Globa Markets

Analy i Rep t

A M th P bli i f Gi

Mae’s Office of Capital Markets

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on ly u cat on o nnie 

Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

FEBRUARY

2022
Global Markets Analysis Report

 

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Global Markets Analysis Report

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

Table of Contents

Table of Contents i

Highlights 2

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

2.0 State of the US Housing Market 11

2.1 National HPI 11

2.2 Size and Value of the US Housing Market 13

2.3 Serious Delinquency Rates 14

2.4 Characteristics of Ginnie Mae Loans in Forbearance 15

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 18

2.6 Outstanding Single-Family Agency MBS 19

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 20

2.8 Origination Volume and Share Over Time 21

3.0 US Agency Market, Single-Family Issuance 22

3.1 Percent Refi at Issuance 25

4.0 High LTV Loans: Ginnie Mae vs. GSEs 26

5.0 Prepayments 27

5.1 Aggregate Prepayments 27

6.0 Holders of Ginnie Mae Mortgage Servicing Rights 28

7.0 MBS Ownership 29

7.1 Commercial Bank Holdings of Agency MBS 29

7.2 Bank and Thrift Residential MBS Holdings 30

7.3 Foreign Ownership of MBS 32

7.4 Foreign Ownership of Agency Debt and Agency MBS 33
Highlights

 

Highlights

In our August 2021 edition, Global Market Analysis Report discussed Ginnie Mae’s introduction of state-of-theart ESG investment data disclosures to the pool level Single-Family Supplemental File. The new data indicates

the percentage of loans within a pool originated in low-to-moderate income (LMI) areas. In November 2021, the

Global Market Analysis Report described how investors may integrate the LMI data published by Ginnie Mae

into an ESG-focused investment framework within the MBS market. The November 2021 Global Market Analysis

Report also documented and displayed the upwards trend in the number of Ginnie Mae Single-Family pools that

contain LMI area loans.

Ginnie Mae continues to act as a leader in ESG disclosure. While investors are incorporating more ESG factors

into their investment decisions, Ginnie Mae is seeking to provide more ESG data to facilitate decision making

and lead the Agency mortgage-backed securities (MBS) market.

The latest advance in Ginnie Mae’s ESG data disclosure efforts involves Multifamily MBS. In November 2021,

with Bulletin 2021-068, Ginnie Mae announced “an enhancement to its Combined Multifamily Pool and Loan

Global Markets Analysis Report

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

 

Disclosure Files for both daily/monthly new issuance and monthly portfolio data. This enhancement adds a new

data field, Green Status (field L43), to the Loan section of the disclosure record.”1

The new data field will denote whether properties collateralizing a Multifamily pool qualify as green properties

under FHA’s Multifamily Green and Energy Efficient Housing program. By qualifying as a green property,

property owners are eligible for a lower Mortgage Insurance Premium (MIP), known as a Green MIP rate. Table

1, shown below, demonstrates the decrease in MIP for mortgages that are collateralized by properties that

qualify as green properties. The FHA’s Green MIP rates became effective in on April 1, 2016.

FHA Multifamily Mortgage 

Insurance Program

Upfront Capitalized 

MIP Basis Points 

(Prior to April 1, 2016)

Upfront Capitalized 

MIP Basis Points 

(Post April 1, 2016)

Annual MIP Basis 

Points 

(Prior to April 1, 2016)

Annual MIP Basis 

Points 

(Post April 1, 2016)

Green/Energy Efficient Housing 25 25

 

207 Multifamily New

Construction/Sub Rehab w Green 45 to 70 25 45 to 70 25

 

207 Manufactured Home Parks with

Green 45 to 70 25 45 to 70 25

 

 

221(d)(4) New Constr/Sub Rehab w

Green 45 to 65 25 45 to 65 25

220 Urban Renewal Housing w Green 45 to 70 25 45 to 70 25

 

207/223(f) Refi or Purchase for Apts.

w Green 100 25 45 to 60 25

223(a)(7) Refi of Apts. w Green 50 25 45 to 50 25

231 Elderly Housing w Green 45 to 70 25 45 to 70 25

 

241(a) Supplemental Loans for

Apts./coop w Green 45 to 95 25 45 to 95 25

Table 1. FHA Multifamily Green MIP Rates2

To qualify and “maintain continual compliance for a Green MIP rate, properties must achieve and maintain an

ENERGY STAR® score of 75 or higher as evidenced by a report from ENERGY STAR Portfolio Manager® (Portfolio

1 https://www.ginniemae.gov/investors/disclosures_and_reports/Pages/BulletinsDispPage.aspx?ParamID=545&Ident=2021-068 2 https://www.govinfo.gov/content/pkg/FR-2016-03-31/pdf/2016-07405.pdf
Highlights

Manager), an Environmental Protection Agency (EPA) online platform for owners to upload and report energy

performance for properties. The system measures and tracks energy and water consumption and greenhouse

gas emissions on a 1-100 index score.”3 With these green property requirements, owners “are incentivized to

implement measures that result in projects with greater energy and water efficiency, reduced operating costs,

improved indoor air quality and resident comfort, and reduced overall impact on the environment. For

properties that have already achieved a green building standard and that are refinancing with this lower MIP

premium, proceeds may be used to complete further efficiency upgrades, and/or to retrofit to the next-level

green certification standards.”4

The new Green Status field in the Multifamily data disclosure file provides investors with additional transparency

that allows for granular ESG investment decisions in the Ginnie Mae MBS market. The implementation timeline

for the new data field began on February 1, 2022, with the addition of the Green Status field to the Multifamily

Pool and Loan New Issuance Daily file.

