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

Buyouts, Modifications, and Pooling Restrictions

At the end of August, nearly 1.2 million loans—representing 10.5% of Ginnie Mae’s single-family MBS portfolio—were delinquent 

or in foreclosure. Most delinquent borrowers elected forbearance plans available under the Coronavirus Aid, Relief, and 

Economic Security (CARES) Act. The CARES Act allows borrowers to defer monthly principal and insurance (P&I) as well as tax 

and insurance (T&I) payments for up to one year.

Other Ginnie Mae stakeholders are also experiencing financial uncertainty as a result of CARES Act forbearance. Issuers, for 

example, have the obligation to advance timely P&I and T&I on their loans, regardless of delinquency. They must also absorb the 

high operational cost of providing loss mitigation to 1.2 million borrowers. 

Ginnie Mae MBS investors are also affected by the CARES Act. Their concern is largely aboutthe scale and timing of involuntary

prepayments. As investors examine data for insights about future security performance, they may encounter difficulties in 

modeling prepayments. Modeling challenges are exacerbated by the fact that most bonds are valued at a premium (e.g., a price

of 105, or 5% above par). As a result, any surge in involuntary prepayments, which occur at the par price, will have a negative 

effect on investment returns. These concerns have become widespread, with some security holders expecting that Ginnie Mae 

securities will exhibit unfavorable performance relative to those of the GSEs because of higher prepayments. These concerns

have been driven by two factors differentiating Ginnie Mae MBS from UMBS: 

I. The option allowing Issuers to buy out seriously delinquent loans at par (specifically, the remaining loan balance plus 

accrued interest), and 

II. The expectation that the re-default rate of loan modifications in Ginnie Mae MBS is will be higher than those of the GSEs.

Prepayment concerns have already resulted in a decline of Ginnie Mae price spreads to conventional securities, though as the

situation plays out other factors may limit the impact.

Optional Buyouts

The optional buyout, which is a long-standing feature of the Ginnie Mae MBS program, is designed to offer Issuers the ability to

manage the requirement to advance P&I on delinquent loans by removing such loans from the pool. A confluence of pandemicdriven factors – higher MBS prices, higher delinquencies, and changing loss mitigation tactics -- have led to an increase in total 

buyouts, though uncertainty about how the various possibilities will play out makes performance scenarios difficult to model.

One aspect of this is the capital impact. Repurchases of optional buyouts require capital far above that of advancing timely P&I 

payments to security holders. Although depository issuers have access to near-zero cost of funds, non-depository Issuers must 

access capital through Early Buy Out lines or EBOs, or warehouse EBO sub-limits, which generally bear interest rates at 2.50 –

3.50% range depending upon the Issuer’s financial strength and have haircuts of 5-15%. The latter requires non-bank issuers to 

post their available capital for the amount of the difference. As such, the optional buyout is not without risk because Ginnie Mae 

has imposed restrictions on the re-pooling of reperforming loans in APM 20-07. 

This APM requires such loans to demonstrate six months of timely P&I installments for MBS eligibility. It also restricts pooling to 

a custom MBS pool type “RG”—which is not TBA eligible. The pricing of these RG pools is expected to be significantly less than 

TBA counterparts. Moreover, Ginnie Mae regularly monitors prepayments and may impose restrictions on issuers whose rates

differ substantially from other issuers with comparable pools. 

To date, non-depository issuers have exercised the buyout option much less frequently than depository issuers. There are a 

number of factors that contribute to this, including: 

• the uncertainty of timing and scale of 1) forbearance maturities and 2) the related exit paths, (i.e. partial claims, modifications 

and foreclosures);

• funding cost and capital required for EBO lines, 

• the risk of carrying a large number of non-performing loans

Additionally, the optional buyout trend of depository Issuers has declined since the June peak.

Loan buyout data (see Table 1) clearly show the changing rate at which issuers have been removing loans from securitized pools. 

Table 1 also shows the distribution of loans liquidated from Ginnie Mae pools for various reasons. In March and April of this year, 

only 6 percent of all liquidations were delinquent loans. The vast majority (92 percent) were refinance payoffs. Buyout activity

subsequently doubled to 12 percent in May and then nearly tripled to 34 percent in June – dominated by the buyout activity of 

two depositories. The total number liquidations (regardless of reason) increased from over 210,000 loans in March to nearly 

390,000 in June, with an increasing share for delinquent buyouts. Ginnie Mae’s new policy to restrict repooling became effective 

July 1st, 2020.
Table 1: Distribution of Ginnie Mae Loan Bought out of Pools

Source: Urban Institute calculations from Ginnie Mae data.

Modifications

The redefault rate of modifications during the Global Financial Crises was unexpectedly high. The initial modifications then had a 

redefault rate between 30 to 40% within 18 months of the effective date. Investors, aware of this history, are concerned that current 

modifications will see the same results.

Loan Count Mortgagor Payoff Repurchase of delinquent loan Loss mitigation Other

January 2019 84,957 76% 18% 5% 1%

January 2020 185,509 86% 11% 3% 1%

February 2020 183,926 87% 10% 2% 1%

March 2020 210,680 92% 6% 2% 1%

April 2020 225,709 92% 6% 2% 0%

May 2020 246,989 86% 12% 2% 0%

June 2020 389,616 64% 34% 2% 0%

July 2020 351,977 75% 22% 2% 0%

August 2020 317,182 83% 14% 3% 0%

Distribution of Removed Loans from Ginnie Pools

But that might not necessarily be the case. Today, FHA and other agencies have more enhanced 

home retention options, which were vastly improved during the Global Financial Crises. These retention options, combined with the 

historically low interest rates, can facilitate more significant P&I payment reductions than were available during the Global Financial 

Crises. This is an important factor in determining home retention success rates. We may experience lower re-default rates than current 

expectations as a result.

As Table 1 shows, in July repurchases represented a smaller share (22%) of all liquidations compared to June’s 34 percent. The favorable 

trend continued in August when the repurchase share dropped further to 14 percent—slightly above the level in May. The number of 

total liquidations also declined, falling to about 317,000 in August. Although August numbers are elevated compared to March and April, 

this trend is encouraging for security investors. Note that loss mitigation share of buyouts has remained stable in the 2 to 3 percent 

range this year. This number may remain low for the next several months as struggling borrowers may simply opt to extend forbearance 

up to the full 12 months. This should help keep modification-driven buyouts low, a positive for prepayments. Although prepayments 

continue to remain elevated because of strong refinance activity amid all-time low rates, pooling restrictions, and the risk of carrying 

optional buyouts should help ensure this activity stays within the bounds of what is appropriate for homeowners and the federal 

programs. Recent price stability of Ginnie Mae securities relative to intermediate credit (page 10) as well as favorable hedged yields 

relative to JPY (page 8) and Euro (page 9) suggest investor confidence in Ginnie Mae MBS remains intact.

Summary

Investors are concerned about the deteriorating performance of Ginnie Mae MBS and the impact of optional buyouts. Prepayment

modeling has become difficult because of the scale of forbearances, the existence of the optional buyout, and insufficient data to 

confidently predict borrower reinstatement paths. To date the data suggests that the optional buyoutis not as heavily utilized as feared 

among non-bank issuers, which service approximately 76% of the forborne loan population. September and October reporting will 

provide servicers and investors new data on borrower forbearance elections. Each month Ginnie Mae discloses supplemental loan level 

forbearance data to assist our market-makers and investors with improving their predictive models.

Disclosure:

For Ginnie Mae’s Internal Use only. All the information contained in this document is as of date indicated unless otherwise noted. The information provided does not constitute investment advice and it should not be 

relied on as such. All information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. The views expressed in this material are the views of Urban Institute and Street Global 

Advisors as of September 15th, 2020 and are subject to change based on market and other conditions. This document contains certain statements that may be deemed forward-looking statements. Please note that 

any such statements are not guarantees of any future performance and actual results or developments may differ materially from those projected.

© 2020 State Street Corporation. All Rights Reserved.

United States: State Street Global Advisors, 1 Iron Street, Boston, MA 02210-1641. 

Tracking Code: 3241652.1.1.AM.INST

Expiration Date: 09/30/2021

Highlights this month:

• Monthly delinquency data has begun to show the impact of the COVID-19 pandemic; serious delinquency rates spiked several fold from 

Q1 to Q2 2020 (page 13).

• With private capital pulling back significantly because of the COVID-19 recession, the federal government is once again playing the 

dominant role in the mortgage market. Over 85 percent of originations in Q2 2020 were federally-backed (page 19).

• The two largest holders of Ginnie Mae MSRs are now non-banks (Lakeview and Penny Mac); non-banks now hold 74 percent of all Ginnie

Mae MSRs (page 42).

• In Q2, 2020, banks and thrifts increased their holdings by over 4%; GSE pass-throughs and agency CMOs were the categories accounting 

for the bulk of the net additions (page 53).

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 (37 percent) or the US Credit share (32 percent). Fannie Mae 30-year MBS 

accounts for 10 percent of the overall index, the largest MBS component, while Ginnie Mae 30-year MBS and Freddie 

Mac 30-year MBS both comprise 7 of the market. Mortgages with terms of 15 and 20 years comprise the remaining 

balance (3 percent) of the Barclays US Aggregate Index. US securities are the single largest contributor to the 

Barclays Global Aggregate, accounting for 38 percent of the global total. US MBS comprises 11 percent of the global

aggregate.

37%

1%

32%

7%

10%

7%

3%

3%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

53%

8%

25%

11%

1%

2%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

5

2%

3% 1%

38%

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 June 2020.

