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
CONTENTS

Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

Barclays US Aggregate and Global Indices 4

Global 10-year treasury yields 5

Ginnie Mae yields and yield spreads—USD, JPY, Euro 6-8

MBS yield per duration 9

Total return and Sharpe Ratios 10 

State of the US housing Market 

Serious delinquency rates 11

National HPI 11

HPI by state 12

Ginnie Mae Agency issuance and Agency outstanding by state 13

Size and value of the US Residential housing and mortgage markets 14

Outstanding Agency MBS 15

Origination volume over time 16

US Agency Market, Originations

Agency Gross issuance 17

Agency Net issuance 18

Purchase versus refi: Percent Refi at Issuance 19

Credit Box 

First time home buyer share—purchase only loans 20

First time home buyer share— Ginnie Mae purchase only loans 21

FICO score distribution 22

Credit box at a glance (FICO, LTV, DTI) 23-25

Historical credit box (FICO, LTV,DTI) 26-28

Ginnie Mae Nonbank Originators

Nonbank originator share (All, Purchase, Refi) 29

Bank vs. nonbank originators credit box at a glance (FICO, LTV, DTI) 30-32

Bank vs. nonbank originators historical credit box (FICO) 33

Prepayments 

Aggregate 34

Select coupon/origination year cohorts 35-36

Other Ginnie Mae Programs

HMBS 37

Multifamily 38

Market Conditions-Agency MBS

Average daily trading volume and turnover by sector 39

Dealer net positions, repo volume 40

MBS Ownership

Ownership breakdown of total agency debt 41

MBS share of total agency debt and commercial bank ownership of MBS 42

Bank and Thrift Residential MBS Holdings 43

Foreign ownership of MBS 44-45

Fed Ownership of MBS 46
HIGHLIGHTS

Low Delinquency Rates in a Rising Rate Environment

After climbing steeply during the housing crisis, the serious delinquency rate (defined as the share of mortgages 

more than 90 days delinquent or in foreclosure) has come down steadily (page 11). The decline is occurring across 

the board – mortgages backed by the government (through FHA and VA) as well as those backed by Fannie Mae 

and Freddie Mac have seen their delinquency rates drop after peaking in 2009-10.

However, there is one important distinction. The current serious delinquency rates for mortgages backed by 

Fannie Mae and Freddie Mac (1.2 and 1 percent respectively) remain well above pre-crisis levels (0.98 percent for 

Fannie and 0.67 percent for Freddie in 2007). In comparison, the default rates for government-backed mortgages 

are either at or below 2007 levels. For FHA mortgages, the current default rate of 4.56 percent is not only well 

below the 5 to 6 percent range observed in 2007 but also the lowest since 2001-02. VA’s current serious 

delinquency rate of 2.4 percent is at 2007 levels.

Lower default rates and a creditworthy borrowers profile overall are undoubtedly positive for MBS investors as it 

reduces default related prepayments. At the same time, investors have been exposed to elevated risk of refinance 

related prepayments over the last several years because of historically low mortgage rates. The recent creep up of 

rates has reduced that risk. As investors look to the future, the combination of continued lower delinquencies and 

expected increases in mortgage rates should further mitigate prepayment risk.

Highlights this month:

• With the decline in US rates in April, US MBS looks less attractive versus both the JGB and Bund (Pages 7-8).

• For refinance loans, median FICO scores have declined and median DTIs have crept up in recent months (Pages 

26 and 28).

• The non-bank originator share of the Ginnie Mae market went up to 78 percent in March 2017, after a 

February dip (Page 29).

• Since June 2016, Taiwan and Japan have expanded their holdings of agency MBS while China has contracted 

(Page 45).
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of March 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of March 2017

US MBS comprise 29 percent of the Barclays US Aggregate Index-- marginally less than either the US Treasury share 

(37%) or the US Credit share (31%). Fannie Mae 30-year MBS comprises the largest percent of US MBS (10%), while 

Ginnie Mae 30-year MBS and Freddie Mac 30-year MBS comprise 8 percent and 6 percent of the market, 

respectively. Mortgages with terms of 15- and 20- year comprise the balance (5%) of the US MBS share. US securities 

are the largest single contributor to the Barclays Global Aggregate, accounting for 39 percent of the global total. US 

MBS comprises 12 percent of the global aggregate. 

37%

2%

31%

8%

10%

6%

5%

2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

12%

1%

Global Treasury 3%

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

2%

3% 1%

39%

30%

21%

1%

0.3% 2%

1%

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 March 2017

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

4
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

Yield (%)

Global 10-year Treasury Yields

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

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

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

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

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 April 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of April 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of April 2017 

Over the past few years, US Treasury interest rates, as measured by the 10-year note have consistently been the 

highest in the developed world. But it declined to the level of Italy’s 10-year bond yield in April. As of the end of 

April, both the US 10-year Treasury note and Italy’s 10-year bond had the same yield, while the yields stood at 

1.09 percent for the UK, 0.32 percent for Germany and 0.02 percent for Japan. If the Treasury notes are hedged 

into foreign currencies, the US yield advantage narrows -- it stands at 74 basis points (bps) this month versus the 

JGB, and 8 bps versus the 10-year Bund. This month shows a decrease of 10 bps versus the JGB and a decrease of 

21 bps versus the Bund. 

5
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

Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17

G2SF CC yield & nominal spread, USD

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

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

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 April 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of April 2017

Ginnie securities outyield their Treasury counterparts (as measured by the average of the 5- and 10-year 

Treasury yields) -- 77 basis points on G2SF and 79 basis points on GNSF.

6
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17

G2SF CC yield & nominal spread, JPY

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

Sources: Bloomberg and State Street Global Advisors. Note: Data as of April 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of April 2017

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis; handily 

outyielding the sovereign debt of other countries. This figure shows that G2SF and GNSF hedged into 

Japanese yen yield more than the JGB 5/10 blend by 136 and 138 basis points, respectively.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

GNSF CC yield & nominal spread, JPY 

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

7
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17

G2SF CC yield & nominal spread, EUR

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

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Apr-06 Apr-07 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-13 Apr-14 Apr-15 Apr-16 Apr-17

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 April 2017

Sources: Bloomberg and State Street Global Advisors. Note: Data as of April 2017

If Ginnie Mae securities are hedged into foreign currencies, they look attractive on a yield basis versus sovereign 

alternatives. This figure shows that G2SF and GNSF hedged with euros yield more than the average of the 

German 5/10 Bund blend by 97 and 99 basis points, respectively.

8
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of April 2017.

As interest rates have risen, Ginnie Mae durations have extended by more than a year. Even so, US MBS yields 

are about the same or higher than most securities with the same or shorter durations. The only exception is the 

high yield index, where interest rate risk does not fully capture the volatility of the high yield asset class. 

Investors are unable to match the yield on Ginnie Mae securities, while preserving the full government 

guarantee, even if they extend their duration significantly.

