Global Markets

Analysis Report

A Monthly Publication of Ginnie

Mae’s Office of Capital Markets

TRADING PARTNER

– men

Global Markets   Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

SEPTEMBER

2021
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

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

2.0 State of the US Housing Market 10

2.1 National HPI 10

2.2 Size and Value of the US Housing Market 11

2.3 Serious Delinquency Rates 12

2.4 Characteristics of Ginnie Mae Loans in Forbearance 13

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 16

2.6 Outstanding Single Family Agency MBS 17

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 18

2.8 Origination Volume and Share Over Time 19

3.0 US Agency Market, Originations 20

4.0 High LTV Loans: Ginnie Mae vs. GSEs 24

5.0 Holders of Ginnie Mae Mortgage Servicing Rights 25

6.0 Agency Nonbank Originators 26

6.1 Agency Nonbank Originator Share (All, Purchase, Refi) 26

6.2  Ginnie Mae Nonbank Originator Share (All, Purchase, Refi) 27

6.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 28

7.0 Market Conditions 32

7.1 Average Daily Trading Volume and Turnover by Sector 32

8.0 Prepayments 33

8.1 Aggregate Prepayments 33

9.0 MBS Ownership 36

9.1 Commercial Bank Holdings of Agency MBS 36

9.2 Bank and Thrift Residential MBS Holdings 37

9.3 Foreign Ownership of MBS 39

9.4 Foreign Ownership of Agency Debt and Agency MBS 40

9.5 Federal Reserve Absorption of Agency MBS 41
Highlights

Global Markets Analysis Report

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

Highlights

Ginnie MBS issuance has continued to thrive with over $70 billion of issuance for 14 consecutive months in an

evolving capital markets environment. For the September 2021 Global Market Analysis Report, Ginnie Mae

posed a series of questions to Wall Street mortgage‐backed securities (MBS) experts, including Bank of

America’s Satish Mansukhani as well as Steven Abrahams and Brian Landy from Amherst Pierpont Securities, to

provide perspective on the Agency MBS market and the relative value of Ginnie Mae MBS.  

1. Effects of Fed tapering of MBS purchases on Ginnie Mae securities?  

Mr. Mansukhani: Bank of America is currently neutral on the mortgage basis. Under the assumption that the Fed

taper will begin in 7 months, our proprietary mortgage basis pricing framework breaks even the expected carry

relative to a post‐taper Option Adjusted Spread (OAS). If the COVID‐19 delta variant pushes the timeline of a

taper, the conventional basis will strengthen as these timelines extend. Basis strengthening would be negative

for Ginnie Mae MBS. If the basis on conventional MBS tightens on the longer time frame, then dollar rolls

appreciate and GN 2s lag. The opposite will happen if conventional MBS spreads widen. If the taper is

announced sooner than what we see priced in, that could help Ginnie Mae MBS, as a counter‐basis asset.

Mr. Abrahams and Mr. Landy: Losing a buyer as big as the Fed must soften pricing in Ginnie Mae MBS and all

other assets the Fed buys. From March 2020 to the end of taper, the Fed share of outstanding agency MBS will

probably rise from the low 20 percent to the low 30 percent. All that buying, along with heavy buying from

banks, has helped tighten all MBS spreads. Once the Fed hits “pause”, other buyers will have to step in to soak

up any added net supply. Bank buying will likely slow along with Fed tapering due to deposit growth slowing. So,

the most likely suspect is mutual funds, which are currently heavily invested in corporate debt. MBS spreads

must widen enough to compel a movement into MBS.  

Global Market Analysis Report: In July 2021, the Fed purchased $98.2 billion of Ginnie Mae MBS (39.1% of

monthly gross issuance) which was a slight decline from the $110.8 billion purchased in June 2021 (41% of

monthly gross issuance). For further information regarding the ownership of Ginnie Mae MBS and purchasing

trends related to Ginnie Mae MBS please see section 9.0 MBS Ownership.

2. Current differences in drivers of demand for Ginnie Mae MBS products versus GSE MBS products?  

Mr. Mansukhani: The sole buyer of Ginnie Mae assets has been the Fed. The absence of domestic banks and

overseas investors, which we estimate pay up for the sovereign guarantee by about half a point, has resulted in

G2s trading closer to conventional MBS prices. We see G2s trading closer to conventional MBS until domestic

banks see a turn higher in their loan books, which would spur demand for Level 1 high‐quality liquid assets

(HQLAs). This could coincide with a turn higher in real rates, and, at the back end of which, we see some

potential for overseas buyers, notably Japanese investors, to step back in. Until then, we see private investors

continuing to favor conventional MBS.

Mr. Abrahams and Mr. Landy: It is the usual list of differences with a couple of new entrants. At the top of the

list is the ability of Ginnie Mae MBS to qualify as HQLA Level 1 for banks subject to the Liquidity Coverage Ratio

while GSE MBS comes in as HQLA Level 2. Ginnie Mae MBS also qualifies as a 0% risk‐weighted asset for banks

while GSE MBS is 20%. Both factors help bank demand and tip the scale towards Ginnie Mae MBS. Market

liquidity is also on the list, with GSE MBS trading in much higher volume, which tips the balance back a bit

toward the GSEs. Servicers also may appear on the list of usual differences in recent years. Ginnie Mae MBS is

disproportionately serviced by non‐banks, which tend to have faster prepayment speeds. There are also
Highlights

Global Markets Analysis Report

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

differences in policy across FHA, VA, and the GSEs—such as changes in Mortgage Insurance Premiums (MIPs) or

Loan Level Price Adjustments (LLPAs)—and the impact on prepayments. Among some of the new factors in the

mix are differences in pandemic policy and resulting differences in prepayments. Ginnie Mae MBS saw much

higher levels of forbearance than GSE MBS, and there are differences in approach to loans coming out of

forbearance. Additionally, there is some concern that servicer buy‐outs might add to prepayment risk in Ginnie

Mae.

3. Are these differences in drivers affecting the demand among different institutional investor types,

including overseas investors?  

Mr. Mansukhani: With the Fed as the sole buyer of GNMA MBS, clearly most of the private investors, from banks

and overseas, to the money managers, are all underweight GNMA exposures. As we have penciled in the views

for the banks and overseas investors already, the outlook for demand from money managers, who are already

underweight mortgages, will be critical for sector sponsorship. Until clarity emerges on the taper, but also on

potential risks of a FHA MIP cut, once the MMI funds financials are disclosed in the new fiscal year, starting

October, that should help impart clarity on policy risks that the GNMA sector is exposed to. The bigger picture

risk is the housing policy agenda under the Biden Administration, orchestrated via HUD. Rising home prices put

the FHAs MMI fund in a good position that could be leveraged to further the Administration’s housing policy

goals.

Mr. Abrahams and Mr. Landy: Having Ginnie Mae MBS backed by the full faith and credit of the US makes it the

go‐to exposure for overseas investors these days, especially central banks and sovereign wealth funds. The

favorable HQLA treatment and favorable risk‐weighted capital treatment give Ginnie Mae special value to banks.

Asset managers, on the other hand, usually are very sensitive to liquidity, so they tend to prefer GSE MBS.

Servicer differences and evolving prepayment differences have impact across the buyer base. Banks usually

dislike prepayment surprises and consequently try to buy MBS within a sociable distance of par. Fast

prepayments in all MBS in 2020 made many banks particularly wary of prepayment risk. Mutual funds and other

total returns accounts, on the other hand, will take prepayment risk at the right price; they are much more

willing to buy MBS trading at premiums to par and to take the embedded risk of prepayment.

Global Market Analysis Report: The largest foreign holders of Agency MBS are Japan, Taiwan, and China; these

three comprise 70% of all foreign MBS holdings Between June 2020 and June 2021, the Global Market Analysis

Report estimates that these top three have decreased their Agency MBS holdings by over $4 billion. For further

information regarding overseas ownership of Ginnie Mae MBS please see sections 9.3 Foreign Ownership of

MBS and 9.4 Foreign Ownership of Agency Debt and Agency MBS.  

4. VA loan issuance surpassed FHA loan issuance in 2020 and 2021 YTD. How has the shift of FHA and VA

loan composition in Ginnie Mae MBS collateral impacted Ginnie MBS relative value?  

