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

Restrictions on FHA and VA cash-out refinances begin to show expected decline in volumes

In the fall of 2019, the US Department of Housing and Urban Development (HUD) announced a policy 

change, reducing the maximum loan-to-value (LTV) ratio for FHA-insured cash-out refinance mortgages 

from 85 percent to 80 percent. This was done to improve borrower equity position and reduce loss 

severities during the next downturn. This change became effective for FHA loans endorsed Sep 1 2019 or 

later. 

Around the same time, Ginnie Mae announced on August 1st that effective November 1, 2019 MBS pools, 

VA cash-out refinance loans with LTVs greater than 90 percent would generally be ineligible for Ginnie 

Mae I Single Issuer and Ginnie Mae II Multiple Issuer Pools. This is the latest in a series of actions by 

Ginnie Mae to curb abuse of the VA program, where some lenders repeatedly refinance veterans, often to 

the financial detriment of the borrower. 

Now that it has been some time since these changes went into effect, we are able to analyze their early 

impact on FHA and VA cash-out refinance issuance volumes. Figure 1 below shows monthly Ginnie 

issuance in TBA eligible Multiple Issuer Pools for three types of FHA and VA refinances – cash-out, 

streamlined refinance, and not cash-out not streamlined.

Figure 1: Monthly TBA-eligible issuance of FHA and VA refinances, by type

Source: eMBS and Urban Institute

These data show a more than 50 percent decline in VA cash-out issuances (red line) from $5.19 billion in 

October to $2.47 billion in November 2019 (cash-out volume had increased in Sep and Oct, likely 

reflecting demand pull-forward in anticipation of the Nov 1 deadline.) Still, the November volume is well 

below the $3.1 billion per month, on average from Jan to Oct 2019 and $2.8 billion a month, on average in 

2018. We also note the 3 percentage point decline in the median LTV of VA refinances from 96.1 percent 

in Oct to 93.2 percent in November (see page 28.) These data strongly suggest that Ginnie Mae’s latest 

action to curb the abuse of the VA program in the high-LTV cash-out segment is showing early results.

 -

 1.0

 2.0

 3.0

 4.0

 5.0

 6.0

 7.0

 8.0

 9.0 FHA- Streamlined FHA - Cash-out

FHA Not streamlined, not cash out VA - Streamlined

VA - Cash-out VA - Not streamlined, not cash out

$ Billions
FHA’s cash-out issuance volume (black line) experienced a decline as well, falling to $2.8 billion in 

November from $3.2 billion in Oct; this compares to $2.5 billion a month on average from Jan to Oct 

2019 and $2.8 billion a month on average in 2018. It may take more time for FHA’s new policy to show 

results because it was endorsement date driven, unlike Ginnie Mae’s VA cash-out policy, which was 

driven by issuance date. In other words, November FHA cash-out issuance volume of $3.2 billion includes 

above 85 LTV FHA cash-out loans originated before Sep 1. 

Figure 2: FHA and VA cash-out issuance based on eligibility under new policy

Source: eMBS and Urban Institute

Figure 2 shows a breakout of FHA and VA cash-out volume by LTV cutoff. About $1 billion of over 85% 

LTV FHA cash-out loans were securitized in November. As more of these loans get securitized in 

subsequent months, we would expect issuances of ineligible FHA cash-outs to eventually drop to zero. 

Lastly, as expected, above 90% LTV VA cash-out issuances equaled zero in November.

A note from Ginnie Mae

Our policy on aberrant prepayment behavior surveillance has been institutionalized and is uniformly applied across 

all coupons and Issuers.

Ginnie Mae remains vigilant in its review of individual Issuer prepayment performance. Each month, each Issuer is 

analyzed for significant deviations to the appropriate benchmark. Issuers that continually trip prepayment 

thresholds will be sanctioned per our policy and current practice.

Our mission is to provide efficient access to the capital markets and eliminate abusive practices that negatively 

affect the broad range of homeowners that rely on the program.