Security Duration Yield

US 5y 4.7 1.82

US 10y 8.7 2.28

GNMA II 3% 6.7 2.79

GNMA II 3.5% 5.3 2.76

JPY 5y 4.9 -0.16

JPY 10y 9.8 0.06

GER 5y 4.9 -0.39

GER 10y 9.6 0.32

ITA 5y 4.7 1.04

ITA 10y 8.8 2.27

US credit 7.1 3.18

US credit >= A 7.6 3.06

US HY 4.0 5.58

Pan-Euro corp 5.9 1.10

Pan-Euro HY 3.4 3.1

US 5y

US 10y

G2 3.0% G2 3.5%

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 per duration

9
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

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

1 year 0.04 -0.05 0.26 0.23 1.05 0.60

3 year 0.19 0.18 0.30 0.35 0.40 0.42

5 year 0.15 0.12 0.33 0.43 0.57 0.71

10 year 0.35 0.33 0.46 0.37 0.65 0.73

Source: State Street

*Assumes 2% capitalization max per issuer

Average Excess Return (Per Month)

Time Period US MBS 

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

1 year 0.01 -0.08 0.22 0.30 1.02 0.67

3 year 0.17 0.16 0.29 0.39 0.39 0.46

5 year 0.14 0.11 0.31 0.45 0.55 0.74

10 year 0.31 0.29 0.42 0.32 0.61 0.68

Source: State Street

*Assumes 2% capitalization max per issuer

Standard Deviation

Time Period US MBS 

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

1 year 0.56 1.15 1.26 1.12 0.93 1.19

3 year 0.51 1.00 1.19 1.16 1.75 1.45

5 year 0.65 0.92 1.20 1.18 1.55 1.43

10 year 0.77 1.23 1.76 1.47 3.08 3.65

Source: State Street

*Assumes 2% capitalization max per issuer

Sharpe Ratio

Time Period US MBS 

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

1 year 0.01 -0.07 0.17 0.27 1.09 0.56

3 year 0.34 0.16 0.24 0.34 0.22 0.32

5 year 0.21 0.12 0.26 0.39 0.36 0.52

10 year 0.40 0.23 0.24 0.22 0.20 0.19

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

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of April 2017

The average return on the Ginnie Mae index over the past decade has been in line with the US Treasury Index, but 

lower than many alternatives, including the US Investment-Grade Corporate and US and European High Yield 

Indices. However, the standard deviation of the Ginnie Mae index is the lowest of any sector, as it has the least 

duration (interest rate risk). The result: the excess return per unit of risk for the mortgage market is the highest of 

any market over the past decade. 

10
State of the US Housing Market

7.0%

6.9%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Aug-00

Feb-01

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Year-over-year growth rate

National Year-Over-Year HPI Growth

CoreLogic HPI year-over-year Zillow HPI year-over-year

Sources: CoreLogic, Zillow, and Urban Institute. Note:Data as of February 2017

1.20%

1.00%

4.56%

2.40%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

2Q054Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q16

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 Q4 2016 

Serious Delinquency Rates: Single-Family Loans

Serious delinquencies for GSE single-family loans continue to decline, while FHA and VA loans recorded their 

first uptick since Q2 2012 and Q4 2011, respectively. GSE delinquencies remain higher relative to 2005-2007. 

Despite the small increases, FHA and VA delinquencies (which are higher than their GSE counterparts) are still 

at levels lower than those of 2005-2007. Whether this is a new trend or a strong seasonal change will be closely 

monitored. Home price changes turned positive in 2012, and continue to increase at around 7 percent per year, 

as measured by both CoreLogic and Zillow.

11
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: CoreLogic and Urban Institute. Note: HPI data as of February 2017. 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 02/2017, the latest HPI data period.

Nationally, the housing market has improved by 44.5 percent since the trough, and needs to increase by another 

3.9 percent to achieve peak valuation. However, the picture is very different for different states, with many states 

well in excess of the prior peak, while Nevada is 44 percent below peak levels and four other states: Arizona, 

Connecticut, Florida, and West Virginia remain 25 percent or more below peak levels. 

HPI Changes

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

National 93.7% -33.4% 44.5% 7.0% 3.9%

Alabama 46.0% -21.0% 18.3% 4.2% 7.0%

Alaska 68.9% -9.2% 14.7% 0.1% -3.9%

Arizona 121.6% -50.6% 62.1% 7.1% 25.0%

Arkansas 39.3% -7.8% 11.9% 4.7% -3.0%

California 149.1% -42.6% 65.3% 6.1% 5.4%

Colorado 40.3% -13.9% 56.2% 9.1% -25.7%

Connecticut 79.5% -25.1% 5.6% -0.1% 26.3%

Delaware 90.4% -24.0% 14.3% 0.4% 15.1%

District of Columbia 150.2% -10.3% 36.2% 5.8% -18.2%

Florida 149.2% -49.8% 58.4% 7.2% 25.7%

Georgia 40.2% -31.0% 46.5% 6.7% -1.1%

Hawaii 152.5% -20.8% 42.2% 6.2% -11.2%

Idaho 86.1% -41.1% 60.5% 8.8% 5.7%

Illinois 60.1% -32.8% 25.9% 5.8% 18.2%

Indiana 24.2% -16.4% 22.4% 5.4% -2.2%

Iowa 25.5% -4.8% 15.9% 3.6% -9.4%

Kansas 33.1% -13.9% 21.9% 5.7% -4.7%

Kentucky 27.0% -8.9% 16.6% 5.0% -5.9%

Louisiana 58.2% -7.8% 19.5% 3.9% -9.2%

Maine 93.0% -15.3% 31.8% 2.6% -10.4%

Maryland 137.8% -31.3% 17.3% 3.9% 24.1%

Massachusetts 81.8% -21.4% 32.7% 6.2% -4.1%

Michigan 26.0% -43.5% 61.6% 6.5% 9.5%

Minnesota 69.9% -28.3% 34.5% 5.8% 3.7%

Mississippi 36.6% -19.0% 14.9% 0.6% 7.4%

Missouri 46.2% -22.3% 24.9% 5.3% 3.0%

Montana 80.4% -16.7% 29.0% 2.3% -7.0%

Nebraska 25.3% -5.2% 20.3% 4.1% -12.3%

Nevada 129.0% -60.1% 73.8% 5.9% 44.2%

New Hampshire 82.9% -23.9% 25.8% 7.3% 4.5%

New Jersey 109.6% -26.5% 14.2% 3.9% 19.1%

New Mexico 64.3% -26.9% 16.8% 4.2% 17.1%

New York 102.4% -13.7% 29.2% 5.8% -10.3%

North Carolina 39.4% -14.8% 22.4% 5.3% -4.1%

North Dakota 48.8% -2.0% 43.9% 1.2% -29.1%

Ohio 22.1% -20.7% 23.7% 4.9% 2.0%

Oklahoma 35.6% -3.3% 12.3% 1.6% -7.9%

Oregon 87.6% -29.4% 57.8% 10.0% -10.2%

Pennsylvania 71.6% -12.8% 11.0% 2.9% 3.3%

Rhode Island 131.0% -34.7% 24.7% 6.5% 22.8%

South Carolina 61.4% -22.3% 28.2% 6.0% 0.3%

South Dakota 37.2% -3.6% 26.8% 5.3% -18.2%

Tennessee 41.0% -13.5% 29.3% 6.4% -10.6%

Texas 39.2% -13.2% 43.7% 7.0% -19.8%

Utah 64.8% -31.9% 52.3% 8.7% -3.6%

Vermont 80.8% -9.0% 11.5% 7.5% -1.5%

Virginia 135.4% -30.7% 26.4% 3.0% 14.2%

Washington 90.2% -28.3% 53.7% 11.1% -9.3%

West Virginia 78.4% -30.6% 15.0% -1.3% 25.3%

Wisconsin 48.7% -17.5% 18.6% 5.0% 2.1%

Wyoming 75.8% -15.4% 24.4% 2.4% -5.1%

12
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State Ginnie Mae 

Share

Ginnie Mae Average

Loan Size (Thousands)

GSE Average Loan 

Size (Thousands)