Mr. Abrahams and Mr. Landy: VA borrowers typically have stronger credit than FHA borrowers, and the VA

refinancing program is a bit more efficient than FHA. Both factors contribute to the likelihood of VA borrowers

refinancing, so the higher VA loan issuance has added to prepayment risk in Ginnie Mae MBS. On the margin,

that softens Ginnie Mae pricing a bit. It becomes another factor in balancing the fundamentals of Ginnie Mae

MBS—the HQLA treatment, bank capital treatment, liquidity, policy, the servicers and prepayment risk—against

the potential returns in the asset and in alternative investments.

Global Market Analysis Report: The composition of Ginnie Mae issuance has shifted in the last decade, as FHA

outstanding has decreased and VA outstanding has increased. In July 2011, close to 77% of Ginnie Mae
Highlights

Global Markets Analysis Report

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

Live ‐ MBS market outlook1.  

outstanding collateral was FHA and under 20% was VA. In July 2021, FHA collateral comprised 53.5% of Ginnie

Mae outstanding and VA collateral comprised 40.8% of Ginnie Mae outstanding. For further information

regarding increase in VA loan issuance please see section 2.6 Outstanding Single Family Agency MBS.  

Mr. Abrahams is a Senior Managing Director and Head of Investment Strategy at Amherst Pierpont Securities

with 29 years of experience in markets and investment strategy. His team provides analysis and advice for

institutional investors in rates, financing markets, corporate credit and securitized products. He is also the

author of Competitive Advantage in Investing: Building Winning Professional Portfolios, published by John Wiley

Mr. Mansukhani is the head of Agency MBS Research for Bank of America’s Global Banking & Markets division

where he shapes and delivers mortgage‐backed securities strategy and securitization research to 100+ global

institutional investors. Mr. Mansukhani recently participated in a podcast hosted by Ginnie Mae, Capital Markets

& Sons.

Mr. Landy is a Managing Director and Amherst Pierpont’s agency MBS strategist, with more than 19 years of

mortgage research, modeling, and capital markets experience.  

The featured commentators provided responses to our questions during the week of September 10th, 2021.  

Ginnie Mae would like to thank Mr. Mansukhani, Mr. Abrahams, and Mr. Landy for their perspectives on these

important topics. The Global Market Analysis Report will continue to bring its readers current perspectives from

MBS capital markets participants.  

1 https://www.ginniemae.gov/newsroom/Pages/PressReleaseDispPage.aspx?ParamID=213
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

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

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

US MBS (Ginnie Mae, Fannie Mae, and Freddie Mac) contribute approximately 28% of the Barclays US

Aggregate Index. US MBS follow only US Treasuries, which contribute approximately 38% of the Barclays

US Aggregate Index. For the US Aggregate Index, the month‐to‐month changes of the index components

were no bigger than 1%. In the Barclays Global Aggregate Index by Country, the US share of fixed

income still represents the largest share of total outstanding issuance, representing approximately 34%

of the total Barclays Global Aggregate Index. This is a decrease of 3% from the previous month. The

“Other” bucket increased its share by 8%.

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

Sources: Bloomberg. Note: Data as of August 2021. Numbers in chart may not add to 100 % due to rounding.

Barclays Global Aggregate Index by Country

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

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

2%

8%

16%

28%

38%

Treasury

MBS Passthrough

Industrial

Financial Institutions

Agency

Utility

CMBS

Supranational

Sovereign

Local Authority

ABS

2%

2%

3%

3%

3%

5%

23%

5% 7%

34%

13%

United States

Japan

China

France

United Kingdom

Germany

Canada

Italy

Spain

Netherlands

Other
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

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

1.2 Global 10‐Year Treasury Yields

The US 10‐year Treasury yield moved to 1.31% in August 2021, a slight increase month over month of 9 bps. US

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

on the Italian 10‐year, the German 10‐year and the UK 10‐year note increased by 9 bps to 0.71%, 8 bps to ‐

0.39% and 15 bps to 0.71%, respectively. The yield on the Japanese 10‐year government notes remained at

0.02% in August. At the end of August 2021, the hedged yield for the 10‐year Treasury JPY held at 2.66%, no

change from the previous month. The hedged yield for the 10‐year Treasury EUR held at 1.51%, a decrease of 1

bps from the previous month.

Global 10‐Year Treasury Yields

7– 10yr Total Return Hedged Index, JPY

Sources: Bloomberg. Note: Data as of August 2021

6 – 10yr Total Return Hedged Index, EUR

5.0

4.0

3.0

2.0

1.0

0.0

‐1.0

‐2.0

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

279

269

259

249

239

229

219

170

160

150

140

130

120
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

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

1.3 Ginnie Mae Yields– USD

Ginnie Mae MBS yields slightly increased in August 2021. GNMA II yields were at 1.69% and GNMA I yields at

1.88%, both up by 10 bps and 9 bps, respectively, from the prior month. At the end of August, Ginnie Mae II SF

yields were 38 bps higher than the US 10‐year Treasury yield, representing an increase in spread of 1 bp since

last month. The yields on the Ginnie Mae I SF were 57 bps higher than the US 10‐year Treasury yield at the end

of August, also representing an increase in spread of 1 bp since last month.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of August 2021

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

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

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30‐year OAS decreased slightly when

compared to the previous month, ending at 0.18%, a slight decrease of 2 bps since the previous month. The

Ginnie Mae II 30‐year OAS has been stable, increasing by 1 bp since the previous month. The US Intermediate

credit OAS has also remained stable, decreasing by 1 bp 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 August 2021.

4

3.5

3

2.5

2

1.5

1

0.5

0

‐0.5

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

3.5

3

2.5

2

1.5

1

0.5

0
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

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

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. The GNMA MBS

2.5% and 3% products have increased their yield and duration in August. The GNMA II 2.5% securities

duration and yield increased by 0.70 and 23 bps, respectively, when compared to the previous month.

Additionally, the GNMA II 3% securities duration and yield increased by 0.20 and 12 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 9/19. All other data is as of August 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 10y

UK 5y

ITA 5y

JPY 5y

GER 10y

JPY 10y

GER 5y

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Duration

Security Duration Yield

US 5y

US 10y

4.90

9.32

0.78

1.31

JPY 5y 4.83 ‐0.12

JPY 10y

GER 5y

9.76

5.14

0.02

‐0.68

GER 10y

ITA 5y

9.99

4.59

‐0.39

0.00

ITA 10y

UK 5y

9.57

5.08

0.71

0.38

UK 10y

GNMA II 2%

9.76

5.08

0.71

1.59

GNMA II 2.5%

GNMA II 3%

4.37

3.23

1.64

1.55
State of the US Housing Market

Global Markets Analysis Report

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

2.0 State of the US Housing Market

2.1 National HPI

Nationally, home prices now exceed their pre‐crisis peak on a nominal basis by 45.3%. The extent of the HPI

rebound since the Global Economic Crisis (GEC) has varied from state to state. For example, Colorado’s HPI is

over double its 2007 peak, up 110.6%; Connecticut and Illinois just surpassed their 2007 peak in March of 2021

and currently (as of June 2021) are 8.4% and 9.7%, respectively, above their peaks.

Source: FHFA. Notes: HPI data as of June 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. Current period is 6/2021, the latest HPI data period.