Ginnie Mae will evaluate the effectiveness of the recently implemented High LTV VA Cash-out policy once there is 

material volume existing beyond the 6-month refinance lockout threshold.

Highlights this month:

• First-time homebuyer shares for Fannie Mae, Freddie Mac and Ginnie Mae have fallen in recent 

months, with Ginnie Mae exhibiting the smallest decline (page 24).

• Despite Median FICO scores for all agency loans increased considerably over the course of 2019, 

driven by the higher refinances, which higher FICO borrowers take advantage of with greater 

frequency (page 30).

• The nonbank originator share for Ginnie Mae loans hit a new historical high of 88.7 percent in 

November 2019 (page 35).

HIGHLIGHTS

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5 FHA over 85 LTV cash out (ineligible) VA over 90 LTV cash out (ineligible)

FHA under 85 LTV cash out VA under 90 LTV cash out

$ billions
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

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

comprises the largest percent of US MBS (10 percent), while Ginnie Mae 30-year MBS and Freddie Mac 30-year MBS 

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

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

Global Aggregate, accounting for 39 percent of the global total. US MBS comprises 11 percent of the global 

aggregate. 

40%

1%

30%

8%

10%

6%

3% 2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

7%

25%

11%

1%

2%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

1%

3% 1%

39%

29%

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 December 2019.

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

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

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of December 2019.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of December 2019.

5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

Yield (%)

Global 10-year Treasury Yields

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

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

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

10yr US Treasury hedged yield, JPY

10y US hedged yield, JPY (left)

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

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

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

10yr US Treasury hedged yield, EUR

10y US hedged yield, EUR (left)

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

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of December 2019.

Sources: Bloomberg and State Street Global Advisors

Note: Data as of December 2019.

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

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

dropped across the globe over the course of 2019. The yield on the US 10-year treasury increased 14 bps in 

December to 1.92 percent. Although down 70 bps from the start of 2019, US treasury yields are the highest in 

the developed world. This is followed by yields on the Italian 10-year note, up 18 basis points in December to 

1.41 percent, the UK 10-year bond, up 12 bps to 0.82 percent, German 10 year, up 17 bps to -0.19 percent, and 

the Japanese 10 year government bond, which rose by 6 basis points to -0.01 percent over the course of 

December. At the end of December, the hedged yield differential between the 10-year Treasury and the 10-

year JGB stood at -13 bps, an increase of 42 bps since November. The hedged yield differential between the 10-

year Treasury and the 10-year Bund stands at -18 bps, an increase of 20 bps since the end of November. 

Yield(%)Yield(%)

6
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19

G2SF CC yield & nominal spread, USD

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

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

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

GNSF CC yield & nominal spread, USD

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

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

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

Nominal yields rose in December 2019, with both GNMA II and GNMA I yields increasing 6 bps to 2.45% and 

2.44% respectively. Current coupon Ginnie Mae securities outyield their Treasury counterparts (relative to 

the average of 5- and 10-year Treasury yields) by 61 bps on the G2SF and 62 bps on the GNSF, a tightening of 

5 and 4 bps respectively since last month. 

Yield(%) Yield(%)

Yield(%)

Yield(%)

7
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19

G2SF CC yield & nominal spread, JPY

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

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

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

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

blend. More precisely, G2SF and GNSF hedged into Japanese yen have a yield of 42 and 43 bps, respectively, 

versus the JGB 5/10 blend. This represents a 34 bp increase for the G2SF and a 35 bp increase for the GNSF since 

the end of November.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

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

GNSF CC yield & nominal spread, JPY 

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

Yield(%) Yield(%)

Yield(%) Yield(%)

8
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19

G2SF CC yield & nominal spread, EUR

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

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

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

GNSF CC yield & nominal spread, EUR

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

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

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

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

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

euros have a 47 bps higher yield than the average of the German 5/10. This represents a 14 bps increase for the 

G2SF and a 15 bps increase for the GNSF since the end of November. 

