Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S 

OFFICE OF CAPITAL MARKETS

PREPARED FOR GINNIE MAE 

BY STATE STREET GLOBAL ADVISORS 

URBAN INSTITUTE, HOUSING FINANCE POLICY CENTER
Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

Barclays US Aggregate and Global Indices 5

Global 10-year treasury yields 6

Ginnie Mae yields and yield spreads—USD, JPY, Euro 7-9

Ginnie Mae yield spreads - Intermediate Credit 10

MBS yield per duration 11

Total return and Sharpe Ratios 12 

State of the US Housing Market 

Serious delinquency rates 13

National HPI, HPI by state 13-14 

Ginnie Mae Agency issuance and Agency outstanding by state 15

FHA and VA Outstanding Loan Count Maps 16

Size and value of the US Residential housing and mortgage markets 17

Outstanding Agency MBS 18

Origination volume over time 19

US Agency Market, Originations

Agency Gross and Net Issuance 20-22 

Purchase versus refi: Refi Issuance Breakdown 23 

Credit Box 

First time home buyer share—purchase only loans 24-25

FICO score distribution 26

Credit box at a glance (FICO, LTV, DTI) 27-29

Historical credit box (FICO, LTV,DTI) 30-31

Cumulative Default Rates: FHA and VA 32

High LTV credit box 33-34

Ginnie Mae Nonbank Originators

Nonbank originator share (All, Purchase, Refi) 35-36

Bank vs. nonbank originators historical credit box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 37-40

Holders of Ginnie Mae Mortgage Servicing Rights 

Top Holders of Ginnie Mae MSR 41-42

Non-bank Holders of Ginnie Mae MSR 42

Prepayments 

Aggregate 43

Select coupon/origination year cohorts 44-46

Other Ginnie Mae Programs

HMBS 47

Multifamily 48

Market Conditions-Agency MBS

Average daily trading volume and turnover by sector 49

Dealer net positions, repo volume 50

MBS Ownership

Ownership breakdown of total agency debt 51

MBS share of total agency debt and commercial bank ownership of MBS 52

Bank and Thrift Residential MBS Holdings 53

Foreign ownership of MBS 54-55

Fed Ownership of MBS 56

CONTENTS
HIGHLIGHTS

Introducing New Enhancements to the Global Markets Analysis Report

Starting this month, we are adding several enhancements to the Global Markets Analysis Report (GMA) in 

the form of new data and charts. Some of this is entirely new content designed to better align the GMA 

with latest market developments. Other enhancements provide a more detailed breakdown of data to 

offer better insights. In order to assist the reader get the most out of the new content, below is a list of 

new content and a brief explanation.

Relative Attractiveness, Ginnie II vs. Intermediate credit Index (Page 10): The new charts on this page 

compare the OAS on Ginnie Mae II securities to the US intermediate credit index, which has a similar 

duration as agency MBS. The top chart shows that since late 2015, yield on Ginnie Mae IIs has gradually 

increased, while the yield on the intermediate credit index has fallen, tightening the spread between the 

two. In the event of an economic downturn, we would expect the spread to widen again (i.e. Ginnie Mae 

securities to outperform) as investor concern about corporate credit risk moves front and center.

National House Price Increase by price tier (Page 13, bottom chart): This is also a new chart showing 

nationwide house price trends separately for the bottom, middle and top quintiles by price. Post-crisis 

house prices have risen the most at the lower end of the market, a segment where Ginnie Mae plays a 

major role. Fast appreciating house prices at the lower end of the market result in worsening affordability 

for low- and moderate-income households, although they also increase the equity cushion for existing 

home owners. Despite the slower rate of house price appreciation in 2019, prices for the bottom quintile 

rose by a hefty 6.5 percent during the 12-month period ended September 2019, much higher than the 3.9 

percent for the top quintile over the same period.

Ginnie Mae, FHA and VA loan count by State (Pages 15 and 16): The table on page 15 now includes 

additional data on Ginnie Mae’s loan count, both outstanding and flow, i.e. new issuances over the last 12 

months by state. It shows Ginnie Mae’s outstanding exposure by state, as well as the states that are 

driving new volume. As of October 2019, Ginnie Mae’s portfolio had a total of 11.4 million loans, 1.8 

million of which were originated in the prior 12 months.

The maps on page 16 provide visibility into FHA and VA’s exposure to various states. California, Texas 

and Florida are the top three states for FHA and VA lending as measured by the number of loans 

outstanding. This is not surprising since the three are the most populous states. Virginia is the fourth 

largest state for VA lending in part due to a large population of veterans. 

Breakdown of refinance volume by type and coupon (Page 23): Given increased investor and policy 

interest in prepayments, the bottom chart on page 23 details the breakdown of Ginnie Mae’s refinance 

volume by type (i.e. streamlined, cash-out, and non-streamlined non-cash out) and coupon. It shows that 

YTD 2019, streamlined refinance loans have been more concentrated in lower coupons, while cash out 

refinances make up a larger share of higher coupons. Investors seeking to take on (or avoid) certain types 

refinance exposure may explore using coupon as a proxy.

The top chart on page 23 shows the refinance share of new monthly issuances by agency (FHA, VA and 

GSEs.) It shows that while VA’s refinance share is higher than FHA’s, it has been in line with that of the 

GSEs for several years. As interest rates dropped in 2019, refinance shares have increased across the 

three agencies.
Cumulative default rate: FHA and VA (Page 32): The broad-based increase in DTI ratios over the last 

several years has led to concerns about the future performance of such “high-DTI” loans. Historically, 

default rates have been much more sensitive to FICOs than to DTIs. The two charts on this page show 

cumulative 180-day default rates for FHA and VA, by FICO and DTI. Both charts reveal the same insight: 

a large increase in DTI doesn’t result in a large increase in default rate when FICO is held constant. But a 

large decrease in FICO results in a large increase in defaults when DTI is held constant. The conclusion? 

DTI is a much weaker predictor of default than FICO.

The new data will be updated monthly going forward. We hope our readers find the enhancements useful.

Highlights this month:

• Despite slower appreciation in 2019, prices at the lower end of the housing market rose by 6.5 percent 

for 12 months ended September 2019, much higher than the 3.9 percent for the top end of the market 

(page 13).

• As of October 2019, California, Texas and Florida are the top 3 states for FHA and VA lending as 

measured by the number of loans outstanding, with California leading at 1.26 million FHA and 471,000 

VA loans outstanding (page 16).

• The total value of the US housing market grew to $30.7 trillion in Q3 2019, according to the Federal 

Reserve’s Flow of Funds report; household equity accounted for $19.7 trillion of total value while 

mortgage debt made up the remaining $11.1 trillion (Page 17).

• DTIs are a much weaker predictor of default than credit score. In fact, for lower credit score FHA and 

VA borrowers, the default rate of loans with DTIs up to 45% is identical to the default rate for loans 

above 45% (page 32). 

• In Q3 2019, MBS holdings at banks and thrifts increased to $2.0 trillion, with agency pass-throughs 

making up $1.5 trillion of holdings, $423 billion of which are Ginnie Mae (Page 55).

HIGHLIGHTS
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

US MBS (Ginnie Mae, Fannie Mae, and Freddie Mac) comprise 27 percent of the Barclays US Aggregate Index- less 

than either the US Treasury share (40 percent) or the US Credit share (30 percent). Fannie Mae 30-year MBS 

comprises the largest percent of US MBS (9 percent), while Ginnie Mae 30-year MBS and Freddie Mac 30-year MBS 

comprise 8 percent and 6 percent of the market, respectively. Mortgages with terms of 15 and 20 years comprise the 

remaining balance (3 percent) of the US MBS share. US securities are the single largest contributor to the Barclays 

Global Aggregate, accounting for 40 percent of the global total. US MBS comprises 11 percent of the global 

aggregate. 

40%

1%

30%

8%

9%

6%

3% 2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

11%

1% 2%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

1%

3%

1%

40%

30%

21%

1%

0.04% 2%

0%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

Sources: Bloomberg and State Street Global Advisors. Note: Data as of September 2019.

Note: Numbers in chart may not add to 100 percent due to rounding.

Barclays Global Aggregate Index by Country Barclays Global Aggregate Index by Sector

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2019.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 2019.

5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 May-18 Nov-18 May-19 Nov-19

Yield (%)

Global 10-year Treasury Yields

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

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

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

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

10yr US Treasury hedged yield, EUR

10y US hedged yield, EUR (left)

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

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of November 2019.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of November 2019.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

With weakness in recent economic data and worries about tariffs and trade wars, yields on government bonds 

have dropped across the globe over the course of 2019. The yield on the US 10-year treasury increased 8 bps in 

November to 1.78 percent, however, it is down 84 bps YTD. Despite being down on the year, US treasury yield 

remained the highest in the developed world. This is followed by yields on the Italian 10-year note, up 30 basis 

points in November to 1.23 percent, the UK 10-year bond, up 7 bps to 0.70 percent, German 10 year, up 5 bps to 

-0.36 percent, and the Japanese 10 year government bond, which rose by 6 basis points to -0.07 percent over 

the course of November. At the end of November, the hedged yield differential between the 10-year Treasury 

and the 10-year JGB stood at -55 bps, an increase of 8 bps since October. The hedged yield differential between 

the 10-year Treasury and the 10-year Bund stands at -38 bps, an increase of 7 bps since the end of October. 

Yield(%)Yield(%)

6
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Nov-17 Feb-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19

G2SF CC yield & nominal spread, USD

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

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Nov-08 Nov-09 Nov-10 Nov-11 Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

GNSF CC yield & nominal spread, USD

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

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

Nominal yields were largely unchanged in November 2019, with GNMA II yields marginally lower and GNMA I 

yields marginally higher. Current coupon Ginnie Mae securities outyield their Treasury counterparts (relative 

to the average of 5- and 10-year Treasury yields) by 66 bps on both the G2SF and GNSF, a tightening of 8 bps 

for GNSF and no change for G2SF since last month. 

Yield(%) Yield(%)

Yield(%)

Yield(%)

7
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Nov-17 Feb-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19

G2SF CC yield & nominal spread, JPY

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

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

If Ginnie Mae securities are hedged into Japanese Yen, they look fair on a yield basis versus the JGB 5/10 blend. 

More precisely, both the G2SF and GNSF hedged into Japanese yen have a yield of 8 bps versus the JGB 5/10 

blend. This represents a increase of 7 bps and a decrease of 1 bp. respectively, since the end of October.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Nov-08 Nov-09 Nov-10 Nov-11 Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

GNSF CC yield & nominal spread, JPY 

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

Yield(%) Yield(%)

Yield(%) Yield(%)

8
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Nov-17 Feb-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19

G2SF CC yield & nominal spread, EUR

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

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Nov-08 Nov-09 Nov-10 Nov-11 Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17 Nov-18 Nov-19

GNSF CC yield & nominal spread, EUR

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

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of November 2019.