The Green Status field will be fully implemented into data disclosure files by March 1, 2022 when the data is

aggregated into the Multifamily Pool and Loan New Issuance Monthly Disclosure. Within the file, investors will

be able to identify pools with green properties by looking at the final entry in each row. The entry will contain

one of five MIP indicators which are combinations of the four FHA mortgage categories: GRA

(Green/Affordable); GRB (Green/Broadly Affordable); GRM (Green/Market); NGR (Not Green); or blank

(Unknown). Table 2, shown below, describes the four categories of FHA mortgages (Green, Affordable, Broadly

Affordable, and Market) in further detail.

Global Markets Analysis Report

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

FHA Mortgage 

Category

MIP 

Basis Points FHA Mortgage Category Description

Green 25 Projects must use a green building standard and must ultimately achieve and maintain an Energy

Star score of 75 or better using EPA's Portfolio Manager (annual reporting is required after

completion of construction/rehab projects). Properties under 20 units are exempt from the Portfolio

Manager scoring requirement.

Affordable 35 Owners must accept Section 8 vouchers. Section 8 based projects include:

 Inclusionary Zoning, Density Bonus Set-Asides, and Other Local Affordability Restriction

projects with at least 10% of units at 80% area median income or less, for at least 30 years, or

 10%-90% Section 8 Project Based contract (15 years or more remaining), or

 10%-100% Low Income Housing Tax Credit (LIHTC) or similarly restricted (15 years or more

remaining)

Broadly Affordable 25 Broadly Affordable is defined as either:

 90% or more Section 8 Project Based contract (15 years or more remaining), or

 90% or more LIHTC/restricted and rents at least 10% below market (15 years or more

remaining)

Market 50 to 95 Market FHA mortgages are broadly defined as mortgages that do not fall into one, or more, of the

categories above.

Table 2. FHA MIP Indicators5

With the new data disclosure field, Ginnie Mae presents information to investors on Multifamily pools within

the Ginnie Mae MBS portfolio that are collateralized by green properties. So, how might Ginnie Mae Multifamily

3 https://www.hud.gov/sites/dfiles/OCHCO/documents/2020-1hsgml.pdf

4 https://www.hud.gov/program_offices/housing/mfh/green

 

5 https://static1.squarespace.com/static/5e3882db4b0f9a3409a88c46/t/5eb44fb32703075822680bcb/1588875187968/AGM_MIP_Description-2018.pdf
Highlights

MBS investors use this new ESG data disclosure field? According to the U.S. Department of Housing and Urban

Development’s (HUD’s) office of Housing, “For investors in Ginnie Mae MBS, green building disclosure provides

additional transparency of loan collateral quality. Further, such disclosure—along with HUD’s underwriting

policies—provides investors with the facts needed to assess environmental, social, and governance (“ESG”)

factors. ESG investing has grown in popularity in recent years, and this disclosure supports investment selection

for buildings that are certified to be energy efficient during HUD’s loan underwriting process.”2

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 4
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

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

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

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

than 1%.

Barclays Global Aggregate Index by Country

In the Barclays Global Aggregate Index by Country, the US share of fixed income still represents the

largest share of total outstanding issuance, representing approximately 39% of the total Barclays Global

Aggregate Index. The US share of fixed income increased by 1% from the previous month. Canada’s

share of fixed income decreased by 1% from the previous month. All the other categories remained

stable when compared to the previous month.

Sources: Bloomberg. Note: Data as of January 2022. Figures in charts may not add to 100% due to rounding.

Global Markets Analysis Report

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

2% 1% 1% 1% 0%

2%

2%

8%

15%

28%

39%

Treasury - 39%

MBS Passthrough - 28%

Industrial - 15%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

Local Authority - 1%

ABS - 0%

2% 14%

2%

3%

3%

4%

5%

5%

8% 13%

39%

United States - 39%

Japan - 13%

China - 8%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 3%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 14%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.2 Global 10‐Year Treasury Yields

The US 10-year Treasury yield moved to 1.78% at month end January 2022, a MoM increase of 27 bps. At

month end January 2022, US Treasury yields remain the highest of all the government treasury yields depicted

in the figure below.

 The yield on the UK 10-year government notes increased to 1.30% in January, a MoM increase of 33

bps.

 The yield on the German 10-year note increased to 0.01% in January, a MoM increase of 19 bps. This is

the first time since March 2019 that the German yield has crossed back into positive territory.

 The yield on the Italian 10-year note increased to 1.29% in January, a MoM increase of 12 bps.

 The yield on the Japanese 10-year government notes increased to 0.17% in January, a MoM increase of

11 bps.

 At the end of January 2021, the hedged yield for the 10-year Treasury JPY shifted to 2.56%, a decrease

of 6 bps from the previous month.

 The hedged yield for the 10-year Treasury EUR shifted to 1.46%, a slight decrease of 4 bps from the

previous month.

