins, some lenders may extend credit criteria somewhat to encourage more

first-time homebuyers to apply, and this is credit growth that is likely to appear in the Ginnie Mae space.

Mr. Joyce: Last year, the Ginnie Mae sector suffered its worst annual total return performance since the Taper

Tantrum of 2013 at -1.45% and its worst relative return to similar duration US Treasury securities since the 2008

Financial Crisis at -1.43%. While the sector still faces challenges in the upcoming year with the Federal Reserve

stepping away from providing $40 billion in monthly support to the broader agency MBS sector, there is

optimism that the major themes of uncertainty in monetary policy, uncertainty in housing policy out of D.C, and

historically tight valuations that drove the weaker returns last year are less of a headwind as we flip the calendar

to 2022.

The market has already begun to see an impact from shifting expectations regarding balance sheet policy by the

Federal Reserve, but valuations versus Treasuries and, more importantly, relative valuations to other

opportunities in the market have improved considerably. Currency-adjusted yields offer international investors

levels we have not seen in over six years; the additional spread premium above intermediate Treasuries has

renormalized to levels consistent during a period of runoff in the Federal Reserve’s SOMA portfolio, the yield

differential versus intermediate real yields is historically wide, and investors with an Aa credit tolerance are

sacrificing spread if they ignore the opportunities available in the Ginnie Mae market. Those fundamental

opportunities exist across the sector. Lower coupons offer superior extension protection at current discount

dollar prices, while higher coupons are expected to see tamer prepayments amid a decline in loan buyouts and

protection against potential policy risk.

Another factor of less concern is GNMA fixed rate net supply, which continues trending lower in part to a

deterioration in affordability measured by the Urban Institute for low-down payment options available to

consumers. Rising rates in recent weeks have only compounded the problem with almost a 30bps rise in

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 3
Highlights

bankrate.com’s FHA national average rate or 40bps rise since summer 2021. That move in borrowing rates has

increased monthly payments by +5.5%, making the cost of housing a bigger pinch on the consumer, as well as

lowering aggregate measures of refinance risk in the sector. Additionally, while estimated net supply in the

GNMA sector should rise +$65 billion to an average amount of +$93 billion, that number is roughly 85% of the

annual supply we witnessed pre-pandemic. An overwhelming amount of the expected supply should result from

loss mitigation loans, and that composition can improve the convexity profile of the GNMA universe with the

intrinsic prepay protection of those loans.

With the attractive relative value relationships, improved underlying fundamentals, and liquidity appeal of the

GNMA sector, concerns resulting from recent headlines regarding a faster runoff in the Federal Reserve’s

mortgage holdings can be tempered, presenting opportunities for active investors.

Mr. Khankin: G2s should continue to struggle as we enter 2022, facing continued weak regulatory demand and

policy risk. We are more optimistic on the sector into the latter part of the year.

Lack of bank lending, buyouts, and elevated policy risk have kept G2/FN suppressed for much of the year, with

most swaps underperforming year-to-date (YTD) and only G2/FN 2 posting modest outperformance recently.

There are some reasons to be more optimistic for the sector in 2022, in our view. For one, we do not anticipate

a repeat of sales by the banks or overseas in quite the same magnitude. Negative overall supply in the sector

too, insulates G2s somewhat from the effects of the Fed taper. Finally, elevated buyouts, despite potential for

some clean-up activity sometime during the year, are unlikely to match what happened in 2021. All this

considered; however, we see the sector continuing to struggle until some clarity emerges on the policy side, be

it with MIPs or the FHFA. Also, even without reductions seen in 2021, regulatory driven demand is likely to

remain low as bank lending remains suppressed. So just as with basis, we do not see instant gratification here,

and look toward the latter part of 2022 to see any traction.

The featured commentators provided responses to our request for comment on the outlook for Ginnie Mae

MBS in 2022 during the week of January 10th, 2022. Ginnie Mae would like to thank Mr. Fratantoni, Mr. Joyce,

and Mr. Khankin for their perspectives on the outlook for the 2022 Ginnie Mae MBS market. The Global Market

Analysis Report will continue to bring its readers current perspectives from MBS capital markets participants.

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 4
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

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

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

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

than 1%.

Barclays Global Aggregate Index by Country

In the Barclays Global Aggregate Index by Country, the US share of outstanding fixed income products

still represents the largest share of total outstanding issuance, representing approximately 38% of the

total Barclays Global Aggregate Index. There was no change in the US share of fixed income from the

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

fixed income categories remained stable when compared to the previous month.

Sources: Bloomberg. Note: Data as of December 2021. Figures in charts may not add to 100% due to rounding.

2%

2% 2%1% 1% 1% 0%

8%

16%

28%

39%

Treasury - 39%

MBS Passthrough - 28%

Industrial - 16%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

Local Authority - 1%

ABS - 0%

2%

2%

3%

4%

4%

5%

6%

14%

8% 13%

38%

United States - 38%

Japan - 13%

China - 8%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 4%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 14%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.2 Global 10‐Year Treasury Yields

The US 10-year Treasury yield moved to 1.51% in December 2021, a MoM increase of 6 bps. US Treasury yields

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

 The yield on the Italian 10-year note increased to 1.17% in December, a MoM increase of 20 bps.

 The yields on the German 10-year and the UK 10-year notes increased by 17 bps to -0.18%, and 16 bps

to 0.97%, respectively.

 The yield on the Japanese 10-year government notes increased to 0.07% in December, a slight increase

MoM of 1 bp.

 At the end of December 2021, the hedged yield for the 10-year Treasury JPY shifted to 2.62%, a slight

decrease of 1 bp from the previous month.

 The hedged yield for the 10-year Treasury EUR shifted to 1.49%, a slight decrease of 1 bp from the

previous month.