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 June 2020.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of June 2020.
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

Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Feb-17 Aug-17 Feb-18 Aug-18 Feb-19 Aug-19 Feb-20 Aug-20

Yield (%)

Global 10-year Treasury Yields

6

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

-2.0

-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

Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

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

-2.0

-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

Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20

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 August 2020.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of August 2020.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of August 2020.

After experiencing COVID-19 related volatility in March and April of this year, government bond yields across 

the globe stabilized. In August 2020, the yield on the 10-year treasury rose by 18 bps to 0.70 percent. The yield 

on the Italian 10-year note, which is the highest in the developed world, increased by 8 bps to 1.09 percent. The 

yield on the UK 10-year bond rebounded by 21 bps to 0.31 percent, the Japanese 10-year government bond 

yield grew slightly by 3 bps to 0.05 percent, and the German 10-year yield grew by 13 bps to negative 0.40 

percent in August. At the end of August, the hedged yield differential between the 10-year Treasury and the 10-

year JGB stood at 20 bps, an increase of 14 bps since July 2020. The hedged yield differential between the 10-

year Treasury and the 10-year Bund stood at 32 bps, an increase of 4 bp since the end of July 2020.

Yield(%)

Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20

G2SF CC yield & nominal spread, USD

7

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

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20

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 August 2020.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of August 2020.

Nominal yields rose in August 2020, with GNMA II yields increasing 30 bps to 1.18 percent and GNMA I yields 

up 13 bps to 1.49 percent. At the end of August, current coupon Ginnie Mae securities outyield their Treasury 

counterparts (relative to the average of 5- and 10-year Treasury yields) by 69 bps on the G2SF and 101 bps on 

the GNSF, an increase of 18 and 1 bp respectively since last month.

Yield(%) Yield(%)

Yield(%)

Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-1.0

-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

Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20

G2SF CC yield & nominal spread, JPY

8

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 August 2020.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of August 2020.

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

blend at the end of August. More precisely, hedged into Japanese yen, the G2SF and GNSF have a 73 and 105 bp

yield versus the JGB 5/10 blend. This represents a 25 and 9 bp widening for G2SF and GNSF, respectively, since 

the end of July 2020.

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20

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(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20

G2SF CC yield & nominal spread, EUR

9

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

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Aug-09 Aug-10 Aug-11 Aug-12 Aug-13 Aug-14 Aug-15 Aug-16 Aug-17 Aug-18 Aug-19 Aug-20

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 August 2020.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of August 2020.

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 August, the current coupon G2SF and GNSF hedged into euros 

have a 92 and 123 bp higher yield than the average of the German 5/10, respectively. This represents a 18 and 2 

bp increase for the G2SF and GNSF, respectively, since the end of last month.

Yield(%) Yield(%)

Yield(%) Yield(%)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0

50

100

150

200

250

300

Jun-16 Nov-16 Apr-17 Sep-17 Feb-18 Jul-18 Dec-18 May-19 Oct-19 Mar-20 Aug-20

Sources: State Street Global Advisors. Note: Data as of August 2020.

10

-50

0

50

100

150

200

250

300

350

400

Jun-16 Nov-16 Apr-17 Sep-17 Feb-18 Jul-18 Dec-18 May-19 Oct-19 Mar-20 Aug-20

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

Sources: State Street Global Advisors. Note: Data as of August 2020.

Spread between Intermediate credit and 30-year GNMA MBS OAS

G2 30 MBS versus Intermediate Credit

After tightening steadily from mid-2016 to Jan 2020, the spread between US Intermediate Credit and GNMA II 30 

year OAS skyrocketed in Feb 2020 in response to the COVID-19 panic. This was followed by substantial tightening 

over the period March-August 2020. The OAS on intermediate credit partially recovered from its enormous 

widening early in the year, while the Ginnie Mae II 30-year fell to multi-year lows. Despite this tightening, the 

spread between the two remains much elevated, ending August 2020 at 87 basis points in comparison to 21 basis 

points at the end of Jan, reflecting heightened investor concern about corporate credit risk.
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of August 2020.

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

The only asset classes with significantly more yield are the US and Pan-Euro high yield and credit indices. 

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, which has moved front and center in light of COVID-19.

Security Duration Yield

US 5y 5.0 0.27

US 10y 9.6 0.71

GNMA II 3.0% 3.5 0.91

GNMA II 3.5% 2.5 1.10

JPY 5y 4.8 -0.08

JPY 10y 9.8 0.05

GER 5y 5.1 -0.63

GER 10y 10.0 -0.40

ITA 5y 4.6 0.51

ITA 10y 9.4 1.09

US credit 8.3 1.86

US credit >= A 8.1 1.44

US HY 3.6 5.34

Pan-Euro Corp 5.8 0.77

Pan-Euro HY 3.7 4.96

11

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
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Source: State Street

*A 2% max r

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 0.32 0.57 0.65 0.05 0.47 0.10

3 year 0.28 0.43 0.54 0.22 0.43 0.23

5 year 0.24 0.33 0.52 0.20 0.55 0.31

10 year 0.24 0.26 0.44 0.33 0.58 0.54

* ssumes 2 capitalization ma per issue

*Assumes 2% capitali ati per issuer

Source: State Street

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 0.25 0.51 0.58 0.11 0.40 0.15

3 year 0.15 0.30 0.41 0.28 0.30 0.29

5 year 0.15 0.23 0.42 0.26 0.46 0.37

10 year 0.19 0.21 0.39 0.36 0.53 0.56

zat on max

*A 2% on max 

Source: State Street

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 0.54 1.41 3.01 2.74 4.25 4.75

3 year 0.66 1.24 1.97 1.64 2.62 2.84

5 year 0.60 1.13 1.66 1.43 2.32 2.40

10 year 0.64 1.05 1.45 1.38 2.04 2.04

* ssumes 2 capitalizatiCor o ma per issuer

12

Sharpe Ratio

Time Period US MBS 

Ginnie Mae US Treasury US Credit Co p

Pan Euro 

Credit Corp US High Yield Pan EuroHigh Yield*

1 year 0.46 0.36 0.19 0.04 0.09 0.03

3 year 0.23 0.24 0.21 0.17 0.12 0.10

5 year 0.24 0.21 0.26 0.18 0.20 0.15

10 year 0.30 0.20 0.27 0.26 0.26 0.28

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

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of August 2020.

The average return on the Ginnie Mae index over the past decade is less than other indices. 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 for the Ginnie Mae index is 

highest among all asset classes over 1 and 10-year horizons and second highest over 3 and 5-year horizons.
2.65%

2.48%

7.96%

3.98%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

4Q063Q072Q081Q094Q093Q102Q111Q124Q123Q132Q141Q154Q153Q162Q171Q184Q183Q192Q20

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q2 2020.

Serious Delinquency Rates: Single-Family Loans

State of the US Housing Market

13

4.4%

4.8%

3.9%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

Year-over-year growth rate

National Year-Over-Year HPI Growth

Bottom price tier Middle price tier Top price tier

Sources: Black Knight and Urban Institute. Note: Black Knight divides home prices in each region into quintiles; this figure shows the performance of the 

bottom, middle and top quintiles. Data as of July 2020.

Serious delinquency rates for single-family GSE loans, FHA loans and VA loans spiked in Q2 2020, reflecting the 

impact of the COVID-19 pandemic. These delinquency numbers include loans in COVID-19 forbearance. 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. Prices at the lower end of the market rose 

by 4.8 percent for 12 months ended July 2020, higher than the 3.9 percent for the top end of the market. Year-overyear price growth in July was lower than June for the bottom and middle price tiers, and remained the same for the 

top price tier.
State of the US Housing Market

bt,

ousehold

De

h

mortg

$9,833

Sources: Black Knight and Urban Institute. Note: 

rtgages,

HPI data as of July 2020. Negative sign indicates that state is above earlier peak. Peak refers to the month when HPI 

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

lowest level for each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 07/2020, the latest HPI data period.

Nationally, nominal home prices have increased by 59.8 percent since the trough, and now exceed their pre-crisis 

peak valuation on a nominal basis by 19.4 percent. The picture is very different across states, with many states well in 

excess of the prior peak, while Connecticut remains 10.1 percent below peak level.