If Ginnie Mae securities are hedged into Euros, they look favorable on a yield basis versus the German 5/10 

Blend. The figures below show that at the end of November, the current coupon G2SF and GNSF hedged into 

euros have a 32 bp higher yield than the average of the German 5/10. This represents a 8 bp increase for the 

G2SF and no change for the GNSF since the end of October. 

Yield(%) Yield(%)

Yield(%) Yield(%)

9
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0

20

40

60

80

100

120

140

160

180

May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 May-18 Nov-18 May-19 Nov-19

Sources: State Street Global Advisors. Note: Data as of November 2019.

-20

0

20

40

60

80

100

120

140

160

180

May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 May-18 Nov-18 May-19 Nov-19

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

Sources: State Street Global Advisors. Note: Data as of November 2019.

G2 30 MBS and Intermediate Credit OAS

G2 30 MBS versus Intermediate Credit

After touching a peak of nearly 170 basis points in early 2016, the spread between US Intermediate Credit and 

GNMA II 30 year MBS has tightened steadily. Yield on intermediate credit has fallen while GNMA II yields are 

higher. While intermediate credit still has a higher option adjusted spread, by 36 bps at the end of November, this 

spread does not adjust for corporate credit risk. By contrast, Ginnie Mae’s explicit US full faith and credit guaranty 

frees the MBS from credit risk. In the event of an economic downturn, we would expect the spread to widen 

(Ginnie Mae securities to outperform) as investor concern about corporate credit risk moves front and center.

10
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of November 2019.

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

asset class with significantly more yield is the US high yield index. Duration, a measure of sensitivity to interest 

rate changes, does not fully capture the volatility of the high yield asset classes, as there is a large credit 

component. 

Security Duration Yield

US 5y 4.8 1.63

US 10y 9.1 1.78

GNMA II 3.0% 5.6 2.51

GNMA II 3.5% 4.1 2.63

JPY 5y 4.8 -0.18

JPY 10y 9.8 -0.08

GER 5y 4.9 -0.59

GER 10y 9.7 -0.36

ITA 5y 4.4 0.56

ITA 10y 8.4 1.23

US credit 7.7 2.82

US credit >= A 7.4 2.46

US HY 3.2 5.59

Pan-Euro Corp 5.8 0.78

Pan-Euro HY 3.3 3.68

US 5y US 10y

G2 3.5%

G2 3.0%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield versus duration

11
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

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

1 year 0.62 0.79 1.24 0.66 0.79 0.82

3 year 0.24 0.29 0.50 0.25 0.52 0.41

5 year 0.19 0.21 0.38 0.23 0.45 0.38

10 year 0.25 0.24 0.45 0.40 0.63 0.68

Source: State Street

*Assumes 2% capitalization max per issuer

Average Excess Return (Per Month)

Time Period US MBS 

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

1 year 0.44 0.62 1.07 0.71 0.61 0.88

3 year 0.10 0.16 0.36 0.31 0.38 0.47

5 year 0.11 0.13 0.29 0.28 0.37 0.44

10 year 0.21 0.20 0.40 0.42 0.59 0.70

Source: State Street

*Assumes 2% capitalization max per issuer

Standard Deviation

Time Period US MBS 

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

1 year 0.62 1.34 1.16 0.72 1.67 1.19

3 year 0.61 0.99 1.06 0.69 1.18 1.05

5 year 0.57 1.06 1.17 0.98 1.53 1.34

10 year 0.67 1.05 1.18 1.14 1.69 1.69

Source: State Street

*Assumes 2% capitalization max per issuer

Sharpe Ratio

Time Period US MBS 

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

1 year 0.72 0.46 0.92 0.99 0.37 0.74

3 year 0.17 0.16 0.34 0.45 0.33 0.45

5 year 0.19 0.12 0.25 0.29 0.24 0.32

10 year 0.31 0.19 0.34 0.37 0.35 0.41

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

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of November 2019.

The average return on the Ginnie Mae index over the past decade is equal to the US Treasury index. However, the 

standard deviation of the Ginnie Mae index is the lowest of any sector, as it has the least price volatility over a 1, 

3, 5 and 10 year horizon. The result: The Sharpe Ratio, or excess return per unit of risk over the 10-year horizon is 

only marginally lower than most of the corporate indices, although a good bit higher than the US Treasury Index.

12
State of the US Housing Market

5.1%

6.5%

3.9%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Sep-00

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-17

Mar-18

Sep-18

Mar-19

Sep-19

Year-over-year growth rate

National Year-Over-Year HPI Growth

Lowest Cost Middle Cost Highest Cost

Sources: Black Knight, Zillow, and Urban Institute. Note:Data as of September 2019.

0.68%

0.61%

3.39%

1.87%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

1Q064Q063Q072Q081Q094Q093Q102Q111Q124Q123Q132Q141Q154Q153Q162Q171Q184Q183Q19

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q3 2019.

Serious Delinquency Rates: Single-Family Loans

Serious delinquency rates for single-family GSE loans and FHA loans continued to decline in Q3 2019, while the 

rate grew slightly for VA loans. GSE delinquencies remain slightly higher relative to 2006-2007, while FHA and VA 

delinquencies (which are higher than their GSE counterparts) are well below 2006-2007 levels. The bottom chart 

shows nationwide house prices for the bottom, middle and the top quintiles by price. House prices have risen most 

at the lower end of the market where Ginnie Mae plays a major role. Despite the slower rate of appreciation in 

2019, prices at the lower end of the market rose by 6.5 percent for 12 months ended September 2019, much higher 

than the 3.9 percent for the top end of the market.

13
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: Black Knight and Urban Institute. Note: HPI data as of September 2019. Negative sign indicates that state is above earlier peak. Peak refers to the month 

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

to the lowest level for each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 09/2019, the latest HPI data period.

Nationally, nominal home prices have increased by 54.4 percent since the trough, and now exceed their pre-crisis 

peak valuation on a nominal basis by 15.1 percent. The picture is very different across states, with many states well in 

excess of the prior peak, while a few states remain 9 percent or more below peak levels: Connecticut (12.9% below), 

Maryland (9.1% below), Nevada (9.5% below), and Florida (9.0% below).

HPI Changes

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

National 75.5% -25.5% 54.4% 4.0% 15.1%

Alabama 43.9% -15.0% 32.2% 6.3% 12.4%

Alaska 69.5% -3.1% 24.7% 3.3% 20.8%

Arizona 110.1% -47.9% 82.4% 5.7% -5.1%

Arkansas 41.6% -10.4% 25.7% 3.4% 12.6%

California 155.1% -43.3% 89.7% 2.1% 7.5%

Colorado 40.3% -12.8% 79.9% 4.4% 56.8%

Connecticut 92.3% -24.6% 15.6% 2.2% -12.9%

Delaware 95.1% -23.9% 28.8% 2.4% -2.0%

District of Columbia 175.4% -13.6% 53.4% 1.2% 32.5%

Florida 128.9% -47.0% 71.7% 3.8% -9.0%

Georgia 38.2% -31.9% 66.6% 5.4% 13.4%

Hawaii 161.7% -22.3% 50.2% 1.6% 16.7%

Idaho 71.7% -28.6% 86.5% 11.0% 33.3%

Illinois 61.6% -34.5% 39.8% 2.1% -8.5%

Indiana 21.1% -7.8% 38.0% 6.6% 27.3%

Iowa 28.4% -4.9% 29.1% 4.3% 22.7%

Kansas 34.7% -9.2% 42.7% 5.7% 29.6%

Kentucky 29.5% -7.8% 31.3% 4.1% 21.1%

Louisiana 48.8% -5.1% 23.4% 2.7% 17.2%

Maine 82.1% -12.5% 38.3% 5.2% 21.1%

Maryland 129.3% -28.6% 27.3% 1.7% -9.1%

Massachusetts 92.5% -22.8% 55.8% 3.7% 20.2%

Michigan 24.0% -39.5% 78.1% 4.6% 7.6%

Minnesota 66.5% -27.7% 56.9% 4.8% 13.4%

Mississippi 41.1% -13.7% 27.0% 2.8% 9.6%

Missouri 42.8% -14.9% 37.1% 7.3% 16.7%

Montana 81.9% -11.1% 51.3% 6.1% 34.4%

Nebraska 26.6% -6.6% 42.6% 4.5% 33.1%

Nevada 127.0% -59.2% 121.9% 2.7% -9.5%

New Hampshire 90.6% -23.5% 43.0% 5.4% 9.3%

New Jersey 117.8% -27.9% 28.1% 2.7% -7.6%

New Mexico 67.1% -16.2% 23.8% 5.1% 3.7%

New York 98.5% -15.1% 42.4% 3.7% 20.9%

North Carolina 40.7% -15.7% 37.0% 4.9% 15.5%

North Dakota 54.0% -3.8% 56.4% 2.5% 50.5%

Ohio 21.2% -18.4% 38.3% 5.5% 12.8%

Oklahoma 37.4% -2.4% 19.8% 3.8% 17.0%

Oregon 82.4% -28.0% 79.6% 4.4% 29.3%

Pennsylvania 70.2% -11.6% 25.6% 3.7% 11.0%

Rhode Island 131.0% -34.5% 53.5% 5.8% 0.5%

South Carolina 44.7% -19.2% 35.8% 4.4% 9.7%

South Dakota 45.0% -3.9% 47.7% 4.9% 41.9%

Tennessee 35.2% -11.8% 46.4% 6.6% 29.1%

Texas 33.3% -5.7% 51.5% 3.4% 42.8%

Utah 54.7% -21.9% 75.6% 6.9% 37.1%

Vermont 83.5% -7.5% 34.8% 6.5% 24.7%

Virginia 99.4% -22.7% 27.9% 4.3% -1.2%

Washington 85.4% -28.7% 87.0% 4.9% 33.4%

West Virginia 42.9% -6.5% 24.9% 3.6% 16.9%

Wisconsin 44.7% -16.3% 37.9% 5.2% 15.5%

Wyoming 77.4% -5.7% 30.3% 5.5% 22.8%

14
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State GNMA Share GNMA Loan 

Count

GNMA Avg.

Loan Size (000)

GSE Avg. Loan 

Size (000) GNMA Share GNMA Loan Count

GNMA Avg. 