Global 10‐Year Treasury Yields

7–10yr Total Return Hedged Index, JPY

Sources: Bloomberg. Note: Data as of December 2021

7–10yr Total Return Hedged Index, EUR

5.0

4.0

3.0

2.0

1.0

0.0

-1.0

-2.0

1.51%

1.17%

0.97%

0.07%

-0.18% % Yield

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

280

270

261.77

260

250

240

230

220

170

160

150

140

130

120

149.24
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.3 Ginnie Mae Yields– USD

Ginnie Mae fixed rate MBS yields remained relatively stable in December 2021. Ginnie Mae II yields were at

1.87% on December 31, 2021, up by 5 bps from the prior month. Ginnie Mae I yields were at 2.10%, up

by 10 bps from the prior month. On December 31, Ginnie Mae II SF yields were 36 bps higher than the US 10-

year Treasury yield, representing a decrease in spread of 1 bp since November 30, 2021. The yields on the Ginnie

Mae I SF were 58 bps higher than the US 10-year Treasury yield on December 31, 2021, representing an increase

in spread of 3 bps since November 30, 2021.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of December 2021

2

4.5

4

3.5

3

.5

2

1.5

1

0.5

0

2.10% % Yield

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0 % Yield 1.87%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

 

 

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30-year OAS decreased when compared to

the previous month, ending at 0.27%, a decrease of 4 bps since the previous month. The Ginnie Mae II 30-year

OAS decreased by 2 bps since the previous month. The US Intermediate credit OAS has decreased by 6 bps since

last month.

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

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

Sources: Bloomberg. Note: Data as of December 2021.

4

3.5

3

2.5

2

1.5

1

0.5

0

-0.5

0.60

0.34 % Yield

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

3.5

3

2.5

2

1.5

1

0.5

0.27

0 % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.5 Global Treasury Yield Per Duration

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

of various tenors with similar or longer duration. Prepayment risk is a feature of MBS (see Section 6.0

Prepayments). The GNMA II 2.5% securities’ duration and yield increased by 0.24 units and 8 bps, 

 

 

respectively, when compared to the previous month. Additionally, the GNMA II 3% securities’ duration

and yield increased by 0.09 units and increased by 8 bps when compared to the previous month.

Yield vs. Duration

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

settlement of 1/20. All other data is as of December 2021. Yields are in base currency of security and unhedged.

Yield 2.00

1.50

1.00

0.50

0.00

-0.50

-1.00

GNMA II 3% GNMA II 2.5%

GNMA II 2%

US 10y

US 5y

ITA 10y

UK 5y

UK 10y

ITA 5y

JPY 10y

JPY 5y

GER 5y

GER 10y

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Duration

Security Duration Yield

US 5y

US 10y

4.83

9.16

1.26

1.51

JPY 5y 4.73 -0.09

JPY 10y

GER 5y

9.64

4.79

0.07

-0.47

GER 10y

ITA 5y

 10.12

4.57

-0.18

 0.40

ITA 10y

UK 5y

9.36

4.74

1.17

0.81

UK 10y

GNMA II 2%

9.41

5.47

0.97

1.81

GNMA II 2.5%

GNMA II 3%

5.23

3.69

1.99

2.00
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

1.6 Monthly CMO Demand for Ginnie Mae MBS

In December 2021, $13.2 billion of Ginnie Mae MBS were securitized into Collateralized Mortgage Obligations

(CMOs) as underlying collateral, a 21% MoM decrease. Of that $13.2 billion, approximately $1.9 billion were

Multifamily MBS having coupons between 2% and 3%; and $11.2 billion were Single-Family MBS with over 90-

percent of the Single-Family MBS having coupons between 2% and 3.5%. Roughly $5.2 billion (46 percent) of the

Single-Family MBS had a Weighted Average Loan Age (WALA) of less than or equal to two months while $3.4

billion (30 percent) had a WALA of greater than ten months.

In calendar year 2021 approximately $196 billion of Ginnie Mae Single-Family and Multifamily MBS were

securitized into Ginnie Mae CMO transactions. This represents a roughly 44% increase over calendar year 2020.

2

Totals may not sum due to rounding.

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into CMO Deals ($MM)

2

% Breakdown of CMO Collateral by 

coupon1

Multifamily

2.01-2.50 1,266.8 65%

2.51-3.00 681.9 35%

Subtotal 1,948.6 100%

Single‐Family

<2.01 214.9 2%

2.01-2.50 3,047.0 27%

2.51-3.00 5,025.0 45%

3.01-3.50 2,005.5 18%

3.51-4.00 701.0 6%

4.01-4.50 193.5 2%

4.51-5.00 56.4 1%

Subtotal 11,243.3 100%

Grand Total 13,191.9

$12.9

$16.9 $15.6

$18.8

$21.5

$14.3

$17.1 $18.2

$14.2

$16.6

$25

$20

$15

$10

Ginnie Mae Single-Family and Multifamily MBS

Securitized into CMOs

$13.2

$5

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

December 2021 CMO Collateral Coupon Distribution
State of the US Housing Market

2.0 State of the US Housing Market

2.1 National HPI

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

16.5% between March 2020 to October 2021. March 2020 to September 2021 national HPI CAGR was

approximately 80 bps lower, at 15.7%, suggesting a continued trend in October of accelerating HPI increases.

Over that period, the Mountain region has had the greatest home price appreciation (20.7% CAGR), while in the

West North Central region, increases in home values have been slowest (13.7%). The rapid home price

appreciation has led to recent sharp increases in both conventional conforming and government loan limits.

U.S. Census Subregion New England Middle 

Atlantic 

East North 

Central 

East South 

Central 

South 

Atlantic 

West North 

Central 

West South 

Central Mountain Pacific National 

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

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

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

Pandemic CAGR 16.1% 14.8% 14.0% 17.1% 18.0% 13.7% 15.8% 20.7% 18.3% 16.5%

12-Month Period of Max HPI Growth

During Pandemic

7-2020 to

6-2021

8-2020 to

7-2021

7-2020 to

6-2021

9-2020 to

8-2021

9-2020 to

8-2021

6-2020 to

5-2021

8-2020 to 7-

2021

9-2020 to

8-2021

8-2020 to

7-2021

8-2020 to

7-2021

Max 12-Month Period Change,

During Pandemic 21.7% 18.1% 17.1% 18.8% 20.6% 16.3% 17.8% 25.8% 22.1% 19.2%

12-Month Period of Max HPI

Growth, Pre-Pandemic

12-2001 to

11-2002

12-2003 to

11-2004

2-2017 to

1-2018

2-2005 to

1-2006

9-2004 to

8-2005

4-1993 to

3-1994

3-2005 to 2-

2006

11-2004 to

10-2005

5-2004 to

4-2005

10-2004

to 9-2005

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

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

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

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

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

 