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

National 59.6% ‐21.1% 84.2% 10.5% 45.3%

AK 66.9% ‐5.2% 37.4% 6.4% 30.3%

AL 41.7% ‐15.0% 60.6% 10.0% 36.5%

AR 39.8% ‐11.0% 52.7% 10.3% 35.8%

AZ 110.3% ‐49.5% 167.9% 16.4% 35.3%

CA 144.8% ‐47.0% 132.1% 13.8% 23.0%

CO 32.4% ‐10.2% 134.5% 13.1% 110.6%

CT 72.9% ‐19.6% 34.9% 13.7% 8.4%

DC 162.7% ‐11.8% 114.6% 10.2% 89.3%

DE 88.7% ‐23.5% 50.4% 12.0% 15.1%

FL 130.2% ‐46.5% 135.8% 12.8% 26.0%

GA 35.9% ‐27.1% 106.5% 11.2% 50.6%

HI 138.9% ‐26.9% 91.0% 8.9% 39.6%

IA 27.9% ‐5.4% 51.6% 8.0% 43.4%

ID 73.3% ‐32.3% 190.6% 23.8% 96.6%

IL 49.9% ‐23.8% 44.0% 8.7% 9.7%

IN 19.1% ‐8.6% 73.5% 11.0% 58.5%

KS 31.0% ‐7.7% 63.6% 10.8% 51.1%

KY 28.9% ‐5.5% 60.7% 9.9% 51.9%

LA 51.6% ‐6.6% 42.7% 6.5% 33.3%

MA 69.9% ‐18.1% 73.4% 12.1% 41.9%

MD 126.4% ‐26.4% 50.2% 10.2% 10.5%

ME 72.0% ‐12.4% 71.3% 14.6% 50.1%

MI 18.4% ‐31.5% 107.0% 11.6% 41.8%

MN 52.6% ‐23.0% 81.1% 10.4% 39.5%

MO 39.2% ‐15.0% 71.2% 11.2% 45.5%

MS 38.9% ‐12.9% 40.8% 7.7% 22.7%

MT 79.3% ‐13.8% 91.1% 14.8% 64.8%

NC 39.8% ‐14.1% 78.0% 12.3% 52.9%

ND 51.8% ‐0.8% 66.7% 5.8% 65.3%

NE 24.4% ‐6.0% 73.9% 10.6% 63.5%

NH 72.7% ‐21.9% 76.8% 14.5% 38.0%

NJ 102.2% ‐22.6% 48.1% 12.8% 14.6%

NM 66.7% ‐18.0% 52.7% 10.5% 25.3%

NV 117.4% ‐59.2% 192.8% 13.0% 19.4%

NY 75.8% ‐10.5% 53.8% 11.4% 37.6%

OH 19.6% ‐16.5% 74.8% 11.3% 45.9%

OK 36.9% ‐4.7% 56.2% 8.8% 48.8%

OR 85.7% ‐28.6% 124.6% 13.6% 60.4%

PA 69.0% ‐10.9% 54.7% 10.7% 37.9%

RI 108.2% ‐28.0% 75.4% 14.4% 26.2%

SC 40.6% ‐16.0% 79.8% 11.0% 51.1%

SD 40.1% ‐2.4% 68.1% 11.7% 64.2%

TN 38.5% ‐12.6% 93.7% 13.4% 69.3%

TX 35.8% ‐3.0% 92.0% 11.4% 86.3%

UT 65.2% ‐26.1% 144.5% 19.1% 80.7%

VA 95.2% ‐18.8% 57.2% 10.6% 27.7%

VT 78.2% ‐10.2% 51.6% 14.0% 36.1%

WA 83.5% ‐27.3% 139.2% 14.8% 73.9%

WI 38.6% ‐14.2% 66.5% 10.4% 43.0%

WV 39.2% ‐5.8% 37.9% 8.9% 29.9%

WY 84.7% ‐9.6% 50.5% 8.9% 36.0%
State of the US Housing Market

Global Markets Analysis Report

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

Size of the US Residential Mortgage Market

2.2 Size and Value of the US Housing Market

The trending increase in total value of the US housing market has been driven by growing home equity since the

recovery from the Global Financial Crisis. Mortgage debt outstanding has been relatively flat, increasing from

$10.8 trillion in Q3 2020 to $11.0 trillion in Q1 2021 while total household equity increased from $21.2 trillion to

$22.7 trillion. The total value of the single‐family housing market reached $33.8 trillion in Q1 2021. Agency MBS

account for 65.5% of the total mortgage debt outstanding.  

Value of the US Housing Market

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q1 2021.

$ Trillions

40.0

35.0

30.0

25.0

20.0

15.0

10.0

5.0

0.0

33.8

22.7

11.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

Q1 2021

Debt Household equity Total Value

$ Trillions

9

8

7

6

5

4

3

2

1

0

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

7.71

3.25

0.42

0.39Q1 2021

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

Global Markets Analysis Report

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

2.3 Serious Delinquency Rates

Serious delinquency rates for single family GSE, FHA, and VA loans all fell sharply in Q2 2021. From Q1 to Q2

2021, Fannie and Freddie dropped 50 and 48 bps, respectively, or 19% and 21%, respectively, as a percentage

change. Ginnie Mae collateral serious delinquency rates dropped more than the GSE rates in absolute terms,

with FHA and VA dropping 138 and 57 bps respectively. Due to their higher starting delinquency rates, however,

the relative change from Q1 2021 to Q2 2021 at FHA and VA is lower than GSE relative change over the quarter,

at approximately 13 and 10% respectively.

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 Q2 2021. Serious Delinquency Rates

12%

10%

8%

6%

4%

2%

0%

9.62%

5.02%

2.08%

1.86%

2Q054Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q1

4

4Q1

4

2Q154Q152Q164Q162Q174Q172Q184Q182Q194Q192Q204Q202Q21

FHA Fannie Mae Freddie Mac VA

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

Global Markets Analysis Report

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

2.4 Characteristics of Ginnie Mae Loans in Forbearance

A total of 242,099 Ginnie Mae loans were in forbearance as of the end of July 2021. This represents a 15%

decrease MoM, continuing the trend of steep decline in forbearance observed in June 2021.  13,424 of loans in

forbearance were removed from pools and 228,675 still actively remain in pools. Most liquidated loans (10,737)

were FHA and within that subset, 8,300 of those loans were originated by nonbanks. 97% of the loans in

forbearance are due to COVID‐19 circumstances. Despite a drop of over 41,000 loans currently in forbearance

from June to July, the 97% proportion of loans in forbearance due to COVID‐19 circumstances has stayed

constant between June and July.

All Loans in Forbearance – July 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 658 3.8 $170,445 76.7 66.5 242,099

Bank 672 4.0 $126,804 74.0 77.8 36,229

Nonbank 657 3.8 $178,161 77.0 65.3 205,870

FHA 654 3.9 $165,082 78.9 72.5 167,922

Bank 664 4.2 $115,744 77.1 82.3 26,983

Nonbank 653 3.8 $174,632 79.1 71.5 140,939

VA 668 3.5 $219,143 65.9 46.5 52,930

Bank 685 3.7 $188,284 65.9 67.8 7,438

Nonbank 665 3.5 $224,024 65.9 43.6 45,492

Loans in Forbearance and Removed from Pools – July 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 656 4.0 $156,237 76.8 68.0 13,424

Bank 674 4.0 $121,853 78.9 78.0 3,202

Nonbank 652 4.0 $168,343 76.2 65.9 10,222

FHA 653 4.0 $154,499 78.1 70.0 10,737

Bank 672 4.1 $116,503 80.4 84.2 2,437

Nonbank 649 4.0 $167,249 77.5 67.3 8,300

VA 668 3.9 $196,110 68.4 53.4 1,900

Bank 680 3.8 $159,423 71.0 55.3 559

Nonbank 665 3.9 $206,733 67.7 52.8 1,341

Loans in Forbearance that Remain in Pools – July 2021

FICO Score* Note Rate* Current Principal Balance Median First Time Homebuyer Share (%) Purchase Share (%) Loan Count

Ginnie 659 3.8 $171,213 76.6 66.5 228,675

Bank 672 4.0 $127,429 73.5 77.8 33,027

Nonbank 657 3.7 $178,786 77.0 65.3 195,648

FHA 654 3.9 $165,746 79.0 72.6 157,185

Bank 663 4.2 $115,692 76.7 82.1 24,546

Nonbank 653 3.8 $175,129 79.2 71.8 132,639

VA 668 3.5 $220,181 65.8 46.3 51,030

Bank 685 3.7 $190,016 65.7 68.6 6,879

Nonbank 665 3.5 $224,658 65.9 43.4 44,151

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 July 2021; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

Global Markets Analysis Report

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

Number of Loans Removed from Pools: Bank

Share of Ginnie Mae Loans in Forbearance

The share of Ginnie Mae loans in forbearance continued to decline to a record low since the pandemic (2.2% in

July 2021). The forbearance rate for Ginnie Mae MBS issued by nonbanks continues to be higher than that of

Ginnie Mae MBS issued by banks. This is partly due to banks continuing to buy out loans in forbearance more

aggressively than nonbanks. In July 2021 of the 36,229 Ginnie Mae bank loans in forbearance, approximately 9%

were liquidated from pools, whereas, of the 205,870 Ginnie Mae nonbank loans in forbearance, approximately

5% were liquidated. This trend of more rapid bank buyouts is a continuation of patterns observed in prior

months. The total number of loans liquidated from pools decreased in July 2021 from the previous month,

however the proportion of loans in forbearance liquidated has increased slightly, from 5.2% to 5.5%.

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 July 2021.

Number of Loans Removed from Pools: Nonbank

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 July 2021.