14

HPI Changes

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

National 75.0% -25.3% 59.8% 3.9% 19.4%

Alabama 36.1% -15.4% 36.8% 4.7% 15.7%

Alaska 69.5% -3.0% 26.9% 2.6% 23.0%

Arizona 109.9% -47.8% 91.6% 6.3% 0.0%

Arkansas 41.4% -9.8% 28.6% 3.2% 16.0%

California 154.8% -43.3% 97.6% 3.8% 12.0%

Colorado 40.3% -12.9% 86.9% 3.6% 62.8%

Connecticut 92.2% -24.7% 19.3% 2.3% -10.1%

Delaware 94.6% -23.5% 35.0% 4.7% 3.3%

District of Columbia 174.5% -13.7% 61.4% 4.9% 39.3%

Florida 128.3% -46.8% 79.1% 5.3% -4.8%

Georgia 38.4% -31.4% 71.2% 4.0% 17.5%

Hawaii 162.7% -22.5% 55.7% 4.1% 20.7%

Idaho 71.8% -28.7% 100.9% 8.6% 43.3%

Illinois 61.6% -34.4% 42.0% 1.0% -6.9%

Indiana 21.6% -8.0% 41.0% 3.7% 29.7%

Iowa 28.2% -4.7% 30.1% 2.1% 24.0%

Kansas 34.6% -9.2% 46.5% 3.1% 33.0%

Kentucky 29.6% -7.5% 36.5% 2.9% 26.3%

Louisiana 48.7% -5.1% 26.4% 2.5% 20.0%

Maine 82.1% -12.3% 44.8% 4.2% 26.9%

Maryland 129.2% -28.6% 31.2% 2.7% -6.3%

Massachusetts 92.4% -22.4% 60.6% 3.3% 24.6%

Michigan 23.9% -39.3% 82.7% 2.5% 10.8%

Minnesota 66.4% -27.7% 61.8% 3.3% 17.0%

Mississippi 41.0% -13.8% 32.9% 4.8% 14.5%

Missouri 42.6% -15.3% 41.3% 3.5% 19.7%

Montana 82.2% -11.2% 58.3% 4.5% 40.6%

Nebraska 26.7% -6.6% 46.8% 2.9% 37.1%

Nevada 126.9% -59.0% 128.7% 3.8% -6.3%

New Hampshire 90.7% -23.1% 47.8% 4.6% 13.6%

New Jersey 117.7% -28.0% 31.7% 3.1% -5.1%

New Mexico 66.8% -16.4% 32.3% 6.7% 10.6%

New York 98.4% -15.3% 46.9% 4.2% 24.5%

North Carolina 40.6% -15.8% 42.3% 4.3% 19.9%

North Dakota 53.5% -3.9% 57.7% 2.8% 51.6%

Ohio 21.1% -18.3% 42.5% 3.5% 16.5%

Oklahoma 37.4% -2.5% 24.7% 4.6% 21.6%

Oregon 81.9% -28.1% 86.5% 3.9% 34.2%

Pennsylvania 70.1% -11.7% 29.0% 2.3% 13.9%

Rhode Island 130.6% -34.2% 60.9% 6.5% 5.9%

South Carolina 45.0% -19.4% 40.9% 4.3% 13.6%

South Dakota 45.3% -4.0% 47.9% 1.8% 42.0%

Tennessee 35.0% -11.9% 52.0% 4.8% 33.9%

Texas 33.5% -5.8% 56.9% 3.7% 47.8%

Utah 54.8% -22.1% 85.5% 5.8% 44.5%

Vermont 83.5% -7.5% 40.4% 5.3% 29.9%

Virginia 99.6% -22.7% 32.1% 3.8% 2.1%

Washington 85.1% -28.7% 98.3% 6.0% 41.4%

West Virginia 42.4% -6.5% 29.9% 4.3% 21.4%

Wisconsin 44.9% -16.3% 40.2% 1.6% 17.3%

Wyoming 77.4% -5.7% 36.1% 5.0% 28.4%
State of the US Housing Market

bt,

hold

De

house

mortg

$9,833

rtgages,

Agency Issuance (past 1 year)

State GNMA Share GNMA Loan 

Count

GNMA Avg.

Loan Size (000)

GSE Avg. Loan 

Size (000)

Agency Outstanding 

GNMA Share GNMA Loan 

Count

GNMA Avg. 

Loan Size (000)

GSE Avg. Loan 

Size (000)

National 29.5% 2,581,876 249.7 271.9 27.2% 11,376,676 165.0 195.5

Alabama 41.9% 46,699 190.4 214.9 41.5% 239,105 128.8 156.7

Alaska 51.9% 7,830 307.2 276.2 47.8% 38,221 231.2 203.4

Arizona 30.1% 97,803 244.3 251.5 26.1% 315,583 167.9 188.8

Arkansas 39.8% 24,862 162.5 193.5 41.3% 140,361 111.3 141.6

California 23.0% 242,380 389.0 382.6 17.7% 776,713 269.6 279.2

Colorado 28.7% 80,884 327.7 316.7 23.2% 236,906 226.4 238.6

Connecticut 29.1% 20,581 234.3 257.0 27.4% 109,662 181.3 190.7

Delaware 36.0% 11,441 236.9 253.4 33.5% 52,496 179.8 188.2

District of Columbia 16.2% 2,181 480.6 427.8 13.2% 9,730 300.2 313.1

Florida 39.4% 219,682 239.3 238.7 32.7% 855,959 170.0 178.3

Georgia 37.8% 116,883 212.1 243.6 35.1% 518,787 145.1 176.7

Hawaii 44.5% 10,976 550.9 437.4 26.8% 32,267 383.0 323.7

Idaho 28.1% 20,405 246.5 243.5 26.7% 78,575 160.5 180.5

Illinois 21.3% 72,608 198.9 232.0 22.4% 371,865 140.6 164.1

Indiana 31.9% 61,890 166.6 187.4 33.6% 306,234 111.8 131.5

Iowa 20.7% 16,468 168.4 193.5 23.1% 87,162 114.5 136.0

Kansas 30.2% 19,140 178.3 208.0 32.3% 105,066 120.0 143.9

Kentucky 34.8% 34,347 172.6 195.1 36.0% 170,061 121.6 137.4

Louisiana 39.4% 36,582 189.6 222.5 39.3% 191,094 137.4 162.9

Maine 29.8% 9,284 207.7 231.0 29.1% 40,962 152.8 166.8

Maryland 40.5% 71,985 315.8 308.4 35.4% 303,773 229.9 224.0

Massachusetts 18.5% 32,083 326.9 332.9 16.9% 123,847 239.9 238.6

Michigan 20.2% 60,090 169.5 200.6 22.4% 306,208 114.1 139.6

Minnesota 19.8% 37,546 226.0 243.6 20.6% 186,363 157.1 177.5

Mississippi 47.9% 21,693 173.0 197.9 47.9% 117,442 121.2 145.3

Missouri 29.2% 52,740 176.0 204.8 31.6% 265,956 120.8 143.8

Montana 27.6% 8,434 247.4 251.5 25.7% 36,617 170.7 185.4

Nebraska 28.8% 13,628 191.8 198.7 29.9% 73,243 123.7 141.9

Nevada 37.1% 44,995 281.8 264.8 30.0% 141,725 193.7 201.5

New Hampshire 27.5% 10,866 262.9 258.4 25.9% 44,653 194.8 188.0

New Jersey 25.3% 53,551 280.4 308.3 24.3% 247,432 210.2 224.7

New Mexico 40.3% 17,884 206.1 218.4 39.6% 99,028 141.4 157.3

New York 23.1% 48,892 275.2 307.3 23.1% 331,325 186.7 219.7

North Carolina 33.1% 96,839 211.6 239.8 30.4% 435,012 142.4 172.8

North Dakota 24.0% 3,790 235.2 230.4 23.3% 16,947 167.8 170.9

Ohio 30.3% 81,784 166.1 185.7 32.3% 453,958 112.4 130.9

Oklahoma 43.2% 31,892 175.4 197.4 45.0% 197,629 119.9 143.8

Oregon 25.1% 36,003 292.3 292.7 20.4% 126,399 204.1 217.9

Pennsylvania 28.7% 70,970 189.2 227.4 30.0% 417,649 135.7 161.6

Rhode Island 32.1% 8,591 258.3 255.1 30.7% 37,112 191.9 189.2

South Carolina 38.8% 56,980 213.0 227.2 34.3% 232,357 148.7 166.8

South Dakota 29.4% 6,847 203.4 216.0 32.0% 31,093 144.1 157.1

Tennessee 36.1% 65,930 214.9 237.4 35.3% 297,894 140.8 172.8

Texas 34.5% 223,938 227.7 248.0 32.4% 1,097,052 146.2 182.1

Utah 22.3% 36,702 284.1 286.9 22.1% 122,742 197.7 222.7

Vermont 23.4% 2,583 212.3 228.2 19.6% 12,891 164.4 161.3

Virginia 41.1% 106,268 311.9 312.1 36.8% 453,501 218.1 223.5

Washington 27.3% 78,020 331.0 336.6 23.3% 269,730 224.7 244.0

West Virginia 48.3% 11,221 176.1 180.2 44.2% 56,393 126.3 129.8

Wisconsin 18.2% 29,808 191.8 208.6 18.2% 136,854 133.6 146.3

Wyoming 38.2% 6,397 238.7 246.0 36.4% 27,042 177.7 182.1

Sources: eMBS and Urban Institute. Note: Ginnie Mae outstanding share are based on loan balance as of July 2020. Ginnie Mae issuance is based on the last 12 months, 

from July 2019 to July 2020.`

Ginnie Mae MBS constitute 27.2 percent of outstanding agency issuance by loan balance and 29.5 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 13.2 percent in the District of Columbia and as high as 47.9 percent in 

Mississippi. 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 July 2020.

FHA Outstanding Loan Count by State

VA Outstanding Loan Count by State

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

outstanding. As of July 2020, TX has 750,000 million FHA and 310,000 VA loans outstanding, FL had 550,000 FHA 

and 270,000 VA loans outstanding, and CA had 510,000 FHA and 240,000 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

$11.2

$20.7

$31.9

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Q1

$ Trillions

Value of the US Housing Market

17

Debt Household equity Total Value

$0.45

$0.50

$7.00

$3.31

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 2020

Q1

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Home Equity loans Agency MBS Unsecuritized first liens

Sources: Federal Reserve Flow of Funds, eMBS and Urban Institute. Last updated July 2020. 

Note Top: Single family includes 1-4 family mortgages. The home equity number is grossed up from Fed totals to include the value of households and 

the non-financial business sector. Note Bottom: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, credit 

unions and other financial companies. 