Loan Size (000)

GSE Avg. Loan 

Size (000)

National 32.7% 1,854,155 230.5 247.3 29.2% 11,416,262 163.6 189.4

Alabama 44.1% 34,554 174.6 195.8 43.6% 237,072 128.1 152.6

Alaska 51.4% 5,007 292.0 260.9 50.1% 38,685 231.6 199.8

Arizona 32.4% 63,494 230.7 234.1 29.3% 321,774 164.8 180.2

Arkansas 42.7% 19,195 151.0 176.9 43.2% 139,334 110.5 138.2

California 27.5% 156,483 370.6 358.3 19.5% 794,083 265.6 269.1

Colorado 32.2% 53,979 312.4 300.9 25.1% 240,287 218.4 227.8

Connecticut 31.3% 15,385 222.6 237.9 28.6% 109,476 182.2 189.0

Delaware 37.9% 7,965 224.7 236.5 35.3% 51,785 179.5 184.5

District of Columbia 17.8% 1,409 443.2 389.8 14.9% 10,164 299.7 305.0

Florida 40.0% 167,237 223.0 219.9 34.1% 833,048 165.9 172.4

Georgia 40.1% 85,857 198.5 223.5 37.2% 517,954 143.1 171.2

Hawaii 42.4% 6,157 517.1 413.5 28.9% 31,530 383.9 316.9

Idaho 32.8% 14,867 227.5 225.5 29.8% 80,421 154.7 169.7

Illinois 24.9% 54,916 186.0 212.2 23.7% 374,979 140.5 160.9

Indiana 36.1% 47,597 153.8 170.7 36.1% 309,861 110.9 127.2

Iowa 25.9% 12,557 154.7 175.2 24.7% 87,711 113.6 131.7

Kansas 35.0% 14,976 164.6 188.3 34.2% 106,790 119.6 139.6

Kentucky 38.6% 26,286 159.6 178.8 37.6% 169,014 121.1 133.5

Louisiana 43.0% 28,091 178.1 201.7 40.9% 187,797 136.8 159.3

Maine 33.9% 6,640 195.7 214.4 31.1% 40,945 152.1 161.6

Maryland 43.2% 47,142 296.7 283.6 37.9% 305,266 230.8 219.7

Massachusetts 22.9% 22,504 311.3 307.9 18.3% 125,058 236.1 230.2

Michigan 24.0% 46,083 158.2 183.6 24.1% 312,330 113.3 135.8

Minnesota 23.5% 27,142 213.3 227.1 22.6% 193,550 155.9 172.0

Mississippi 50.9% 16,965 162.1 180.9 49.3% 115,338 120.1 142.4

Missouri 34.0% 40,477 163.1 186.2 33.6% 267,373 120.4 139.7

Montana 29.7% 5,699 231.5 235.3 28.0% 37,089 169.4 178.6

Nebraska 32.4% 10,154 177.6 182.7 31.6% 74,716 122.1 138.4

Nevada 37.1% 29,673 270.5 251.2 32.7% 144,329 187.7 193.9

New Hampshire 31.3% 7,747 250.9 240.1 27.7% 45,439 192.7 182.6

New Jersey 28.7% 39,449 265.7 283.8 26.1% 250,292 209.9 220.0

New Mexico 41.8% 13,366 191.2 200.8 41.4% 98,590 140.7 153.6

New York 23.8% 41,672 257.6 290.6 24.4% 338,607 186.8 216.4

North Carolina 34.8% 67,676 195.6 220.2 32.5% 432,488 141.0 167.3

North Dakota 29.3% 2,533 222.0 218.5 25.2% 16,900 167.1 167.3

Ohio 33.2% 63,466 152.9 168.1 34.5% 456,777 112.2 127.4

Oklahoma 44.9% 25,748 162.3 182.2 46.6% 197,039 119.0 140.9

Oregon 28.3% 24,327 278.8 276.5 22.1% 128,683 198.9 209.3

Pennsylvania 31.4% 56,282 175.4 206.4 31.4% 419,894 136.0 159.1

Rhode Island 37.8% 6,404 245.6 237.0 32.6% 37,119 187.9 183.6

South Carolina 39.9% 40,336 198.0 207.9 36.1% 227,532 147.0 161.8

South Dakota 36.9% 5,152 187.8 197.4 34.5% 31,086 142.9 150.5

Tennessee 39.5% 49,178 199.1 216.3 37.9% 299,590 138.7 166.0

Texas 34.3% 159,984 211.3 228.1 34.3% 1,085,597 142.9 176.5

Utah 26.8% 25,594 268.5 275.6 25.4% 130,410 190.8 210.9

Vermont 24.1% 1,993 197.7 211.8 19.6% 12,850 164.1 159.8

Virginia 43.7% 68,778 286.5 282.4 39.4% 452,581 220.1 218.1

Washington 31.4% 52,262 314.1 312.5 25.6% 275,459 218.4 231.9

West Virginia 49.2% 8,443 162.5 164.9 45.1% 54,600 126.0 127.5

Wisconsin 21.4% 20,889 180.3 191.3 19.7% 139,794 133.2 142.2

Wyoming 41.3% 4,385 226.2 228.0 38.6% 27,176 177.3 177.4

Sources: eMBS and Urban Institute. Note: Ginnie Mae outstanding share are based on loan balance as of October 2019. Ginnie Mae issuance is based on the last 12 

months, from October 2018 to October 2019.

Ginnie Mae MBS constitute 29.2 percent of outstanding agency issuance by loan balance and 32.7 percent of new 

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

outstanding (by loan balance) as low as 14.9 percent in the District of Columbia and as high as 50.1 percent in 

Alaska. In general, the Ginnie Mae share is higher in states with lower home prices.

15
FHA and VA Outstanding Loan Count 

Sources: eMBS and Urban Institute. Note: Ginnie Mae outstanding share are based on loan balance as of October 2019. 

FHA Outstanding Loan Count by State

VA Outstanding Loan Count by State

California, Texas and Florida are the top 3 states for FHA and VA lending as measured by the number of loans 

outstanding. As of October 2019, CA had 1.26 million FHA and 471,000 VA loans outstanding, TX has 1.35 million 

and 508,000, and FL had 900,000 FHA and 427,000 VA loans outstanding. Virginia ranks 4th for number of VA 

loans outstanding and 13th for number of FHA loans outstanding.

16
State of the US Housing Market

$11.1

$19.7

$30.7

0

5

10

15

20

25

30

35

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q3

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

$0.45

$0.51

$6.88

$3.23

0

1

2

3

4

5

6

7

8

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q3

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

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

Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. 

The Federal Reserve’s Flow of Funds report has indicated a gradually increasing total value of the housing market 

driven by growing household equity since 2012, and Q3 2019 was no different. Total mortgage debt outstanding 

and household equity were up slightly from Q2 2019 to $11.1 and $19.7 trillion in Q3 2019, bringing the total 

value of the housing market to $30.7 trillion. The market is now 20.3 percent higher than the pre-crisis peak in 

2006. Agency MBS account for 62.21 percent of the total mortgage debt outstanding, private-label securities 

make up 4.1 percent, and unsecuritized first liens make up 29.2 percent. Second liens comprise the remaining 4.6 

percent of the total.

17
State of the US Housing Market

As of October 2019, outstanding securities in the agency market totaled $6.88 trillion: 42.7 percent Fannie Mae, 

27.7 percent Freddie Mac, and 29.6 percent Ginnie Mae MBS. Ginnie Mae has more outstandings than Freddie 

Mac. Within the Ginnie Mae market, both FHA and VA have grown very rapidly post-crisis. FHA comprises 58.9 

percent of total Ginnie Mae MBS outstanding, while VA comprises 35.3 percent.

$2.93

$1.91

$2.04

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Oct-01

Apr-02

Oct-02

Apr-03

Oct-03

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

Sources: eMBS and Urban Institute. Note: Data as of October 2019.

$1.2

$0.7

$0.1

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Oct-01

Apr-02

Oct-02

Apr-03

Oct-03

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of October 2019.

18
State of the US Housing Market

$0.69

$0.31

$0.03

$0.60

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q1-Q3

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q3 2019.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q1-Q3

First Lien Origination Share

In the first three quarters of 2019, first lien originations totaled $1.62 trillion, up from $1.26 trillion at the same 

point in 2018. The share of portfolio originations was 37.2 percent through Q3 2019, up significantly from 30.9 

percent in the same period of 2018. The GSE share was down at 42.6 percent, compared to 45.1 percent in the first 

three quarters of 2018. The FHA/VA share fell slightly, at 19.1 percent compared to 22.1 percent in the same 

period last year. Private-label securitization at 2.0 percent maintained the same share as one year ago, but remains 

a fraction of its share in the pre-bubble years.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q3 2019. 

37.2%

2.0%

19.1%

42.6%

19
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

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 YTD $214.2 $174.6 $12.8 $401.5

2019 YTD % Change YOY 13.3% 28.2% -12.6% 18.2%

2019 Ann. $257.0 $209.5 $15.3 $481.8

Agency Gross Issuance

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 $1,195.3

2019 YTD $467.3 $342.0 $809.2 $401.5 $1,210.8

2019 YTD % Change YOY 14.3% 31.4% 20.9% 18.2% 20.0%

2019 Ann. $560.7 $410.4 $971.1 $481.8 $1,452.9

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

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

Agriculture’s Rural Development. All data is as of October 2019.

Agency gross issuance was $1.21 trillion in the first ten months of 2019, up 20.0 percent compared to the same 

period in 2018. Ginnie Mae gross issuance was up by 18.2 percent and GSE gross issuance was up by 20.9 percent. 

Within the Ginnie Mae market, FHA was up by 13.3 percent and VA origination was up by 28.2 percent. While 

origination volumes were lower in January and February, a favorable rate environment has led to an increase in 

issuance year-over-year.

20
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.3

2018 $49.2 $61.2 $3.5 $113.9

2019 YTD $32.1 $52.1 $1.4 $85.6

2019 YTD % Change YOY -22.6% 1.7% -55.2% -10.7%

2019 Ann. $38.5 $62.6 $1.7 $102.7

Agency Net Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total 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 $57.5 $11.6 $69.1 $87.9 $157.0

2014 $0.5 $30.0 $30.5 $61.6 $92.1

2015 $10.2 $65.0 $75.1 $97.3 $172.5

2016 $68.6 $66.8 $135.5 $125.3 $260.8

2017 $90.2 $78.2 $168.5 $131.3 $299.7

2018 $79.4 $68.4 $147.7 $113.9 $261.6

2019 YTD $68.2 $87.2 $155.4 $85.6 $241.0

2019 YTD % Change YOY -0.7% 70.4% 29.7% -10.7% 11.7%

2019 Ann. $81.8 $104.6 $186.5 $102.7 $289.2

Sources: eMBS and Urban Institute. Note : Dollar amounts are in billions. “Other“ refers to loans insured by HUD’s Office of Public and Indian 

Housing and the Department of Agriculture’s Rural Development. All data is as of October 2019.

Agency net issuance totaled $241.0 billion in the first ten months of 2019, up 11.7 percent compared to the same period in 

2018. Ginnie Mae net issuance was $85.6 billion, comprising 35.5 percent of total agency net issuance. Ginnie Mae net 

issuance was down 10.7 percent compared to the same period in 2018, while GSE net issuance was up 29.7 percent over the 

same period. Ginnie Mae net issuance in the first ten months of 2019 was comprised of 60.9 percent VA and 37.5 percent 

FHA. 

21
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Sources: eMBS and Urban Institute.

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

Agriculture’s Rural Development. All data is as of October 2019.

Agency gross issuance moves inversely to interest rates, generally declining as interest rates rise, increasing when 

interest rates fall, but the seasonal trend is also very strong. This table allows for a comparison with the same 

month in previous years. In 2019, January and February were lower than 2018, March was about the same, while 

April through October have been much higher, benefitting from the decline in interest rates. The October 2019 

gross agency issuance of $169.6 billion is well above the October 2018 level of $100.3 billion. 