Yield(%) Yield(%)

Yield(%) Yield(%)

9
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0

20

40

60

80

100

120

140

160

180

Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

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

-20

0

20

40

60

80

100

120

140

160

180

Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

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

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

G2 30 MBS and Intermediate Credit OAS

G2 30 MBS versus Intermediate Credit

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

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

higher. While intermediate credit still has a higher option adjusted spread, by 39 bps at the end of December, this 

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

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

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

10
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of November 2019.

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

asset class with significantly more yields are the US and Pan-Euro high yield 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. 

Security Duration Yield

US 5y 4.8 1.67

US 10y 9.0 1.88

GNMA II 3.0% 5.5 2.48

GNMA II 3.5% 4.0 2.69

JPY 5y 4.8 -0.13

JPY 10y 9.7 -0.02

GER 5y 4.8 -0.48

GER 10y 9.7 -0.19

ITA 5y 5.0 0.68

ITA 10y 9.5 1.41

US credit 7.7 2.79

US credit >= A 7.4 2.45

US HY 3.1 5.13

Pan-Euro Corp 5.7 0.78

Pan-Euro HY 3.1 3.45

US 5y US 10y

G2 3.5%

G2 3.0%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield versus duration

11
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

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

1 year 0.48 0.56 1.14 0.65 1.13 0.97

3 year 0.24 0.28 0.49 0.23 0.52 0.39

5 year 0.19 0.20 0.38 0.21 0.51 0.40

10 year 0.27 0.26 0.46 0.40 0.62 0.67

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 0.31 0.40 0.98 0.70 0.96 1.02

3 year 0.10 0.14 0.35 0.29 0.39 0.45

5 year 0.11 0.11 0.30 0.26 0.42 0.45

10 year 0.22 0.22 0.41 0.42 0.58 0.69

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 0.50 1.31 1.18 0.73 1.41 1.10

3 year 0.61 1.00 1.06 0.68 1.18 1.03

5 year 0.57 1.06 1.17 0.97 1.52 1.34

10 year 0.65 1.02 1.18 1.14 1.68 1.68

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 0.62 0.30 0.83 0.97 0.68 0.93

3 year 0.17 0.14 0.33 0.42 0.33 0.44

5 year 0.19 0.11 0.25 0.27 0.28 0.33

10 year 0.34 0.21 0.35 0.37 0.34 0.41

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

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

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

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

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

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

12
State of the US Housing Market

5.2%

6.3%

4.3%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Oct-00

Apr-01

Oct-01

Apr-02

Oct-02

Apr-03

Oct-03

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

Year-over-year growth rate

National Year-Over-Year HPI Growth

Lowest Cost Middle Cost Highest Cost

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

0.68%

0.61%

3.39%

1.87%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

1Q064Q063Q072Q081Q094Q093Q102Q111Q124Q123Q132Q141Q154Q153Q162Q171Q184Q183Q19

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

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

Serious Delinquency Rates: Single-Family Loans

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

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

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

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

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

2019, prices at the lower end of the market rose by 6.3 percent for 12 months ended October 2019, much higher 

than the 4.3 percent for the top end of the market.

13
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

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

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

the lowest level for each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 10/2019, the latest HPI data period.

Nationally, nominal home prices have increased by 54.8 percent since the trough, and now exceed their pre-crisis 

peak valuation on a nominal basis by 15.4 percent. The picture is very different across states, with many states well in 

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

Nevada(9.8% below), Maryland (9.3% below), and Florida (9.2% below).