The Federal Reserve’s Flow of Fund Report has indicated a gradually increasing total value of the housing market, 

driven primarily by growing home equity since 2012. The Q1 2020 numbers show that while mortgage debt 

outstanding was steady during this quarter at $11.2 trillion, total home equity grew slightly from $20.3 trillion in 

Q4 2019 to $20.7 trillion in the first quarter of 2020, bringing the total value of the housing market to $31.9 

trillion, 24.8 percent higher than the pre-crisis peak in 2006. Agency MBS account for 62.1 percent of the total 

mortgage debt outstanding, private-label securities make up 4.0 percent, and unsecuritized first liens make up 

30.0 percent. Home equity loans comprise the remaining 4.4 percent of the total.
State of the US Housing Market

As of July 2020, outstanding securities in the agency market totaled $7.18 trillion: 42.7 percent Fannie Mae, 28.5 

percent Freddie Mac, and 28.8 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 since 2009. FHA comprises 57.3 percent 

of total Ginnie Mae MBS outstanding, while VA comprises 36.9 percent.

$3.07

$2.05

$2.07

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

Sources: eMBS and Urban Institute. Note: Data as of July 2020.

18

$1.2

$0.8

$0.1

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

Jan-11

Jul-11

Jan-12

Jul-12

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of July 2020.
State of the US Housing Market

$0.56

$0.18

$0.01

$0.11

$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 2020

Q1

2020

Q2

$ trillions

First Lien Origination Volume

19

Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2020.

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 2020

Q1

2020

Q2

First Lien Origination Share

In the second quarter of 2020, first lien originations totaled $865 billion, up from the Q2 2019 volume of $565 

billion. The share of portfolio originations was 12.7 percent in Q2 2020, a significant decline from the 42.1 percent 

share in the same period 2019. The Q2 2020 GSE share was up significantly at 65.2 percent, compared to 38.6 

percent in Q2 2019. The FHA/VA share grew to 21.1 percent, also up compared to 17.5 percent last year. Privatelabel securitization currently tallies 1.0 percent, down from 1.6 percent one year ago, and a fraction of its share in 

the pre-bubble years. The sharp decline of the portfolio and private label channels in Q2 reflected COVID-19 

generated market liquidity issues, which made it difficult to originate mortgages in channels without government 

support. The sharp increase in the GSE share reflected the huge amount of refinances done through this channel.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2020. 

12.7%

1.00%

21.1%

65.2%
US Agency Market, Originations

Debt,

$9,833

household

mortgage ,s

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 $266.9 $225.7 $16.0 $508.6

2020 YTD $179.0 $209.3 $12.0 $400.3

2020 % Change YOY 34.2% 111.8% 53.8% 66.8%

2020 Ann. $306.9 $358.7 $20.6 $686.3

 

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

2020 YTD $657.4 $465.4 $1,122.8 $400.3 $1,523.1

2020 % Change YOY 148.8% 130.0% 140.7% 66.8% 115.6%

2020 Ann. $1,127.0 $797.7 $1,924.8 $686.3 $2,611.0

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 July 2020.

Agency gross issuance in the first seven months of 2020 was $1.52 trillion, nearly as much as the 2019 full year 

volume of $1.55 trillion. 2020 is well on track to be the highest agency origination year in the 21st century. While 

rates were low in 2019, they fell even more in 2020, pushing home purchase volumes higher and refinances 

through the roof. Compared to the same period of 2019, agency gross issuance was up 115.6 percent. Ginnie Mae 

gross issuance was up by 66.8 percent and GSE gross issuance was up by 140.7 percent. Within the Ginnie Mae 

market, FHA was up by 34.2 percent and VA origination was up by 111.8 percent.

20
US Agency Market, Originations

Debt,

$9,833

household

mortgages,

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 $35.9 $58.0 $1.9 $95.7

2020 YTD -$15.0 $39.8 $1.3 $26.1

2020 % Change YOY -158.2% 30.4% 76.7% -54.3%

2020 Ann. -$25.8 $68.2 $2.3 $44.7

 

21

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 $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 $172.5

2016 $60.5 $66.8 $127.4 $126.1 $261.6

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 $197.8 $95.7 $293.5

2020 YTD $155.5 $120.4 $275.9 $26.1 $301.9

2020 % Change YOY 420.5% 128.3% 234.0% -54.3% 116.2%

2020 Ann. $266.5 $206.4 $472.9 $44.7 $517.6

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 July 2020.

2019 was a robust year for net agency issuance, with $293.5 billion of net new supply, 32.6 percent of this by Ginnie Mae. 

This trend continued into the first seven months of 2020, with net agency issuance totaling $301.9 billion, up 116.2 percent 

compared with the same period of 2019. Ginnie Mae net issuance was $26.1 billion, comprising 8.6 percent of total agency 

net issuance. Ginnie Mae net issuance in the first seven months of 2020 was comprised of 152.5 percent VA, 5.1 percent 

other and -57.7 percent FHA.
US Agency Market, Originations

Debt,

old

ges,

$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. 

househ

mortga

All data is as of July 2020.

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. The July 2020 gross agency issuance of $233.1 billion was significantly higher than the 

same month in 2019, continuing a trend of record setting monthly issuance since April as lower rates gave 

borrowers a stronger incentive to refinance.

Date

Gross Issuance Net Issuance

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

Jan-17 $55.6 $38.5 $42.6 $136.6 $8.5 $10.7 $10.3 $29.5

Feb-17 $37.6 $27.4 $33.1 $98.1 $2.5 $6.5 $9.4 $18.5

Mar-17 $39.5 $24.4 $31.3 $95.2 $9.7 $6.2 $9.7 $25.6

Apr-17 $39.3 $21.2 $36.4 $97.0 $3.3 $0.4 $11.7 $15.4

May-17 $40.3 $22.6 $36.4 $99.3 $7.7 $2.7 $13.3 $23.8

Jun-17 $45.7 $25.1 $39.9 $110.7 $7.9 $2.4 $13.3 $23.5

Jul-17 $45.3 $27.6 $40.6 $113.5 $5.6 $3.5 $12.3 $21.5

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

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

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

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

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

Jan-18 $47.4 $21.4 $35.2 $104.0 $12.1 $0.2 $7.7 $20.0

Feb-18 $40.3 $21.5 $31.9 $93.7 $8.3 $2.2 $7.1 $17.6

Mar-18 $35.6 $21.3 $29.0 $85.9 $4.9 $3.0 $6.3 $14.1

Apr-18 $36.3 $26.2 $32.7 $95.2 $1.7 $6.0 $8.8 $16.5

May-18 $38.9 $27.5 $33.7 $100.1 $5.1 $7.2 $10.5 $22.8

Jun-18 $38.2 $28.8 $35.6 $102.5 $2.5 $6.8 $10.3 $19.6

Jul-18 $40.3 $26.2 $35.6 $102.1 $4.2 $3.7 $10.4 $18.3

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Mar-20 $69.5 $41.1 $53.0 $163.9 $17.9 $6.3 $8.8 $33.0

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

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

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

Jul-20 $125.0 $108.1 $59.5 $233.1 $23.4 $38.0 -$15.5 $61.4

Monthly Agency Issuance

22
$61.9 $55.2

$14.4 $2.6 $0.2

$12.5 $18.5

$6.1

$2.0 $0.8

$24.5 $17.7

$3.3

$0.6 $0.2 

$0

$20

$40

$60

$80

$100

$120

2.5 3 3.5 4 4.5

Streamlined Cash-out Not streamlined, not cash-out

Coupon

$ billions

Ginnie Mae Refinance Issuance by Type: 2020 YTD

US Agency Market, Originations

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. Data as of July 2020.

The FHA refinance share stood at 36.8 percent in July 2020, below the 71.5 percent refi share for GSE originations 

and the 65.5 percent share for the VA. Refinances as a share of all originations grew during 2019 and early 2020 as 

interest rates fell. Refinances have stabilized at high levels, as interest rates have stabilized at generational lows. 

The bottom section shows that nearly all of 2020 YTD Ginnie Mae refinances, predominantly streamlined, were 

securitized in lower coupon pools. Cash-out refinances are typically securitized in higher coupons, but their 

volume has fallen sharply in recent months due to restrictions Ginnie Mae put in place in late 2019, to combat the 

“churning” problem.

23

71.5%

36.8%

65.5%

0%

10%

20%

30%

40%

50%

60%

70%

80%

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Percent Refi at Issuance

Refishare GSE FHA VA

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of July 2020.
Credit Box

42.2%

47.1%

70.7%

54.0%

20%

30%

40%

50%

60%

70%

80%

Nov-14Mar-15 Jul-15 Nov-15Mar-16 Jul-16 Nov-16Mar-17 Jul-17 Nov-17Mar-18 Jul-18 Nov-18Mar-19 Jul-19 Nov-19Mar-20 Jul-20

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

Sources: eMBS and Urban Institute. Note: Data as of July 2020.

The first time homebuyer share of Ginnie Mae purchase loans was 70.7 percent in July 2020, down slightly from 

71.1 percent in July 2019. 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 47.1 percent and 

42.2 percent of Fannie Mae and Freddie Mac purchase originations, respectively. The bottom table shows that 

based on mortgages originated in July 2020, 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.