Ginnie Mae 

Share

Ginnie Mae Average 

Loan Size (Thousands)

GSE Average Loan

Size (Thousands)

National 33.2% 210.7 230.3 33.0% 172.9 204.5

Alabama 46.1% 159.2 180.9 48.1% 139.3 166.1

Alaska 53.1% 279.9 244.1 52.5% 251.2 224.9

Arizona 38.4% 200.5 206.5 35.8% 169.7 186.1

Arkansas 43.2% 139.5 166.5 48.0% 120.1 150.1

California 26.8% 335.2 321.9 22.5% 273.6 287.0

Colorado 32.0% 260.1 255.3 31.8% 215.7 229.0

Connecticut 31.0% 214.2 228.9 30.1% 202.3 217.0

Delaware 40.2% 213.8 221.5 37.9% 196.2 205.4

District of Columbia 18.0% 409.4 360.8 18.4% 315.8 328.7

Florida 39.9% 198.6 198.6 37.2% 165.4 180.3

Georgia 41.5% 176.5 205.2 41.6% 149.8 182.3

Hawaii 41.3% 486.4 374.8 31.8% 404.0 340.0

Idaho 35.8% 183.2 188.6 36.1% 156.4 170.1

Illinois 24.2% 175.2 202.6 25.5% 152.4 181.4

Indiana 39.3% 137.2 157.0 40.5% 119.3 139.1

Iowa 24.1% 141.9 165.1 27.9% 122.5 145.9

Kansas 34.2% 149.8 174.0 38.0% 130.0 154.0

Kentucky 40.1% 145.9 166.0 40.8% 130.9 147.4

Louisiana 41.9% 168.3 190.6 44.7% 147.9 174.6

Maine 35.7% 179.3 195.8 33.2% 163.9 177.9

Maryland 44.7% 282.6 268.2 40.2% 247.5 244.5

Massachusetts 21.0% 275.6 277.6 19.8% 246.8 251.3

Michigan 26.4% 141.4 169.1 27.7% 120.4 148.6

Minnesota 25.3% 189.5 205.4 26.6% 165.5 186.6

Mississippi 49.1% 147.4 169.4 53.5% 129.1 155.5

Missouri 34.4% 148.4 174.5 37.3% 130.0 153.4

Montana 31.4% 206.2 207.0 32.8% 177.4 187.0

Nebraska 31.9% 156.8 168.0 37.3% 131.6 150.1

Nevada 44.5% 220.5 213.0 42.1% 187.6 191.2

New Hampshire 32.5% 223.0 219.4 30.7% 204.8 198.4

New Jersey 29.2% 248.7 268.9 28.7% 230.8 246.6

New Mexico 44.9% 175.0 184.7 44.8% 153.8 170.7

New York 26.9% 236.9 262.3 27.3% 200.4 238.7

North Carolina 35.1% 175.1 200.5 37.0% 151.4 181.5

North Dakota 27.3% 205.9 203.5 27.6% 175.2 181.5

Ohio 36.8% 137.7 157.2 38.8% 123.3 142.1

Oklahoma 46.1% 149.3 169.2 51.4% 128.5 154.4

Oregon 27.7% 234.5 243.9 26.6% 201.4 214.2

Pennsylvania 34.5% 167.0 194.2 34.7% 150.3 178.5

Rhode Island 36.7% 213.2 215.9 34.2% 196.0 200.4

South Carolina 40.2% 177.6 191.0 39.7% 154.0 174.3

South Dakota 35.1% 170.8 181.5 37.9% 151.0 160.8

Tennessee 42.0% 171.3 193.6 44.3% 145.4 173.7

Texas 35.8% 185.4 208.4 40.1% 146.5 186.2

Utah 31.9% 220.1 234.7 33.9% 193.6 211.5

Vermont 23.6% 194.7 195.9 20.0% 179.7 180.7

Virginia 45.8% 278.3 266.3 42.2% 238.8 241.6

Washington 32.0% 263.0 266.5 31.6% 223.7 235.7

West Virginia 47.6% 153.7 156.1 46.1% 136.6 145.5

Wisconsin 21.1% 160.9 176.1 22.1% 144.0 158.5

Wyoming 40.6% 206.6 207.6 42.4% 190.2 192.5

Sources: eMBS and Urban Institute. Note: Ginnie Mae share are based on loan balance as of February 2017.

Ginnie Mae loans constitute 33.0 percent of outstanding agency issuance by loan balance, 33.2 percent of the 

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

outstandings (as measured by loan balance) as low as 18.4 percent in the District of Columbia to a high of 53.5 

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

13
State of the US Housing Market

$10.3

$14.0

$24.3

0

5

10

15

20

25

30

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

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

Sources: Federal Reserve Flow of Funds and Urban Institute. Data as of Q4 2016.

$0.5

$0.6

$6.1

$3.1

0

1

2

3

4

5

6

7

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

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

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

Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. Data as of Q4 2016.

The Federal Reserve's Flow of Funds report has consistently indicated an increasing total value of the housing 

market driven by growing household equity since 2012, and 2016 was no different. While total debt and 

mortgages was stable at $10.3 trillion, household equity reached a new high of $14.0 trillion, bringing the total 

value of the housing market to $24.3 trillion, surpassing the pre-crisis peak of $23.9 trillion in 2006. Agency MBS 

make up 59.2 percent of the total mortgage market, private-label securities make up 5.1 percent, and 

unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 29.9 

percent of the market. Second liens comprise the remaining 5.8 percent of the total.

14
State of the US Housing Market

As of March 2017, outstanding securities in the agency mortgage market (forward mortgages only) totaled $6.2 

trillion: 44.2 percent Fannie Mae, 27.6 percent Freddie Mac, and 28.2 percent Ginnie Mae. Ginnie Mae now has 

more outstandings than Freddie Mac. Within the Ginnie Mae market, VA has been growing very rapidly--

comprising 31.6 percent of total Ginnie Mae outstandings.

$2.7

$1.7

0

1

1

2

2

3

3

Sep-00

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

Sources: eMBS and Urban Institute. Note: Data as of March 2017

$1.1

$0.5

$0.1

0

0.2

0.4

0.6

0.8

1

1.2

Sep-00

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

Sources: eMBS and Urban Institute Note: Data as of March 2017

15
State of the US Housing Market

$0.66

$0.47

$0.009

$0.64

$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

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q4 2016. 

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

First Lien Origination Share

First lien originations in 2016 totaled approximately $2.1 trillion, the most robust origination year since 2012. The 

share of portfolio originations was 30.9 percent, up from 30.2 percent in 2015. The GSE share went up to 45.9 

percent, from 45.7 percent in 2015. The FHA/VA share was slightly down: 22.8 percent in 2016 versus 23.3 

percent in 2015. Origination of private-label securities was well under 1 percent in both years.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q4 2016. 

30.9%

0.5%

22.8%

45.9%

16
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total Agency

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 $155.7 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 YTD $60.7 $41.4 $4.8 $107.0

2017 %Change YOY 8.3% 16.1% 17.8% 11.6%

2017 Ann. $242.8 $165.6 $19.2 $427.9

Agency Gross Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

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 YTD $132.7 $90.2 $222.9 $107.0 $329.9

2017 %Change YOY 23.2% 26.9% 24.6% 11.6% 20.1%

2017 Ann. $530.7 $361.0 $891.7 $427.9 $1,319.6

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

Note : Dollar amounts are in billions. Annualized figure based on data from March 2017. “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 March 2017.