14%

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

300000

250000

200000

150000

100000

50000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

250000

200000

150000

100000

50000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

Additionally, a small number of loans were removed due to ‘Foreclosure with Claim’ and 'Other' reasons in July 2021.
State of the US Housing Market

Global Markets Analysis Report

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

Number of Loans Removed from Pools: FHA

Of the Ginnie Mae loans that were liquidated from pools due to mortgage delinquency, 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). In July 2021, the number of loans

repurchased due to delinquency decreased 17% to 30,952 for FHA and 26% 3,995 VA loans (these counts include

all delinquent buyouts, regardless of forbearance status). The vast majority of loans removed from pools

continue to be payoffs triggered by the high refinance activity (blue areas).

Number of Loans Removed from Pools by Coupon

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 July 2021.

Number of Loans Removed from Pools: VA

200000

150000

100000

50000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

<3.5 Loss Mitigation <3.5 Repurchase of Delinquent Loan

<3.5 Mortgagor Payoff

160000

140000

120000

100000

80000

60000

40000

20000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

300000

250000

200000

150000

100000

50000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

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

350000

300000

250000

200000

150000

100000

50000

0

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/20217/1/2021

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

>=3.5 Mortgagor Payoff
State of the US Housing Market

Global Markets Analysis Report

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

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 23% of new Agency issuance over the past year. The share of Ginnie

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

the lowest in the District of Columbia (13%). The same holds true for Agency issuance share, with the highest

issuance share over the past year in Alaska (49%) and the lowest in the District of Columbia (12%).

Agency Issuance (past 1 year) Agency Outstanding

National

GNMA

Share

GNMA Loan

Count

GNMA Avg.

Loan Size

GSE Avg. Loan

Size

GNMA Share by

UPB

GNMA Loan

Count

GNMA Avg. Loan

Size

GSE Avg. Loan

Size

23%   3,000,642     276,857.69     297,762.15   27% 10,740,972 184,046.14 213,453.46

AK 49%   11,255     331,903.15     292,986.64   48% 37,009 249,249.71 214,614.24

AL 36%   58,082     215,913.33     231,577.20   42% 233,685 143,256.00 168,526.55

AR 33%   30,588     183,872.64     209,440.48   41% 136,574 121,767.97 152,027.24

AZ 24%   106,742     271,995.55     273,135.31   26% 287,181 194,586.98 207,488.88

CA 15%   265,440     423,104.30     417,376.77   17% 697,302 304,065.88 310,182.48

CO 23%   89,452     355,520.28     339,981.30   25% 220,576 263,909.49 261,364.43

CT 21%   25,438     262,631.42     285,103.12   26% 104,109 191,431.58 203,392.90

DC 12%   2,870     562,706.28     473,825.28   13% 8,794 354,284.48 346,154.48

DE 28%   13,887     262,580.19     270,942.71   33% 50,476 192,958.39 201,051.89

FL 32%   263,368     267,956.30     263,894.44   34% 838,625 192,030.30 194,624.74

GA 30%   136,385     240,093.53     266,198.27   35% 497,879 162,743.38 192,164.27

HI 37%   15,106     580,320.58     463,034.24   32% 32,828 441,282.87 345,523.21

IA 16%   17,070     183,062.65     201,405.32   22% 82,595 124,846.09 145,245.93

ID 21%   21,488     281,502.30     271,779.72   25% 68,583 188,767.22 204,019.76

IL 17%   82,537     222,408.26     245,036.66   22% 351,149 151,010.05 173,958.20

IN 25%   65,077     187,802.27     199,953.21   32% 282,892 122,715.68 142,432.12

KS 24%   22,337     200,165.21     221,745.43   31% 98,215 130,876.92 156,567.38

KY 29%   39,481     194,811.68     206,663.14   35% 163,170 132,772.29 148,209.98

LA 34%   45,469     211,230.85     238,072.14   40% 190,084 149,127.47 172,618.95

MA 13%   34,522     363,122.28     360,109.65   16% 113,351 263,493.67 262,107.58

MD 31%   90,392     352,663.36     330,813.49   35% 285,523 251,851.25 242,191.54

ME 21%   10,439     212,670.35     250,262.71   27% 38,293 164,788.02 182,086.35

MI 15%   62,561     188,669.13     211,403.27   21% 279,909 123,770.10 150,303.38

MN 15%   40,665     253,502.93     258,262.33   19% 164,207 171,047.86 190,693.99

MO 23%   57,046     198,492.30     214,478.53   30% 248,640 131,687.57 155,070.87

MS 41%   24,647     199,846.87     214,228.04   48% 117,427 132,492.68 154,212.83

MT 23%   10,345     275,891.56     276,032.95   26% 34,178 191,417.00 201,921.02

NC 26%   117,666     238,083.62     262,487.41   31% 421,011 160,317.31 188,474.65

ND 22%   4,995     251,103.00     240,597.43   24% 16,424 183,598.39 180,838.71

NE 21%   14,922     219,598.87     211,433.14   28% 66,947 137,200.55 154,119.68

NH 20%   11,813     291,726.10     279,147.72   24% 40,123 211,290.30 204,115.32

NJ 17%   61,547     307,724.28     340,661.35   22% 228,196 224,744.59 246,494.13

NM 34%   22,915     227,952.81     237,130.46   39% 95,384 154,718.79 168,644.86

NV 31%   50,804     308,632.35     285,343.43   32% 133,656 225,781.65 217,749.54

NY 15%   50,451     311,112.64     338,595.86   21% 307,032 195,444.29 237,299.52

OH 23%   88,259     187,239.38     204,984.09   31% 424,232 121,465.03 142,023.12

OK 37%   40,162     200,252.53     214,301.41   44% 190,016 130,896.20 153,448.68

OR 19%   40,672     320,713.05     317,960.10   20% 114,773 232,422.07 238,350.69

PA 20%   80,629     212,444.58     249,367.76   28% 391,887 142,640.80 174,478.24

RI 25%   9,945     293,405.05     274,383.24   30% 34,873 213,088.30 204,178.89

SC 32%   68,805     237,334.23     246,939.97   35% 229,156 167,308.13 180,597.08

SD 25%   8,249     228,444.04     224,864.50   30% 29,575 159,392.68 170,184.58

TN 28%   73,930     238,928.73     257,717.79   34% 281,149 158,661.61 189,012.64

TX 30%   283,195     253,542.89     271,969.33   33% 1,069,658 166,667.41 196,170.21

UT 18%   37,824     318,662.00     309,545.03   21% 104,084 229,683.20 244,568.05

VA 34%   145,732     349,168.86     338,263.82   37% 437,510 242,121.35 243,670.59

VT 17%   3,062     236,666.67     249,572.58   19% 12,289 173,026.25 172,177.73

WA 20%   88,542     362,858.27     370,571.27   23% 242,620 259,171.03 273,761.61

WI 14%   32,489     212,546.82     219,137.64   18% 125,156 146,281.91 157,577.56

WV 39%   13,207     196,819.08     199,263.28   44% 56,594 135,877.14 139,137.33

WY 33%   8,138     257,283.42     255,730.17   36% 25,373 194,214.84 193,786.34

Sources: eMBS, Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files.  

Notes: Outstanding balance is based on loan balance as of July 2021. Ginnie Mae issuance is based on the last 12 months, from August 2020 to July 2021.
State of the US Housing Market

Global Markets Analysis Report

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

2.6 Outstanding Single Family Agency MBS  

As of July 2021, according to the Agency MBS disclosure files, outstanding single family securities in the Agency

market totaled $7.99 trillion: 41.0% Fannie Mae, 34.1% Freddie Mac, and 24.9% Ginnie Mae MBS. Within the

Ginnie Mae market the composition of issuance has shifted in the past ten years, as FHA‐insured single family

loans as a percentage of MBS collateral have declined and VA‐guaranteed loan share has increased significantly.

In July 2011, close to 77% of Ginnie Mae outstanding collateral was FHA and under 20% was VA. In July 2021,

FHA collateral comprised 53.5% of Ginnie Mae outstanding and VA collateral comprised 40.8% of Ginnie Mae

outstanding.

Outstanding Agency Mortgage‐Backed Securities

Sources: Data as of July 2021 is based on outstanding balances in the Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files.