24

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount ($ ) 283,332 311,616 269,575 300,366 236,169 291,008 257,319 301,677 

Credit Score 749.0 760.8 746.6 757.2 687.5 707.7 720.3 745.6

LTV (%) 87.9 80.4 89.1 80.4 97.2 96.3 92.5 84.5 

DTI (%) 33.9 35.1 34.6 35.7 41.1 41.8 37.4 37.1 

Loan Rate (%) 3.3 3.3 3.3 3.3 3.4 3.3 3.4 3.3 

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 July2020.
Credit Box

82.1%

54.0%

78.0%

70.7%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

Nov-14Mar-15 Jul-15 Nov-15Mar-16 Jul-16 Nov-16Mar-17 Jul-17 Nov-17Mar-18 Jul-18 Nov-18Mar-19 Jul-19 Nov-19Mar-20 Jul-20

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Breakdown

 

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of June 2020. “Other“ refersto loansinsured 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 July 2020.

Within the Ginnie Mae purchase market, 78.0 percent of FHA loans, 54.0 percent of VA loans and 82.1 percent of 

other loans represent financing for first-time home buyers in July 2020. The bottom table shows that based on 

mortgages originated in July 2020, 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 slightly higher rate.

25

FHA VA Other Ginnie Mae Total

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

Loan Amount ($) 225,954 243,890 292,174 344,768 168,190 179,999 236,169 291,008 

Credit Score 677.4 680.3 709.4 732.1 699.8 704.9 687.5 707.7 

LTV (%) 95.7 94.6 99.9 97.5 99.6 99.2 97.2 96.3 

DTI (%) 42.5 43.4 39.8 41.0 35.1 34.5 41.1 41.8 

Loan Rate (%) 3.5 3.5 3.2 3.1 3.3 3.4 3.4 3.3 

Sources: eMBS and Urban Institute. Note: Includes only purchase loans. Data as of July 2020.
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

26

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).
t,

rtgages,

house

mort

$9,833

hold

Deb

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 356,109 654 715 741 780 799 733 

Fannie 134,432 693 733 760 793 802 753 

Freddie 98,283 698 729 764 790 803 757 

Ginnie 123,394 634 654 684 729 773 693 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 659,852 689 728 768 793 806 756 

Fannie 311,982 702 738 772 795 807 762 

Freddie 272,530 702 735 770 793 806 761 

Ginnie 75,340 640 669 713 765 795 714 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 1,015,961 673 715 760 789 804 748 

Fannie 446,414 700 733 769 793 806 760 

Freddie 370,813 701 733 769 792 805 760 

Ginnie 198,734 635 659 693 745 785 701 

 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 123,394 634 654 684 729 773 693 

FHA 72,949 628 647 671 703 741 678 

VA 39,534 644 673 720 770 796 720 

Other 10,911 646 664 695 733 765 701 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 75,340 640 669 713 765 795 714 

FHA 23,481 620 645 673 704 744 675 

VA 50,985 655 691 738 779 800 731 

Other 874 653 674 711 750 780 712 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 198,734 635 659 693 745 785 701 

FHA 96,430 627 647 672 704 742 677 

VA 90,519 649 682 731 776 798 726 

Other 11,785 646 665 696 735 767 702 

July 2020 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 July 2020.

In July 2020, the median Ginnie Mae FICO score was 693 versus 769 for both Fannie Mae and Freddie Mac. Note 

that the FICO score for the 10th percentile was 635 for Ginnie Mae, versus 700 for Fannie Mae and 701 for Freddie 

Mac. Within the Ginnie Mae market, FHA loans have a median FICO score of 672, VA loans have a median FICO score 

of 731 and other loans have a median FICO score of 696.

27
July 2020 Credit Box at a Glance

s old

Debt,

hou eh

or

$9,833

m rtgages,

Purchase

Number of Loans

LTV

P10 P25 Median P75 P90 Mean

All 356,752 75.0 80.0 95.0 96.5 100.0 88.3 

Fannie 134,338 67.0 80.0 90.0 95.0 97.0 84.1 

Freddie 98,312 67.0 80.0 85.0 95.0 95.0 83.2 

Ginnie 124,102 94.8 96.5 96.5 100.0 101.0 96.9

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 697,409 46.0 59.0 71.2 80.0 91.4 69.4 

Fannie 311,987 43.0 55.0 68.0 77.0 83.0 65.3 

Freddie 272,556 45.0 58.0 70.0 78.0 84.0 66.4 

Ginnie 112,866 71.4 81.8 91.4 97.4 100.0 88.0 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 1,054,161 50.0 64.0 79.0 92.8 96.6 75.8 

Fannie 446,325 46.0 60.0 74.0 80.0 95.0 71.0 

Freddie 370,868 48.0 60.0 74.0 80.0 92.0 70.9 

Ginnie 236,968 79.7 90.0 96.5 98.9 100.7 92.7 

 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 124,102 94.8 96.5 96.5 100.0 101.0 96.9 

FHA 73,541 94.8 96.5 96.5 96.5 96.5 95.5 

VA 39,609 95.0 100.0 100.0 101.7 102.3 98.8 

Other 10,952 96.5 99.5 101.0 101.0 101.0 99.5

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 112,866 71.4 81.8 91.4 97.4 100.0 88.0 

FHA 40,343 76.2 82.2 92.7 96.8 98.0 88.9 

VA 71,586 68.9 81.4 90.2 98.1 100.5 87.5

Other 937 79.1 90.4 98.0 100.7 101.5 93.6 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 236,968 79.7 90.0 96.5 98.9 100.7 92.7

FHA 113,884 82.0 94.1 96.5 96.5 96.9 93.1 

VA 111,195 74.0 86.0 96.8 100.0 102.3 91.5 

Other 11,889 95.3 99.2 101.0 101.0 101.0 99.0 

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 July 2020.

In July 2020, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae and 74 percent for both Fannie 

Mae and Freddie Mac. The 90th percentile was 100.7 percent for Ginnie Mae, 92 percent for Freddie and 95 percent 

for Fannie. Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 96.8 for VA and 101.0 for other 

programs.

28
De

mortgages,

household

$9,833

bt,

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 356,470 23.0 30.0 38.0 44.0 49.0 37.0 

Fannie 134,498 22.0 28.0 36.0 43.0 46.0 35.0 

Freddie 98,312 21.0 28.0 36.0 42.0 46.0 34.5 

Ginnie 123,660 28.5 35.0 42.0 48.3 53.4 41.3

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 970,276 20.0 27.0 35.0 42.0 47.0 34.2 

Fannie 446,483 19.0 26.0 34.0 41.0 46.0 33.1 

Freddie 370,860 20.0 26.0 34.0 41.0 45.0 33.0 

Ginnie 152,933 27.1 34.0 41.4 48.0 53.3 40.6 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 970,276 20.0 27.0 35.0 42.0 47.0 34.2 

Fannie 446,483 19.0 26.0 34.0 41.0 46.0 33.1 

Freddie 370,860 20.0 26.0 34.0 41.0 45.0 33.0 

Ginnie 152,933 27.1 34.0 41.4 48.0 53.3 40.6 

 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 123,660 28.5 35.0 42.0 48.3 53.4 41.3 

FHA 73,517 30.4 37.0 43.7 49.4 54.0 42.7 

VA 39,283 26.8 33.5 40.9 47.6 53.1 40.4 

Other 10,860 25.4 30.5 35.9 40.2 43.2 35.0 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 29,273 21.9 29.9 37.9 46.2 52.4 37.5

FHA 13,215 26.1 33.1 41.3 48.4 53.7 40.3 

VA 15,473 20.0 27.3 35.0 43.8 50.7 35.5 

Other 585 14.6 20.2 27.6 36.0 40.8 28.0 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 152,933 27.1 34.0 41.4 48.0 53.3 40.6 

FHA 86,732 29.7 36.4 43.4 49.3 53.9 42.4 

VA 54,756 24.5 31.8 39.6 46.8 52.6 39.0 

Other 11,445 24.5 30.0 35.6 40.1 43.2 34.6 

July 2020 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 July 2020.

In July 2020, the median Ginnie Mae debt-to-income ratio (DTI) was 41.4 percent, considerably higher than the 34.0 

percent median DTI for both Freddie Mac and Fannie Mae. The 90th percentile for Ginnie Mae was 53.3 percent, also 

much higher than the 46.0 and 45.0 percent DTI for Fannie Mae and Freddie Mac, respectively. Within the Ginnie 

Mae market, the median FHA DTI ratio was 43.4 percent, versus 39.6 percent for VA and 35.6 percent for other 

lending programs.

29
Credit Box: Historical

660

680

700

720

740

760

780

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

769

693

760

660

680

700

720

740

760

780

Nov-14Mar-15 Jul-15 Nov-15Mar-16 Jul-16 Nov-16Mar-17 Jul-17 Nov-17Mar-18 Jul-18 Nov-18Mar-19 Jul-19 Nov-19Mar-20 Jul-20

FICO Scores

FICO Scores for All Loans

30

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

Sources: eMBS and Urban Institute. Note:Data as of July 2020. Sources: eMBS and Urban Institute. Note: Data as of July 2020.

Sources: eMBS and Urban Institute. Note: Data as of July 2020.

The median FICO score for all agency loans originated in July 2020 was 760, up considerably since the start of 

last year, owing to the refinance wave, which higher FICO borrowers take advantage of with greater 

frequency. In addition, the increases in refinance activity have been much more dramatic at the GSEs than at 

Ginnie Mae, shifting the composition toward higher FICO scores borrowers. Note 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.
Credit Box: Historical

96.5

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

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

Nov-19

Jan-20

Mar-20

May-20

Jul-20

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 74–80 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 witnessed measurable 

declines in DTI, beginning in early 2019, driven by lower interest rates.

31

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 July 2020.