Agency gross issuance totaled $329.9 billion in the first quarter of 2017, a 20.1 percent increase from the same 

period last year. Ginnie Mae gross issuance has grown by 11.6 percent, while GSE gross issuance has grown by 24.6 

percent. Within the Ginnie Mae market, FHA is up by 8.3 percent while VA origination is up by 16.1 percent. 

Despite strong Q1 numbers, origination is expected to be down compared to 2016, courtesy of higher rates.

17
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

2005 -$37.7 -$11.8 $0.0 -$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 $20.0 $66.8 $7.9 $94.7

2016 $46.4 $72.7 $6.1 $125.1

2017 YTD $9.7 $18.5 $1.1 $29.2

2017 %Change YOY -10.8% 32.7% -49.0% 8.8%

2017 Ann. $38.7 $73.8 $4.3 $116.9

Agency Net Issuance

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total Agency

2000 $92.0 $67.8 $159.8 $29.3 $189.1

2001 $216.0 $151.8 $367.8 -$9.9 $357.9

2002 $219.2 $138.3 $357.6 -$51.2 $306.4

2003 $293.9 $41.1 $335.0 -$77.6 $257.4

2004 $33.2 $50.2 $83.3 -$40.1 $43.2

2005 $62.6 $111.7 $174.4 -$42.2 $132.1

2006 $164.3 $149.3 $313.6 $0.3 $313.8

2007 $295.9 $218.8 $514.7 $30.9 $545.5

2008 $212.5 $101.8 $314.3 $196.4 $510.8

2009 $207.0 $42.5 $249.5 $257.4 $506.8

2010 -$158.7 -$146.8 -$305.5 $198.2 -$107.3

2011 -$37.6 -$95.8 -$133.4 $149.4 $16.0

2012 $28.8 -$75.3 -$46.5 $118.4 $71.9

2013 $54.9 $11.6 $66.5 $85.8 $152.3

2014 $0.4 $29.9 $30.3 $59.8 $90.1

2015 $10.1 $64.9 $75.0 $94.5 $169.5

2016 $68.6 $67.0 $135.6 $125.1 $260.7

2017 YTD $23.5 $23.4 $46.9 $29.2 $76.2

2017 %Change YOY 141.9% 89.1% 112.4% 8.8% 55.5%

2017 Ann. $94.2 $93.6 $187.8 $116.9 $304.7

Sources: eMBS and Urban Institute (top and bottom) 

Note : Dollar amounts are in billions. Annualized figure based on data from March 2017. “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 March 2017.

Agency net issuance totaled $76.2 billion for the first three months of 2017, up 55.5 percent over the same period 

last year. Ginnie Mae net issuance was $29.2 billion, comprising 38.4 percent of total agency net issuance. Note 

that Ginnie Mae net issuance was up 8.8 percent versus the same time last year. Ginnie Mae net issuance is 

comprised of 63.2 percent VA issuance, 33.1 percent FHA issuance and 3.7 percent other issuance.

18
US Agency Market, Originations

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Mortgage Rate

Percent Refi

Percent Refi at Issuance

Freddie Mac (left) Fannie Mae (left) Ginnie Mae (left) Mortgage rate (right)

34%

47%

6%

0%

10%

20%

30%

40%

50%

60%

70%

Sep-13

Oct-13

Nov-13

Dec-13

Jan-14

Feb-14

Mar-14

Apr-14

May-14

Jun-14

Jul-14

Aug-14

Sep-14

Oct-14

Nov-14

Dec-14

Jan-15

Feb-15

Mar-15

Apr-15

May-15

Jun-15

Jul-15

Aug-15

Sep-15

Oct-15

Nov-15

Dec-15

Jan-16

Feb-16

Mar-16

Apr-16

May-16

Jun-16

Jul-16

Aug-16

Sep-16

Oct-16

Nov-16

Dec-16

Jan-17

Feb-17

Mar-17

Percent Refi

Percent Refi at Issuance: Ginnie Mae Breakdown

FHA VA Other

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of March 2017.

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. “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 March 2017.

The Ginnie Mae refi share stood at 34 percent in March 2017, below the 51 and 53 percent shares for Fannie Mae 

and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share of 47 percent in March 2017, 

followed by FHA’s 34 percent refi share. 

19
Credit Box

37%

42%

70%

53%

20%

30%

40%

50%

60%

70%

80%

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

Sources: eMBS and Urban Institute. Note: Data as of March 2017.

First time homebuyers are more important to the Ginnie Mae market, comprising 70 percent of purchase 

originations, compared to Fannie and Freddie’s 42 percent and 37 percent share of the first-time homebuyer 

market. The bottom table shows that based on mortgages originated in March 2017, the average first-time 

homebuyer was more likely than an average repeat buyer to take out a smaller loan and have a lower credit score, 

a much higher LTV and a slightly lower DTI, thus requiring a higher interest rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount 

($Thousands ) 217.7 245.2 246.0 259.8 195.7 235.7 209.9 246.3 

Credit Score 737.3 752.6 743.0 755.6 683.5 700.7 708.1 736.3

LTV (%) 86.6 79.0 86.4 80.5 96.5 95.1 91.9 84.5

DTI (%) 34.4 35.2 34.8 35.7 40.6 41.6 38.0 37.5

Loan Rate (%) 4.32 4.21 4.26 4.18 4.19 4.10 4.24 4.17

Sources: eMBS and Urban Institute. Note: Data as of March 2017.

20
Credit Box

75 %

54%

77%

70%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

First Time Homebuyer Share: 

Ginnie Mae Purchase Only Loans Breakdown by Source

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of March 2017. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and 

the Department of Agriculture’s Rural Development. 

Within the Ginnie Mae purchase market, 75 percent of FHA loans, 54 percent of VA loans and 77 percent of other 

loans represent financing for first time home buyers. The bottom table shows that based on mortgages originated 

in March 2017, the average first-time homebuyer was more likely than an average repeat buyer to take out a 

smaller loan and have a lower credit score, a higher LTV and slightly lower DTI, thus requiring a higher interest 

rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount

($ Thousands) 194.6 213.4 231.0 281.9 138.0 148.3 195.7 235.7 

Credit Score 678.3 683.3 696.4 725.7 693.6 691.5 683.5 700.7

LTV (%) 95.4 94.2 98.6 95.4 99.3 99.3 96.5 95.1

DTI (%) 41.7 42.8 39.9 41.1 34.9 36.0 40.6 41.6

Loan Rate (%) 4.24 4.20 4.04 3.95 4.12 4.21 4.19 4.10

Sources: eMBS and Urban Institute. Note: Data as of March 2017.

21
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2015.

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

300 501 523 575 675 770 812 821 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

306 564 609 676 749 800 818 824 839

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 (675) is lower than the 25th percentile of those with a 

mortgage (676).

22
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 210,598 645 679 728 773 796 724 

Fannie 73,198 681 715 756 786 801 747 

Freddie 48,274 691 723 759 787 801 752 

Ginnie 89,126 627 650 682 724 768 689 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 186,966 647 684 730 775 798 726 

Fannie 87,490 661 696 742 780 800 735 

Freddie 56,913 670 704 746 782 801 740 

Ginnie 42,563 620 648 684 727 772 688 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 397,564 646 682 729 774 797 725 

Fannie 160,688 669 704 749 783 801 741 

Freddie 105,187 680 712 753 785 801 745 

Ginnie 131,689 625 649 683 725 770 688 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 89,126 627 650 682 724 768 689 

FHA 57,574 624 646 674 711 749 680 

VA 22,892 634 662 707 761 792 710 

Other 8,660 640 658 690 728 762 693 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 42,563 620 648 684 727 772 688 

FHA 24,340 609 640 672 707 749 674 

VA 17,732 632 664 704 753 787 706 

Other 491 631 660 695 744 780 699 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 131,689 625 649 683 725 770 688 

FHA 81,914 621 644 673 710 749 678 

VA 40,624 633 663 706 757 790 708 

Other 9,151 639 658 690 729 763 693 

March 2017 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 March 2017.