Composition of Outstanding Ginnie Mae Mortgage‐Backed Securities

$ in billions

$9,000

$8,000

$7,000

$6,000

$5,000

$4,000

$3,000

$2,000

$1,000

$0

$7,988

$3,272

$2,726

$1,990

Jul‐00

Jul‐01

Jul‐02

Jul‐03

Jul‐04

Jul‐05

Jul‐06

Jul‐07

Jul‐08

Jul‐09

Jul‐10

Jul‐11

Jul‐12

Jul‐13

Jul‐14

Jul‐15

Jul‐16

Jul‐17

Jul‐18

Jul‐19

Jul‐20

Jul‐21

Fannie Mae Freddie Mac Ginnie Mae Total

$ in billions

$1,400

$1,200

$1,000

$800

$600

$400

$200

$‐

Jul‐00

Jul‐01

Jul‐02

Jul‐03

Jul‐04

Jul‐05

Jul‐06

Jul‐07

Jul‐08

Jul‐09

Jul‐10

Jul‐11

Jul‐12

Jul‐13

Jul‐14

Jul‐15

Jul‐16

Jul‐17

Jul‐18

Jul‐19

Jul‐20

Jul‐21

$1,065

$812

$114

FHA VA Other
State of the US Housing Market

Global Markets Analysis Report

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

Outstanding Ginnie Balance, by Vintage

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

As of July 2021, the weighted average coupon on outstanding Ginnie Mae pools was 3.03%, down 3 bps since

June. The share of outstanding MBS pools with coupons below 3.0% has grown significantly since 2020 due to

low interest rates and attendant refinance opportunities. The bottom chart shows that loans originated since

2014 comprise almost 90% of Ginnie MBS collateral outstanding, with loans originated since 2019 accounting for

63% of Ginnie MBS collateral outstanding. The weighted average coupon of loans originated after 2019 is 2.66%,

a 1 bp MoM drop for this cohort.

Outstanding Ginnie Balance, by Coupon

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: July 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.

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

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

4.10%

3.90%

3.70%

3.50%

3.30%

3.10%

2.90%

2.70%

Avg Coupon

<3.0 3.0‐3.49 3.5‐4.0 >4.0 Avg Coup

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

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

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

  

Global Markets Analysis Report

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

2.8 Origination Volume and Share Over Time

Strong origination volume trends have continued in the first half of 2021, with $2.54 trillion in originations,

which outpaces Q1‐Q2 2020 issuance by approximately 51%. Securitized first lien originations have increased

from an 18‐year low of 66% of total first lien originations in 2019 up to 75% in Q2 2021 with first lien origination

of Ginnie Mae collateral dropping from approximately 20% of total first lien origination to under 16% in Q2

2021. GSE securitized first lien debt accounts for much of the increase in the share of securitized first lien

originations since 2019, having increased from 44% in 2019 to 58% in Q2 2021.

First Lien Origination Volume & Share

Source: Inside Mortgage Finance. Note: Data as of Q2 2021.

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.30

$0.02

$0.19

$0.71

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

24.6%

1.9%

15.5%

58.0%
US Agency Market, Originations

Global Markets Analysis Report

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

3.0 US Agency Market, Originations

Agency gross issuance has decreased approximately 7% MoM and net issuance has decreased 14% in July.

Despite this decline, year to date Agency gross issuance continues to exceed Agency gross issuance for the same

period in 2020 by approximately 42%. Ginnie Mae gross issuance year to date outpaces that of the first seven

months of 2020, $521.4 billion to $407.3 billion. Agency net issuance year to date also exceeds that of the same

period in 2020 by close to 71%. This is despite a drop in Ginnie Mae net issuance to below zero in 2021; Ginnie

Mae net issuance between January and July 2020 fell from $26.1 billion down to $‐12.5 billion over the same

period in 2021. Within Ginnie Mae, VA production continues to outpace FHA.  

Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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 $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 $888.6 $761.1 $1,649.7 $521.4 $2,171.1

Ginnie Mae Gross Issuance ($ in billions)

Issuance Year FHA VA Other Total

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 $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 $228.7 $277.3 $15.4 $521.4
US Agency Market, Originations

Global Markets Analysis Report

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

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 $238.2 $290.0 $528.2 ‐$12.5 $515.7

Ginnie Mae Net Issuance ($ 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 ‐$49.4 $41.7 ‐$3.4 ‐$12.5

   
US Agency Market, Originations

Global Markets Analysis Report

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

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

Jan‐17 $55.6 $38.5 $42.6 $94.1 $136.6 $8.5 $10.7 $10.3 $19.2 $29.5

Feb‐17 $37.6 $27.4 $33.1 $65.0 $98.1 $2.5 $6.5 $9.4 $9.0 $18.5

Mar‐17 $39.5 $24.4 $31.3 $63.9 $95.2 $9.7 $6.2 $9.7 $15.9 $25.6

Apr‐17 $39.3 $21.2 $36.4 $60.6 $97.0 $3.3 $0.4 $11.7 $3.7 $15.4

May‐17 $40.3 $22.6 $36.4 $62.9 $99.3 $7.7 $2.7 $13.3 $10.4 $23.8

Jun‐17 $45.7 $25.1 $39.9 $70.8 $110.7 $7.9 $2.4 $13.3 $10.3 $23.5

Jul‐17 $45.3 $27.6 $40.6 $72.9 $113.5 $5.6 $3.5 $12.3 $9.2 $21.5

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 $91.1 $67.7 $199.6 $267.3 $36.1 $34.4 $2.6 $70.6 $73.2

Jul‐21 $95.4 $84.6 $69.0 $180.0 $249.0 $30.7 $33.5 ‐$1.4 $64.2 $62.8

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

month data was sourced from eMBS and Urban Institute.
US Agency Market, Originations

Global Markets Analysis Report

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

The FHA refinance share stood at 35% in July 2021, below the 53% refi share for Freddie originations, the 55%

share for Fannie, and the 53% share for the VA. The total Ginnie refinance share stood at 43% in July. Refinances

as a share of all originations dropped from June to July from 57% to 51%. This continues a trend of refinances

representing a smaller proportion of overall issuance since recent refinance peaks in early 2021 and mid 2020.

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 July 2021.

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

55%

53%

53%

43%

35%

3/1/20137/1/2013

11/1/2013

3/1/20147/1/2014

11/1/201

4

3/1/20157/1/2015

11/1/2015

3/1/20167/1/2016

11/1/2016

3/1/20177/1/2017

11/1/2017

3/1/20187/1/2018

11/1/2018

3/1/20197/1/2019

11/1/2019

3/1/20207/1/2020

11/1/2020

3/1/20217/1/2021

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

GSEs

       

  

Global Markets Analysis Report

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

  

4.0 High LTV Loans: Ginnie Mae vs. GSEs

The share of high‐LTV Agency loans going to highest FICO borrowers (i.e. above 750) has increased by 4% from

the June 2019‐August 2019 period to the June 2021‐August 2021 period, and the share of lower DTI borrowers

(below 35) has decreased by approximately 2% over the same period. While Ginnie Mae has decreased high‐LTV

lending share by approximately 3% from June 2019− August 2019 to June 2021 –August 2021, the GSEs have

increased high‐LTV lending share over the same period. 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 62.72%

of its issuances in the April 2021‐July 2021 period having LTVs of 95 or above, compared to 9.53% for the GSEs.

Share of Loans with LTV > 95

   Ginnie Mae GSE All

          

June 2019‐Aug 2019 64.49% 6.55% 26.69%

    June 2021 ‐ Aug 2021 62.72% 9.53% 21.74%

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

June – Aug 2021

            FICO         

DTI    <650 650‐700 700‐750 ≥750 NA All

<35 4.36% 6.00% 3.18% 5.09% 1.18% 19.80%

35‐45 6.44% 8.50% 3.87% 3.95% 0.24% 22.99%

≥45 5.11% 7.85% 3.70% 3.12% 0.16% 19.93%

NA 5.09% 6.72% 4.37% 7.19% 13.90% 37.28%

All    21.00% 29.07% 15.12% 19.35% 15.48% 100.00%

           June ‐ August 2019

         FICO         

DTI <650 650‐700 700‐750 ≥750 NA All

<35 4.45% 6.15% 3.39% 4.94% 1.30% 20.22%

35‐45 6.61% 8.69% 4.26% 4.29% 0.20% 24.05%

≥45 5.21% 7.98% 4.05% 3.45% 0.12% 20.82%

NA 5.54% 7.13% 4.30% 5.94% 11.99% 34.91%

All 21.81% 29.95% 16.00% 18.62% 13.61% 100.00%

Sources: eMBS, Recursion and Ginnie Mae.
Holders of Ginnie Mae Mortgage

Servicing Rights

Global Markets Analysis Report

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

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. As of

August 2021, over half (51.2%) of the Ginnie Mae MSRs are owned by the top six firms. The top 30 firms

collectively own 81.68% (see Cumulative Share). Twenty‐two of these top 30 are non‐depository institutions, the

remaining 8 are depository institutions.