79.0

74.0

34.0

41.4

35.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

46.0

Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20

Debt-to-Income Ratio

DTI Ratio for All Loans

Freddie Median DTI Fannie Median DTI Ginnie Median DTI All Median DTI
Credit Box: Historical

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 85 88

FHA Cumulative Default Rate by DTI and FICO

32

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

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

Loan age

Cumulative default rate

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58 61 64 67 70 73 76 79 82 85 88

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 July 2020.

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 borrowers 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 July 2020.
95%

84%

62%

43%

32%

96%

88%

61%

37%

28%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<640 640–680 680–700 700–750 ≥ 750

33

94%

84%

62%

43%

32%

94%

86%

60%

36%

28%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<640 640–680 680–700 700–750 ≥ 750

May 2018- July 2018 May 2020- July 2020

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% 93%

80%

60%

47%

99% 98%

87%

65%

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 May 2020- July 2020, 

Ginnie Mae accounted for 94 percent of agency issuance for DTIs under 35 and FICOs below 640, compared to 

just 28 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 May 2020− July 2020, 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 87 percent; it was between 60-61 percent for the same FICO in the lower 

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

lending for borrowers with FICOs of 680 or higher for DTIs less than 45 (the less than 35 and the 35-45 buckets).
High LTV Loans: Ginnie Mae vs. 

GSEs

Sources: eMBS and Urban Institute.

May 2018-July 2018

FICO

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

34

< 35 2.9% 4.8% 2.6% 6.9% 8.7% 25.9%

35 −45 5.5% 9.1% 4.8% 11.0% 9.7% 40.1%

≥ 45 4.9% 9.1% 4.3% 9.2% 6.5% 34.0%

All 13.3% 23.0% 11.7% 27.0% 24.9% 100.0%

May 2020-July 2020

FICO

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

< 35 2.1% 4.7% 2.8% 8.8% 12.6% 31.0%

35 −45 3.6% 8.6% 4.8% 12.7% 12.1% 41.9%

≥ 45 2.9% 7.2% 3.6% 7.6% 5.8% 27.1%

All 8.6% 20.6% 11.2% 29.0% 30.6% 100.0%

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

Share of Loans with LTV ≥ 95

Ginnie Mae GSE All

May 2018- July 2018 72.9% 21.5% 38.7%

May 2020- July 2020 71.8% 10.1% 20.0%

Ginnie Mae dominates high-LTV lending, with 71.8 percent of its issuances in the May 2020- July 2020 period 

having LTVs of 95 or above, compared to 10.1 percent for the GSEs. The GSEs have decreased their high-LTV 

lending share from 21.5 percent in May 2018− July 2018. Ginnie Mae’s high-LTV lending is also down, but by less 

than the GSE share, over the same period from 72.9 percent. The share of high-LTV agency loans going to highest 

FICO borrowers (i.e. above 750) has increased from the May 2018-July 2018 period to the May 2020-July 2020 

period, as has the share of lower DTI borrowers (below 35).
Nonbank Originators

Sources: eMBS and Urban Institute

Note:Data as of July 2020.

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 July 2020.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

Nonbank Origination Share: All Loans

All Fannie Freddie

35

Ginnie

90.3%

70.2%

66.6%

62.9%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Refinance Loans

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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 90.3 percent in July 2020, a new record 

high. Freddie’s nonbank share fell to 62.9 percent, while Fannie’s nonbank share fell to 66.6 percent in July (note 

that these numbers can be volatile on a month-to-month basis). Ginnie Mae and Freddie Mac have higher 

nonbank origination shares for refi activity than for purchase activity; Fannie Mae has a higher share for 

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

refinance loans.
Ginnie Mae Nonbank Originators 

Sources: eMBS and Urban Institute

Note:Data as of July 2020.

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 July 2020.

In July 2020, Ginnie Mae’s nonbank share rose slightly to 90.3 percent. The nonbank originator share for FHA 

grew slightly to 92.4 percent in July, compared to 91.7 percent the previous month. The nonbank originator 

share for VA was higher than last month at 88.7 percent and the nonbank originator share for other loans, 

which can fluctuate quite a bit month to month, rose to 87.7 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

36

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

Jul-20

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%

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

Non-bank originator share

Ginnie Mae Nonbank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

Ginnie Mae Nonbank Share: 

Refinance Loans

All FHA VA Other

92%

90%

89%

88%
Sources: eMBS and Urban Institute. 

Note: Data as of July 2020. 

Sources: eMBS and Urban Institute. 

Note: Data as of July 2020. 

760

768

755

680

690

700

710

720

730

740

750

760

770

780

Agency FICO: Bank vs. Nonbank

FICO All Median FICO Bank Median FICO Nonbank Median FICO

Sources: eMBS and Urban Institute. Note: Data as of July 2020. 

37

660

680

700

720

740

760

780

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

All Median FICO Bank Median FICO

Nonbank Median FICO

Ginnie Mae FICO: Bank vs. Nonbank

660

680

700

720

740

760

780

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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. FICO scores for loans originated by 

nonbanks are lower than their bank counterparts. Within the GSE space, where the differentials between banks and 

non-banks are small, FICO scores for both have increased since early 2014. The sharp rise in bank and non-bank FICOs 

reflects an increase in GSE refinance activity, producing a shift in their business mix toward higher FICO activities. 

Within the Ginnie Mae space, FICO scores for bank originations are much higher since early 2014 while nonbank 

FICOs have are up considerably less. This largely reflects the sharp cut-back in FHA lending by many banks.
Sources: eMBS and Urban Institute. Note: Data as of July 2020. Sources: eMBS and Urban Institute. Note: Data as of July 2020.

66

68

70

72

74

76

78

80

82

84

86

88

90

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

GSE LTV: Bank vs. Nonbank

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of July 2020.

90

91

92

93

94

95

96

97

98

99

100

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

All Median LTV Bank Median LTV

Nonbank Median LTV

Sources: eMBS and Urban Institute. Note: Data as of July 2020.

38

30

32

34

36

38

40

42

44

46

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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. Between 

early 2017 and early 2019, there was a substantial increase in DTIs; over the subsequent months, this has mostly 

reversed in the Ginnie Mae space, and more than completely reversed for the GSEs, leaving GSE DTIs lower than they 

have been at any point in the last 7 years. 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 and 2020, DTIs have dropped.
650

660

670

680

690

700

710

720

730

740

750

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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 July 2020.

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 July 2020.

The median FICO score for Ginnie Mae nonbank originators climbed in July 2020, while the median FICO score 

for bank originators fell slightly. Bank FICOs are 16 points above non-banks. The gap between banks and nonbanks is very apparent for FHA and VA lending.

650

660

670

680

690

700

710

720

730

740

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

39

All Median FICO Bank Median FICO

Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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 July 2020. Sources: eMBS and Urban Institute Note:Data as of July 2020.
34

35

36

37

38

39

40

41

42

43

44

45

46

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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 July 2020.

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 July 2020.

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 borrowers experienced notable increases during 2017 and 2018 

for both banks and nonbank originators, 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 reverted to 2017 levels, 

as rates have declined.

40

34

35

36

37

38

39

40

41

42

43

44

45

46

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

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 July 2020. Sources: eMBS and Urban Institute Note:Data as of July 2020.
Holders of Ginnie Mae MSRs

Sources: eMBS and Urban Institute. Note:Data as of July 2020.

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

41

Rank MSR Holder UPB ($ millions) Share Cumulative 

Share

1 Lakeview $209,243 12.6% 12.6%

2 PennyMac $192,947 11.6% 24.1%

3 Wells Fargo $186,154 11.2% 35.3%

4 Freedom Home Mortgage $122,925 7.4% 42.7%

5 Nationstar $97,684 5.4% 48.1%

6 Quicken Loans $68,767 4.1% 52.2%

7 US Bank $52,602 3.2% 55.4%

8 Newrez $51,662 3.1% 58.5%

9 Carrington Mortgage $45,185 2.7% 61.2%

10 USAA Federal Savings Bank $39,163 2.4% 63.5%

11 Caliber Home Loans $39,032 2.3% 65.9%

12 Truist Bank $30,467 1.8% 67.7%

13 Navy Federal Credit Union $29,191 1.8% 69.5%

14 Amerihome Mortgage $27,818 1.7% 71.1%

15 Home Point Financial Corporation $22,178 1.3% 72.5%

16 The Money Source $20,875 1.3% 73.7%

17 Midfirst Bank $18,505 1.1% 74.8%

18 JP Morgan Chase $18,391 1.1% 75.9%

19 Loan Depot $17,911 1.1% 77.0%

20 Guild Mortgage $16,283 1.0% 78.0%

21 M&T Bank $15,946 1.0% 78.9%

22 Roundpoint Mortgage $15,238 0.9% 79.8%

23 Citizens Bank $13,771 0.8% 80.7%

24 PHH Mortgage $13,653 0.8% 81.5%

25 Planet Home Lending $12,089 0.7% 82.2%

26 Flagstar Bank $11,336 0.7% 82.9%

27 Pingora $11,029 0.7% 83.6%

28 Shore Financial $10,824 0.6% 84.2%

29 Fifth Third Bank $9,823 0.6% 84.8%

30 Bank of America $9,620 0.6% 85.4%

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

of July 2020, over half (52.2 percent) of the Ginnie Mae MSRs are owned by the top six firms. The top 30 firms 

collectively own 85.4 percent. Eighteen of these 30 are non-depositories, the remaining 12 are depository 

institutions.
73.9%

0%

10%

20%

30%

40%

50%

60%

70%

80%

Share of outstanding loans by UPB

The composition of the largest owners of Ginnie Mae MSR has evolved quite a bit over time. In December 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. In July 2020, Wells Fargo’s holdings of MSRs dove to $186.2 billion, 

below the $209.2 and $192.9 billion held by Lakeview and PennyMac, respectively (both nonbanks). Freedom 

Home Mortgage and Nationstar (both nonbanks) make up the remainder of the top five largest holders of MSRs, 

owning $123 billion and $90 billion respectively as of July 2020. Nonbanks collectively owned servicing rights for 

73.9 percent of all outstanding unpaid principal balance guaranteed by Ginnie Mae in July 2020. 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 July 2020.