Global 10‐Year Treasury Yields

7–10yr Total Return Hedged Index, JPY 7–10yr Total Return Hedged Index, EUR

Sources: Bloomberg. Note: Data as of January 2021

Global Markets Analysis Report

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

5.0

3.0

1.0

-1.0

-3.0

1.78%

1.30%

1.29%

0.17% % Yield 0.01%

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

170

160

150

140

130

120

145.59

280

260

255.55

240

220
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.3 Ginnie Mae Yields– USD

Ginnie Mae fixed rate MBS yields increased MoM in January 2022. Ginnie Mae II yields were at 2.33% on January

31, 2022, up by 45 bps from the prior month. Ginnie Mae I yields were at 2.45%, up by 36 bps from the prior

month. On January 31, Ginnie Mae II SF yields were 55 bps higher than the US 10-year Treasury yield,

representing an increase in spread of 36 bps since December 31, 2021. The yields on the Ginnie Mae I SF were

67 bps higher than the US 10-year Treasury yield on January 31, 2022, representing an increase in spread of 9

bps since December 31, 2021.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of January 2021

Global Markets Analysis Report

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

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0

2.33% % Yield

4.5

4

3.5

3

2.5

2

1.5

1

0.5

0

2.45% % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30-year OAS increased 24 bps from monthend December to month-end January, ending at 51 bps. The Ginnie Mae II 30-year OAS decreased by 14 bps

since the previous month. The US Intermediate Credit OAS has increased by 10 bps since last month.

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

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

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

Global Markets Analysis Report

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

4

3.5

3

2.5

2

1.5

1

0.5

0

-0.5

0.71

0.19 % Yield

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

3.5

3

2.5

2

1.5

1

0.5

0

0.51 % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

 

1.5 Global Treasury Yield Per Duration

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

of various tenors with similar or longer duration. Prepayment risk is a feature of MBS. In January, the

GNMA II 2.5% securities duration and yield increased MoM by 0.51 units and 38 bps, respectively. In

January, the GNMA II 3% securities duration and yield increased MoM by 0.41 units and increased by

38 bps, respectively.

Yield vs. Duration

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

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

Global Markets Analysis Report

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

Yield 2.50

2.00

1.50

1.00

0.50

0.00

-0.50

-1.00

GNMA II 2%

GNMA II 3% GNMA II 2.5%

US 5y

US 10y

UK 5y

ITA 10y

UK 10y

ITA 5y

JPY 5y

JPY 10y

GER 10y

GER 5y

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Duration

Security Duration Yield

US 5y

US 10y

4.79

9.06

1.61

1.78

JPY 5y 4.89 -0.02

JPY 10y

GER 5y

9.72

5.21

0.17

-0.23

GER 10y

ITA 5y

 10.02

4.47

 0.01

 0.49

ITA 10y

UK 5y

9.67

4.65

1.29

1.13

UK 10y

GNMA II 2%

9.32

5.81

1.30

2.18

GNMA II 2.5%

GNMA II 3%

5.74

4.10

2.37

2.38
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

1.6 Monthly CMO Demand for Ginnie Mae MBS

In January 2022, $15.7 billion of Ginnie Mae MBS were securitized into Collateralized Mortgage Obligations

(CMOs) as underlying collateral, a 20% MoM increase. Of that, approximately $4 billion were Multifamily MBS,

all having coupons between 2% and 3%. $11.2 billion were Single-Family MBS with over 90-percent of the SingleFamily MBS having coupons between 2% and 3.5%.

Through the first four months of Fiscal Year 2022 approximately $60 billion of Ginnie Mae Single-Family and

Multifamily MBS were securitized into Ginnie Mae CMO transactions. This represents a roughly 8% decrease

over the same period in Fiscal Year 2021.

January 2022 CMO Collateral Coupon Distribution

Global Markets Analysis Report

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

10

6Totals may not sum due to rounding.

$16.9 $15.6

$18.8

$21.5

$14.3

$17.1 $18.2

$14.2

$16.6

$13.2

$25

$20

$15

$10

Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22

Ginnie Mae Single‐Family and Multifamily MBS Securitized into

CMOs

$15.7

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into CMO Deals ($MM)

6

% Breakdown of CMO Collateral by 

coupon1

Multifamily

2.01-2.50 1,794.6 45%

2.51-3.00 2,166.4 55%

Subtotal 3,961.0 100%

Single Family

≤2.00 510.2 4%

2.01-2.50 2,245.5 19%

2.51-3.00 5,366.2 46%

3.01-3.50 3,366.2 29%

3.51-4.00 115.6 1%

4.01-4.50 100.0 1%

4.51-5.00 25.3 0%

5.01-5.50 29.5 0%

5.51-6.00 23.7 0%

Subtotal 11,243.3 100%

Grand Total 15,743.2
State of the US Housing Market

2.0 State of the US Housing Market

2.1 National HPI

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

17.4% between March 2020 to November 2021. March 2020 to October 2021 national HPI CAGR was

approximately 90 bps lower, at 16.5%, suggesting a continued trend in November of accelerating HPI increases.