In March 2017, the median Ginnie Mae FICO score was 683 versus 749 for Fannie and 753 for Freddie. Note that 

the FICO score for the 10th percentile was 625 for Ginnie Mae, versus 669 for Fannie and 680 for Freddie. Within 

the Ginnie Mae market, FHA loans have a median FICO score of 673, VA loans have a median FICO score of 706 and 

other loans have a median FICO score of 690.

23
March 2017 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 205,499 73.0 80.0 95.0 96.5 99.3 87.6 

Fannie 73,269 63.0 78.0 80.0 95.0 95.0 81.7 

Freddie 48,278 65.0 78.0 80.0 95.0 95.0 81.9 

Ginnie 83,952 91.6 96.5 96.5 98.8 101.2 96.0 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 182,470 43.0 58.0 73.0 80.0 90.6 69.3 

Fannie 87,512 40.0 54.0 69.0 78.0 81.0 65.1 

Freddie 56,906 41.0 55.0 69.0 79.0 82.0 65.9 

Ginnie 38,052 67.2 79.5 85.0 94.1 98.3 84.3 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 387,969 52.0 70.0 80.0 95.0 97.0 79.0 

Fannie 160,781 46.0 62.0 76.0 84.0 95.0 72.6 

Freddie 105,184 48.0 63.0 77.0 84.0 95.0 73.2 

Ginnie 122,004 80.0 89.8 96.5 96.7 101.0 92.4 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 83,952 91.6 96.5 96.5 98.8 101.2 96.0 

FHA 53,300 92.5 96.5 96.5 96.5 96.5 95.1 

VA 21,949 88.9 96.5 100.0 101.9 102.3 97.1 

Other 8,703 94.9 99.0 101.0 101.0 102.0 99.3 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 38,052 67.2 79.5 85.0 94.1 98.3 84.3 

FHA 25,667 68.2 79.4 85.0 90.9 95.8 82.9 

VA 11,860 64.4 79.7 90.8 100.0 102.2 86.8 

Other 525 77.0 87.9 95.1 100.3 101.6 92.4 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 122,004 80.0 89.8 96.5 96.7 101.0 92.4 

FHA 78,967 80.0 87.2 96.5 96.5 96.5 91.1 

VA 33,809 77.1 90.5 99.0 101.3 102.2 93.5 

Other 9,228 93.5 98.7 101.0 101.0 102.0 98.9 

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 March 2017.

In March 2017, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, 76.0 percent for Fannie Mae, 

and 77.0 percent for Freddie Mac. The 10th percentile was 80.0 percent for Ginnie Mae and 46-48 percent for the 

GSEs. Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 99.0 for VA and 101.0 for the other lending 

programs. 

24
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 210,501 24.0 31.0 38.6 44.0 49.0 37.4 

Fannie 73,257 22.0 29.0 36.0 42.0 45.0 34.7 

Freddie 48,253 22.0 29.0 37.0 43.0 46.0 35.2 

Ginnie 88,991 28.2 34.8 41.6 47.8 53.0 40.9 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 171,379 21.0 28.0 36.7 43.0 47.0 35.5 

Fannie 85,248 21.0 27.0 35.0 42.0 45.0 34.3 

Freddie 55,129 21.0 28.0 36.0 43.0 46.0 35.0 

Ginnie 31,002 24.8 32.3 40.6 47.5 52.4 39.5 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 381,880 23.0 30.0 38.0 44.0 48.3 36.5 

Fannie 158,505 21.0 28.0 36.0 42.0 45.0 34.5 

Freddie 103,382 22.0 28.0 36.0 43.0 46.0 35.1 

Ginnie 119,993 27.3 34.2 41.3 47.7 52.9 40.6 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 88,991 28.2 34.8 41.6 47.8 53.0 40.9 

FHA 57,639 29.3 36.0 43.0 48.9 53.7 42.0 

VA 22,777 27.0 34.0 41.0 47.6 52.7 40.4 

Other 8,575 25.7 30.6 36.1 40.2 43.1 35.1 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 31,002 24.8 32.3 40.6 47.5 52.4 39.5 

FHA 17,124 26.1 33.4 41.5 48.1 52.8 40.3 

VA 13,514 23.5 31.2 39.7 46.7 52.0 38.7 

Other 364 16.5 22.1 31.4 39.5 45.7 31.2 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 119,993 27.3 34.2 41.3 47.7 52.9 40.6 

FHA 74,763 28.6 35.4 42.7 48.7 53.5 41.6 

VA 36,291 25.7 33.0 40.6 47.2 52.4 39.8 

Other 8,939 25.2 30.3 35.9 40.1 43.2 34.9 

March 2017 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 March 2017.

In March 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.3 percent, considerably higher than the 

36 percent median DTIs for Fannie and Freddie. The 10th percentile for Ginnie Mae was 27.3 percent, also much 

higher than the 21-22 percent DTIs for the GSEs. Within the Ginnie Mae market, the median FHA DTI ratio was 

42.7 percent, versus 40.6 percent for VA and 35.9 percent for other lending programs. 

25
Credit Box: Historical

660

680

700

720

740

760

780

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

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

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

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

753

749

683

729

660

680

700

720

740

760

780

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

FICO Scores

FICO Scores for All Loans

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

Sources: eMBS and Urban Institute. Note:Data as of March 2017 Sources: eMBS and Urban Institute. Note: Data as of March 2017

Sources: eMBS and Urban Institute. Note: Data as of March 2017

This figure, showing median FICO scores since October 2013, demonstrates that the median FICO score for 

Ginnie Mae have always been considerably lower than for the GSEs. The difference between Ginnie Mae and 

GSE FICO scores is wider in purchase loans than in refi loans. The recent drop in FICO scores for refinance 

loans reflects the fact that lenders are willing to consider refinancing more marginal borrowers, and they have 

the time to do it as overall volumes are dropping.

26
Credit Box: Historical

77.0

76.0

96.5

80.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

Loan-to-Value Ratio

LTV Ratio for All Loans

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

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

LTV Ratio for Refinance Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

LTV Ratio for Purchase Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

Sources: eMBS and Urban Institute

Note:Data as of March 2017.

Sources: eMBS and Urban Institute

Note:Data as of March 2017.

Sources: eMBS and Urban Institute. Note: Data as of March 2017.

Median LTVs for Ginnie Mae loans have historically been at 96.5, much higher than the 75-80 average for 

the GSEs. Through time, refinances have LTVs about 10 points lower than their purchase counterparts.

27
Credit Box: Historical

36.0

41.3

38.0

32.0

33.0

34.0

35.0

36.0

37.0

38.0

39.0

40.0

41.0

42.0

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

Debt-to-Income Ratio

DTI Ratio for All Loans

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

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

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

DTI Ratio for Refinance Loans 

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

DTI Ratio for Purchase Loans

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

Sources: eMBS and Urban Institute. Note:Data as of March 2017

Sources: eMBS and Urban Institute. 

Note:Data as of March 2017

Sources: eMBS and Urban Institute. 