Nationally, home prices exceed their pre-crisis peak on a nominal basis by 48.6% through September 2021. As

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

to region and state to state. Nationally, home prices exceed the trough by 88.4%. As shown in the regional HPI

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

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

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

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

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

National 59.6% -21.1% 88.4% 12.7% 48.6%

AK 66.9% -5.2% 40.3% 9.0% 33.0%

AL 41.6% -15.0% 64.7% 13.1% 40.0%

AR 39.8% -11.0% 56.3% 13.1% 39.1%

AZ 110.2% -49.5% 178.2% 20.8% 40.5%

CA 144.8% -47.0% 137.5% 16.6% 25.8%

CO 32.3% -10.3% 140.3% 16.1% 115.6%

CT 72.9% -19.6% 36.9% 15.6% 10.0%

DC 162.5% -11.7% 115.1% 10.8% 90.0%

DE 88.5% -23.5% 52.0% 13.4% 16.3%

FL 130.0% -46.5% 144.6% 17.2% 30.8%

GA 35.9% -27.1% 112.7% 14.7% 55.1%

HI 139.0% -27.0% 96.0% 11.9% 43.0%

IA 27.8% -5.4% 54.2% 9.9% 45.8%

ID 73.3% -32.2% 201.0% 28.4% 104.0%

IL 49.9% -23.8% 46.4% 10.7% 11.6%

IN 19.1% -8.7% 76.9% 13.3% 61.6%

KS 31.0% -7.8% 66.2% 12.6% 53.2%

KY 28.9% -5.4% 64.3% 12.6% 55.4%

LA 51.6% -6.7% 45.0% 8.3% 35.2%

MA 69.8% -18.2% 76.7% 14.4% 44.5%

MD 126.4% -26.5% 51.8% 11.5% 11.6%

ME 72.0% -12.4% 76.8% 18.3% 54.8%

MI 18.4% -31.5% 110.8% 13.7% 44.3%

MN 52.5% -23.0% 83.7% 12.0% 41.5%

MO 39.2% -15.0% 74.2% 13.4% 48.1%

MS 38.9% -12.8% 43.6% 9.9% 25.3%

MT 79.3% -13.6% 98.1% 19.3% 71.2%

NC 39.7% -14.1% 83.9% 16.2% 57.9%

ND 51.7% -0.9% 69.8% 7.9% 68.3%

NE 24.3% -5.9% 77.3% 13.0% 66.7%

NH 72.7% -21.9% 81.1% 17.4% 41.4%

NJ 102.2% -22.7% 50.2% 14.6% 16.2%

NM 66.6% -17.9% 55.7% 12.8% 27.8%

NV 117.4% -59.3% 203.6% 17.1% 23.6%

NY 75.7% -10.5% 56.5% 13.5% 40.1%

OH 19.6% -16.6% 77.4% 13.1% 48.0%

OK 36.8% -4.6% 60.2% 11.9% 52.7%

OR 85.6% -28.6% 129.9% 16.3% 64.1%

PA 68.9% -10.9% 57.3% 12.6% 40.1%

RI 108.1% -28.0% 79.2% 17.0% 29.0%

SC 40.6% -16.0% 84.6% 14.3% 55.1%

SD 40.2% -2.4% 72.9% 15.1% 68.7%

TN 38.4% -12.6% 100.0% 17.2% 74.7%

TX 35.8% -3.0% 96.9% 14.4% 91.0%

UT 65.1% -26.1% 152.8% 23.1% 86.9%

VA 95.1% -18.8% 59.7% 12.7% 29.8%

VT 78.1% -10.3% 55.3% 16.8% 39.3%

WA 83.4% -27.3% 144.1% 17.3% 77.5%

WI 38.6% -14.2% 69.8% 12.6% 45.6%

WV 39.2% -5.7% 40.8% 11.6% 32.8%

WY 84.7% -9.7% 52.8% 10.7% 38.1%
State of the US Housing Market

Size of the US Residential Mortgage Market

 

2.2 Size and Value of the US Housing Market

The total value of the single-family housing market reached $36.8 trillion in Q3 2021. The value of household

equity has continued to trend upward into Q3 2021. As mentioned in Section 2.1 above, the unprecedented

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

as an asset class, as debt remains relatively flat. The total value of the US housing market is up 93.4% from its

trough in 2011. Conversely, mortgage debt outstanding has increasing slightly from $11.3 trillion in Q2 2021 to

$11.5 trillion in Q3 2021. Agency MBS account for a growing percentage of the total mortgage debt outstanding,

up to 67% of total mortgage debt.

Value of the US Housing Market

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q3 2021.

11.5

$ Trillions 40.0

35.0

30.0

25.0

20.0

15.0

10.0

5.0

0.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q3 36.8

25.3

Debt Household equity Total Value

$ Trillions

9

8

7

6

5

4

3

2

1

0

$8.18

$3.30

$0.40

$0.39

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021

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

2.3 Serious Delinquency Rates

Serious delinquency rates for single-family GSE, FHA, and VA loans all fell sharply in Q3 2021. From Q2 2021 to

Q3 2021, Fannie and Freddie serious delinquencies decreased 46 and 40 bps, respectively, or 22% each, as a

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

absolute terms, with FHA and VA dropping 144 and 54 bps respectively. This decline in serious delinquency rates

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

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q3 2021.

Serious Delinquency Rates 12%

10%

8%

6%

4%

2%

0%

3Q051Q063Q061Q073Q071Q083Q081Q093Q091Q103Q101Q113Q111Q123Q121Q133Q131Q143Q141Q153Q151Q163Q161Q173Q171Q183Q181Q193Q191Q203Q201Q213Q21 8.18%

4.48%

1.62%

1.46%

FHA Fannie Mae Freddie Mac VA

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

2.4 Characteristics of Ginnie Mae Loans in Forbearance

167,782 Ginnie Mae loans were in forbearance as of the end of November 2021. This represents a second

consecutive month with an 11% decrease MoM, continuing the accelerated trend of decline in forbearance

observed since October 2021. 8,129 of loans in forbearance were removed from MBS pools and 159,653 still

actively remain in pools. Most liquidated loans (5,637) were FHA and within that subset, 2,917 of those loans

were originated by nonbanks. Almost 95% of the loans that were in forbearance at the end of November were

due to COVID-19 circumstances, approximately the same proportion as at the end of October.