Date

Gross Issuance Net Issuance

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

Jan-16 $35.6 $22.5 $32.5 $90.6 -$0.6 $1.0 $7.3 $7.8

Feb-16 $32.4 $21.2 $30.5 $84.1 $2.4 $3.1 $8.4 $13.9

Mar-16 $39.7 $27.5 $32.9 $100.1 $7.9 $8.2 $9.6 $25.8

Apr-16 $43.8 $26.2 $40.1 $110.1 $0.8 -$0.2 $8.8 $9.4

May-16 $44.2 $29.9 $41.6 $115.6 $2.4 $4.4 $11.4 $18.3

Jun-16 $46.7 $30.1 $43.9 $120.8 $2.7 $3.0 $11.9 $17.7

Jul-16 $49.8 $35.3 $46.1 $131.1 $2.3 $6.3 $10.8 $19.4

Aug-16 $54.9 $37.9 $46.7 $139.5 $10.4 $11.0 $13.8 $35.2

Sep-16 $65.8 $44.0 $52.5 $162.4 $8.7 $9.0 $12.5 $30.2

Oct-16 $66.0 $35.9 $47.4 $149.3 $11.8 $2.7 $9.3 $24.5

Nov-16 $48.8 $40.2 $47.2 $136.3 -$3.5 $7.9 $10.3 $14.8

Dec-16 $72.7 $40.5 $46.8 $160.0 $23.3 $10.4 $10.8 $44.6

Jan-17 $55.6 $38.5 $42.6 $136.6 $10.3 $10.7 $10.3 $31.9

Feb-17 $37.6 $27.4 $33.1 $98.1 $3.1 $6.5 $9.2 $18.9

Mar-17 $39.5 $24.4 $31.3 $95.2 $10.3 $6.2 $9.6 $26.3

Apr-17 $39.3 $21.2 $36.4 $97.0 $4.8 $0.4 $11.7 $17.3

May-17 $40.3 $22.6 $36.4 $99.3 $7.6 $2.7 $13.1 $23.6

Jun-17 $45.7 $25.1 $39.9 $110.7 $8.3 $2.4 $13.2 $24.1

Jul-17 $45.3 $27.6 $40.6 $113.5 $5.8 $3.5 $12.1 $21.5

Aug-17 $49.1 $29.3 $42.8 $121.1 $12.0 $6.7 $15.6 $33.9

Sep-17 $47.3 $27.9 $40.2 $115.5 $7.4 $3.8 $10.5 $21.7

Oct-17 $42.9 $34.6 $38.4 $115.9 $6.4 $12.5 $10.7 $29.6

Nov-17 $43.5 $37.2 $37.8 $118.5 $4.6 $13.6 $8.2 $26.4

Dec-17 $45.3 $30.0 $36.2 $111.5 $9.6 $8.2 $6.8 $24.6

Jan-18 $47.4 $21.4 $35.2 $104.0 $12.4 $0.3 $7.8 $20.6

Feb-18 $40.3 $21.5 $31.9 $93.7 $8.0 $2.3 $7.1 $17.4

Mar-18 $35.6 $21.3 $29.0 $85.9 $4.9 $3.0 $6.1 $14.0

Apr-18 $36.3 $26.2 $32.7 $95.2 $1.7 $6.1 $9.1 $16.8

May-18 $38.9 $27.5 $33.7 $100.1 $4.5 $7.2 $10.6 $22.4

Jun-18 $38.2 $28.8 $35.6 $102.5 $2.2 $6.8 $10.5 $19.5

Jul-18 $40.3 $26.2 $35.6 $102.1 $4.2 $3.7 $10.7 $18.6

Aug-18 $50.4 $29.9 $37.5 $117.8 $14.9 $7.9 $12.8 $35.6

Sep-18 $41.8 $30.1 $34.8 $106.6 $5.7 $6.2 $9.1 $21.0

Oct-18 $39.8 $27.4 $33.2 $100.3 $10.1 $7.6 $12.1 $29.7

Nov-18 $35.1 $30.1 $32.4 $97.6 $2.6 $10.8 $9.6 $22.9

Dec-18 $36.9 $23.9 $28.4 $89.1 $8.2 $6.4 $8.4 $23.0

Jan-19 $33.3 $19.2 $29.0 $81.6 $5.5 $2.5 $9.5 $17.5

Feb-19 $27.3 $19.9 $23.5 $70.7 $1.2 $3.6 $4.6 $9.5

Mar-19 $29.6 $27.3 $26.6 $83.5 $1.9 $10.3 $5.8 $18.0

Apr-19 $33.1 $30.8 $32.9 $96.8 $0.6 $11.0 $8.5 $20.1

May-19 $44.5 $34.3 $38.8 $117.6 $7.0 $10.3 $9.4 $26.7

Jun-19 $44.6 $34.0 $43.3 $121.9 $1.6 $6.2 $9.2 $16.9

Jul-19 $51.7 $36.9 $45.9 $134.5 $10.3 $10.3 $10.8 $31.4

Aug-19 $71.1 $50.4 $51.2 $172.6 $20.4 $17.5 $8.9 $46.8

Sep-19 $67.1 $43.0 $52.0 $162.1 $13.0 $7.9 $6.9 $27.8

Oct-19 $65.0 $46.2 $58.4 $169.6 $6.6 $7.7 $12.0 $26.3

Monthly Agency Issuance

22
$19.1 $15.8 

$6.8 

$1.5 $0.1 

$13.6 $20.1 

$17.2 

$9.9 

$4.3 

$9.9 

$9.0 

$3.8 

$1.4 

$0.4 

 $0

 $5

 $10

 $15

 $20

 $25

 $30

 $35

 $40

 $45

 $50

3 3.5 4 4.5 5

Streamlined Cash-out Not streamlined, not cash-out

Coupon

$ billions

Ginnie Mae Refinance Issuance by Type: 2019 YTD

US Agency Market, Originations

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. Data as of October 2019.

The FHA refinance share stood at 36.6 percent in October 2019, below the 58.9 percent refi share for VA 

originations and the 54.7 percent share for the GSEs. Refinances as a share of all originations have grown in 2019 

as interest rates have fallen. The bottom section, focusing exclusively on Ginnie Mae, shows that streamlined 

refinances are more common in lower coupon pools. By contrast, cash out refinances are relatively more important 

for higher coupon borrowers; as these borrowers are usually more credit constrained.

54.7%

36.6%

58.9%

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

Percent Refi at Issuance

Refishare GSE FHA VA

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of October 2019.

23
Credit Box

39.4%

43.2%

70.4%

53.1%

20%

30%

40%

50%

60%

70%

80%

Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

Sources: eMBS and Urban Institute. Note: Data as of October 2019.

The first time homebuyer share of Ginnie Mae purchase loans was 70.4 percent in October 2019, down slightly 

from its historical high in May due to increased refinance activity amidst lower rates. First time homebuyers 

comprise a significantly higher share of the Ginnie Mae purchase market than of the GSE purchase market, with 

first time homebuyers accounting for 43.2 percent and 39.4 percent of Fannie Mae and Freddie Mac purchase 

originations respectively. The bottom table shows that based on mortgages originated in October 2019, the 

average first-time homebuyer was more likely than an average repeat buyer to take out a smaller loan, have a 

lower credit score, a much higher LTV, a similar DTI, and pay a slightly higher rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount ($ ) 256,447 286,888 255,000 276,235 222,210 268,785 237,922 277,988 

Credit Score 740.6 754.8 745.4 757.4 680.3 701.4 709.4 739.6

LTV (%) 88.2 78.9 87.3 79.8 96.9 95.4 92.6 84.1

DTI (%) 35.5 36.1 34.8 35.7 41.4 42.3 38.5 37.8

Loan Rate (%) 4.0 3.9 4.0 3.9 4.0 3.8 4.0 3.9

Sources: eMBS and Urban Institute. 

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

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

subtracting 169 bps from this new issuer-reported LTV. Data as of October 2019.

24
Credit Box

83.7%

53.9%

77.1%

70.4%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

Feb-14 Jun-14 Oct-14Feb-15 Jun-15 Oct-15Feb-16 Jun-16 Oct-16Feb-17 Jun-17 Oct-17Feb-18 Jun-18 Oct-18Feb-19 Jun-19 Oct-19

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Breakdown

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of October 2019. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and 

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

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

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

Within the Ginnie Mae purchase market, 77.1 percent of FHA loans, 53.9 percent of VA loans and 83.7 percent of 

other loans represent financing for first-time home buyers in October 2019. The bottom table shows that based 

on mortgages originated in October 2019, the average first-time homebuyer was more likely than an average 

repeat buyer to take out a smaller loan, have a lower credit score, higher LTV, similar DTI and pay a higher rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount ($) 219,071 233,708 260,223 311,702 152,697 169,151 222,210 268,785 

Credit Score 670.4 671.9 700.7 729.2 695.9 703.3 680.3 701.4

LTV (%) 95.4 94.0 99.7 96.3 99.2 99.1 96.9 95.4

DTI (%) 42.9 43.8 40.1 41.5 34.8 35.5 41.4 42.3

Loan Rate (%) 4.1 4.0 3.8 3.6 3.9 3.9 4.0 3.8

Sources: eMBS and Urban Institute. Note: Includes only purchase loans. Data as of October 2019.

25
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2017.

FICO Score Distribution: Mortgage Owners vs All Consumers

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

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

All Consumers Mortgage owners

All Consumers- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 503 524 587 682 774 813 822 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 570 615 682 752 801 818 824 839

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

table shows that the median FICO score for all consumers (682) is equal to the 25th percentile of those with a 

mortgage (682).

26
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 304,923 642 680 732 776 797 725 

Fannie 101,397 686 719 757 786 801 750 

Freddie 81,003 693 725 761 788 802 754 

Ginnie 122,523 622 645 678 725 772 687 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 305,813 657 699 746 780 799 735 

Fannie 132,242 689 723 760 787 802 752 

Freddie 87,917 689 722 759 785 801 751 

Ginnie 85,654 623 652 690 738 779 694 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 610,736 648 689 740 778 798 730 

Fannie 233,639 688 721 759 786 801 751 

Freddie 168,920 691 724 760 787 801 752 

Ginnie 208,177 622 647 683 731 775 690 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 122,523 622 645 678 725 772 687 

FHA 73,579 616 639 665 699 738 671 

VA 38,484 632 664 715 768 795 714 

Other 10,460 640 660 693 733 765 697 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 85,654 623 652 690 738 779 694 

FHA 36,935 612 639 668 700 737 670 

VA 48,426 634 669 713 761 790 712 

Other 293 647 671 703 739 771 704 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 208,177 622 647 683 731 775 690 

FHA 110,514 614 639 666 700 738 671 

VA 86,910 633 667 714 764 792 713 

Other 10,753 640 660 693 733 765 697 

October 2019 Credit Box at a Glance

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

Agriculture’s Rural Development.Data as of October 2019.