Note:Data as of March 2017

Median debt-to-income ratios on Ginnie Mae loans have historically been in the low 40s, considerably higher 

than the 36 percent DTIs for the GSEs. The DTIs for refinance loans have historically been much lower than for 

purchase loans, but the refi DTIs have been creeping up sharply in recent months.

28
Ginnie Mae Non-bank Originators

Sources: eMBS and Urban Institute

Note:Data as of March 2017.

Sources: eMBS and Urban Institute

Note:Data as of March 2017.

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 March 2017.

The non-bank originator share of the Ginnie Mae market went up in March 2017, after falling in February. VA 

issuance stood at 70% in March, while FHA issuance stood at 83 percent, and Other issuance was at 80 

percent. 

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17

Ginnie Mae Non-bank Originator Share: All Loans

All FHA VA Other

83%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Ginnie Mae Non-bank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Ginnie Mae Non-bank Share: Refi

Loans

All FHA VA Other

70%

78%

80%

29
All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 131,230 625 649 683 725 770 688

Bank 29,687 641 662 696 744 783 702

Non-Bank 101,543 622 646 679 720 764 684

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 81,559 621 644 673 710 749 678

Bank 15,386 640 658 684 718 759 690

Non-Bank 66,173 619 641 671 707 746 675

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 40,570 633 663 706 757 790 708

Bank 12,446 643 673 718 768 795 719

Non-Bank 28,124 629 659 700 752 787 704

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 9,101 639 658 690 728 763 693

Bank 1,855 621 656 695 743 778 693

Non-Bank 7,246 641 659 689 725 759 694

Ginnie Mae Non-bank Originators: 

March 2017 Credit Box

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 March 2017.

An analysis of recent origination suggests that non-bank originators have considerably lower median borrower FICO 

scores than do bank originators. Overall, the median Ginnie Mae FICO score is 683-- it is 696 for bank borrowers and 

679 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 684 and 671 for nonbanks. For VA borrowers, the median FICO score for bank originators is 718 and 700 for non-banks. For “Other” 

loans, the median FICO score for bank originators is 695 and 689 for non-banks.

30
All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 121,556 80.0 89.8 96.5 96.7 101.0 92.4

Bank 27,449 82.6 93.4 96.5 99.1 101.8 93.7

Non-Bank 94,107 79.4 88.2 96.5 96.5 101.0 92.0

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 78,616 80.0 87.1 96.5 96.5 96.5 91.1

Bank 14,882 84.7 94.7 96.5 96.5 96.5 93.1

Non-Bank 63,734 79.0 85.3 96.5 96.5 96.5 90.7

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 33,761 77.1 90.4 99.0 101.3 102.2 93.5

Bank 10,668 78.1 90.7 99.0 101.3 102.2 93.6

Non-Bank 23,093 76.8 90.4 99.0 101.3 102.3 93.4

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 9,179 93.6 98.7 101.0 101.0 102.0 98.9

Bank 1,899 95.2 100.0 101.0 102.0 103.5 99.6

Non-Bank 7,280 93.3 98.4 100.8 101.0 101.0 98.7

Ginnie Mae Non-bank Originators: 

March 2017 Credit Box

An analysis of the loans backing Ginnie Mae origination indicates that there are virtually no differences in median 

LTV ratios between bank originated loans and non-bank originated loans. Mean LTVs for banks are actually 

marginally higher than their non-bank counterparts.

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 March 2017. 

31
All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 119,535 27.3 34.2 41.3 47.7 52.9 40.6 

Bank 28,232 25.9 32.9 40.2 45.9 51.0 39.2 

Non-Bank 91,303 27.7 34.6 41.7 48.3 53.3 41.0 

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 74,409 28.5 35.4 42.7 48.7 53.5 41.6 

Bank 14,916 27.8 34.6 41.5 46.6 51.6 40.3 

Non-Bank 59,493 28.7 35.6 43.0 49.1 53.9 41.9 

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 36,237 25.7 33.0 40.6 47.2 52.5 39.8 

Bank 11,563 24.1 31.7 39.4 46.0 51.0 38.5 

Non-Bank 24,674 26.5 33.7 41.1 47.8 53.0 40.4 

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 8,889 25.3 30.3 36.0 40.2 43.2 35.0 

Bank 1,753 24.6 29.3 35.6 40.4 43.5 34.6 

Non-Bank 7,136 25.4 30.5 36.1 40.1 43.1 35.0 

Ginnie Mae Non-bank Originators: 

March 2017 Credit Box

An analysis of the borrowers’ DTI ratios for bank versus non-bank originators indicates the former are very slightly 

more conservative. That is, the median DTI ratio for bank originators is 40.2, versus 41.7 for non-banks. 

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 March 2017.

32
Ginnie Mae Nonbank Originators: 

Historical Credit Box

Sources: eMBS and Urban Institute

Note:Data as of March 2017

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 March 2017.

The difference in FICO scores between loans originated by banks and non-banks has narrowed for Ginnie Mae 

loans in March 2017, as the median FICO scores for bank originators dropped sharply this month for all three 

channels.

660

665

670

675

680

685

690

695

700

705

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Ginnie Mae FICO Scores 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

660

665

670

675

680

685

690

695

700

705

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

Ginnie Mae FHA FICO Scores Bank vs. 

Nonbank

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

670

680

690

700

710

720

730

740

Sep-13

Dec-13

Mar-14

Jun-14

Sep-14

Dec-14

Mar-15

Jun-15

Sep-15

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Ginnie Mae VA FICO Scores Bank 

vs. Nonbank

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

670

680

690

700

710

720

730

740

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

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 March 2017 Sources: eMBS and Urban Institute Note:Data as of March 2017

33
Prepayments

0%

5%

10%

15%

20%

25%

30%

Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

9%

13%

0%

5%

10%

15%

20%

25%

30%

35%

Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

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

been higher since. These differences hold across all coupon buckets. The differences are especially pronounced on 

more recent production. These increased Ginnie speeds reflect the growing share of VA loans, which prepay at 

faster speeds than FHA loans. This also reflects the fact that the FHA streamlined refinance program applies to a 

wide range of borrowers and unlike GSE streamlined refinances, requires no credit report and no appraisal. Some 

of the upfront mortgage insurance premium can also be applied to the refinanced loan. Moreover, FHA permits 

refinancing of existing mortgages after 6 months, while the GSEs do not allow refinancing for a year. As rates have 

risen, the prepayment speeds for all agencies have slowed down considerably. After the small uptick in March, the 

speeds edged down again in April, mostly due to a decreased numbers of days in the month compared to March (20 

vs 23). 

14%

12%

9%

8%

34
Prepayments

8%

12%

0%

5%

10%

15%

20%

25%

Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17

Constant Prepayment Rate (%)

2013 Issued 3.0 Coupon CPR

Freddie 2013 3.0 Coupon CPR Fannie 2013 3.0 Coupon CPR Ginnie II 2013 3.0 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17

Constant Prepayment Rate (%)

2012 Issued 3.5 Coupon CPR

Freddie 2012 3.5 Coupon CPR Fannie 2012 3.5 Coupon CPR Ginnie II 2012 3.5 Coupon CPR

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

The 2013 Ginnie II 3.0s are prepaying faster than their conventional counterparts. 2012 Ginnie II 3.5s have been 

faster since mid-2013. The differences accelerated in 2015—potentially due to the FHA mortgage insurance 

premium (MIP) cut. In January, 2015 FHA lowered its MIPs from 135 basis points per annum to 85 basis points 

per annum; this gives 2012 and 2013 FHA mortgages taken out with MIPs of 125-135 bps, a 40-50 basis point 

rate incentive that conventional mortgages do not have. GSE guarantee fees have gone up over that same period, 

creating a disincentive for conventional loans. Moreover, recent originations are more heavily VA loan types, 

which are more prepayment responsive than either FHA or conventional. As mortgage rates have risen, the 

prepayment speeds of Ginnie and Conventional loans both fell sharply. The speeds ticked up for all agencies in 

March, mostly due to an increased numbers of days in the month of March (23) compared to February (19). The 

speeds are now declining again in April which has fewer days (20). 