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

Rank MSR Holder UPB ($ millions) Share Cumulative Share  

1 Freedom Home Mortgage   $240,385 12.45% 12.45%

2 PennyMac $214,613 11.11% 23.56%

3 Lakeview $198,476 10.28% 33.84%

4 Wells Fargo $132,674 6.87% 40.71%

5 Rocket Mortgage $96,879 5.02% 45.73%

6 Nationstar $86,491 4.48% 50.21%

7 Newrez $58,530 3.03% 53.24%

8 US Bank $47,345 2.45% 55.69%

9 Caliber Home Loans $46,020 2.38% 58.07%

10 Carrington Mortgage $44,549 2.31% 60.38%

11 United Wholesale Mortgage $36,861 1.91% 62.29%

12 USAA Federal Savings Bank $34,587 1.79% 64.08%

13 Loan Depot $30,870 1.60% 65.68%

14 Navy Federal Credit Union $27,949 1.45% 67.13%

15 Mortgage Research Center $27,528 1.43% 68.55%

16 Home Point Financial Corporation $26,916 1.39% 69.94%

17 Planet Home Lending $25,642 1.33% 71.27%

18 Truist Bank $23,459 1.21% 72.49%

19 The Money Source $22,067 1.14% 73.63%

20 Guild Mortgage $20,154 1.04% 74.67%

21 Amerihome Mortgage $17,126 0.89% 75.56%

22 Midfirst Bank $14,741 0.76% 76.32%

23 New American Funding $14,139 0.73% 77.06%

24 Crosscountry Mortgage $13,934 0.72% 77.78%

25 Village Capital   $13,245 0.69% 78.46%

26 Citizens Bank $12,762 0.66% 79.12%

27 JP Morgan Chase $12,474 0.65% 79.77%

28 CMG Mortgage, INC $12,440 0.64% 80.41%

29 Idaho Housing and Finance Association $12,323 0.64% 81.05%

30 PHH Mortgage Corporation $12,023 0.62% 81.68%

Source:  Deloitte and Ginnie Mae. Data as of August 2021.
Agency Nonbank Originators

  

  

Global Markets Analysis Report

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

6.0 Agency Nonbank Originators

From 2013 through July 2021 there has been a steady increase in nonbank origination share for the GSEs,

however total Agency nonbank origination experienced a slight decline of approximately 1.0% in July 2021

compared to June 2021. The Ginnie Mae nonbank share has been consistently higher than the GSEs, standing at

88.8% in July 2021, approximately 22% and 12% greater than Freddie and Fannie’s nonbank shares, respectively.

And while July saw a slight decline in nonbank share for Freddie Mac to 73.0% compared to 77.2% in June 2021,

Fannie’s nonbank share bounced back to 79.0% from 77.2% in June 2021.

6.1 Agency Nonbank Originator Share (All, Purchase, Refi)

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

100%

80%

60%

40%

20%

0%

Jul‐13

Jan‐14

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Fannie Freddie Ginnie

100%

80%

60%

40%

20%

0%

Jul‐13

Jan‐14

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Fannie Freddie Ginnie

Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

88.8%

79.4%

79.0%

73.0%

Jul‐13

Jan‐14

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Fannie Freddie Ginnie
Agency Nonbank Originators

  

Global Markets Analysis Report

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

After a half a point increase in June 2021, Ginnie Mae’s July 2021 total nonbank originator share declined by

approximately 92 bps from the prior month. In July 2021 there was a slight decline in nonbank origination share

for both purchase and refi loans. Nonbank origination share for refi loans from FHA and VA experienced a slight

decline in July 2021.  However, nonbank shares of “Other” (see footnote) refis and purchases increased slightly

in July 2021 and have continued to increase on a MoM basis since May 2021.

6.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi)

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “Other" refers to

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of July 2021.

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

91.4%

88.8%

87.3%

86.6% Jul‐21

FHA VA Other All

Ginnie Mae Nonbank Share: Purchase Loans Ginnie Mae Nonbank Share: Refi Loans

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All FHA VA Other

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All FHA VA Other
Agency Nonbank Originators

  

Global Markets Analysis Report

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

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

Nonbank originators continue to have a consistently lower median FICO score than their bank counterparts

across all Agencies. The Agency median FICO continued to decline in July 2021 for banks and nonbanks.

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

720

710

700

690

680

670

660

650

640

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median FICO Bank Median FICO Nonbank Median FICO

780

770

760

750

740

730

720

710

700

690

680

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median FICO Bank Median FICO Nonbank Median FICO

Agency FICO: Bank vs. Nonbank

GSE FICO: Bank vs. Nonbank Ginnie Mae FICO: Bank vs. Nonbank

780

760

740

720

700

680

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

758

748

741

All Median FICO Bank Median FICO

FICO

Nonbank Median FICO
Agency Nonbank Originators

  

Global Markets Analysis Report

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

The median LTV for GSE bank and nonbank originators has been on a steady decline since Q3 2019 with a slight

uptick in recent months. The decline in median LTV occurred during the recent increase in refinance share (see

Section 3.0). The slight uptick in recent months in Ginnie Mae median LTV is attributable to an increase in the

Bank median LTVs. The substantial increase in Ginnie Mae DTIs between 2017 and 2019 has mostly been

reversed. However, Ginnie Mae median DTI experienced a slight uptick in July 2021.

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

46

44

42

40

38

36

34

32

30

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

GSE LTV: Bank vs Nonbank Ginnie Mae LTV: Bank vs. Nonbank

GSE DTI: Bank vs Nonbank Ginnie Mae DTI: Bank vs. Nonbank

30

46

44

42

40

38

36

34

32

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

100

96

92

88

84

80

76

72

68

64

60

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median LTV Bank Median LTV

Nonbank Median LTV

100

96

92

88

84

80

76

72

68

64

60

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median LTV Bank Median LTV

Nonbank Median LTV
Agency Nonbank Originators

Global Markets Analysis Report

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

The median FICO score for Ginnie Mae bank and nonbank originators has been on a steady decline since the

beginning of Q1 2021. July continued this pattern with the median FICO for all Ginnie originations dropping to

676. The gap between banks and non‐banks continues to be very apparent for all categories of government

mortgage loan lending. While VA nonbank median FICO has been declining since Q4 2020, the bank VA median

FICO has remained flat MoM.

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: "Other" refers to

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of July 2021.

740

730

720

710

700

690

680

670

660

650

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

770

750

730

710

690

670

650

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

700

690

680

670

660

650

640

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

720

710

700

690

680

670

660

650

640

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median FICO Bank Median FICO

Nonbank Median FICO

Ginnie Mae FICO Score: Bank vs. Nonbank Ginnie Mae FHA FICO Score: Bank vs. Nonbank

Ginnie Mae VA FICO Score: Bank vs. Nonbank Ginnie Mae Other FICO Score: Bank vs. Nonbank
Agency Nonbank Originators

Global Markets Analysis Report

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

Median DTI for Ginnie Mae nonbank originations has been consistently higher than median bank DTI. This is a

trend evident for all loan types except for the “Other” category, where the spread between median bank and

nonbank DTI is relatively small. DTIs dipped slightly during the pandemic but have rebounded to pre‐COVID level

in recent months.

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “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 July 2021.

46

44

42

40

38

36

34

32

30

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

Ginnie Mae DTI: Bank vs. Nonbank Ginnie Mae FHA DTI: Bank vs. Nonbank

Ginnie Mae VA DTI: Bank vs. Nonbank Ginnie Mae Other DTI: Bank vs. Nonbank

0

5

20

35

40

50

‐15‐15

Oct‐15

‐16‐16

‐16

‐17‐17

‐17

‐18‐18

‐18

‐19‐19

‐19

‐20‐20

Oct‐20

‐21‐21

45

30

25

15

10

Feb

Jun

Feb

Jun

Oct

Feb

Jun

Oct

Feb

Jun

Oct

Feb

Jun

Oct

Feb

Jun

Feb

Jun

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

44

32

46

42

40

38

36

34

30

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

46

44

42

40

38

36

34

32

30

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

46

44

42

40

38

36

34

32

30

Jul‐14

Jan‐15

Jul‐15

Jan‐16

Jul‐16

Jan‐17

Jul‐17

Jan‐18

Jul‐18

Jan‐19

Jul‐19

Jan‐20

Jul‐20

Jan‐21

Jul‐21

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI
Market Conditions

Global Markets Analysis Report

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

7.0 Fixed Income Market Conditions

Agency MBS average daily trading volume was $298 billion from January 2021 to July 2021. Agency MBS

turnover is hovering around its 2020 average at 2.96%. As of July 2021, year to date Agency MBS average

turnover was 1 basis point higher than the 2020 average. In 2020 and thus far in 2021 Agency MBS turnover has

been higher than US Treasury turnover, which has not occurred since 2002. Both average daily mortgage and

Treasury turnover are down from their pre‐crisis peaks. Corporate turnover remains minimal relative to either

Agency MBS or Treasury turnover.