Share of Ginnie Mae MSRs held by Nonbanks

Top 5 MSR Holders: Outstanding Ginnie Mae Loans by UPB

$192,947

$90,145

$209,243

$186,154

$122,925

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

$400,000

$450,000

42

1. Lakeview 2. PennyMac

3. Wells Fargo 4. Freedom Home Mortgage

UPB ($ millions) 5. Nationstar
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Feb-17 Aug-17 Feb-18 Aug-18 Feb-19 Aug-19 Feb-20 Aug-20

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

43

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 August 2020.

Sources: Credit Suisse and Urban Institute. Note: Data as of August 2020.

While prepayment speeds on all securities have risen since early 2019, the speed increase has been especially 

dramatic in 2020, with speeds on both Ginnie II and GSE securities rising rapidly due to a sharp drop in rates. At 

this point, the speeds on GSE securities have largely converged with those on Ginnie II securities, as the former 

have ramped up more quickly in the last few months. The faster Ginnie speeds from 2013-early 2020 reflected 

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 some of the upfront mortgage insurance premium can also be 

applied to the refinanced loan.

31%

30%

29%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Aug 11 Feb 12 Aug 12 Feb 13 Aug 13 Feb 14 Aug 14 Feb 15 Aug 15 Feb 16 Aug 16 Feb 17 Aug 17 Feb 18 Aug 18 Feb 19 Aug 19 Feb 20 Aug 20

Constant prepayment rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

41%

40%

39%

29%
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

44

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

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Feb-17 Aug-17 Feb-18 Aug-18 Feb-19 Aug-19 Feb-20 Aug-20

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 August 2020.

Sources: Credit Suisse and Urban Institute. Note: Data as of August 2020.

Speeds on the 2015 3.5s and the 2016 3.0s, the largest coupon cohorts of those vintage years, have been 

increasing since early 2019.; the speed increases have been especially dramatic in 2020 due to a sharp drop in 

rates, with speeds on both Ginnie II and GSE securities rising rapidly. The speeds on the 2015-issued Ginnie 3.5s 

fell slightly below their conventional counterparts in August 2020, although the speeds on the 2016-issued 

Ginnie Mae 3.0s remain faster than their conventional counterparts. The faster historical speeds on the Ginnie

Mae cohorts reflect the fact that 2015 and 2016 Ginnie originations consist of a large component of VA loans, 

which prepay faster than either FHA or GSE loans. The FHA streamlined programs are likely another contributor 

to the historically faster speeds.

42%

41%

40%

41%

40%

36%
Prepayments

0%

10%

20%

30%

40%

50%

60%

May-18 Aug-18 Nov-18 Feb-19 May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20

Constant Prepayment Rate (%)

2018 Issued 4.0 Coupon CPR

Fannie 2018 4.0 Coupon CPR

45

Freddie 2018 4.0 Coupon CPR Ginnie II 2018 4.0 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

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

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 August 2020.

Sources: Credit Suisse and Urban Institute. Note: Data as of August 2020.

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 were prepaying faster than their 

conventional counterparts from late 2017 to March 2020, 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 2018 4.0s and 2017 3.5s accelerated, and Ginnie II speeds accelerated more than 

their conventional counterparts. However, in early 2020 conventional speeds accelerated more than Ginnie

speeds. Since March 2020, conventional speeds have exceeded those of the Ginnie cohorts.

47%

46%

43%

50%

44%
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

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 36 37 38 39 40 41 42 43 44

Constant Prepayment Rate (%)

2017 Issued 4.0 Coupon CPR, by Loan Age

46

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 August 2020.

Sources: Credit Suisse and Urban Institute. Note: Data as of August 2020.

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. The recent experience of these cohorts indicates that, as a result of the cumulative actions 

taken in response to “churning” plus the acceleration of speeds in the conventional market in response to lower 

rates, Ginnie Mae and conventional speeds on 2017 issues 4.0s and 2018 4.5 have largely converged for 

mortgages 36 and 24 months old, respectively.

42.2%

38.7%

37.9%

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 24 25 26 27 28 29 30 31 32

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

42.0%

33.0%

28.2%
Reverse Mortgage Volumes

$1.42

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

$ Billions

HMBS Issuance Volume

$55.1

$0

$10

$20

$30

$40

$50

$60

Jul-20

Mar-20

May-20

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

$ Billions

HMBS Outstanding

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of July 2020.

Sources: Ginnie Mae and Urban Institute. Note: Data as of July 2020.

Ginnie Mae reverse mortgage issuance has been volatile over the past two years, but has been generally 

declining since early 2018 largely due to the implementation of the new, lower principal limit factors. July was an 

exception, with issuance growing to $1.42 billion. In July 2020, outstanding reverse mortgage securities totaled 

$55.1 billion, up slightly from last month, reflecting a higher volume of new issuances relative to paydowns.

47
Multifamily Market

$3.7

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Jul-20

Mar-20

May-20

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

$ Billions

Ginnie Mae Multifamily MBS Issuance

$126.4

$0

$20

$40

$60

$80

$100

$120

$140

Jul-20

Mar-20

May-20

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

$ Billions

Ginnie Mae Multifamily MBS Outstanding

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of July 2020.

Ginnie Mae multifamily issuance

Sources: Ginnie Mae and Urban Institute. Note: Data as of July 2020.

volume in July 2020 totaled $3.7 billion, the third consecutive month of increase 

from the prior month. Outstanding multifamily securities totaled $126.4 billion as of the seventh month of 2020.

48
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of July 2020.

$290 

$635 

$41 

$0

$100

$200

$300

$400

$500

$600

$700

1998 2001 2004 2007 2010 2013 2016 2019

49

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

4.12%

3.42%

0.43% 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 is $290 billion/day on average for the first seven months of 2020, more robust than 

in the 2014-2019 period, but still below the pre-crisis peak of $345 billion in 2008. Average daily trading 

volume for Treasuries now exceed the pre-crisis peak. Agency MBS turnover in 2020 YTD (through July) has 

also been higher than the 2014-2019 period; in 2020, average daily MBS turnover was 4.12 percent, above the 

2019 average of 3.67 percent. Note that agency MBS turnover in the first seven months of 2020 has been 

higher than US Treasury turnover, a rare occurrence. 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 July 2020.
Market Conditions

$200.5

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 2020

$ Billions

Repo Volume: Securities In

50

$88.7

0

20

40

60

80

100

120

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

$ 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 August 2020.

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of August 2020.

Dealer net positions are at a post-crisis high; they now exceed their pre-crisis levels. By contrast, dealer gross 

positions have fallen dramatically. The volume of repurchase activity is as low as it has been since 2005. The 

large decline through time reflects banks cutting back on lower margin businesses.
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2008Q1 2009Q1 2010Q1 2011Q1 2012Q1 2013Q1 2014Q1 2015Q1 2016Q1 2017 Q1 2018 Q1 2019 Q1 2020 Q1

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 Q1 2020.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + Agency notes and bonds) include the Federal Reserve (15 

percent), commercial banks (21 percent), foreign investors (12 percent), and money market & pension funds (14 

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,

$9,833

household

mortgages,

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: The MBS share of agency debt unexpectedly dropped in Q1 2020 due to a 

higher than usual, $400 billion discrepancy between agency assets and liabilities, as reported by Fed flow of funds. Data as of Q1 2020.

68.5%

50%

55%

60%

65%

70%

75%

2008Q1 2009Q1 2010Q1 2011Q1 2012Q1 2013Q1 2014Q1 2015Q1 2016Q1 2017 Q1 2018 Q1 2019 Q1 2020 Q1

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 August 2020.

As Fannie and Freddie reduce the size of their retained portfolio post 2008, fewer agency notes and bonds were 

required to fund that activity. As a result, the MBS share of total agency debt increased over time. Commercial 

banks are now the largest holders of Agency MBS. Out of their $2.3 trillion in holdings as of the end of August 

2020, $1.7 trillion was held by the top 25 domestic banks.