15%

10%

35
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17

Constant Prepayment Rate (%)

2011 Issued 4.5 Coupon CPR

Freddie 2011 4.5 Coupon CPR Fannie 2011 4.5 Coupon CPR Ginnie II 2011 4.5 Coupon CPR

0%

5%

10%

15%

20%

25%

30%

35%

Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

Sources: Credit Suisse and Urban Institute. Note: Data as of April 2017

The 2011 Ginnie II 4.0s and 4.5s have been paying faster than their conventional counterparts since late 2013. 

Faster VA mortgage prepays plus simplifications to the FHA streamlined programs in 2013 are likely 

contributors to the faster speeds. However, as mortgage rates started to rise sharply since November 2016, 

the speeds for all agencies have slowed down considerably. After the small uptick in March, the speeds 

trended down again in April partly due to a decreased number of days compared to March (20 vs 23).

17%

12%

18%

15%

36
Reverse Mortgage Volumes

$0.7

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

$1.8

Mar-17

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

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

$ Billions

HMBS Issuance Volume

$55.1

$0

$10

$20

$30

$40

$50

$60

Mar-17

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

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

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of March 2017

Sources: Ginnie Mae and Urban Institute. Note: Data as of March 2017

Ginnie Mae reverse mortgage volumes remain steady, with issuance of $0.7 billion in March. Outstanding 

securities totaled $55.1 billion in March.

37
Multifamily Market

$1.7

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Mar-17

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

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

$ Billions

Ginnie Mae Multifamily MBS Issuance

$101.0

$0

$20

$40

$60

$80

$100

$120

Mar-17

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

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

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

Sources: Ginnie Mae and Urban Institute. Note: Data as of March 2017.

Sources: Ginnie Mae and Urban Institute. Note: Data as of March 2017

Ginnie Mae multifamily issuance volumes in March totaled $1.7 billion. Outstanding multifamily securities 

totaled $101.0 billion in March.

38
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of March 2017

$213 

$540 

$36 

$0

$100

$200

$300

$400

$500

$600

1996 1999 2002 2005 2008 2011 2014 2017

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.53%

3.88%

0.42%

0%

2%

4%

6%

8%

10%

12%

14%

1996 1999 2002 2005 2008 2011 2014 2017

Average Daily Turnover by Sector

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume and turnover in 2017, while well lower than in 2005-2013, has been more robust 

than in the 2014-2015 period, and largely unchanged from 2016. In the first three months of 2017, daily 

turnover was 3.53 percent versus 3.55 percent in 2016 and 3.34 percent in 2015. Note that average daily 

Treasury turnover is also down dramatically from its 2005 peak. Corporate turnover is miniscule relative to 

either Agency MBS or Treasury turnover.

Sources: SIFMA and Urban Institute. Note: Data as of March 2017

39
Market Conditions

$207.5

150

200

250

300

350

400

450

500

550

600

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

$ Billions

Repo Volume: Securities In

$58.1

0

10

20

30

40

50

60

70

80

90

100

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

$ 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 March 2017

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of March 2017

Dealer net positions in Agency MBS are currently at the lower end of the recent range, although gross 

positions may well be down more. The volume of repurchase activity is down sharply. This reflects banks 

cutting back on lower margin businesses. 

40
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2006Q4 2007Q4 2008Q4 2009Q4 2010Q4 2011Q4 2012Q4 2013Q4 2014Q4 2015Q4 2016 Q4

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: Data as of Q4 2016.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + agency debt) include the Federal Reserve (20 percent), 

commercial banks (20 percent) and foreign investors (12 percent). The broker/dealer and GSE shares are a 

fraction of what they once were. 

% of Total Agency 

Debt by Owner

41
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: eMBS, Federal Reserve Flow of Funds, and Urban Institute. Note: Data as of Q4 2016.

71.0%

50%

55%

60%

65%

70%

75%

2006Q4 2007Q4 2008Q4 2009Q4 2010Q4 2011Q4 2012Q4 2013Q4 2014Q4 2015Q4 2016 Q4

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

Sources: Federal Reserve Bank and Urban Institute. Note: Data as of April 2017

As Fannie and Freddie reduce the size of their retained portfolio, less agency debt is required to fund that activity, 

hence the MBS share of total agency debt increases. For Q4 2016, the MBS share of total agency debt stood at 71.0 

percent. Commercial banks are the second largest holders of Agency MBS behind the Federal Reserve. Out of their 

$1.7 trillion in holdings as of the end of April, $1.2 trillion of it was held by the top 25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Mar-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Mar 29 Apr 5 Apr 12 Apr 19

Largest Domestic 

Banks 1129.6 1205.9 1217.7 1217.2 1218 1224.8 1230 1230.1 1231.5 1234.4 1236.5 1240.9

Small Domestic 

Banks 427.9 440.8 444.8 449.8 451.9 456.4 456 458.1 458.3 458.7 460.3 459.8

Foreign Related 

Banks 14.4 13.8 14.3 14.1 12.6 12.7 12.9 12.9 13.1 12.7 12.8 13

Total, 

Seasonally

Adjusted 1571.9 1660.5 1676.8 1681.1 1682.5 1693.9 1698.9 1701.1 1702.9 1705.8 1709.6 1713.7

42
MBS Ownership

Debt,

household 

mortgages,

$9,833

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

GNMA PT 

($MM)

Agency 

REMIC ($MM)

Non-Agency 

($MM)

Market 

Share

1 Bank of America Corporation $312,751 $118,664 $178,264 $15,115 $708 18.00%

2 Wells Fargo & Company $202,916 $26,039 $163,534 $5,762 $7,581 11.70%

3 JP Morgan Chase & Co. $101,974 $22,315 $67,791 $698 $11,170 5.90%

4 U S. Bancorp. $80,665 $9,971 $27,886 $42,369 $439 4.60%

5 Citi Group Inc. $61,759 $350 $46,099 $9,577 $5,733 3.60%

6 Charles Schwab Bank $59,486 $7,511 $37,815 $14,160 $0 3.40%

7 Capital One Financial Corporation $50,921 $9,697 $17,832 $21,571 $1,821 2.90%

8 Bank of New York Mellon Corp. $50,417 $2,205 $30,525 $14,963 $2,723 2.90%

9 PNC Bank, National Association $40,824 $5,603 $27,840 $3,819 $3,562 2.40%

10 Branch Banking and Trust Company $34,485 $3,608 $8,988 $21,210 $679 2.00%

11 State Street Bank and Trust Company $31,425 $7,564 $3,469 $11,282 $9,110 1.80%

KeyBank National Association $27,110 $1,412 $1,058 $24,640 $0 1.60%

12 Morgan Stanley $24,373 $6,592 $9,492 $8,289 $0 1.40%

SunTrust Bank $22,397 $10,071 $12,251 $1 $74 1.30%

13 HSBC Bank USA, National Association $20,649 $5,605 $6,885 $8,153 $6 1.20%

16 Regions Bank $18,583 $5,500 $11,085 $1,994 $4 1.10%

17 E*TRADE Bank $15,872 $2,944 $9,703 $3,226 $0 0.90%

18 Fifth Third Bank $15,607 $2,995 $4,260 $8,352 $0 0.90%

19 MUFG Union Bank, National Association $15,223 $4,803 $4,963 $5,129 $328 0.90%

20 The Northern Trust Company $14,703 $1 $9,053 $5,630 $19 0.80%

Total Top 20 $1,202,137 $253,450 $678,792 $225,938 $43,957 69.30%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q4 2016