7.1 Average Daily Trading Volume and Turnover by Sector

Source: SIFMA. Note: Data as of July 2021.

Average Daily Trading Volume by Sector

Average Daily Turnover by Sector

$ Billions

$700

$600

$500

$400

$300

$200

$100

$0

$621

$298

$40

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

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

14%

12%

10%

8%

6%

4%

2%

0%

2.96%

2.90%

0.38%

20022003 20042005 20062007 20082009 20102011 20122013 2014 20152016 20172018 20192020 2021

Agency MBS Turnover Treasury Turnover Corporates Turnover
Prepayments

Global Markets Analysis Report

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

8.0 Prepayments

After a brief increase in June 2021, Fannie Mae and Freddie Mac fixed rate prepayment speeds continued their

downward trending, posting 10% and 9% decrease, respectively. In July 2021, Ginnie Mae fixed rate prepayment

speeds posted a 6% MoM decrease. Ginnie Mae 30‐year buyout rates dropped by 1.5 Conditional Buyout Rate

(CBR).2 ARM MBS prepayments for both Ginnie Mae and the GSEs also posted an average 10% decrease across

all products. With the recent termination of the FHFA refinance fee on August 1, 2021, the volume of GSE refi

activity could increase in the coming months. The terminated FHFA refinance fee is estimated to have added an

additional 10 basis points to the mortgage rate for conventional buyers. 3

8.1 Aggregate Prepayments

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

2 Ahlgren R and Hong P (2021, August 6). US Structured Products Trading Desk Strategy | RMBS Strategy | Speeds Drop, in Line With Our Forecast, pp.

1.Ahlgren R and Hong P (2021, September 8). US Structured Products Trading Desk Strategy | RMBS Strategy | Speeds Slower Than Forecast as Originators

Shift Focus, pp. 1. 3 https://www.insidemortgagefinance.com/articles/221930‐the‐amrf‐is‐dead‐reaction‐better‐profits‐coming‐blend‐finally‐goes‐public‐a‐goldman‐wells‐

deal‐what‐waters‐legislative‐package‐means‐for‐lenders?v=preview Constant Prepayment Rate (%)

60

50

40

30

20

10

ARM Aggregate Prepayments

0

Jul‐17

Sep‐17

Nov‐17

Jan‐18

Mar‐18

May‐18

Jul‐18

Sep‐18

Nov‐18

Jan‐19

Mar‐19

May‐19

Jul‐19

Sep‐19

Nov‐19

Jan‐20

Mar‐20

May‐20

Jul‐20

Sep‐20

Nov‐20

Jan‐21

Mar‐21

May‐21

Jul‐21

34.2

32.1

30.8

Fannie Mae Freddie Mac Ginnie Mae

Constant Prepayment Rate

(%)

60

40

20

0

Fixed Rate Aggregate Prepayments

Jul‐17

Sep‐17

Nov‐17

Jan‐18

Mar‐18

May‐18

Jul‐18

Sep‐18

Nov‐18

Jan‐19

Mar‐19

May‐19

Jul‐19

Sep‐19

Nov‐19

Jan‐20

Mar‐20

May‐20

Jul‐20

Sep‐20

Nov‐20

Jan‐21

Mar‐21

May‐21

Jul‐21

31.3

21.5

20.1

Fannie Mae Freddie Mac Ginnie Mae
Prepayments

Global Markets Analysis Report

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

Since the inversion in Q1 2020 and Q3 2020, the prepayment rate gap between Ginnie Mae and the GSEs has

widened. Of the 2‐4% coupon cohorts, the prepayment differential is the most evident in the 3‐3.5% coupon

cohorts where the difference widened by 9.2% CPR in July.  

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

remaining principal balance. Constand Prepayment Rate (%)

60

50

40

30

20

10

0

All Agency 3% Coupon CPR

Jul‐17

Sep‐17

Nov‐17

Jan‐18

Mar‐18

May‐18

Jul‐18

Sep‐18

Nov‐18

Jan‐19

Mar‐19

May‐19

Jul‐19

Sep‐19

Nov‐19

Jan‐20

Mar‐20

May‐20

Jul‐20

Sep‐20

Nov‐20

Jan‐21

Mar‐21

May‐21

Jul‐21

39.8

30.9

30.2

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

Constant Prepayment Rate (%)

60

50

40

30

20

10

0

All Agency 3.5% Coupon CPR

Jul‐17

Sep‐17

Nov‐17

Jan‐18

Mar‐18

May‐18

Jul‐18

Sep‐18

Nov‐18

Jan‐19

Mar‐19

May‐19

Jul‐19

Sep‐19

Nov‐19

Jan‐20

Mar‐20

May‐20

Jul‐20

Sep‐20

Nov‐20

Jan‐21

Mar‐21

May‐21

Jul‐21

43.8

34.8

34.5

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

Global Markets Analysis Report

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

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

remaining principal balance.

60

Constant Prepayment Rate (%)

50

40

30

20

10

0

All Agency 4% Coupon CPR

Jul‐17

Sep‐17

Nov‐17

Jan‐18

Mar‐18

May‐18

Jul‐18

Sep‐18

Nov‐18

Jan‐19

Mar‐19

May‐19

Jul‐19

Sep‐19

Nov‐19

Jan‐20

Mar‐20

May‐20

Jul‐20

Sep‐20

Nov‐20

Jan‐21

Mar‐21

May‐21

Jul‐21

45.2

36.3

36.0

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

Global Markets Analysis Report

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

9.0 MBS Ownership

As of Q1 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial

banks (26%), the Federal Reserve (22%), and foreign investors (11%). The Federal Reserve’s share increased

from 15% in the first quarter of 2020 to 22% in the first quarter of 2021 due to substantial purchases of MBS in

response to the COVID‐19 crisis ($1.8 trillion in Fed purchases during this time period). 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 August 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 Q1 2021.

9.1 Commercial Bank Holdings of Agency MBS

Commercial Bank Holdings ($Billions) Week Ending

Aug‐20 Feb‐21 Mar‐21 Apr‐21 May‐21 Jun‐21 Jul‐21 Aug‐21 4‐Aug 11‐Aug 18‐Aug 25‐Aug

Largest 25 Domestic

Banks   1,751.8     1,970.9     2,000.3     2,023.3     2,053.8     2,060.2     2,081.1  

  

2,098.4  

  

2,083.6  

  

2,086.4  

  

2,106.0  

  

2,106.6  

Small Domestic Banks   540.3     621.0     639.7     656.0     674.4     683.5     695.8     711.8     704.1     709.5     711.4     710.4  

Foreign Related Banks   42.7     52.3     50.6     51.0     49.3     46.4     46.0     48.4     49.3     47.6     47.0     47.2  

Total, Seasonally

Adjusted 2,334.8   2,644.2   2,690.6   2,730.3   2,777.5   2,790.1   2,822.9   2,858.6   2,837.0   2,843.5   2,864.4   2,864.2  

Source: Federal Reserve Bank. Note: Small domestic banks include all domestically chartered commercial banks not included in the top 20. Data as of

August 2021.

Who Owns Total Agency Debt?
MBS Ownership

Global Markets Analysis Report

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

9.2 Bank and Thrift Residential MBS Holdings

In Q2 2021, MBS holdings at banks and thrifts increased for the eleventh 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 Q1 2021. Out of the $2.8 trillion in

MBS holdings at banks and thrifts as of Q2 2021, $2.2 trillion were Agency pass‐throughs. $1.8 trillion were GSE

pass‐throughs and $353 billion were Ginnie Mae pass‐throughs. Another $555 billion were Agency CMOs, while

non‐Agency holdings totaled $48 billion.  

($ in billions)

All Banks & Thrifts 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   212.65  

2001   810.50     270.59     109.53     37.62     236.91     76.18     606.91   203.37  

2002   912.36     376.11     101.46     20.08     244.98     89.88     702.44   209.66  

2003   982.08     461.72     75.11     19.40     236.81   106.86     775.66   206.45  

2004   1,113.89     572.40     49.33     20.55     208.18   160.55     879.75   234.31  

2005   1,033.77     566.81     35.92     29.09     190.70   211.25     897.06   242.69  

2006   1,124.46     628.52     31.13     42.32     179.21   243.28     983.49   223.42  

2007   1,149.10     559.75     31.58     26.26     174.27   357.24     971.42   264.59  

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Change:

1Q21‐2Q21 3% 7% ‐6% ‐2% 0% 2% 3% 3%

2Q20‐2Q21 27% 49% ‐20% ‐5% 16% 2% 25% 41%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2021.