Over that period, the Mountain region has had the greatest home price appreciation (21.7% CAGR), while in the

West North Central region, increases in home values have been slowest (14.2%). The rapid home price

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

Global Markets Analysis Report

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

11

U.S. Census Subregion New England Middle 

Atlantic 

East North 

Central 

East South 

Central 

South 

Atlantic 

West North 

Central 

West South 

Central Mountain Pacific National 

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

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

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

Pandemic CAGR 16.9% 15.2% 14.7% 18.5% 19.5% 14.2% 16.7% 21.7% 18.9% 17.4%

12-Month Period of Max HPI Growth

During Pandemic

7-2020 to

6-2021

8-2020 to

7-2021

7-2020 to

6-2021

12-2020 to

11-2021

9-2020 to

8-2021

6-2020 to

5-2021

12-2020 to

11-2021

9-2020 to

8-2021

8-2020 to

7-2021

8-2020 to

7-2021

Max 12-Month Period Change,

During Pandemic 21.7% 18.1% 17.1% 19.5% 20.6% 16.3% 18.0% 25.8% 22.1% 19.2%

12-Month Period of Max HPI

Growth, Pre-Pandemic

12-2001 to

11-2002

12-2003 to

11-2004

2-2017 to

1-2018

2-2005 to

1-2006

9-2004 to

8-2005

4-1993 to

3-1994

3-2005 to 2-

2006

11-2004 to

10-2005

5-2004 to

4-2005

10-2004

to 9-2005

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

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

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

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

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

 

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

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

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

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

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

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

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

Global Markets Analysis Report

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

12

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Global Markets Analysis Report

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

13

Size of the US Residential Mortgage Market

 

2.2 Size and Value of the US Housing Market

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

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

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

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

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

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

up to 67% of total mortgage debt.

Value of the US Housing Market

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

11.5

$ Trillions 40.0

35.0

30.0

25.0

20.0

15.0

10.0

5.0

0.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q3 36.8

25.3

Debt Household equity Total Value

$ Trillions

9

8

7

6

5

4

3

2

1

0

$8.18

$3.30

$0.40

$0.39

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021

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

2.3 Serious Delinquency Rates

Serious delinquency rates for single-family GSE, FHA, and VA loans all fell sharply in Q4 2021. From Q3 2021 to

Q4 2021, Fannie and Freddie serious delinquencies decreased 37 and 34 bps, respectively, or 23% each, as a

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

absolute terms, with FHA and VA dropping 188 and 66 bps respectively. This decline in serious delinquency rates

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

Global Markets Analysis Report

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

14

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q4 2021.

6.30%

1.25%

Serious Delinquency Rates 12%

10%

8%

6%

4%

2%

0%

3.82%

1.12%

4

Q05

2Q064

Q06

2Q074

Q07

2Q084

Q08

2Q094

Q09

2Q104

Q10

2Q114

Q11

2Q124

Q12

2Q134

Q13

2Q144

Q14

2Q154

Q15

2Q164

Q16

2Q174

Q17

2Q184

Q18

2Q194

Q19

2Q204

Q20

2Q214

Q21

FHA Fannie Mae Freddie Mac VA

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

2.4 Characteristics of Ginnie Mae Loans in Forbearance

157,070 Ginnie Mae loans were in forbearance as of the end of December 2021. This represents 6% decrease

MoM, lower than the 11% MoM pace observed in October and November. 8,292 of loans in forbearance were

removed from MBS pools and 148,778 still actively remain in pools. Most liquidated loans (5,986) were FHA and

within that subset, 3,482 of those loans were originated by nonbanks. Approximately 96% of the loans that were

in forbearance at the end of December were due to COVID-19 circumstances.

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15

All Loans in Forbearance – December 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.5 $175,734.67 76.8 68.1 157,070

Bank 672 3.9 $123,815.27 76.7 79.6 22,232

Nonbank 657 3.5 $184,420.90 76.8 67.0 134,838

FHA 653 3.6 $169,235.76 79.8 74.6 109,504

Bank 665 4.0 $114,549.62 80.1 82.7 16,508

Nonbank 652 3.6 $179,134.36 79.7 73.8 92,996

VA 669 3.2 $227,893.35 63.8 47.3 34,405

Bank 684 3.6 $178,300.44 66.3 70.2 4,321

Nonbank 667 3.2 $234,000.00 63.4 44.8 30,084

Loans in Forbearance and Removed from Pools – December 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 660 3.9 $141,684.94 75.1 69.5 8,292

Bank 676 3.9 $110,038.61 78.4 81.7 3,111

Nonbank 655 3.9 $162,797.00 73.8 65.6 5,181

FHA 654 3.9 $134,288.10 78.0 74.1 5,986

Bank 674 4.0 $104,501.31 79.9 82.2 2,504

Nonbank 646 3.9 $158,246.43 77.1 70.8 3,482

VA 673 3.7 $192,883.20 63.1 53.7 1,659

Bank 683 3.6 $151,864.04 67.9 73.0 404

Nonbank 671 3.7 $211,028.68 62.0 50.5 1,255

Loans in Forbearance that Remain in Pools – December 2021

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.5 $177,643.50 76.9 68.1 148,778

Bank 671 3.9 $126,525.15 76.5 79.4 19,121

Nonbank 657 3.4 $185,260.68 77.0 67.0 129,657

FHA 653 3.6 $171,187.00 79.8 74.6 103,518

Bank 664 4.0 $116,270.49 80.2 82.8 14,004

Nonbank 652 3.5 $180,000.00 79.8 73.9 89,514

VA 668 3.2 $229,272.33 63.8 47.0 32,746

Bank 684 3.6 $182,491.46 66.2 70.0 3,917

Nonbank 667 3.1 $235,000.00 63.4 44.6 28,829

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

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

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16

 

Number of Loans Removed from Pools: Nonbank

The current share of Ginnie Mae loans in forbearance stands at 1.47% as of the end of December, down

approximately a tenth of a percent MoM from 1.57% at the end of November. This approximately 10 bps decline

is roughly half the decrease observed in each of the prior two months, during which the total forbearance

percentage dropped approximately 20 bps each month. The forbearance rate remains significantly higher than

the forbearance rate prevailing in the period prior to the pandemic between Jan 2019 and February 2020

(approximately 0.1%), and, as stated above, the rate of convergence to pre-pandemic rates has slowed in

December.