HPI Changes

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

National 75.4% -25.5% 54.8% 4.2% 15.4%

Alabama 43.9% -15.3% 33.0% 6.7% 12.6%

Alaska 69.6% -3.1% 23.5% 3.1% 19.7%

Arizona 110.1% -48.0% 84.1% 6.6% -4.2%

Arkansas 41.6% -10.4% 25.6% 3.0% 12.6%

California 155.1% -43.3% 90.1% 2.8% 7.7%

Colorado 40.3% -12.8% 80.0% 4.3% 56.9%

Connecticut 92.4% -24.6% 15.6% 2.3% -12.9%

Delaware 94.9% -23.9% 30.1% 3.4% -1.0%

District of Columbia 175.5% -13.6% 54.7% 2.0% 33.6%

Florida 128.9% -47.0% 71.4% 3.5% -9.2%

Georgia 38.2% -32.0% 66.8% 5.2% 13.5%

Hawaii 162.9% -22.4% 51.1% 2.6% 17.3%

Idaho 71.6% -28.6% 88.0% 11.1% 34.2%

Illinois 61.6% -34.5% 39.2% 2.0% -8.9%

Indiana 21.1% -7.9% 39.4% 7.2% 28.5%

Iowa 28.3% -4.9% 29.2% 4.7% 22.9%

Kansas 34.7% -9.2% 43.2% 5.7% 30.0%

Kentucky 29.6% -7.8% 31.4% 4.1% 21.2%

Louisiana 48.9% -5.1% 23.7% 2.7% 17.4%

Maine 82.1% -12.5% 38.8% 5.0% 21.5%

Maryland 129.3% -28.6% 27.1% 2.1% -9.3%

Massachusetts 92.5% -22.8% 56.4% 4.4% 20.7%

Michigan 23.9% -39.5% 77.2% 4.2% 7.2%

Minnesota 66.4% -27.7% 56.3% 4.5% 12.9%

Mississippi 41.1% -13.7% 27.4% 2.7% 10.0%

Missouri 42.7% -14.9% 37.8% 7.0% 17.2%

Montana 81.7% -11.1% 51.9% 6.4% 34.9%

Nebraska 26.6% -6.6% 42.8% 4.8% 33.3%

Nevada 126.9% -59.2% 121.0% 2.4% -9.8%

New Hampshire 90.8% -23.6% 43.3% 5.7% 9.5%

New Jersey 117.8% -27.9% 28.6% 3.1% -7.2%

New Mexico 67.1% -16.2% 24.1% 5.3% 4.0%

New York 98.4% -15.1% 43.0% 3.9% 21.4%

North Carolina 40.7% -15.7% 37.6% 5.4% 16.0%

North Dakota 54.0% -3.8% 57.2% 3.6% 51.3%

Ohio 21.1% -18.4% 43.0% 9.1% 16.7%

Oklahoma 37.5% -2.4% 20.6% 4.0% 17.7%

Oregon 82.4% -28.0% 79.3% 4.7% 29.0%

Pennsylvania 70.1% -11.6% 25.6% 3.9% 11.0%

Rhode Island 130.9% -34.5% 54.7% 6.3% 1.3%

South Carolina 44.7% -19.2% 36.1% 4.5% 10.0%

South Dakota 45.0% -3.9% 48.3% 5.8% 42.5%

Tennessee 35.2% -11.9% 45.6% 5.7% 28.3%

Texas 33.3% -5.7% 51.8% 3.5% 43.1%

Utah 54.7% -21.9% 76.0% 6.9% 37.4%

Vermont 83.5% -7.5% 35.5% 6.8% 25.4%

Virginia 99.5% -22.7% 27.5% 4.0% -1.5%

Washington 85.4% -28.7% 86.9% 5.7% 33.3%

West Virginia 42.9% -6.5% 25.4% 5.2% 17.3%

Wisconsin 44.6% -16.4% 37.8% 5.1% 15.3%

Wyoming 77.4% -5.7% 30.8% 5.7% 23.3%

14
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State GNMA Share GNMA Loan 

Count

GNMA Avg.

Loan Size (000)

GSE Avg. Loan 

Size (000) GNMA Share GNMA Loan Count

GNMA Avg. 