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

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

Residential MBS

Investors ($ in

Top Bank & Thrift

millions)

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

1 Bank of America

Corporation   611,942.0     510,382.0     89,844.0     11,484.0     232.0 22%

2 Wells Fargo & Company   277,627.0     206,837.0     65,204.0     5,170.0     416.0 10%

3 Charles Schwab Bank   180,800.0     91,697.0     10,560.0     78,543.0     ‐     7%

4 JPMorgan Chase & Co.   170,868.0     97,339.0     59,649.0     135.0     13,745.0 6%

5 Truist Bank   124,588.0     53,308.0     11,609.0     59,164.0     507.0   5%

6 U.S. Bancorp   120,203.0     84,365.2     21,545.5     14,291.9     0.4 4%

7 Citigroup Inc.   96,396.0     89,447.0     1,784.0     4,004.0     1,161.0 4%

8 Capital One Financial

Corporation   77,750.4     45,284.1     9,903.8     22,018.6     543.9   3%

9 PNC Bank, National

Corporation   57,478.7     48,260.8     6,794.5     1,100.7     1,322.7 2%

10 Bank of New York

Mellon Corp   56,473.0     42,325.0     2,415.0     9,203.0     2,530.0   2%

11 Silicon Valley Bank   54,124.3     45,380.0     2,797.2     5,947.1     ‐     2%

12 USAA Federal Savings

Bank   45,810.4     39,747.6     1,985.5     4,077.4     ‐     2%

13 State Street Bank and

Trust Company   41,711.7     17,771.0     4,976.0     16,559.7     2,405.0 2%

14 E*Trade Bank   34,917.2     27,426.9     5,270.2     2,220.1     ‐     1%

15 Morgan Stanley   32,548.0     21,163.0     3,910.0     7,475.0     ‐     1%

16 The Huntington National

Bank   24,589.1     16,904.6     2,600.0     4,942.2     142.2 1%

17 Ally Bank   24,144.0     18,093.0     868.0     2,297.0     2,886.0 1%

18 HSBC Bank USA, National

Association   23,563.2     7,776.0     7,591.4     8,194.3     1.6 1%

19 TD Bank USA/TD Bank

NA   23,494.6     1,379.5     122.8     21,895.8     96.4 1%

20 BMO Harris Bank

National Association   23,258.0     4,410.4     391.7     18,450.3     5.6 1%

Total Top 20 2,102,286.60       1,469,297.1   309,821.6     297,173.1     25,994.8   76%

Source: Inside Mortgage Finance. Notes: Data as of Q2 2021.

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

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

9.3 Foreign Ownership of MBS

For the month of June 2021, foreign ownership of MBS represents $1.08 trillion in Agency MBS, which includes

$438 billion held by foreign private institutions and $637 billion held by foreign official institutions. This

represents an overall decrease of $41 billion in foreign holdings of Agency MBS since May 2021. Foreign

investors held approximately 14% of Agency MBS in June 2021.

Sources: Treasury International Capital (TIC). 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 June 2021.

Foreign Share of Agency MBS Market

18.0%

Percent of Agency MBS Owned by

Foreigners

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

13.567%

Oct‐13

Dec‐13

Feb‐14

Apr‐14

Jun‐14

Aug‐14

Oct‐14

Dec‐14

Feb‐15

Apr‐15

Jun‐15

Aug‐15

Oct‐15

Dec‐15

Feb‐16

Apr‐16

Jun‐16

Aug‐16

Oct‐16

Dec‐16

Feb‐17

Apr‐17

Jun‐17

Aug‐17

Oct‐17

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

Foreign Share of MBS

Monthly Foreign MBS Holdings

1,400

1,200

1,000

$ Billions

800

600

400

200

0

1,075

637

438

Jun‐15

Sep‐15

Dec‐15

Mar‐16

Jun‐16

Sep‐16

Dec‐16

Mar‐17

Jun‐17

Sep‐17

Dec‐17

Mar‐18

Jun‐18

Sep‐18

Dec‐18

Mar‐19

Jun‐19

Sep‐19

Dec‐19

Mar‐20

Jun‐20

Sep‐20

Dec‐20

Mar‐21

Jun‐21

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

Global Markets Analysis Report

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

9.4 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

Level of Holdings ($ Millions)

Country

Change in Holdings ($ Millions)

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

Japan 305,064   308,033   319,771   311,375   2,969 11,738 ‐8,396

Taiwan 264,270   262,453   253,036   250,081   ‐1,817 ‐9,417 ‐2,955

China 206,861   212,317   200,972   217,842   5,456 ‐11,345 16,870

Luxembourg 35,626   36,223   34,371   35,497   597 ‐1,852 1,126

Ireland 28,286   31,064   26,965   21,453   2,778 ‐4,099 ‐5,512

South Korea 40,303   42,628   43,032   43,201   2,325 404 169

Cayman Islands 34,495   34,264   37,111   36,027   ‐231 2,847 ‐1,084

Bermuda 35,751   27,988   26,443   23,806   ‐7,763 ‐1,545 ‐2,637

Netherlands 10,964   12,344   13,049   12,544   1,380 705 ‐505

Malaysia 19,808   19,147   19,047   19,089   ‐661 ‐100 42

Other 190,175   197,462   173,905   166,009   7,287 ‐23,557 ‐7,896

Total 1,171,603   1,183,923   1,147,702   1,136,924   12,320 ‐36,221 ‐10,778

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 Q2 2021. Agency MBS as of June 2021. Revised to

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

  

Global Markets Analysis Report

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

9.5 Federal Reserve Absorption of Agency MBS

The Fed purchased $98.2 billion in July 2021 (39.1% of monthly gross issuance) which was a slight decline from

the $110.8 billion purchased in June 2021 (41% of monthly gross issuance). Fed purchases of Ginnie Mae MBS

decreased MoM, with $19.5 billion (27.8% of gross Ginnie Mae Issuance) compared to $26.6 billion in Fed

purchases (38.8% of gross Ginnie Mae issuance) in June 2021.  As of July 2021, according to the Federal Reserve,

total Agency MBS owned by the Fed equaled $2.4 trillion. Prior to the COVID‐19 intervention, the Fed was

winding down its MBS portfolio from its 2014 prior peak.

Sources: eMBS, Federal Reserve Bank of New York and https://fred.stlouisfed.org/series/WSHOMCB..

Notes: Data as of July 2021.

Total Fed Absorption

Fed Absorption of GSE MBS Fed Absorption of Ginnie Mae MBS

$ billions

100

80

60

40

20

0

Jul‐13

Nov‐13

Mar‐14

Jul‐14

Nov‐14

Mar‐15

Jul‐15

Nov‐15

Mar‐16

Jul‐16

Nov‐16

Mar‐17

Jul‐17

Nov‐17

Mar‐18

Jul‐18

Nov‐18

Mar‐19

Jul‐19

Nov‐19

Mar‐20

Jul‐20

Nov‐20

Mar‐21

Jul‐21

Gross Issuance Total Fed Purchase

$ billions

350

300

250

200

150

100

50

0

Jul‐13

Nov‐13

Mar‐14

Jul‐14

Nov‐14

Mar‐15

Jul‐15

Nov‐15

Mar‐16

Jul‐16

Nov‐16

Mar‐17

Jul‐17

Nov‐17

Mar‐18

Jul‐18

Nov‐18

Mar‐19

Jul‐19

Nov‐19

Mar‐20

Jul‐20

Nov‐20

Mar‐21

Jul‐21

Gross Issuance Total Fed. Purchase

$ billions

400

350

300

250

200

150

100

50

0

Jul‐13

Nov‐13

Mar‐14

Jul‐14

Nov‐14

Mar‐15

Jul‐15

Nov‐15

Mar‐16

Jul‐16

Nov‐16

Mar‐17

Jul‐17

Nov‐17

Mar‐18

Jul‐18

Nov‐18

Mar‐19

Jul‐19

Nov‐19

Mar‐20

Jul‐20

Nov‐20

Mar‐21

Jul‐21

Total Gross Issuance Total Fed Purchases
Disclosure

  

Global Markets Analysis Report

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

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 September 21, 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.”