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

as of December 2021.

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

Data as of December 2021.

14%

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

Share of Ginnie Mae Loans in Forbearance

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

300000

250000

200000

150000

100000

50000

0

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

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17

Number of Loans Removed from Pools: FHA

 

Number of Loans Removed from Pools: VA

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

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

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

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

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

decreased 12% to 14,956 for FHA and 52% to 2,716 for VA loans. High refinance activity (blue areas) continues

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

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

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

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

Number of Loans Removed from Pools by Coupon

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

160000

140000

120000

100000

80000

60000

40000

20000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

180000

160000

140000

120000

100000

80000

60000

40000

20000

0

<3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan

<3.5 Loss Mitigation

350000

300000

250000

200000

150000

100000

50000

0

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

>=3.5 Mortgagor Payoff
State of the US Housing Market

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

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

Mae collateral outstanding varies across states, with the highest Ginnie Mae share in Alaska (47%) and the

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

over the past year and Ginnie Mae’s share of overall outstanding Agency MBS (26%) is reflective of ebbs and

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

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18

Agency Issuance (past 1 year) Agency Outstanding 

National 

GNMA 

Share 

GNMA Loan 

Count 

GNMA Avg. Loan 

Size (000) 

GSE Avg. Loan 

Size (000) GNMA Share by UPB GNMA Loan Count 

GNMA Avg. Loan Size 

(000) 

GSE Avg. Loan Size 

(000) 