Loan Size (000)

GSE Avg. Loan 

Size (000)

National 32.9% 1,937,842 233.7 251.6 28.8% 11,417,308 163.3 189.9

Alabama 44.5% 35,744 177.1 198.6 43.3% 237,303 128.0 153.0

Alaska 52.5% 5,273 295.3 263.6 49.7% 38,765 231.1 200.3

Arizona 32.8% 67,671 233.0 237.2 28.8% 320,871 164.6 181.0

Arkansas 42.8% 19,778 152.3 178.9 43.0% 139,572 110.5 138.4

California 27.4% 168,014 374.1 364.3 19.1% 792,054 264.9 270.2

Colorado 32.4% 57,510 315.3 304.6 24.6% 239,578 218.4 228.9

Connecticut 31.7% 16,046 223.3 240.3 28.5% 109,740 181.9 189.1

Delaware 38.6% 8,337 227.1 238.5 35.0% 51,869 179.3 184.8

District of Columbia 17.8% 1,506 449.6 398.1 14.7% 10,128 298.5 305.6

Florida 40.5% 172,401 225.6 222.4 33.9% 835,636 166.1 173.0

Georgia 40.4% 88,678 200.6 226.6 37.0% 517,896 143.1 171.5

Hawaii 43.5% 6,692 523.4 416.5 28.3% 31,483 381.7 317.4

Idaho 32.6% 15,612 231.5 228.9 29.2% 80,054 154.9 170.8

Illinois 25.2% 57,154 188.2 215.2 23.5% 375,051 140.2 161.2

Indiana 36.3% 49,153 155.9 173.3 35.8% 309,982 110.8 127.6

Iowa 25.8% 13,101 157.0 177.7 24.4% 87,720 113.2 132.3

Kansas 35.2% 15,546 166.8 190.9 33.9% 106,679 119.5 140.0

Kentucky 38.9% 27,210 161.5 181.0 37.4% 169,127 121.0 133.9

Louisiana 43.2% 28,937 179.4 205.0 40.7% 188,425 136.7 159.6

Maine 34.0% 6,938 197.5 217.2 30.6% 41,001 151.8 162.0

Maryland 43.4% 49,836 299.9 288.5 37.5% 305,389 230.2 220.2

Massachusetts 22.7% 23,705 314.0 313.3 18.0% 125,104 235.5 231.0

Michigan 24.0% 47,673 160.0 186.6 23.8% 312,004 113.1 136.2

Minnesota 23.6% 28,268 215.6 229.4 22.2% 192,916 155.6 172.6

Mississippi 51.1% 17,469 163.5 183.2 49.1% 115,632 120.0 142.6

Missouri 34.0% 41,888 165.3 188.8 33.3% 267,413 120.2 140.1

Montana 30.1% 6,032 233.9 238.2 27.6% 37,077 169.2 179.2

Nebraska 32.7% 10,575 180.6 184.6 31.2% 74,542 121.9 138.8

Nevada 37.9% 31,609 272.7 253.4 32.2% 143,850 187.8 194.7

New Hampshire 31.5% 8,157 253.1 243.2 27.3% 45,375 192.6 183.2

New Jersey 28.8% 40,962 268.2 288.3 25.9% 250,771 209.4 220.3

New Mexico 42.3% 13,908 193.7 203.4 41.1% 98,743 140.7 154.0

New York 24.3% 43,062 259.5 292.7 24.2% 338,827 186.6 216.6

North Carolina 35.2% 71,350 198.0 222.8 32.2% 432,770 140.9 167.8

North Dakota 29.5% 2,772 224.8 221.0 24.8% 16,888 166.6 168.0

Ohio 33.8% 65,813 155.2 170.4 34.2% 457,160 112.0 127.7

Oklahoma 45.3% 26,534 163.9 184.1 46.4% 197,346 119.1 141.2

Oregon 28.8% 25,756 281.3 278.9 21.8% 128,369 198.8 210.0

Pennsylvania 31.5% 57,951 177.4 209.0 31.1% 420,507 135.7 159.4

Rhode Island 37.8% 6,652 247.6 240.1 32.1% 37,138 187.8 184.2

South Carolina 40.3% 42,372 200.1 210.0 35.8% 227,878 146.9 162.2

South Dakota 37.0% 5,391 190.5 199.3 34.0% 31,122 142.6 151.2

Tennessee 39.8% 51,045 201.5 219.4 37.6% 299,344 138.7 166.6

Texas 34.8% 165,053 213.7 230.5 34.1% 1,086,859 143.0 177.0

Utah 26.9% 27,165 271.2 278.3 24.7% 129,415 190.8 212.1

Vermont 24.9% 2,081 200.3 213.8 19.4% 12,873 163.8 160.1

Virginia 43.8% 72,708 291.2 288.9 39.0% 452,767 219.6 218.6

Washington 31.3% 55,375 316.9 318.4 25.1% 274,670 218.2 233.1

West Virginia 50.3% 8,826 164.5 166.4 44.9% 54,851 125.8 127.6

Wisconsin 21.5% 21,951 182.4 194.0 19.4% 139,599 133.0 142.6

Wyoming 41.5% 4,602 227.7 231.6 38.3% 27,175 176.8 177.8

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

months, from November 2018 to November 2019.

Ginnie Mae MBS constitute 28.8 percent of outstanding agency issuance by loan balance and 32.9 percent of new 

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

outstanding (by loan balance) as low as 14.7 percent in the District of Columbia and as high as 49.7 percent in 