All Loans in Forbearance – November 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.6 $171,744.15 76.9 67.9 167,782

Bank 671 3.9 $123,139.01 76.7 79.6 24,709

Nonbank 656 3.5 $180,395.09 77.0 66.7 143,073

FHA 653 3.7 $166,296.38 79.6 74.2 117,478

Bank 664 4.1 $113,300.10 80.1 83.2 18,354

Nonbank 651 3.6 $176,148.93 79.5 73.3 99,124

VA 669 3.2 $223,843.08 64.5 46.5 35,258

Bank 683 3.6 $178,022.88 66.6 69.5 4,846

Nonbank 667 3.2 $230,369.52 64.1 43.8 30,412

Loans in Forbearance and Removed from Pools – November 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 652 4.0 $135,099.97 77.6 70.3 8,129

Bank 672 3.9 $109,134.69 79.0 79.8 3,417

Nonbank 645 4.0 $153,805.77 77.0 66.6 4,712

FHA 649 4.1 $127,023.33 78.9 75.0 5,637

Bank 670 4.0 $103,014.65 80.4 82.0 2,720

Nonbank 638 4.1 $150,264.41 77.9 71.5 2,917

VA 660 3.7 $184,678.44 68.7 50.8 1,643

Bank 677 3.6 $157,668.87 67.3 66.6 478

Nonbank 655 3.7 $195,049.22 69.2 46.9 1,165

Loans in Forbearance that Remain in Pools – November 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.5 $173,855.58 76.9 67.8 159,653

Bank 671 3.9 $125,921.21 76.5 79.6 21,292

Nonbank 657 3.5 $181,279.81 77.0 66.7 138,361

FHA 653 3.6 $168,345.97 79.6 74.1 111,841

Bank 663 4.1 $115,042.37 80.1 83.3 15,634

Nonbank 652 3.6 $177,005.25 79.5 73.3 96,207

VA 669 3.2 $225,970.66 64.3 46.3 33,615

Bank 684 3.6 $179,767.18 66.6 69.7 4,368

Nonbank 667 3.2 $232,063.67 63.9 43.7 29,247

Sources: Ginnie Mae loan level MBS disclosure and forbearance file and Ginnie Mae Issuer Operational Performance Profile (IOPP) -Peer Group Listings.

Notes: Data as of November 2021; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

 

Number of Loans Removed from Pools: Nonbank

The current share of Ginnie Mae loans in forbearance stands at 1.57% as of the end of November, down

approximately a fifth of a percent MoM. This approximately 20 bps decline is roughly the same as the prior

month decrease in total forbearance. The forbearance rate remains significantly higher than the forbearance

rate prevailing in the period prior to the pandemic between Jan 2019 and February 2020 (approximately 0.1%).

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

as of November 2021.

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

Data as of November 2021.

14%

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

Share of Ginnie Mae Loans in Forbearance

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation
State of the US Housing Market

Number of Loans Removed from Pools: FHA

 

Number of Loans Removed from Pools: VA

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

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

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

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

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

decreased 4% to 17,026 for FHA but increased 80% to 5,705 for VA loans. High refinance activity (blue areas)

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

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

files and IOPP Peer Group list. Notes: Data as of November 2021.

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

Number of Loans Removed from Pools by Coupon

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

160000

140000

120000

100000

80000

60000

40000

20000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

180000

160000

140000

120000

100000

80000

60000

40000

20000

0

<3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan

<3.5 Loss Mitigation

350000

300000

250000

200000

150000

100000

50000

0

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

>=3.5 Mortgagor Payoff
State of the US Housing Market

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

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

Mae outstanding varies across states, with the highest Ginnie Mae share in Alaska (48%) and the lowest in the

District of Columbia (12%). The difference between Ginnie Mae share of Agency Issuance (24%) over the past

year and Ginnie Mae’s share of overall outstanding Agency MBS (26%) is reflective of ebbs and flows in FHA and

VA first lien origination market share, discussed in Section 2.8 below.

Agency Issuance (past 1 year) Agency Outstanding 

National 

GNMA 

Share 

GNMA Loan 

Count 

GNMA Avg. Loan 

Size (000) 

GSE Avg. Loan 

Size (000) GNMA Share by UPB GNMA Loan Count 

GNMA Avg. Loan Size 

(000) 

GSE Avg. Loan Size 

(000) 