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

AK 49% 10,581 304.93 288.76 47% 36,948 254.48 218.55

AL 37% 58,761 215.19 227.73 40% 231,762 147.38 172.72

AR 35% 31,244 183.82 206.35 39% 135,562 125.05 155.77

AZ 23% 95,711 279.21 281.77 25% 273,817 201.58 215.20

CA 16% 240,876 426.71 415.08 16% 670,676 311.59 316.71

CO 24% 79,248 363.20 344.07 23% 213,609 273.28 268.62

CT 23% 26,272 262.09 276.87 25% 103,430 195.30 207.29

DC 12% 2,653 470.08 456.22 12% 8,577 365.06 350.80

DE 29% 14,188 261.93 268.76 32% 50,192 196.72 206.22

FL 30% 252,363 270.26 267.45 32% 831,131 197.58 200.95

GA 31% 135,038 239.74 264.51 34% 489,860 167.46 198.02

HI 36% 12,779 588.53 465.86 31% 32,769 452.75 352.38

IA 18% 17,967 171.32 196.98 22% 81,793 128.14 148.03

ID 22% 19,636 295.77 285.57 23% 64,726 198.58 213.27

IL 19% 86,619 214.89 241.16 21% 350,953 154.22 177.24

IN 26% 65,546 185.95 196.86 30% 277,063 126.10 146.48

KS 26% 22,722 197.64 217.06 29% 96,432 133.95 160.64

KY 30% 40,245 193.66 204.55 34% 161,456 136.18 152.32

LA 38% 46,502 209.49 231.53 39% 190,130 152.10 174.92

MA 15% 34,521 364.38 355.92 15% 110,997 271.52 267.48

MD 32% 87,510 347.15 323.67 33% 282,749 256.95 247.06

ME 23% 10,310 230.56 250.45 26% 37,641 169.40 187.72

MI 17% 64,712 186.46 208.28 20% 273,508 127.06 154.34

MN 16% 38,379 249.33 256.88 18% 159,445 175.46 195.36

MO 25% 57,599 195.77 211.05 29% 243,545 134.99 158.86

MS 43% 26,214 199.33 209.62 47% 117,872 135.93 157.43

MT 20% 9,479 237.48 280.44 24% 33,070 197.55 208.59

NC 26% 114,594 236.22 261.21 29% 412,659 164.70 194.27

ND 20% 4,886 190.94 237.66 23% 16,629 188.11 184.01

NE 23% 14,283 214.57 208.25 27% 65,419 141.40 157.65

NH 20% 10,955 293.28 280.99 23% 38,729 216.76 210.63

NJ 19% 61,968 314.00 331.84 21% 224,915 229.92 251.88

NM 34% 22,387 231.39 234.97 38% 94,187 158.29 173.10

NV 30% 45,507 314.08 293.92 31% 130,545 232.75 225.41

NY 17% 55,458 314.65 342.18 20% 302,033 199.26 243.32

OH 24% 92,657 180.99 200.43 29% 417,815 124.29 146.19

OK 38% 40,091 197.41 210.24 43% 187,850 134.02 157.12

OR 19% 36,852 323.14 323.49 19% 110,671 240.20 245.62

PA 21% 80,724 206.74 243.51 26% 385,055 144.68 178.84

RI 28% 10,204 299.99 274.47 29% 34,639 220.79 209.21

SC 32% 68,060 235.20 245.64 34% 227,632 172.07 185.51

SD 27% 7,433 228.88 225.90 29% 29,144 164.48 174.19

TN 28% 71,206 241.75 258.18 32% 273,153 163.41 195.23

TX 29% 267,675 251.89 273.81 32% 1,062,415 171.15 202.37

UT 18% 33,551 331.03 323.09 19% 97,285 239.54 252.61

VA 35% 137,389 339.68 325.23 36% 435,485 247.57 248.19

VT 18% 3,029 236.69 249.07 19% 12,101 176.44 177.56

WA 21% 78,933 370.73 370.52 22% 234,175 269.10 282.08

WI 15% 32,874 205.06 217.46 17% 122,651 150.15 161.63

WV 40% 13,879 195.86 196.26 43% 57,036 138.50 142.90

WY 34% 7,714 258.02 252.48 35% 24,980 198.91 197.77

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

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

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2.6 Outstanding Single‐Family Agency MBS

As of December 2021, outstanding single-family securities in the Agency market totaled $7.79 trillion: 40.2%

Fannie Mae, 34.0% Freddie Mac, and 25.8% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s total

outstanding issuance has increased by approximately 17%, while Fannie and Ginnie have decreased outstanding

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

Ginnie by approximately $0.5 trillion and $1.1 trillion, respectively.

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

76% of Ginnie Mae outstanding collateral was FHA and 19.5% was VA. In December 2021, FHA collateral

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

outstanding.

Outstanding Agency Mortgage‐Backed Securities

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

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

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

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

$ in billions $10,000

$8,000

$6,000

$4,000

$2,000

$0

Dec-00Dec-01Dec-02Dec-03Dec-04Dec-05Dec-06Dec-07Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13Dec-14Dec-15Dec-16Dec-17Dec-18Dec-19Dec-20Dec-21 $7,785

$3,133

$2,647

$2,005

Fannie Mae Freddie Mac Ginnie Mae Total

$1,500

$1,000

$500

$-

Dec-00Dec-01Dec-02Dec-03Dec-04Dec-05Dec-06Dec-07Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13Dec-14Dec-15Dec-16Dec-17Dec-18Dec-19Dec-20Dec-21 $1,056

$839

$110

FHA VA Other

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

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

As of December 2021, the weighted average coupon on outstanding Ginnie Mae pools was 2.92%, down 2 bps

since December 2021 and 38 bps since December 2020. The share of outstanding MBS pools with coupons

below 3.0% (49% as of December 2021) began a rapid expansion in 2020. Approximately 26% of the outstanding

MBS coupons are between 2.5 and 3.0%, 23% have coupons between 2.0 and 2.5%, while approximately half a

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

accounting for 74% of Ginnie MBS collateral outstanding.

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

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

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Outstanding Ginnie Mae MBS Balance, by Vintage

Outstanding Ginnie Mae MBS Balance, by Coupon

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

4.10%

3.90%

3.70%

3.50%

3.30%

3.10%

2.90%

2.70%

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Dec-21

Avg Coupon

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

100%

80%

60%

40%

20%

0%

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Dec-19

Mar-20

Jun-20

Sep-20

Dec-20

Mar-21

Jun-21

Sep-21

Dec-21

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

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21

 

2.8 Origination Volume and Share Over Time

Strong origination volume trends have continued in Q4 2021, with $3.73 trillion in originations year to date,

which outpaces Q1-Q4 2020 issuance by approximately 32%. Ginnie Mae collateral continued to decrease as a

percentage of total originations, with Ginnie Mae’s share of total origination declining to under 15% in Q4 2021.

First Lien Origination Volume & Share

Source: Inside Mortgage Finance. Note: Data as of Q4 2021.

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.34

$0.04

$0.16

$0.56

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

30.9%

3.2%

14.5%

51.4%

100%
US Agency Market, Issuance

 

 

3.0 US Agency Market, Single‐Family Issuance

MoM, Agency gross MBS issuance decreased just 1% (from November to December). Each of the Agencies had

relatively flat gross issuance as compared to November. Ginnie Mae gross Single-Family issuance for 2021

outpaced 2020 by approximately 8.1%, $838.3 billion to $775.4 billion.

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Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

2021 $1,388.7 $1,244.9 $2,633.7 $838.3 $3,471.9

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 $389.7 $370.9 $175.7 $614.5
US Agency Market, Issuance

Agency net issuance in December was approximately $73.9 billion, which represents a 9.4% MoM decrease in

net issuance. Ginnie Mae net issuance has increased above zero for the year 2021, at $2.7 billion. As noted in

Section 2.6, VA production continues to outpace FHA.

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Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

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

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

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

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

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

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

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

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

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

2013 $53.5 $11.8 $65.3 $89.6 $154.9

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

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 $384.9 $498.0 $882.9 $2.7 $885.6

Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 -$64.2 $74.2 -$7.3 $2.7

 
US Agency Market, Issuance

Global Markets Analysis Report

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

24

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Dec-21 $93.7 $85.4 $58.9 $179.1 $238.0 $33.8 $34.4 $5.7 $68.3 $73.9

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

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

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

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

3.1 Percent Refi at Issuance

The Ginnie Mae refinance share stood at 37% in December, down 6% MoM. The FHA refinance share stood at

28% in December 2021, below the 60% share for Fannie, the 54% refi share for Freddie originations, and the

47% share for the VA. Refinances as a share of all Agency originations decreased 6% to 53% in December.