In October 2019, the median Ginnie Mae FICO score was 683 versus 759 for Fannie Mae and 760 for Freddie Mac. 

Note that the FICO score for the 10th percentile was 622 for Ginnie Mae, versus 688 for Fannie Mae and 691 for 

Freddie Mac. Within the Ginnie Mae market, FHA loans have a median FICO score of 666, VA loans have a median 

FICO score of 714 and other loans have a median FICO score of 693.

27
October 2019 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 305,173 73.0 80.0 95.0 96.5 100.0 88.0 

Fannie 101,275 63.0 79.0 85.0 95.0 97.0 82.5 

Freddie 81,110 64.0 80.0 80.0 95.0 95.0 82.2 

Ginnie 122,788 92.6 96.5 96.5 100.0 101.7 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 312,971 50.0 65.0 76.9 86.5 97.2 74.6 

Fannie 132,243 46.0 59.0 71.0 80.0 85.0 67.9 

Freddie 87,990 47.0 60.0 73.0 80.0 85.0 68.9 

Ginnie 92,738 74.8 84.9 92.4 98.5 100.0 89.5 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 618,144 57.0 73.0 83.3 96.4 98.7 81.2 

Fannie 233,518 50.0 65.0 78.0 87.0 95.0 74.2 

Freddie 169,100 52.0 68.0 80.0 88.0 95.0 75.3 

Ginnie 215,526 81.9 90.7 96.5 99.9 101.0 93.4 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 122,788 92.6 96.5 96.5 100.0 101.7 96.4 

FHA 73,719 92.9 96.5 96.5 96.5 96.5 95.1 

VA 38,560 91.1 100.0 100.0 102.2 103.0 98.1 

Other 10,509 95.3 99.1 101.0 101.0 101.0 99.2 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 92,738 74.8 84.9 92.4 98.5 100.0 89.5 

FHA 39,985 73.8 83.3 86.5 96.4 98.1 86.7 

VA 52,407 75.8 86.7 96.1 100.0 101.0 91.6 

Other 346 83.0 93.6 100.0 101.6 102.7 95.3 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 215,526 81.9 90.7 96.5 99.9 101.0 93.4 

FHA 113,704 82.4 89.3 96.5 96.5 96.7 92.2 

VA 90,967 80.1 91.0 100.0 100.0 102.2 94.4 

Other 10,855 95.0 99.0 100.9 101.0 101.0 99.1 

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

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

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

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Data as of October 2019.

In October 2019, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, 78 percent for Fannie Mae 

and 80 percent for Freddie Mac. The 90th percentile was 101.0 percent for Ginnie Mae, and 95 percent for both 

Freddie and Fannie. Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 100.0 for VA and 101.9 for 

other programs. 

28
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 305,012 24.0 31.0 39.0 45.0 50.0 37.9 

Fannie 101,486 22.0 29.0 37.0 43.0 47.0 35.7 

Freddie 81,107 22.0 29.0 36.0 43.0 47.0 35.2 

Ginnie 122,419 28.6 35.3 42.3 48.9 54.1 41.7 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 272,414 21.0 28.0 36.0 43.0 48.0 35.0 

Fannie 132,225 21.0 27.0 35.0 42.0 46.0 33.9 

Freddie 87,987 21.0 27.0 35.0 42.0 46.0 34.2 

Ginnie 52,202 23.1 31.8 40.3 48.2 53.7 39.2 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 577,426 22.7 29.4 37.6 44.0 49.0 36.6 

Fannie 233,711 21.0 28.0 36.0 43.0 47.0 34.7 

Freddie 169,094 21.0 28.0 36.0 42.0 46.0 34.7 

Ginnie 174,621 27.0 34.1 41.8 48.7 54.0 40.9 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 122,419 28.6 35.3 42.3 48.9 54.1 41.7 

FHA 73,681 30.5 37.2 44.1 50.0 54.6 43.1 

VA 38,242 26.7 33.7 41.3 48.2 53.8 40.7 

Other 10,496 25.6 30.5 35.9 40.0 43.0 34.9 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 52,202 23.1 31.8 40.3 48.2 53.7 39.2 

FHA 25,653 28.4 34.9 43.3 49.9 54.5 42.0 

VA 26,279 19.3 28.6 37.3 45.8 52.2 36.7 

Other 270 14.2 19.1 27.7 36.7 40.8 27.8 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 158,844 27.5 34.4 42.0 48.9 54.1 41.2 

FHA 92,150 30.0 36.7 43.9 50.1 54.6 42.9 

VA 56,471 24.8 32.0 40.3 47.7 53.5 39.6 

Other 10,223 25.3 30.3 35.9 40.0 42.8 34.8 

October 2019 Credit Box at a Glance

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

Agriculture’s Rural Development. Data as of October 2019.

In October 2019, the median Ginnie Mae debt-to-income ratio (DTI) was 41.8 percent, considerably higher than the 

36.0 percent median DTI for both Freddie Mac and Fannie Mae. The 90th percentile for Ginnie Mae was 54.0 

percent, also much higher than the 47.0 and 46.0 percent DTI for Fannie Mae and Freddie Mac, respectively. Within 

the Ginnie Mae market, the median FHA DTI ratio was 43.9 percent, versus 40.3 percent for VA and 35.9 percent for 

other lending programs. 

29
Credit Box: Historical

660

680

700

720

740

760

780

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO Scores

FICO Scores for Purchase Loans 

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

660

680

700

720

740

760

780

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

757

761

678

732

660

680

700

720

740

760

780

Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

FICO Scores

FICO Scores for All Loans

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

Sources: eMBS and Urban Institute. Note:Data as of October 2019. Sources: eMBS and Urban Institute. Note: Data as of October 2019.

Sources: eMBS and Urban Institute. Note: Data as of October 2019.

The median FICO score for all agency loans originated in October 2019 was 732, down from 737 last month, 

but up considerably on the year, owing to the refinance wave, which higher FICO borrowers take advantage of 

with greater frequency. The figures show that the median FICO score for Ginnie Mae borrowers has always 

been considerably lower than for GSE borrowers. Since early 2019, the median FICO scores for Fannie, 

Freddie and Ginnie borrowers have moved up for both purchase and refinance loans. The difference 

between Ginnie Mae and GSE borrower FICOs is slightly wider for purchase loans than for refi loans.

30
Credit Box: Historical

96.5

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Loan-to-Value Ratio

LTV Ratio for All Loans

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

Median LTVs for Ginnie Mae loans have historically been at 96.5 percent, much higher than the 80 – 85 

LTVs for the GSEs. Median debt-to-income ratios for Ginnie Mae loans have historically been in the low 40s, 

considerably higher than for the GSEs. DTIs increased in the 2017-2018 period for both Ginnie Mae and 

GSE loans, with the movement more pronounced for Ginnie Mae. Increases in DTI are very typical in an 

environment of rising interest rates and rising home prices. All three agencies have witnessed measurable 

declines in DTIs in spring and summer 2019 driven by lower interest rates.

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

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

premium by subtracting 169 bps from this new issuer-reported LTV. Sources and note apply to all three graphs. Data as of October 2019.

84.0

80.0

36.0

37.0

42.3

39.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

46.0

Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

Debt-to-Income Ratio

DTI Ratio for All Loans

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

31
Credit Box: Historical

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79

FHA Cumulative Default Rate by DTI and FICO

DTI<=45, FICO <=660 DTI <=45, FICO>660

DTI>45, FICO <=660 DTI>45, FICO>660

Loan age

Cumulative default rate

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79

VA Cumulative Default Rate by DTI and FICO

DTI<=45, FICO <=700 DTI <=45, FICO>700

DTI>45, FICO <=700 DTI>45, FICO>700

Loan age

Cumulative default rate

Sources: eMBS and Urban Institute. Note: Defaults = 180 days delinquent. Data as of October 2019.

DTI is a much weaker predictor of performance than FICO score. The top chart shows FHA borrowers with higher 

DTIs do default more than those with lower DTIs, but the differences are modest, as evidenced by the fact that the 

black line is very close to the blue line and the grey line is not that much above the yellow line. By contrast, FICO 

makes a much larger difference, as can be seen by comparing the blue line to the yellow line or the black line to the 

gray line. And low DTI/low FICO borrowers default much less than high DTI/high FICO borrowers, as can be seen 

by comparing the blue line to the gray line. The bottom chart, for VA borrower illustrates the same point; DTI is a 

much weaker predictor of loan performance than credit score.

Sources: eMBS and Urban Institute. Note: Defaults = 180 days delinquent. Data as of October 2019.

32
95%

85%

64%

46%

35%

97%

86%

61%

41%

31%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<640 640–680 680–700 700–750 ≥ 750

94%

84%

66%

47%

36%

96%

85%

63%

42%

34%

0%

20%

40%

60%

80%

100%

120%

<640 640–680 680–700 700–750 ≥ 750

August 2017- October 2017 August 2019- October 2019

Credit Box: Historical

DTI < 35

Sources: eMBS and Urban Institute. 

Ginnie Mae Share of Agency Market by DTI and FICO for Loans with LTV ≥ 95 

35 ≤ DTI < 45 

98% 96%

89%

77%

65%

99% 95%

83%

64%

50%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<640 640–680 680–700 700–750 ≥ 750

Credit score

Credit score

Credit score

DTI ≥ 45

This table shows Ginnie Mae’s share of agency high-LTV lending by DTI and FICO. In each DTI bucket, Ginnie 

Mae’s share is more concentrated in lower FICO scores than in higher FICO scores. In August 2019- October 

2019, Ginnie Mae accounted for 96 percent of agency issuance for DTIs under 35 and FICOs below 640, 

compared to just 34 percent for DTIs below 35 and FICO 750 and higher. The Ginnie/GSE split in the 35-45 DTI 

bucket looks a lot like the below 35 percent DTI bucket. In August 2019− October 2019, Ginnie Mae’s share of 

issuance was higher for DTIs of 45 and above, as compared with the two lower DTI buckets. Ginnie Mae share of 

loans with a DTI of 45 and above and a FICO of 680-700 was 83 percent; it was 61-63 percent for the same FICO 

in the lower DTI buckets. Comparing this period to 2 years earlier, it is clear that GSEs have stepped up their 

higher LTV lending in all but the lowest FICO buckets, taking market share from Ginnie Mae. 

33
High LTV Loans: Ginnie Mae vs. 

GSEs

Sources: eMBS and Urban Institute.