52

` Commercial Bank Holdings ($Billions) Week Ending

Jul-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug 5 Aug 12 Aug 19 Aug 26

Largest 25 

Domestic Banks 1462.9 1532.7 1,541.5 1587.7 1624.7 1623.9 1619.7 1653.2 1705.1 1688.1 1719.3 1724.0

Small Domestic 

Banks 506.2 535.4 538.6 546.3 549.5 549.7 559.5 568.7 577.9 576.9 579.5 579.6

Foreign Related 

Banks 29.0 38.2 39.7 43.4 45.6 42.9 43.3 43.0 44.5 44.4 41.3 40.9

Total, 

Seasonally

Adjusted 1998.1 2106.3 578.3 2177.4 2219.8 2216.5 2222.5 2264.9 2327.5 2309.4 2340.1 2344.5
MBS Ownership

hous h

mortgages,

Debt,

e old

$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 $335,366.0 $191,632.0 $130,226.0 $13,209.0 $299.0 15.30

2 Wells Fargo & Company $251,111.0 $174,271.0 $68,543.0 $7,756.0 $541.0 11.40

3 JP Morgan Chase & Co. $214,143.0 $132,514.0 $63,132.0 $228.0 $18,269.0 9.80

4 Charles Schwab Bank $132,419.0 $74,363.0 $17,109.0 $40,947.0 $0.0 6.00

5 U S. Bancorp. $96,324.6 $62,461.2 $18,365.2 $15,497.5 $0.6 4.40

6 Citigroup Inc. $86,684.0 $75,645.0 $3,298.0 $5,971.0 $1,770.0 3.90

7 Truist Bank $71,526.0 $25,581.0 $19,903.0 $26,042.0 $0.0 3.30

8 Capital One Financial Corporation $71,357.3 $33,774.1 $13,105.7 $23,806.7 $670.9 3.30

9 Bank of New York Mellon Corp. $62,069.0 $42,127.0 $4,314.0 $13,957.0 $1,671.0 2.80

10 PNC Bank, National Association $59,170.5 $48,983.4 $6,516.4 $1,988.7 $1,682.0 2.70

11 State Street Bank and Trust Company $42,060.6 $22,424.0 $8,975.0 $8,431.6 $2,230.0 1.90

12 Morgan Stanley $33,078.0 $19,228.0 $5,754.0 $8,096.0 $0.0 1.50

13 HSBC Banks USA, National Association $27,422.7 $6,792.2 $11,409.5 $9,218.7 $2.2 1.20

14 TD Bank $25,549.8 $1,699.1 $176.5 $23,437.3 $236.9 1.20

15 E*TRADE Bank $24,784.5 $12,280.2 $3,988.5 $8,515.7 $0.0 1.10

16 Ally Bank $23,701.0 $15,008.0 $2035.0 $3,293.0 $3365.0 1.10

17 USAA Federal Savings Bank $23,163.0 $19,278.5 $2,623.6 $1,260.9 $0.0 1.10

18 Citizens Bank $21,301.8 $11,358.1 $3600.9 $5,756.4 $586.5 1.00

19 KeyBank National Association $18,805.1 $1,229.1 $591.7 $16984.3 $0.0 0.90

20 Silicon Valley Bank $18,739.9 $13,893.4 $158.5 $4,687.9 $0.0 0.90

Total Top 20 $1,638,777 $984,542 $383,826 $239,085 $31,324 74.80%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q2 2020.

Out of the $2.2 trillion in MBS holdings at banks and thrifts as of Q2 2020, $1.7 trillion was agency pass-throughs: 

$1.2 trillion in GSE pass-throughs and $441 billion in Ginnie Mae pass-throughs. Another $478 billion was agency 

CMOs, while non-agency holdings totaled $47 billion. In Q2, 2020, MBS holdings at banks and thrifts increased for 

the seventh consecutive quarter. The increase was driven by both GSE pass-throughs and agency CMO holdings, 

with the increase in GSE pass-throughs making the larger contribution.

53

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

4Q19 $1,985.38 $1,516.26 $1,089.41 $426.85 $428.99 $4.62 $35.52

1Q20 $2,107.66 $1,621.00 $1,173.36 $448.34 $443.73 $4.65 $37.56

2Q20 $2,195.19 $1,669.93 $1,228.87 $441.06 $478.11 $5.00 $42.14

Bank and Thrift Residential MBS Holdings
Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of May 2020.

16.8%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

18.0%

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

Nov-19

Feb-20

May-20

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

MBS Ownership

$1,191.6

$512.0

$679.6

0

200

400

600

800

1,000

1,200

1,400

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Jan-20

Mar-20

May-20

$ Billions

Monthly Agency MBS Holdings by Foreigners

54

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

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of May 2020. 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 16.8 percent of agency MBS in May 2020, up from a low of 12.0 percent in July 2014. For 

the month of May 2020, this represents $1.19 trillion in Agency MBS, $512 billion held by foreign private 

institutions and $680 billion held by foreign institutions.
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 May 2020.

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

percent of all foreign holdings. Between June 2019 and May 2020, we estimate China has increased their 

agency MBS holdings by $24.8 billion, Japan has increased their holdings by $14.8 billion and Taiwan has 

increased their holdings by $2.7 billion.

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

Country Jun-19 Sep-19 Dec-19 Mar-20 Apr-20 May-20 Q3 2019 Q4 2019 Q1 2020

Apr2020May20

Japan 297,016 311,047 305,332 322,155 319,986 311,657 14,031 -5,715 16,823 -2,169 -10,498

Taiwan 265,524 263,018 261,740 269,133 271,397 268,117 -2,506 -1,278 7,393 2,264 -1,016

China 227,357 233,783 231,753 260,479 253,983 250,321 6,426 -2,030 28,726 -6,496 -10,158

Luxembourg 47,646 46,641 39,015 36,789 36,597 34,959 -1,005 -7,626 -2,226 -192 -1,830

Ireland 45,829 41,367 38,731 26,131 27,295 26,587 -4,462 -2,636 -12,600 1,164 456

South Korea 42,879 41,485 40,810 40,964 40,435 39,794 -1,394 -675 154 -529 -1,170

Cayman Islands 34,967 29,540 31,827 27,154 30,568 34,624 -5,427 2,287 -4,673 3,414 7,470

Bermuda 29,365 29,184 33,897 27,790 27,073 27,838 -181 4,713 -6,107 -717 48

Netherlands 14,074 10,549 10,902 10,886 12,805 12,807 -3,525 353 -16 1,919 1,921

Malaysia 12,167 15,585 16,600 21,399 20,702 20,562 3,418 1,015 4,799 -697 -837

Rest of world 128,142 135,515 152,489 202,143 213,392 226,678 7,373 16,974 49,654 11,249 24,535

Total 1,144,971 1,157,714 1,163,096 1,245,023 1,254,233 1,253,944 12,743 5,382 81,927 9,210 8,921

55

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

Country Jun-19 Sep-19 Dec-19 Mar-20 Apr-20 May-20 Q3 2019 Q4 2019 Q1 2020

Apr2020May20

Japan 293,662 307,738 302,212 319,241 317,000 308,499 14,076 -5,526 16,823 -2,240 -10,742

Taiwan 265,234 262,732 261,470 268,881 271,139 267,908 -2,502 -1,262 7,393 2,258 -973

China 221,738 228,240 226,526 255,596 248,981 246,531 6,502 -1,714 28,726 -6,615 -9,066

Luxembourg 43,978 43,023 35,603 33,602 33,332 32,874 -955 -7,420 -2,226 -270 -728

Ireland 37,674 33,322 31,145 19,045 20,036 18,649 -4,352 -2,177 -12,600 991 -396

South Korea 34,969 33,682 33,452 34,091 33,394 30,098 -1,287 -230 154 -697 -3,993

Cayman Islands 29,896 24,538 27,110 22,748 26,054 28,764 -5,358 2,572 -4,673 3,306 6,016

Bermuda 26,394 26,253 31,133 25,208 24,428 25,279 -141 4,880 -6,107 -780 70

Netherlands 13,904 10,381 10,744 10,738 12,654 12,314 -3,523 363 -16 1,915 1,576

Malaysia 11,881 15,303 16,334 21,150 20,447 20,217 3,422 1,031 4,799 -703 -934

Rest of world 97,585 105,371 124,063 175,591 186,192 200,450 7,786 18,692 49,654 10,601 24,859

Total 1,076,916 1,090,579 1,099,788 1,185,887 1,193,654 1,191,580 13,663 9,209 81,927 7,767 5,693
0

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100

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250

300

350

Nov-09

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Jul-10

Nov-10

Mar-11

Jul-11

Nov-11

Mar-12

Jul-12

Nov-12

Mar-13

Jul-13

Nov-13

Mar-14

Jul-14

Nov-14

Mar-15

Jul-15

Nov-15

Mar-16

Jul-16

Nov-16

Mar-17

Jul-17

Nov-17

Mar-18

Jul-18

Nov-18

Mar-19

Jul-19

Nov-19

Mar-20

Jul-20

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

MBS Ownership

0

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250

Jul-12

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Jul-13

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Jul-16

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Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

$ 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 July 2020.

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

Institute. Note: Data as of July 2020.

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

Note: Data as of July 2020.

56

0

10

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30

40

50

60

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90

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Jan-13

Jul-13

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Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

Jul-19

Jan-20

Jul-20

$ Billions

Fed Absorption of Ginnie Mae MBS

Gross Issuance Total Fed Purchases

On March 23, 2020, in response to the market dislocations caused by the coronavirus pandemic, the Fed 

announced they would purchase Treasuries and agency MBS in an amount necessary to support smooth 

functioning markets. In March the Fed bought $292.2 billion in agency MBS, and April clocked in at $295.1 billion, 

the largest two months of mortgage purchases ever; and well over 100 percent of gross issuance for each of those 

two months. After slowing in May and June, purchases grew slightly in July to $104.6 billion, 34.9 percent of 

monthly issuance, still sizeable from a historical perspective. Prior to the COVID-19 intervention, the Fed was 

winding down its MBS portfolio from its 2014 prior peak.
Disclosures:

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 October 5th, 2020 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. Please note that any such statements are not guarantees of any future performance and actual 

results or developments may differ materially from those projected.

© 2020 State Street Corporation. All Rights Reserved.

United States: State Street Global Advisors, 1 Iron Street, Boston, MA 02210-1641. 

Tracking Code: 3241672.2.1.GBL.INST

Expiration Date: 10/31/2021