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

2021.

Global Markets Analysis Report

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

25

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

60%

54%

47%

37%

28%

8/1/2013

12/1/2013

4/1/20148/1/2014

12/1/2014

4/1/20158/1/2015

12/1/2015

4/1/20168/1/2016

12/1/2016

4/1/20178/1/2017

12/1/2017

4/1/20188/1/2018

12/1/2018

4/1/20198/1/2019

12/1/2019

4/1/20208/1/2020

12/1/2020

4/1/20218/1/2021

12/1/2021

Freddie Fannie Ginnie FHA VA
Agency Nonbank Originators

 

4.0 High LTV Loans: Ginnie Mae vs. GSEs

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

approximately 4% between periods November 2019 - January 2020 and November 2021 - January 2022. The

share of borrowers with DTIs below 35% has decreased by approximately 2.7% over the same period. The share

of high-LTV loans decreased in both the Ginnie Mae guarantee book and the GSE portfolios by approximately 4%

and 32%, respectively, from November 2019 - January 2020 and November 2021 - January 2022. Still, Ginnie

Mae maintains its key role of expanding credit access to low-to-moderate income borrowers as it continues to

dominate high-LTV lending, with 62.34% of its issuances between November 2021 to January 2022 having LTVs

of 95 or above, compared to 4.47% for the GSEs.

Share of Loans with LTV > 95

Global Markets Analysis Report

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

26

 Ginnie Mae GSE All

Nov 2019-Jan 2019 64.72% 6.54% 26.47% 

Nov 2021 - Jan 2022 62.34% 4.47% 20.79%

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

Nov 2019‐Jan 2020

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.53% 6.17% 3.40% 5.04% 1.29% 20.42%

35‐45 6.72% 8.70% 4.24% 4.29% 0.21% 24.15%

≥45 5.36% 8.06% 4.04% 3.44% 0.13% 21.02%

NA 5.51% 7.02% 4.24% 5.91% 11.73% 34.41%

All 22.11% 29.95% 15.91% 18.67% 13.35% 100.00%

Nov 2021‐Jan 2022

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 4.40% 6.00% 3.15% 5.20% 1.13% 19.88%

35‐45 6.57% 8.58% 3.86% 4.00% 0.23% 23.23%

≥45 5.33% 8.07% 3.74% 3.20% 0.15% 20.50%

NA 4.85% 6.38% 4.16% 7.04% 13.95% 36.39%

All 21.25% 29.03% 14.92% 19.44% 15.46% 100.00%

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

5.0 Prepayments

In December 2021, Ginnie Mae fixed rate prepayment speed decreased by 6%, to 24.8 CPR. The

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

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

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

5

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

decrease by 7% and 9%, respectively. ARM MBS prepayments for Ginnie Mae decreased by 9%. Fannie

Mae ARM prepayment speeds posted a decline of 1% while Freddie Mac ARM prepayment speeds

remained stable MoM.

5.1 Aggregate Prepayments

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

5 Ahlgren R and Ichaso M (2021, December 7). US Structured Products Trading Desk Strategy | RMBS Strategy | Drop in VPRs Only Post Modest Slowdown,

Buyouts Fall, pp. 1.

Global Markets Analysis Report

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

27

Constant Prepayment Rate

(%) 6

4

2

0

0

0

0

Fixed Rate Aggregate Prepayments

24.8

18.1

16.2

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21

Fannie Mae Freddie Mac Ginnie Mae

Constant Prepayment Rate (%)

60

50

40

30

20

10

0

ARM Aggregate Prepayments

Dec-17

Feb-18

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21 28.4

25.8

25.0

Fannie Mae Freddie Mac Ginnie Mae
Holders of Ginnie Mae Mortgage 

Servicing Rights

6.0 Holders of Ginnie Mae Mortgage Servicing Rights

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

30 firms collectively own 82.5% of Ginnie Mae MSRs (see Cumulative Share). Twenty-two of these top 30 are

non-depository institutions, the remaining 8 are depository institutions. As of January 2022, over half (51.2%) of