24% 2,957,558 273.57 293.21 26% 10,611,120 186.89 217.03

AK 52% 10,811 329.06 289.62 48% 36,860 253.56 217.33

AL 37% 59,591 214.96 227.49 41% 232,112 146.66 172.02

AR 35% 31,477 183.11 206.00 40% 135,786 124.36 155.05

AZ 23% 99,080 276.74 278.63 25% 275,853 200.10 213.66

CA 16% 250,172 425.68 413.12 16% 674,088 310.17 315.97

CO 24% 82,167 360.27 341.06 24% 214,518 271.56 267.44

CT 22% 26,518 262.29 277.71 25% 103,334 194.55 206.70

DC 14% 2,737 552.47 457.28 12% 8,594 362.78 350.26

DE 28% 14,342 261.03 268.88 32% 50,215 195.85 205.29

FL 31% 257,658 268.70 265.11 33% 831,826 196.46 199.74

GA 31% 136,667 239.23 263.44 34% 490,812 166.57 196.87

HI 36% 13,555 568.08 463.79 31% 32,793 450.78 351.12

IA 19% 18,107 191.62 197.23 22% 81,930 127.66 147.41

ID 21% 20,082 292.15 282.11 24% 65,340 196.65 211.82

IL 18% 87,279 217.29 241.47 22% 350,406 153.62 176.54

IN 26% 66,128 186.03 196.97 31% 277,862 125.34 145.74

KS 26% 22,872 197.49 217.76 29% 96,557 133.36 159.99

KY 30% 40,314 193.47 204.74 34% 161,577 135.42 151.49

LA 37% 46,637 209.80 231.64 39% 190,166 151.41 174.50

MA 15% 35,068 360.93 355.46 15% 111,139 270.03 266.68

MD 32% 89,658 346.90 323.96 34% 282,642 256.05 246.31

ME 23% 10,504 230.14 250.18 26% 37,680 168.42 186.70

MI 17% 65,027 186.61 208.39 20% 274,342 126.37 153.59

MN 15% 39,229 249.73 256.13 18% 160,050 174.58 194.62

MO 25% 58,305 195.95 211.43 29% 244,199 134.40 158.13

MS 43% 26,239 199.30 209.77 47% 117,692 135.31 156.73

MT 21% 9,755 243.89 278.63 24% 33,294 196.43 207.37

NC 27% 116,484 235.82 260.32 30% 414,094 163.80 193.12

ND 24% 5,083 249.72 237.30 23% 16,568 187.18 183.45

NE 23% 14,592 215.49 207.69 27% 65,632 140.49 157.06

NH 19% 11,290 272.98 280.12 23% 38,895 215.80 209.54

NJ 18% 62,629 312.44 332.60 21% 224,821 228.87 251.08

NM 33% 22,922 221.47 234.50 38% 94,295 157.69 172.07

NV 30% 47,069 309.60 291.15 31% 130,767 231.35 224.04

NY 17% 55,211 313.46 341.42 20% 302,210 198.41 242.55

OH 24% 92,781 183.66 201.00 29% 418,711 123.75 145.46

OK 38% 40,330 197.61 210.26 43% 187,997 133.43 156.37

OR 19% 38,073 323.31 320.80 20% 111,429 238.73 244.31

PA 21% 81,660 209.43 244.04 26% 385,753 144.26 177.95

RI 28% 10,303 298.82 273.74 29% 34,665 219.43 208.26

SC 32% 68,977 237.78 244.90 34% 227,693 171.13 184.58

SD 27% 7,664 228.49 224.63 30% 29,252 163.48 173.45

TN 28% 72,590 241.01 256.77 33% 274,503 162.50 194.05

TX 29% 272,748 250.89 272.09 32% 1,062,155 170.38 200.95

UT 18% 34,744 324.29 318.28 19% 98,186 237.37 251.24

VA 35% 141,809 337.81 326.22 36% 435,755 246.69 247.50

VT 18% 3,099 236.52 248.96 19% 12,114 175.70 176.57

WA 21% 82,182 368.40 368.29 22% 235,609 267.38 280.91

WI 15% 33,386 208.59 217.18 17% 122,939 149.41 160.89

WV 39% 13,937 192.52 197.32 43% 56,863 137.82 142.25

WY 34% 7,920 258.15 251.59 35% 24,994 197.95 196.92

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

2021. Ginnie Mae issuance is based on the last 12 months, from November 2020 to November 2021.
State of the US Housing Market

2.6 Outstanding Single‐Family Agency MBS

As of November 2021, outstanding single-family securities in the Agency market totaled $7.71 trillion: 40.2%

Fannie Mae, 33.9% Freddie Mac, and 25.9% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s total

outstanding issuance has increased by approximately 18%, while Fannie and Ginnie have decreased outstanding

issuance by 2% and 3% respectively. Despite this, Fannie outstanding remains larger than either Freddie or

Ginnie.

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

76% of Ginnie Mae outstanding collateral was FHA and under 20% was VA. In November 2021, FHA collateral

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

outstanding.

Outstanding Agency Mortgage‐Backed Securities

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

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

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

and Freddie Mac for data from May 2021 through July 2021.

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

As of November 2021, the weighted average coupon on outstanding Ginnie Mae pools was 2.94%, down 2 bps

since October 2021 and 41 bps since November 2020. The share of outstanding MBS pools with coupons below

$ in billions $10,000

$8,000

$6,000

$4,000

$2,000

$0

Nov-00Nov-01Nov-02Nov-03Nov-04Nov-05Nov-06Nov-07Nov-08Nov-09Nov-10Nov-11Nov-12Nov-13Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19Nov-20Nov-21 $7,711

$3,099

$2,612

$2,000

Fannie Mae Freddie Mac Ginnie Mae Total

$ in billions $1,500

$1,000

$500

$-

$1,055

Nov-00Nov-01Nov-02Nov-03Nov-04Nov-05Nov-06Nov-07Nov-08Nov-09Nov-10Nov-11Nov-12Nov-13Nov-14Nov-15Nov-16Nov-17Nov-18Nov-19Nov-20Nov-21

Axis Title

$834

$111

FHA VA Other

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

3.0% (47% as of October 2021) began a rapid expansion in 2020. Approximately 26% of the outstanding MBS

coupons are between 2.5 and 3.0%, 22% have coupons between 2.0 and 2.5%, while approximately half a

percent (0.57%) have coupons under 2.0%. The bottom chart illustrates that loans originated since 2019

accounting for 73% of Ginnie MBS collateral outstanding.

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: November 2021 data points reflect the current composition of balances by coupon and vintage;

factor data is not applied to prior date balance compositions. Average coupon is weighted by remaining principal balance.

Outstanding Ginnie Mae MBS Balance, by Vintage

Outstanding Ginnie Mae MBS Balance, by Coupon

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

4.10%

3.90%

3.70%

3.50%

3.30%

3.10%

2.90%

2.70%

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21

Avg Coupon

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

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21

Pre-2008 2008-2013 2014-2018 2019-Present
State of the US Housing Market

 

2.8 Origination Volume and Share Over Time

Strong origination volume trends have continued in Q3 2021, with $3.73 trillion in originations year to date,

which outpaces Q1-Q3 2020 issuance by approximately 32%. Ginnie Mae collateral continued to decrease as a

percentage of total originations, with Ginnie Mae’s share of total origination declining to under 15% in Q3 2021.