Out of the $1.74 trillion in MBS holdings at banks and thrifts, $1.25 trillion is in agency pass-through form: $931 

billion in GSE pass-throughs and $323 billion in Ginnie Mae pass-throughs. There are another $419.8 billion in 

Agency CMOs. Non-agency holdings total $63.0 billion. Ginnie Mae pass-throughs have been the fastest growing 

sector in the past 2 years. Bank and thrift holdings of MBS are very concentrated, with the top 20 holders 

accounting for 69 percent of the total, and the top 5 holders accounting for 44 percent of the total.

All Banks & Thrifts ($Billions)

Total Agency MBS GSE PT GNMA PT Agency CMO Private MBS 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 

1Q14 $1,574.44 $1,029.68 $713.50 $232.44 $500.09 $27.08 $104.97 

2Q14 $1,526.12 $951.82 $717.27 $232.75 $445.17 $24.72 $104.41 

3Q14 $1,534.59 $951.99 $725.96 $226.03 $447.46 $21.89 $113.24 

4Q14 $1,539.32 $964.16 $733.71 $230.45 $449.90 $20.33 $104.94 

1Q15 $1,579.21 $1,012.26 $767.71 $244.55 $455.47 $17.70 $93.78 

2Q15 $1,583.22 $1,032.26 $784.22 $248.05 $445.91 $16.47 $88.57 

3Q15 $1,608.44 $1,064.67 $805.05 $259.62 $447.01 $13.60 $83.16 

4Q15 $1,643.56 $1,115.40 $823.10 $292.30 $445.39 $11.14 $71.63 

1Q16 $1,660.58 $1,133.29 $833.25 $300.04 $448.63 $10.27 $68.39 

2Q 16 $1,684.33 $1,169.67 $867.64 $302.03 $440.25 $9.11 $65.29 

3Q16 $1,732.36 $1,227.52 $924.81 $302.71 $435.77 $7.90 $61.17 

4Q16 $1,736.93 $1,254.13 $930.67 $323.46 $419.80 $7.40 $55.60

Bank and Thrift Residential MBS Holdings

43
MBS Ownership

$841.2

$377.0

$464.2

0

100

200

300

400

500

600

700

800

900

1,000

Oct-12

Jan-13

Apr-13

Jul-13

Oct-13

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

$ Billions

Monthly Agency MBS Holdings by Foreigners

Total Agency MBS Held by Foreigners Foreign Official Foreign Private

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of January 2017.

Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of Q4 2016.

14.0%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%

14.0%

14.5%

15.0%

Q4 2011Q1 2012Q2 2012Q3 2012Q4 2012Q1 2013Q2 2013Q3 2013Q4 2013Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016Q3 2016Q4 2016

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

Foreign investors hold 14.0 percent of agency MBS, up considerably from the lows in 2013. For the month of 

January, this represents $841.2 billion in agency MBS, $377.0 billion held by official institutions and $464.2 

billion held by private investors. 

44
MBS Ownership

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

Country Jun-16 Sep-16 Dec-16 Jan-17 Q3 2016 Q4 2016 Jan-17

Taiwan 207,000 208,352 204,005 207,344 1,352 -4,347 3,339

China 196,000 191,743 184,151 181,798 -4,257 -7,592 -2,353

Japan 197,000 222,116 220,644 218,038 25,116 -1,472 -2,606

Ireland 48,000 48,307 47,065 47,175 307 -1,242 110

Luxembourg 32,000 32,549 35,352 33,665 549 2,803 -1,687

Cayman Islands 31,000 30,686 30,186 29,844 -314 -500 -342

Switzerland 17,000 20,638 15,626 15,262 3,638 -5,012 -364

United Kingdom 10,000 10,520 9,578 9,306 520 -942 -272

Canada 6,000 6,578 5,047 5,116 578 -1,531 69

Belgium 5,000 4,336 4,597 4,484 -664 261 -113

Rest of World 206,000 208,604 208,353 198,799 2,604 -251 -9,554

Total 955,000 984,429 964,604 950,831 29,429 -19,825 -13,773

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

*calculated based on June 2016 report with amount asset 

backed per country 

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

Note: Data as of January 2017.

The single largest foreign holders of agency MBS are Taiwan, China and Japan; these three countries comprise 

around 70 percent of all foreign holdings. Since June of 2016, we estimate Taiwan and Japan have expanded their 

holdings while China has contracted. Our estimates indicate Japan has been the single largest buyer of MBS 

between June 2016 and January 2017, adding $31 billion over the 7-month period. 

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

Country Jun-16 Sep-16 Dec-16 Jan-17 Q3 2016 Q4 2016 Jan-17

Taiwan 207,000 208,337 204,005 207,344 1,337 -4,332 3,339

China 187,000 183,274 176,575 174,436 -3,726 -6,699 -2,139

Japan 185,000 209,835 212,729 215,512 24,835 2,894 2,783

Ireland 38,000 38,304 37,177 37,270 304 -1,126 93

Luxembourg 27,000 27,543 30,931 29,415 543 3,388 -1,516

Cayman Islands 23,000 22,725 22,284 21,977 -275 -441 -307

Switzerland 12,000 15,597 10,791 10,462 3,597 -4,806 -329

United Kingdom 8,000 8,514 7,629 7,386 514 -885 -243

Canada 4,000 4,572 3,162 3,218 572 -1,410 56

Belgium 2,000 1,419 1,645 1,543 -581 227 -102

Rest of World 139,000 141,575 141,760 132,629 2,575 185 -9,130

Total 832,000 861,694 848,688 841,193 29,694 -13,006 -7,495

45
MBS Ownership

0

50

100

150

200

250

Sep-09

Nov-09

Jan-10

Mar-10

May-10

Jul-10

Sep-10

Nov-10

Jan-11

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

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

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

$ 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 March 2017.

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

Institute. Note: Data as of March 2017.

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

Note: Data as of March 2017.

0

10

20

30

40

50

60

70

Sep-09

Jan-10

May-10

Sep-10

Jan-11

May-11

Sep-11

Jan-12

May-12

Sep-12

Jan-13

May-13

Sep-13

Jan-14

May-14

Sep-14

Jan-15

May-15

Sep-15

Jan-16

May-16

Sep-16

Jan-17

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

In October 2014, the Fed ended its purchase program, but continued buying at a significantly reduced level, 

reinvesting funds from pay downs on mortgages and agency debt into the mortgage market. Since then, the Fed’s 

absorption of gross issuance has been between 20 and 30 percent, and it was 23.7 percent for March 2017. 

During this month, the Fed has been buying Ginnie Mae securities and GSE securities at similar rates. Over the 

past year, the Fed has absorbed an average of 25.6 percent of GSE issuance and 25.8 percent of Ginnie Mae 

issuance.

46
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 State Street Global Advisors as

of May 15, 2017 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.   

© 2017 State Street Corporation. All Rights Reserved.