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

Global Markets Analysis Report

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

28

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

Rank MSR Holder UPB ($ millions) Share Cumulative Share 

1 Freedom Home Mortgage $ 257,950,192,110 13.2% 13.2%

2 PennyMac $ 217,828,512,956 11.2% 24.4%

3 Lakeview $ 202,103,272,417 10.4% 34.8%

4 Wells Fargo $ 125,388,164,216 6.4% 41.2%

5 Rocket Mortgage $ 98,806,039,820 5.1% 46.3%

6 Nationstar $ 94,669,501,431 4.9% 51.1%

7 Newrez $ 59,160,038,561 3.0% 54.2%

8 Caliber Home Loans $ 49,156,042,010 2.5% 56.7%

9 US Bank $ 47,845,386,500 2.5% 59.1%

10 Carrington Mortgage $ 43,440,179,609 2.2% 61.4%

11 United Wholesale Mortgage $ 41,998,536,697 2.2% 63.5%

12 USAA Federal Savings Bank $ 33,284,700,804 1.7% 65.2%

13 Loan Depot $ 32,833,327,073 1.7% 66.9%

14 Mortgage Research Center $ 29,750,203,202 1.5% 68.4%

15 Navy Federal Credit $ 28,256,606,708 1.4% 69.9%

16 Planet Home Lending $ 28,250,152,965 1.4% 71.3%

17 Truist Bank $ 22,379,871,676 1.1% 72.5%

18 The Money Source $ 21,350,402,455 1.1% 73.6%

19 Guild Mortgage $ 20,310,211,215 1.0% 74.6%

20 Home Point Financial $ 17,926,353,480 0.9% 75.5%

21 Crosscountry Mortgage $ 15,181,485,493 0.8% 76.3%

22 New American Funding $ 14,510,150,983 0.7% 77.1%

23 Village Capital $ 14,016,932,444 0.7% 77.8%

24 Midfirst Bank $ 13,680,019,669 0.7% 78.5%

25 Citizens Bank $ 13,067,675,935 0.7% 79.2%

26 Idaho Housing and Finance $ 12,600,325,575 0.6% 79.8%

27 CMG Mortgage $ 12,201,791,553 0.6% 80.4%

28 Amerihome Mortgage Company $ 12,146,193,752 0.6% 81.0%

29 PHH Mortgage Corporation $ 11,749,656,423 0.6% 81.7%

30 JP Morgan Chase Bank $ 11,714,172,000 0.6% 82.3%

Source: Deloitte and Ginnie Mae. Data as of January 2021.
MBS Ownership

 

7.0MBS Ownership

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

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

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

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

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

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

and nonprofits. Data as of Q3 2021.

7.1 Commercial Bank Holdings of Agency MBS

Global Markets Analysis Report

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

29

 

Commercial Bank Holdings ($Billions) Week Ending

Jan‐21 Jul‐21 Aug‐21 Sep‐21 Oct‐21 Nov‐21 Dec‐21 Jan‐22 12‐Jan 19‐Jan 26‐Jan 2‐Feb

Largest 25 Domestic 

Banks 1,956.8 2,109.5 2,127.5 2,133.3 2,146.2 2,129.6 2,142.4 2,177.1 2,170.3 2,174.2 2,177.0 2,177.5

Small Domestic 

Banks 581.1 674.6 689.3 704.4 721.6 730.1 739.1 752.4 749.0 753.0 755.5 757.7

Foreign Related 

Banks 49.0 47.7 49.1 48.6 48.7 45.8 43.3 42.7 45.1 40.6 41.9 42.2

Total, Seasonally 

Adjusted 2,586.9 2,831.8 2,865.9 2,886.3 2,916.5 2,905.5 2,924.8 2,972.2 2,964.4 2,967.8 2,974.4 2,977.4

 

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

February 2022.

Who Owns Total Agency Debt?
MBS Ownership

 

7.2 Bank and Thrift Residential MBS Holdings

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

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

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

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

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

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

Global Markets Analysis Report

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

30

All Banks & Thrifts

($ in billions) 

All MBS

($ in billions) 

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

 

Banks

 

Thrifts

2000 683.90 234.01 84.26 21.57 

2001 

198.04

810.50

71.43

 270.59

470.47

 109.53

212.65

 37.62 236.91 76.18 606.91 203.37

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Change:

2Q21‐3Q21 3% 3% 0% -11% 2% 14% 2% 6%

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

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

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

31

Top Bank & 

Thrift 

Residential 

MBS Investors 

($ in millions)

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

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

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

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

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

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

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

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

8 CAPITAL ONE FINANCIAL 

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

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

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

11 BANK OF NEW YORK MELLON 

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

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

13 State Street Bank and Trust 

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

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

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

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

17 HSBC Bank USA, National 

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

18 BMO Harris Bank National 

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

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

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

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

 

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

7.3 Foreign Ownership of MBS

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

includes $589 billion held by foreign private institutions and $627 billion held by foreign official institutions. This

represents a 9% overall increase in foreign holdings of Agency MBS YoY.

Foreign Share of Agency MBS Market

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

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

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

Global Markets Analysis Report

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

32

Percent of Agency MBS O

wned

by Foreigners

18.0%

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

14.80%

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

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21

Foreign Share of MBS

$

Billio

ns 1,400

1,200

1,000

800

600

400

200

0

1,216

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21 627

589

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

Monthly Foreign MBS Holdings
MBS Ownership

 

7.4 Foreign Ownership of Agency Debt and Agency MBS

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

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

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

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

All Agency Debt

Global Markets Analysis Report

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

33

Country

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

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

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

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

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

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

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

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

Cayman 

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

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

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

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

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

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

Agency MBS

Country

Level of Holdings ($ Millions)

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

Japan 306,963 305,580 -1,383

Taiwan 267,700 267,492 -208

China 235,078 232,076 -3,002

Luxembourg 40,207 34,255 -5,952

Ireland 21,091 25,336 4,245

South Korea 28,743 34,313 5,570

Cayman Islands 28,431 29,682 1,251

Bermuda 25,111 24,245 -866

Netherlands 12,739 13,351 612

Malaysia 20,028 19,949 -79

Other 173,716 170,062 -3,654

Total 1,159,809 1,156,341 ‐3,468

 

 

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

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

Disclosure: 

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

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

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

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

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

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

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

(hereinafter, “Ginnie Mae”).

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

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

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

the report.

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

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

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

circumstances upon which such statement is based.

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

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

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

Global Markets Analysis Report

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

34