August 2017-October 2017

FICO

DTI <640 640–680 680–700 700–750 ≥ 750 All

< 35 2.8% 5.6% 3.2% 8.1% 10.1% 29.8%

35 −45 5.0% 9.8% 5.3% 12.2% 10.6% 42.9%

≥ 45 3.8% 8.0% 3.8% 7.1% 4.7% 27.4%

All 11.6% 23.3% 12.2% 27.5% 25.3% 100.0%

August 2019-October 2019

FICO

DTI <640 640–680 680–700 700–750 ≥ 750 All

< 35 2.9% 4.8% 2.7% 7.8% 10.7% 28.9%

35 −45 5.0% 8.5% 4.6% 11.6% 10.7% 40.4%

≥ 45 4.4% 7.9% 3.9% 8.2% 6.2% 30.7%

All 12.4% 21.2% 11.2% 27.6% 27.5% 100.0%

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

Share of Loans with LTV ≥ 95

Ginnie Mae GSE All

August 2017- October 2017 70.5% 18.3% 35.7%

August 2019- October 2019 68.9% 16.8% 31.6%

Ginnie Mae dominates high-LTV lending, with 68.9 percent of its issuances in the August 2019-October 2019 

period having LTVs of 95 or above, compared to 16.8 percent for the GSEs. The GSEs have decreased their highLTV lending share from 18.3 percent in August 2017−October 2017. Ginnie Mae’s high-LTV lending is down just 

slightly over the same period from 70.5 percent. As home prices have increased, the share of high-DTI lending 

(loans with DTI ≥ 45) has increased across the FICO spectrum.

34
Nonbank Originators

Sources: eMBS and Urban Institute

Note:Data as of September 2019.

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

Development. Data as of October 2019.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Nonbank Origination Share: All Loans

All Fannie Freddie Ginnie

85%

71%

65%

63%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Refinance Loans

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Purchase Loans

The nonbank origination share has been rising steadily for all three agencies since 2013. The Ginnie Mae 

nonbank share has been consistently higher than the GSEs, standing at 85 percent in October 2019, just below 

its record high set in September. Freddie and Fannie’s nonbank shares both rose in October, to 65 and 63 

percent respectively (note that these numbers can be volatile on a month-to-month basis). Ginnie Mae, Fannie 

Mae and Freddie Mac all have higher nonbank origination shares for refi activity than for purchase activity. 

Freddie Mac’s nonbank share is the lowest among the three agencies for both purchase and refinance loans.

35
Ginnie Mae Nonbank Originators 

Sources: eMBS and Urban Institute

Note:Data as of October 2019.

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

Development. Data as of October 2019.

In October 2019, Ginnie Mae’s nonbank share grew slightly to 85 percent. The nonbank originator share for 

FHA fell slightly, down from a historical high last month to 92 percent in October. The nonbank originator share 

for VA was 78 percent, and the nonbank originator share for other loans, which can fluctuate quite a bit month 

to month, increased to 88 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Non-bank originator share

Ginnie Mae Nonbank Originator Share: All Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Non-bank originator share

Ginnie Mae Nonbank Share: 

Purchase Loans

All FHA VA Other

0%

20%

40%

60%

80%

100%

120%

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Ginnie Mae Nonbank Share: 

Refinance Loans

All FHA VA Other

92%

88%

85%

78%

36
Sources: eMBS and Urban Institute. 

Note: Data as of October 2019. 

Sources: eMBS and Urban Institute. 

Note: Data as of October 2019. 

740

755

731

680

690

700

710

720

730

740

750

760

770

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

Agency FICO: Bank vs. Nonbank

FICO All Median FICO Bank Median FICO Nonbank Median FICO

Sources: eMBS and Urban Institute. Note: Data as of October 2019. 

660

680

700

720

740

760

780

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Median FICO Bank Median FICO

Nonbank Median FICO

Ginnie Mae FICO: Bank vs. Nonbank

660

680

700

720

740

760

780

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Median FICO Bank Median FICO

Nonbank Median FICO

GSE FICO: Bank vs. Nonbank

Nonbank Credit Box

FICO FICO

Nonbank originators have played a key role in opening up access to credit. The median GSE and the median Ginnie Mae 

FICO scores for loans originated by nonbanks are lower than their bank counterparts. Within the GSE space, both bank 

and nonbank FICOs have increased slightly since 2014. In contrast, within the Ginnie Mae space, FICO scores for bank 

originations are measurably higher since 2014 while nonbank FICOs have remained flat. This largely reflects the sharp 

cut-back in FHA lending by many banks. 

37
Sources: eMBS and Urban Institute. Note: Data as of October 2019. Sources: eMBS and Urban Institute. Note: Data as of October 2019. 

66

68

70

72

74

76

78

80

82

84

86

88

90

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

GSE LTV: Bank vs. Nonbank

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of October 2019. 

90

91

92

93

94

95

96

97

98

99

100

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of October 2019. 

30

32

34

36

38

40

42

44

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

GSE DTI: Bank vs. Nonbank

All Median DTI Bank Median DTI

Nonbank Median DTI

Nonbank Credit Box

Ginnie Mae LTV: Bank vs. Nonbank

Ginnie Mae DTI: Bank vs. Nonbank

LTV LTV

DTI DTI

The median LTVs for nonbank and bank originations are comparable, while the median DTI for nonbank loans is higher 

than for bank loans, indicating that nonbanks are more accommodating in both this and the FICO dimension. Since 

early 2017, there has been a substantial increase in DTIs, which has partially reversed over the course of 2019. This is 

true for both Ginnie Mae and the GSEs, for banks and nonbanks. As interest rates increased, DTIs rose, because 

borrower payments were driven up relative to incomes. With the fall in interest rates in 2019, DTIs have dropped.

38
650

660

670

680

690

700

710

720

730

740

750

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO scores

Ginnie Mae VA FICO Scores: Bank 

vs. Nonbank

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

Ginnie Mae Nonbank Originators: 

Credit Box

Sources: eMBS and Urban Institute

Note:Data as of October 2019.

Sources: eMBS and Urban Institute

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

and the Department of Agriculture’s Rural Development. Data as of October 2019.

The median FICO score increased for Ginnie Mae nonbank originators and decreased for bank originators in 

October 2019. FICO spreads between banks and nonbanks have generally increased since 2013. The gap 

between banks and non-banks is very apparent in all programs backing Ginnie Mae securities: FHA, VA, and 

Other.

650

660

670

680

690

700

710

720

730

740

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Ginnie Mae FHA FICO Scores: 

Bank vs. Nonbank

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Ginnie Mae Other FICO Scores: 

Bank vs. Nonbank

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

Sources: eMBS and Urban Institute Note:Data as of October 2019. Sources: eMBS and Urban Institute Note:Data as of October 2019.

39
34

35

36

37

38

39

40

41

42

43

44

45

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO scores

Ginnie Mae VA DTI: Bank vs. 

Nonbank

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

Ginnie Mae Nonbank Originators: 

Credit Box

Sources: eMBS and Urban Institute

Note:Data as of October 2019.

Sources: eMBS and Urban Institute

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

and the Department of Agriculture’s Rural Development. Data as of October 2019.

An analysis of borrowers’ DTI ratios for bank versus non-bank originators indicates that the former have a 

lower median DTI. The DTIs for FHA and VA loans experienced notable increases since early 2017 for both 

bank and nonbank originations, while the Other origination DTIs stayed relatively flat. Rising DTIs are expected 

in a rising rate environment. After peaking in January 2019, Ginnie DTIs have trended downward, as rates have 

declined. 

34

35

36

37

38

39

40

41

42

43

44

45

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

FICO score

Ginnie Mae DTI: 

Bank vs. Nonbank

All Median DTI Bank Median DTI

Nonbank Median DTI

34

35

36

37

38

39

40

41

42

43

44

45

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Ginnie Mae FHA DTI: Bank vs. 

Nonbank

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

34

35

36

37

38

39

40

41

42

43

44

45

46

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

Ginnie Mae Other DTI: Bank vs. 

Nonbank

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

Sources: eMBS and Urban Institute Note:Data as of October 2019. Sources: eMBS and Urban Institute Note:Data as of October 2019.

40
Holders of Ginnie Mae MSRs

Sources: eMBS and Urban Institute. Note:Data as of October 2019.

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

Rank MSR Holder UPB ($ millions) Share Cumulative 

Share

1 Wells Fargo $229,058 13.6% 13.6%

2 Lakeview $203,471 12.0% 25.6%

3 PennyMac $186,254 11.0% 36.6%

4 Freedom Home Mortgage $115,952 6.9% 43.5%

5 Nationstar $97,684 5.5% 49.0%

6 Quicken Loans $65,365 3.9% 52.9%

7 US Bank $58,426 3.5% 56.3%

8 JPMorgan Chase $42,154 2.5% 58.8%

9 Carrington Home Mortgage $40,672 2.4% 61.2%

10 USAA Federal Savings Bank $37,171 2.2% 63.4%

11 Caliber Home Loans $35,181 2.1% 65.5%

12 Navy Federal Credit Union $26,391 1.6% 67.1%

13 Newrez $25,936 1.5% 68.6%

14 Amerihome Mortgage $25,771 1.5% 70.1%

15 The Money Source $22,009 1.3% 71.5%

16 Midfirst Bank $21,413 1.3% 72.7%

17 M&T Bank $19,293 1.1% 73.9%

18 Roundpoint $18,000 1.1% 74.9%

19 Suntrust $17,877 1.1% 76.0%

20 Ditech Financial $17,790 1.1% 77.0%

21 Home Point Financial $17,580 1.0% 78.1%

22 Guild Mortgage $15,393 0.9% 79.0%

23 Branch Banking and Trust $15,382 0.9% 79.9%

24 Loan Depot $15,255 0.9% 80.8%

25 PHH Mortgage $14,078 0.8% 81.6%

26 Flagstar Bank $13,822 0.8% 82.5%

27 Pingora $13,175 0.8% 83.2%

28 Citizens Bank $12,498 0.7% 84.0%

29 Bank of America $11,179 0.7% 84.6%

30 Fifth Third Bank $11,108 0.7% 85.3%

This table shows 30 largest owners of mortgage servicing rights (MSR) by UPB for Ginnie Mae securitizations. As 

of October 2019, over half (52.9 percent) of the Ginnie Mae MSRs are owned by the top six firms. The top 30 

firms collectively own 85.3 percent. Seventeen of these 30 are non-depositories, the remaining 13 are 

depository institutions. 

41
67.5%

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

Share of outstanding loans by UPB

The composition of the largest owners of Ginnie Mae MSR has evolved quite a bit over time. In November 2013, 

Wells Fargo and JP Morgan Chase were the two largest owners of Ginnie Mae MSRs, holding $375 billion and 

$139 billion in servicing UPB respectively. Although Wells Fargo is still the largest player, its portfolio has shrunk 

to $229 billion. Lakeview, PennyMac, Freedom Home Mortgage, and Nationstar (all nonbanks) make up the 

remainder of the top five largest holders of MSRs, owning $203 billion, $186 billion, $116 billion, and $93 billion 

respectively as of October 2019. As of October 2019, nonbanks collectively owned servicing rights for 67.5 

percent of all outstanding unpaid principal balance guaranteed by Ginnie Mae. In December 2013, the nonbank 

share was much smaller at 27.7 percent. 

Holders of Ginnie Mae MSRs

Sources: eMBS and Urban Institute. Note: Data as of October 2019.