First Lien Origination Volume & Share

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

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.39

$0.03

$0.17

$0.60

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

32.5%

2.7%

14.3%

50.6%
US Agency Market, Issuance

 

 

3.0 US Agency Market, Issuance

MoM, Agency gross MBS issuance decreased 12.9% (from October to November), driven by a 16% decline in GSE

Issuance. Fannie Mae MBS gross issuance decreased approximately 21% in November. Ginnie Mae gross

issuance through November outpaces that of the first eleven months of 2020 by approximately 11.6%, $779.4

billion to $698.6 billion.

Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

2021 YTD $1,295.1 $1,159.5 $2,454.6 $779.4 $3,234.0

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 YTD $359.5 $369.3 $23.6 $779.4
US Agency Market, Issuance

Agency net issuance in November was approximately $67.6 billion, which represents a 19% MoM decrease in

net issuance. Ginnie Mae net issuance remains below zero year-to-date in 2021, at -$3.0 billion, despite a steady

rebound in Ginnie Mae net issuance that began in August and continued through November. As noted in Section

2.6, VA production continues to outpace FHA.

Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

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

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

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

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

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

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

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

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

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

2013 $53.5 $11.8 $65.3 $89.6 $154.9

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

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 YTD $351.1 $463.6 $814.7 -$3.0 $811.7

Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 YTD -$65.3 $69.0 -$6.6 -$3.0

 
US Agency Market, Issuance

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

Month Fannie Mae Freddie Mac Ginnie Mae GSEs Total Fannie Mae Freddie Mac Ginnie Mae GSEs Total

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Nov-21 $93.6 $81.1 $60.8 $174.7 $235.5 $29.5 $34.9 $3.1 $64.4 $67.6

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

issuance is defined here as the difference between prior period UPB and current period UPB. Data as of November 2021. Beginning with the October 2021

GMAR, the Fannie Mae and Freddie Mac net issuance data have been updated to reflect the current UPB of the portfolios. July 2021 through September

2021 GMAR net issuance data reflect the UPB at security issuance for Fannie Mae and Freddie Mac.
US Agency Market, Issuance

The total Ginnie Mae refinance share stood at 39% in November, down 6% MoM. The FHA refinance share stood

at 30% in November 2021, below the 64% share for Fannie, the 59% refi share for Freddie originations, and the

50% share for the VA. Refinances as a share of all Agency originations decreased 3% to 56% in November.

3.1 Percent Refi at Issuance

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

2021.

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Jul - 2013

Nov - 2013

Mar - 2014

Jul - 2014

Nov - 2014

Mar - 2015

Jul - 2015

Nov - 2015

Mar - 2016

Jul - 2016

Nov - 2016

Mar - 2017

Jul - 2017

Nov - 2017

Mar - 2018

Jul - 2018

Nov - 2018

Mar - 2019

Jul - 2019

Nov - 2019

Mar - 2020

Jul - 2020

Nov - 2020

Mar - 2021

Jul - 2021

Nov - 2021 64%

59%

50%

39%

30%

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

GSEs

 

4.0 High LTV Loans: Ginnie Mae vs. GSEs

The share of high-LTV Agency loans going to borrowers with FICO scores above 750 has increased by 4%

between periods October - December 2019 and October - December 2021. The share of borrowers with DTIs

below 35% has decreased by approximately 2.5% over the same period. The share of high-LTV loans decreased

in both the Ginnie Mae guarantee book and the GSE portfolios by approximately 4% and 31%, respectively, from

October to December 2019 and October to December 2021. Still, Ginnie Mae maintains its key role of expanding

credit access to low-to-moderate income borrowers as it continues to dominate high-LTV lending, with 62.40%

of its issuances between October to December 2021 having LTVs of 95 or above, compared to 4.52% for the

GSEs.

Share of Loans with LTV > 95

 Ginnie Mae GSE All

Sept 2019-Nov 2019 64.74% 6.58% 26.57% 

Sept 2021 - Nov 2021 62.40% 4.52% 20.94%

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

Sept 2019‐Nov 2019

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.52% 6.18% 3.40% 5.02% 1.29% 20.37%

35‐45 6.72% 8.71% 4.25% 4.29% 0.21% 24.18%

≥45 5.35% 8.06% 4.05% 3.44% 0.13% 21.01%

NA 5.50% 7.02% 4.24% 5.90% 11.74% 34.44%

All 22.09% 29.97% 15.93% 18.65% 13.37% 100.00%

Sept 2021‐Nov 2021

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.39% 6.00% 3.16% 5.18% 1.14% 19.87%

35‐45 6.54% 8.56% 3.85% 3.98% 0.23% 23.16%

≥45 5.27% 8.02% 3.73% 3.18% 0.15% 20.35%

NA 4.91% 6.45% 4.21% 7.08% 13.96% 36.62%

All 21.10% 29.03% 14.95% 19.43% 15.48% 100.00%

Sources: eMBS, Recursion and Ginnie Mae. Data as of December 2021
Holders of Ginnie Mae Mortgage 

Servicing Rights

5.0 Holders of Ginnie Mae Mortgage Servicing Rights

This table shows the 30 largest owners of mortgage servicing rights (MSR) by UPB for Ginnie Mae MBS. The top

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

non-depository institutions, the remaining 8 are depository institutions. As of December 2021, over half (51.5%)

of the Ginnie Mae MSRs are owned by the top six firms.