Share of Ginnie Mae MSRs held by Nonbanks

Top 5 MSR Holders: Outstanding Ginnie Mae Loans by UPB

$229,058

$186,254

$203,471

$115,952

$93,345

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

$400,000

$450,000

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

1. Wells Fargo 2. Lakeview

3. PennyMac 4. Freedom Home Mortgage

UPB ($ millions) 5. Nationstar

42
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

May-12 Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 May-18 Nov-18 May-19 Nov-19

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note:Data as of November 2019.

Sources: Credit Suisse and Urban Institute. Note:Data as of November 2019.

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

have been higher since. These increased Ginnie speeds reflect the growing share of VA loans, which tend to 

prepay faster than either FHA or GSE loans. In addition, FHA puts fewer restrictions on streamlined refinances, 

and unlike GSE streamline refinances, requires no credit report and no appraisal. Some of the upfront mortgage 

insurance premium can also be applied to the refinanced loan. 

From late 2016 to later 2018, as interest rates increased, the bulk of the mortgage universe found it noneconomic to refinance and the prepayment speeds for all agency MBS slowed substantially. The small month-tomonth variation in speeds reflected primarily seasonality and changes in day count. With the drop in rates 

beginning in late 2018 and persisting through 2019, we have seen a notable pick up in prepayment activity. This 

activity level is rate dependent; If rates drop further, speeds are likely to increase. However, the seasonal 

patterns suggest, in the absence of rate movements, a slightly decrease in speeds in the months ahead.

15%

0%

5%

10%

15%

20%

25%

30%

Nov 11 May 12 Nov 12 May 13 Nov 13 May 14 Nov 14 May 15 Nov 15 May 16 Nov 16 May 17 Nov 17 May 18 Nov 18 May 19 Nov 19

Constant prepayment rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

26%

22%

16%

43
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

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

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

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

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

May-16 Nov-16 May-17 Nov-17 May-18 Nov-18 May-19 Nov-19

Constant Prepayment Rate (%)

2016 Issued 3.0 Coupon CPR

Fannie 2016 3.0 Coupon CPR Freddie 2016 3.0 Coupon CPR Ginnie II 2016 3.0 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

The 2015 Ginnie II 3.5s and the 2016 Ginnie II 3.0s, the largest coupon cohorts of those vintage years, have 

prepaid consistently faster than their conventional counterparts. 2015 and 2016 originations are more heavily 

VA loans than the 2011 origination shown on the preceding page. VA loans prepay faster than either FHA or GSE 

loans. The FHA streamlined programs are likely another contributor to the faster speeds.

With the increase in interest rates over the 2 year period beginning in November 2016, the prepayment 

speeds for all agency MBS had slowed. From late 2016 to late 2018, with the bulk of the mortgage universe 

finding it non-economic to refinance, the muted month to month variations in speeds reflected seasonality, 

changes in day count and changes in mortgage interest rates. With the drop in rates beginning in late 2018 and 

persisting through 2019, we have seen a notable pick up in prepayment activity. This activity level is rate 

dependent; If rates drop further, speeds are likely to increase. However, the seasonal patterns suggest, in the 

absence of rate movements, a slightly decrease in speeds in the months ahead.

17%

12%

20%

17%

44
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Jul-18 Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19 Nov-19

Constant Prepayment Rate (%)

2018 Issued 4.0 Coupon CPR

Fannie 2018 4.0 Coupon CPR Freddie 2018 4.0 Coupon CPR Ginnie II 2018 4.0 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19

Constant Prepayment Rate (%)

2017 Issued 3.5 Coupon CPR

Fannie 2017 3.5 Coupon CPR Freddie 2017 3.5 Coupon CPR Ginnie II 2017 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

Ginnie Mae securities season more slowly than their conventional counterparts; they generally have lower 

prepayment in the early months but are more interest rate responsive thereafter. The charts below show the 

behavior of the 2017-issued 3.5s and the 2018-issued 4.0s, the largest coupon cohorts of those vintage years. 

Despite slower seasoning, 2017 Ginnie II 3.5s have been prepaying faster than their conventional 

counterparts since late 2017, due primarily to fast VA prepayment speeds. Similarly, the 2018 Ginnie II 4.0s 

prepaid more slowly than their conventional counterparts until January of 2019. In 2019, speeds of all 2018 

4.0s have accelerated, and Ginnie II speeds have accelerated more than their conventional counterparts.

25%

18%

17%

41%

32%

45
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35

Constant Prepayment Rate (%)

2017 Issued 4.0 Coupon CPR, by Loan Age

Fannie 2017 4.0 Coupon CPR Freddie 2017 4.0 Coupon CPR Ginnie II 2017 4.0 Coupon CPR

Loan age

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

Sources: Credit Suisse and Urban Institute. Note: Data as of November 2019.

The charts below show the prepayment speeds by loan age for 2017 Ginnie II 4.0s and 2018 Ginnie II 4.5s—the 

cohorts 50 basis points above the largest coupon cohort for those years. Prepayment speeds on the 2017 

Ginnie II 4.0s jumped up sharply at the 7-9 month loan age, reflecting abuse of the VA Streamlined Refi 

program (IRRRL). The 2018 Ginnie II 4.5s do not show increased speeds until the 9-10 month point; reflecting 

both the effect of lower rates and the actions taken by both Ginnie Mae and the VA in H1 2018 to curb this 

abuse. Ginnie Mae actions have included suspending a few servicers whose VA prepayment speeds are 

especially high from selling VA loans into Ginnie Mae II securities, as well as rewriting the pooling 

requirements so that if loans that do not meet the seasoning requirement are refinanced, the new loan is 

ineligible for securitization. Ginnie’s latest action on this front became effective for securities issued on or 

after Nov 1 2019. It bars the securitization of over 90% LTV cash-out refinances into Ginnie I and Ginnie II 

pools (custom pools excepted). In addition, VA has implemented a net tangible benefit test, requiring the 

lender to show the borrower has obtained a benefit from the refinance. Even so, the recent experience of the 

2018 Ginnie II 4.5s indicates they are much more responsive to interest rate changes than conventional 

mortgages.

27.2%

22.5%

22.4%

0%

10%

20%

30%

40%

50%

60%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Constant Prepayment Rate (%)

2018 Issued 4.5 Coupon CPR, by Loan Age

Fannie 2018 4.5 Coupon CPR Freddie 2018 4.5 Coupon CPR Ginnie II 2018 4.5 Coupon CPR

Loan age

37.9%

22.5%

19.7%

46
Reverse Mortgage Volumes

$0.64

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

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

$ Billions

HMBS Issuance Volume

53.9

$0

$10

$20

$30

$40

$50

$60

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

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

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of October 2019.

Sources: Ginnie Mae and Urban Institute. Note: Data as of October 2019.

Ginnie Mae reverse mortgage issuance has been volatile in recent months; after increasing in July, volume fell 

consecutively in August and September 2019 but rose in October to $0.64 billion. Issuance has been declining 

since early 2018 largely due to the implementation of the new, lower principal limit factors. In October 2019, 

outstanding reverse mortgage securities totaled $53.9 billion, lower compared to recent past, reflecting a lower 

volume of new issuances. 

47
Multifamily Market

$1.7

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

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

$ Billions

Ginnie Mae Multifamily MBS Issuance

$123.2

$0

$20

$40

$60

$80

$100

$120

$140

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

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

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of October 2019.

Sources: Ginnie Mae and Urban Institute. Note: Data as of October 2019.

Ginnie Mae multifamily issuance volume in October 2019 totaled $1.7 billion, an increase from the past month 

but below average issuance levels over the past 18 months. Outstanding multifamily securities totaled $123.2 

billion in October.

48
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of November 2019.

$250 

$599 

$35 

$0

$100

$200

$300

$400

$500

$600

$700

1997 2000 2003 2006 2009 2012 2015 2018

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.70%

3.78%

0.37% 0%

2%

4%

6%

8%

10%

12%

14%

1997 2000 2003 2006 2009 2012 2015 2018

Percent

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume was $250 billion/day on average 2019 YTD, more robust than in the 2014-2018 

period, but well below the pre-crisis peak of $345 billion in 2008. In contrast, average daily trading volume for 

Treasuries now exceeds the pre-crisis peak. Agency MBS turnover in 2019 YTD also has been slightly higher 

than the 2014-2018 period; in the first eleven months of 2019, average daily MBS turnover was 3.70 percent, 

above the 2018 average of 3.39 percent. Both average daily mortgage and Treasury turnover are down from 

their pre-crisis peaks. Corporate turnover is miniscule relative to either Agency MBS or Treasury turnover. 

Sources: SIFMA and Urban Institute. Note: Data as of November 2019.

49
Market Conditions

$268.1

150

200

250

300

350

400

450

500

550

600

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

$ Billions

Repo Volume: Securities In

$78.8

0

10

20

30

40

50

60

70

80

90

100

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of November 2019.

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of November 2019.

Dealer net positions are near their post-crisis highs. By contrast, dealer gross positions have fallen 

dramatically. The volume of repurchase activity is up from the near 13-year low in 2017. The large decline 

through time reflects banks cutting back on lower margin businesses. 

50
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2007Q3 2008Q3 2009Q3 2010Q3 2011Q3 2012Q3 2013Q3 2014Q3 2015Q3 2016 Q3 2017 Q3 2018 Q3 2019 Q3

GSEs

Commercial Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual Funds

Money Market and Pension Funds

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

local govts, households, and nonprofits. Data as of Q3 2019.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + Agency notes and bonds) include the Federal Reserve (16 

percent), commercial banks (21 percent) and foreign investors (12 percent). The broker/dealer and GSE shares 

are a fraction of what they once were. 

Share of Total Agency Debt by Owner

51
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q2 2019.

71.9%

50%

55%

60%

65%

70%

75%

2007Q2 2008Q2 2009Q2 2010Q2 2011Q2 2012Q2 2013Q2 2014Q2 2015Q2 2016 Q2 2017 Q2 2018 Q2 2019 Q2

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

Sources: Federal Reserve Bank and Urban Institute. Note: Small domestic banks includes all domestically chartered commercial banks not 

included in the top 25. Data as of November 2019.

As Fannie and Freddie reduce the size of their retained portfolio, fewer agency notes and bonds are required to 

fund that activity, hence the MBS share of total agency debt increases. As of Q2 2019, the MBS share of total 

agency debt stood at 71.9 percent. Commercial banks are now the largest holders of Agency MBS. Out of their $2.1 

trillion in holdings as of the end of November 2019, $1.5 trillion was held by the top 25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Oct-18 Apr-19May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Oct 30 Nov 6 Nov 13 Nov 20

Largest 25 

Domestic Banks 1,320.0 1,431.0 1,434.2 1,452.0 1,455.0 1,465.0 1,491.5 1,504.6 1,504.8 1,515.1 1,528.3 1,525.1

Small Domestic 

Banks 484.5 501.0 502.4 506.6 512.1 513.0 518.2 523.1 523.3 526.3 527.9 525.4

Foreign Related 

Banks 23.4 26.6 29.0 27.7 28.3 33.1 35.3 37.6 37.2 37.1 36.8 41.7

Total, 

Seasonally

Adjusted 1,827.9 1,958.6 1,965.6 1,986.3 1,995.4 2,011.1 2,045.0 2,065.3 2,065.3 2,078.5 2,093.0 2,092.2

52
MBS Ownership

Debt,

household 

mortgages,

$9,833

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

GNMA PT 

($MM)

Agency REMIC 

($MM)

Non-Agency 

($MM)

Market 

Share

1 Bank of America Corporation $321,946 $183,062 $128,029 $10,760 $95 16.3%

2 Wells Fargo & Company $257,583 $183,897 $69,614 $3,220 $852 13.0%

3 JP Morgan Chase & Co. $140,403 $95,347 $31,927 $227 $12,902 7.1%

4 U S. Bancorp. $92,916 $39,656 $31,241 $22,017 $1 4.7%

5 Charles Schwab Bank $90,372 $51,499 $20,452 $18,421 $0 4.6%

6 Capital One Financial Corporation $72,536 $60,813 $3,116 $7,119 $1,488 3.7%

7 Citigroup Inc. $65,843 $27,719 $14,661 $22,622 $841 3.3%

8 Bank of New York Mellon Corp. $54,546 $32,443 $4,103 $16,699 $1,301 2.8%

9 PNC Bank, National Association $52,437 $44,728 $3,134 $2,497 $2,078 2.7%

10 State Street Bank and Trust Company $48,315 $19,893 $5,639 $22,409 $374 2.4%

11 Branch Banking and Trust Company $43,243 $22,785 $11,059 $6,762 $2,637 2.2%

12 Morgan Stanley $27,252 $6,033 $12,317 $8,900 $2 1.4%

13 E*TRADE Bank $25,044 $14,231 $6,493 $4,320 $0 1.3%

14 HSBC Banks USA, National Association $24,252 $14,951 $2,385 $4,226 $2,690 1.2%

15 KeyBank National Association $22,532 $10,951 $10,686 $894 $0 1.1%

16 SunTrust Bank $22,193 $10,312 $3,296 $8,585 $0 1.1%

17 Ally Bank $22,002 $1,604 $793 $19,605 $0 1.1%

18 Citizens Bank $21,688 $10,692 $5,459 $4,679 $858 1.1%

19 Regions Bank $20,114 $16,475 $2,391 $1,248 $0 1.0%

20 MUFG Union Bank $17,370 $2,325 $533 $14,173 $338 0.9%

Total Top 20 $1,442,585 $849,416 $367,331 $199,382 $26,456 73.0%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q3 2019.

Out of the $2.0 trillion in MBS holdings at banks and thrifts as of Q3 2019, $1.5 trillion was agency pass-throughs: 

$1.1 trillion in GSE pass-throughs and $427 billion in Ginnie Mae pass-throughs. Another $429 billion was agency 

CMOs, while non-agency holdings totaled $40 billion. MBS holdings at banks and thrifts increased for the fourth 

quarter in a row in Q3 2019. This increase was broad based, coming from Ginnie Mae and GSE pass-throughs, 

agency CMOs as well as non-agency holdings. 

All Banks & Thrifts ($Billions)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2014 $1,539.32 $964.16 $733.71 $230.45 $449.90 $20.33 $104.94 

2015 $1,643.56 $1,115.40 $823.10 $292.30 $445.39 $11.14 $71.63 

2016 $1,736.93 $1,254.13 $930.67 $323.46 $419.80 $7.40 $55.60

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

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

3Q17 $1,838.93 $1,364.75 $1,012.89 $351.86 $418.08 $5.65 $50.45

4Q17 $1,844.15 $1,378.53 $1,010.83 $367.70 $413.97 $4.63 $47.01 

1Q18 $1,809.98 $1,352.28 $991.57 $360.71 $412.37 $3.92 $41.37

2Q18 $1,806.58 $1,345.80 $976.92 $368.88 $414.41 $7.45 $38.92

3Q18 $1,794.39 $1,339.72 $966.52 $373.21 $416.20 $2.42 $36.04 

4Q18 $1,814.97 $1,361.00 $980.56 $380.43 $419.59 $2.69 $34.69 

1Q19 $1,844.99 $1,385.10 $1,001.61 $383.49 $422.18 $3.06 $34.65 

2Q19 $1,907.13 $1,445.91 $1,037.93 $407.97 $421.56 $2.90 $36.76 

3Q19 $1,975.78 $1,506.92 $1,079.82 $427.10 $428.69 $4.74 $35.44 

Bank and Thrift Residential MBS Holdings

53
Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of August 2019.

15.8%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

MBS Ownership

$1,081.1

$488.8

$637.6

0

200

400

600

800

1,000

1,200

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

$ Billions

Monthly Agency MBS Holdings by Foreigners

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

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of August 2019. 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.

Foreign investors held 15.8 percent of agency MBS in August 2019, up from a low of 11.9 percent in July 2014. 

For the month of August 2019, this represents $1.08 trillion in Agency MBS, $488.8 billion held by foreign 

private institutions and $637.6 billion held by foreign institutions. 

54
MBS Ownership

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

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

Note: *calculated based on June 2018 report with amount asset backed per country. Revised to include Top 10 holders of MBS listed as of June 

2018. Monthly data as of August 2019.

The largest foreign holders of Agency MBS are Japan, Taiwan, and China; these three comprise over 70 percent 

of all foreign holdings. Between June 2018 and August 2019, we estimate China has increased their agency 

MBS holdings by $55.9 billion, Japan has increased their holdings by $49.2 billion and Taiwan has increased 

their holdings by $13.6 billion.

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

Country Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Jul-19 Aug-19

Q3 

2018

Q4 

2018

Q1 

2019

Q2 

2019 Jul-19 Aug-19

Japan 257,547 254,511 271,999 284,322 296,445 306,913 306,853 -3,036 17,488 12,323 12,123 10,468 -60

Taiwan 250,009 250,639 261,262 265,992 265,520 263,462 263,632 630 10,623 4,730 -472 -2,058 170

China 180,635 190,203 188,921 208,540 227,312 235,487 236,691 9,568 -1,282 19,619 18,772 8,175 1,204

Ireland 46,817 48,220 48,045 46,623 44,979 43,940 42,769 1,403 -175 -1,422 -1,644 -1,039 -1,171

Luxembourg 36,372 38,800 50,869 44,561 45,144 45,039 43,724 2,428 12,069 -6,308 583 -105 -1,315

South Korea 44,039 43,944 44,794 42,604 42,669 42,597 41,867 -95 850 -2,190 65 -72 -730

Bermuda 27,866 27,610 28,651 28,535 29,377 29,254 29,318 -256 1,041 -116 842 -123 64

Cayman 

Islands 31,017 31,638 31,405 30,374 30,885 31,043 29,839 621 -233 -1,031 511 158 -1,204

Malaysia 12,710 12,874 12,671 12,395 12,108 12,851 14,865 164 -203 -276 -287 743 2,014

Netherlands 11,995 12,229 9,601 9,400 13,548 13,180 10,888 234 -2,628 -201 4,148 -368 -2,292

Rest of World 125,197 128,807 129,345 129,987 128,056 133,972 133,924 3,610 538 642 -1,931 5,916 -48

Total 1,024,200 1,039,475 1,077,563 1,103,333 1,136,043 1,157,738 1,154,370 15,275 38,088 25,770 32,710 21,695 -3,368

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

Country Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Jul-19 Aug-19

Q3 

2018

Q4 

2018

Q1 

2019

Q2 

2019 Jul-19 Aug-19

Japan 253,972 250,851 268,119 280,394 292,762 303,284 303,140 -3,121 17,268 12,275 12,368 10,522 -144

Taiwan 249,773 250,397 261,006 265,733 265,277 263,222 263,387 624 10,608 4,727 -456 -2,054 164

China 176,345 185,811 184,265 203,827 222,893 231,132 232,235 9,466 -1,546 19,562 19,066 8,239 1,103

Ireland 37,832 39,021 38,293 36,751 35,723 34,819 33,437 1,189 -729 -1,542 -1,028 -904 -1,382

Luxembourg 34,012 36,384 48,307 41,968 42,713 42,643 41,273 2,372 11,924 -6,339 745 -70 -1,370

South Korea 33,064 32,708 32,882 30,546 31,363 31,456 30,468 -356 174 -2,336 817 93 -988

Bermuda 24,969 24,644 25,507 25,352 26,393 26,313 26,309 -325 863 -155 1,040 -79 -4

Cayman 

Islands 24,384 24,847 24,206 23,086 24,052 24,309 22,950 463 -642 -1,119 965 258 -1,360

Malaysia 12,319 12,474 12,247 11,965 11,705 12,454 14,459 155 -227 -281 -260 749 2,005

Netherlands 11,437 11,658 8,995 8,787 12,973 12,614 10,308 221 -2,662 -208 4,186 -360 -2,305

Rest of World 95,510 98,414 97,123 97,370 97,473 103,835 103,089 2,904 -1,291 247 103 6,362 -746

Total 953,612 967,209 1,000,948 1,025,779 1,063,325 1,086,080 1,081,053 13,597 33,739 24,831 37,546 22,755 -5,027

55
0

50

100

150

200

250

300

350

400

Feb-09

Jun-09

Oct-09

Feb-10

Jun-10

Oct-10

Feb-11

Jun-11

Oct-11

Feb-12

Jun-12

Oct-12

Feb-13

Jun-13

Oct-13

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

Feb-18

Jun-18

Oct-18

Feb-19

Jun-19

Oct-19

$ Billions

Total Fed Absorption

Total Fed Purchases Gross Issuance

MBS Ownership

0

50

100

150

200

250

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Billions

Fed Absorption of GSE MBS

Gross Issuance Total Fed Purchases

Sources: eMBS, Federal Reserve Bank of New York and Urban Institute. Note: Data as of October 2019.

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

Institute. Note: Data as of October 2019.

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

Note: Data as of October 2019.

0

10

20

30

40

50

60

70

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

The Federal Reserve is actively winding down its mortgage portfolio; MBS purchases are very low. During the 

period October 2014-September 2017, the Fed ended its purchase program, but was reinvesting proceeds from 

mortgage and agency debt into the mortgage market, absorbing 20-30 percent of agency gross issuance. In 

October 2017, the Fed began to taper their mortgage holdings, initially letting securities run off at the rate of $4 

billion per month in Q4, 2017; $8 billion per month in Q1, 2018; $12 billion per month in Q2; $16 billion per 

month in Q3; and $20 billion per month in Q4, 2018 and thereafter. With the Fed now at its maximum taper, Fed 

absorption of gross issuance was 4.08 percent in October. 

56
All the information contained in this document is as of date Indicated unless otherwise noted. The

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

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

The views expressed in this material are the views of the staff of the Urban Institute's Housing Finance Policy 

Center and State Street Global Advisors as of Decembe 17th, 2019 and are subject to change based

on market and other conditions. The views should not be attributed to the Urban Institute, its trustees, or its 

funders. This document contains certain statements that may be deemed forward‐looking statements.

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developments may differ materially from those projected.   

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