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

Rank MSR Holder UPB ($ millions) Share Cumulative Share 

1 Freedom Home Mortgage $268,550 13.7% 13.7%

2 PennyMac $219,770 11.2% 24.9%

3 Lakeview $202,262 10.3% 35.3%

4 Wells Fargo $123,787 6.3% 41.6%

5 Rocket Mortgage $100,183 5.1% 46.7%

6 Nationstar $94,038 4.8% 51.5%

7 Newrez $59,287 3.0% 54.5%

8 Caliber Home Loans $49,648 2.5% 57.1%

9 US Bank $48,050 2.5% 59.5%

10 Carrington Mortgage $44,722 2.3% 61.8%

11 United Wholesale Mortgage $43,984 2.2% 64.0%

12 Loan Depot $33,397 1.7% 65.7%

13 USAA Federal Savings Bank $32,726 1.7% 67.4%

14 Mortgage Research Center $30,588 1.6% 69.0%

15 Planet Home Lending $29,028 1.5% 70.5%

16 Navy Federal Credit Union $28,040 1.4% 71.9%

17 Truist Bank $22,134 1.1% 73.0%

18 The Money Source $21,384 1.1% 74.1%

19 Guild Mortgage $20,388 1.0% 75.1%

20 Crosscountry Mortgage $15,440 0.8% 75.9%

21 New American Funding $14,611 0.7% 76.7%

22 Amerihome Mortgage Company $14,320 0.7% 77.4%

23 Village Capital $14,309 0.7% 78.1%

24 Midfirst Bank $13,312 0.7% 78.8%

25 Citizens Bank $13,133 0.7% 79.5%

26 Idaho Housing and Finance Association $12,732 0.6% 80.1%

27 CMG Mortgage, INC $12,332 0.6% 80.8%

28 Rushmore Loan Management $12,084 0.6% 81.4%

29 PHH Mortgage Corporation $11,739 0.6% 82.0%

30 JP Morgan Chase $11,467 0.6% 82.6%

Source: Deloitte and Ginnie Mae. Data as of December 2021.
Prepayments

6.0 Prepayments

In November 2021, Ginnie Mae fixed rate prepayment speeds decreased by 8%, to 26.5 CPR. The

slowdown was driven by both voluntary prepayment and buyout rate decreases. In contrary with the

overall voluntary speed slowdown, Ginnie Mae II 2% coupon cohort and Ginnie Mae I 2%-2.5% coupon

cohorts posted faster voluntary prepayment rates as they move further into the seasoning ramp.

5

In November 2021, Fannie Mae and Freddie Mac fixed rate prepayment speeds both continued to

decrease by 10% and 11% respectively. ARM MBS prepayments for Ginnie Mae increased by 2%. Fannie

Mae and Freddie Mac both posted a significant decline of 6%.

6.1 Aggregate Prepayments

Source: eMBS; Note: Data as of November 2021.

5 Ahlgren R and Ichaso M (2021, December 7). US Structured Products Trading Desk Strategy | RMBS Strategy | Speeds Fall as VPRs Move Lower While

CBRs Remain Steady, pp. 1.

Constant Prepayment Rate (%)

60

50

40

30

20

10

0

Fixed Rate Aggregate Prepayments

26.5

19.5

17.8

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Fannie Mae Freddie Mac Ginnie Mae

Constant Prepayment Rate (%)

60

50

40

30

20

10

0

ARM Aggregate Prepayments

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

31.2

25.8

25.3

Fannie Mae Freddie Mac Ginnie Mae
Prepayments

 

In November 2021, Fannie Mae’s speed decreased by 12% and 14% in the 2% and 2.5% coupon cohorts,

respectively. Freddie Mac’s speed also decreased similarly by 13% and 17% in the 2% and 2.5% coupon

cohorts, respectively. Ginnie Mae prepayment speeds decreased in the 2% coupon cohort by 1% and

continued to decline in the 2.5% coupon cohort by 15%. 30-year fixed rate MBS with 2-2.5% coupons

accounted for 46% of Agency remaining principal balance. Production of these Agency MBS ramped up in

2019.

Source: eMBS. Note: Data as of November 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by

November 2021 remaining principal balance.

Constant Prepayment Rate (%)

60

50

40

30

20

10

0

All Agency 2% Coupon CPR

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-21

Feb-21

Mar-21

Apr-21

May-21

Jun-21

Jul-21

Aug-21

Sep-21

Oct-21

Nov-21

13.2

9.7

9.5

Fannie Mae 30YR 2% Fixed Rate Freddie Mac 30YR 2% Fixed Rate Ginnie Mae II 30YR 2% Fixed Rate

60

Constant Prepayment Rate (%) 50

40

30

20

10

0

All Agency 2.5% Coupon CPR

Jul-19

Aug-19

Sep-19

Oct-19

N

ov-19

Dec-19

Jan-20

Feb-20

Mar-20

Apr-20

May-20

Jun-20

Jul-20

Aug-20

Sep-20

Oct-20

N

ov-20

Dec-20

Jan-21

Feb-21

Mar-21

Apr-21

May-21

Jun-21

Jul-21

Aug-21

Sep-21

Oct-21

N

ov-21 23.2

17.0

15.4

Fannie Mae 30YR 2.5% Fixed Rate Freddie Mac 30YR 2.5% Fixed Rate Ginnie Mae II 30YR 2.5% Fixed Rate
Prepayments

Of the 3-4% coupon cohorts, Ginnie Mae buyout rates were substantially higher than conventional

rates, while its voluntary prepayment rates were close to conventional mortgage loans. In November

2021, prepayment differential was consistent across coupon cohorts with differences remaining at 6.7

CPR for 3%, 6.0 CPR for 3.5%, and 6.1 CPR for 4%. 30-year fixed rate MBS with 3-4% coupons accounted

for 28% of Agency remaining principal balance.

In November 2021, Fannie Mae and Freddie Mac prepayment speeds converged to the same value in

the 3% and 3.5% coupon cohort. This convergence proves the overall Federal Housing Finance Agency

efforts to maintain GSE prepayment speed consistency, a mandate for their Single Security initiative,

fully implemented since 2019.

Source: eMBS. Note: Data as of November 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by

November 2021 remaining principal balance.

Constand Prepayment Rate (%)

60

50

40

30

20

10

0

All Agency 3% Coupon CPR

34.5

27.8

27.8

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Fannie Mae 30YR 3% Fixed Rate Freddie Mac 30YR 3% Fixed Rate Ginnie Mae II 30YR 3% Fixed Rate

60

Constant Prepayment Rate (%) 50

40

30

20

10

0

All Agency 3.5% Coupon CPR

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

37.6

31.6

31.6

Fannie Mae 30YR 3.5% Fixed Rate Freddie Mac 30YR 3.5% Fixed Rate Ginnie Mae II 30YR 3.5% Fixed Rate
Prepayments

Source: eMBS. Note: Data as of November 2021. Freddie prepayment data is aggregated from 55-day UMBS and 45-day Gold PC, weighted average by

November 2021 remaining principal balance.

60

Constant Prepayment Rate (%) 50

40

30

20

10

0

All Agency 4% Coupon CPR

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

39.1

33.1

32.9

Fannie Mae 30YR 4% Fixed Rate Freddie Mac 30YR 4% Fixed Rate Ginnie Mae II 30YR 4% Fixed Rate
MBS Ownership

 

 

7.0 MBS Ownership

As of Q3 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial

banks (26%), the Federal Reserve (24%), and foreign investors (11%). The Federal Reserve’s share increased to

24% in the third quarter of 2021, the highest it has been since 2015. Despite large Federal Reserve purchases,

commercial banks continue to be the largest holders of Agency MBS. Out of their $2.9 trillion in holdings as of

the end of December 2021, $2.1 trillion was held by the top 25 domestic banks.

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

and nonprofits. Data as of Q3 2021.

7.1 Commercial Bank Holdings of Agency MBS

 

Commercial Bank Holdings ($Billions) Week Ending

Nov‐20 May‐21 Jun‐21 July‐21 Aug‐21 Sep‐21 Oct‐21 Nov‐21 8‐Dec 15‐Dec 22‐Dec 29‐Dec

Largest 25 Domestic 

Banks 1,881.8 2,080.3 2,090.9 2,109.5 2,127.5 2,133.3 2,146.4 2,129.9 2,119.0 2,140.9 2,154.1 2,144.8

Small Domestic 

Banks 549.4 650.1 661.8 674.6 689.3 704.4 721.7 730.4 733.9 739.1 742.1 741.4

Foreign Related 

Banks 45.2 49.6 47.1 47.7 49.1 48.6 48.7 45.8 43.8 42.0 42.3 45.0

Total, Seasonally 

Adjusted 2,476.4 2,780.0 2,779.8 2,831.8 2,865.9 2,886.3 2,916.8 2,906.1 2,896.7 2,922.0 2,938.5 2,931.2

 

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

November 2021.

Who Owns Total Agency Debt?
MBS Ownership

 

7.2 Bank and Thrift Residential MBS Holdings

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

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

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

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

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

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

All Banks & Thrifts

($ in billions) 

All MBS

($ in billions) 

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

 

Banks

 

Thrifts

2000 683.90 234.01 84.26 21.57 

 

198.04 71.43

 

470.47

 109.53

212.65

2001 810.50 270.59 37.62 236.91 76.18 606.91 203.37

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Change:

2Q21‐3Q21 3% 3% 0% -11% 2% 14% 2% 6%

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

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

Top Bank & 

Thrift 

Residential 

MBS Investors 

($ in millions)

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

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

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

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

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

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

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

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

8 CAPITAL ONE FINANCIAL 

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

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

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

11 BANK OF NEW YORK MELLON 

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

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

13 State Street Bank and Trust 

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

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

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

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

17 HSBC Bank USA, National 

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

18 BMO Harris Bank National 

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

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

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

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

 

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

7.3 Foreign Ownership of MBS

For the month of October 2021, foreign ownership of MBS represents $1.22 trillion in Agency MBS, which

includes $582 billion held by foreign private institutions and $635 billion held by foreign official institutions. This

represents an overall increase in foreign holdings of Agency MBS since April 2020.

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

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

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

1,400

1,200

1,000

$

Billio

ns 800

600

400

200

0

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21 1,217

635

582

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

Foreign Share of Agency MBS Market

Monthly Foreign MBS Holdings

18.0%

Percent of Agency MBS O

wned

by Foreigners 1

1

1

1

1

1

1

7.0%

6.0%

5.0%

4.0%

3.0%

2.0%

1.0%

10.0%

14.90%

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Foreign Share of MBS
MBS Ownership

 

7.4 Foreign Ownership of Agency Debt and Agency MBS

The largest non-US holders of Agency MBS are in Japan, Taiwan, and China. These three own 70% of all US MBS

held by investors outside of the United States. Between June 2020 and June 2021, these top three have

decreased their Agency MBS holdings by over $4.6 billion. Japan has decreased their holdings by $1.4 billion,

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

All Agency Debt

Country

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

12/1/2020 3/1/2021 6/1/2021 9/1/2021 Q4 2020 Q1 2021 Q2 2021 Q3 2021

Japan 308,033 319,771 311,375 311,892 2,969 11,738 -8,396 517

Taiwan 262,453 253,036 250,081 247,341 -1,817 -9,417 -2,955 -2,740

China 212,317 200,972 217,842 215,102 5,456 -11,345 16,870 -2,740

Luxembourg 36,223 34,371 35,497 33,339 597 -1,852 1,126 -2,158

Ireland 31,064 26,965 21,453 22,617 2,778 -4,099 -5,512 1,164

South Korea 42,628 43,032 43,201 43,208 2,325 404 169 7

Cayman 

Islands 34,264 37,111 36,027 36,160 -231 2,847 -1,084 133

Bermuda 27,988 26,443 23,806 24,411 -7,763 -1,545 -2,637 605

Netherlands 12,344 13,049 12,544 17,435 1,380 705 -505 4,891

Malaysia 19,147 19,047 19,089 19,445 -661 -100 42 356

Other 197,462 173,905 166,009 268,746 7,287 -23,557 -7,896 102,737

Total 1,183,923 1,147,702 1,136,924 1,239,696 12,320 ‐36,221 ‐10,778 102,772

Agency MBS

Country

Level of Holdings ($ Millions)

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

Japan 306,963 305,580 -1,383

Taiwan 267,700 267,492 -208

China 235,078 232,076 -3,002

Luxembourg 40,207 34,255 -5,952

Ireland 21,091 25,336 4,245

South Korea 28,743 34,313 5,570

Cayman Islands 28,431 29,682 1,251

Bermuda 25,111 24,245 -866

Netherlands 12,739 13,351 612

Malaysia 20,028 19,949 -79

Other 173,716 170,062 -3,654

Total 1,159,809 1,156,341 ‐3,468

 

 

Sources: Treasury International Capital (TIC). Notes: Level of Agency debt Holdings by month data as of Q3 2021. Agency MBS as of June 2021. Revised to

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

Disclosure: 

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

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

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

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

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

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

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

(hereinafter, “Ginnie Mae”).

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

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

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

the report.

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

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

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

circumstances upon which such statement is based.

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

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

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