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

15
FHA and VA Outstanding Loan Count 

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

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 November 2019, TX has 750,000 million FHA and 300,000 VA loans outstanding, FL had 

540,000 FHA and 260,000 VA loans outstanding, and CA had 540,000 FHA and 230,000 VA loans outstanding. 

Virginia ranks 4th for number of VA loans outstanding and 13th for number of FHA loans outstanding.

16
State of the US Housing Market

$11.1

$19.7

$30.7

0

5

10

15

20

25

30

35

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

Q3

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

$0.45

$0.51

$6.88

$3.23

0

1

2

3

4

5

6

7

8

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

Q3

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

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

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

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

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

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

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

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

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

percent of the total.

17
State of the US Housing Market

As of November 2019, outstanding securities in the agency market totaled $6.84 trillion: 42.4 percent Fannie Mae, 

27.9 percent Freddie Mac, and 29.7 percent Ginnie Mae MBS. Ginnie Mae has more outstandings than Freddie 

Mac. Within the Ginnie Mae market, both FHA and VA have grown very rapidly post-crisis. FHA comprises 58.8 

percent of total Ginnie Mae MBS outstanding, while VA comprises 35.4 percent.

$2.90

$1.91

$2.03

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Nov-01

May-02

Nov-02

May-03

Nov-03

May-04

Nov-04

May-05

Nov-05

May-06

Nov-06

May-07

Nov-07

May-08

Nov-08

May-09

Nov-09

May-10

Nov-10

May-11

Nov-11

May-12

Nov-12

May-13

Nov-13

May-14

Nov-14

May-15

Nov-15

May-16

Nov-16

May-17

Nov-17

May-18

Nov-18

May-19

Nov-19

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

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

$1.2

$0.7

$0.1

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

Nov-01

May-02

Nov-02

May-03

Nov-03

May-04

Nov-04

May-05

Nov-05

May-06

Nov-06

May-07

Nov-07

May-08

Nov-08

May-09

Nov-09

May-10

Nov-10

May-11

Nov-11

May-12

Nov-12

May-13

Nov-13

May-14

Nov-14

May-15

Nov-15

May-16

Nov-16

May-17

Nov-17

May-18

Nov-18

May-19

Nov-19

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

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

18
State of the US Housing Market

$0.69

$0.31

$0.03

$0.60

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

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

Q1-Q3

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

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

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Q1-Q3

First Lien Origination Share

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

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

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

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

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

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

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

37.2%

2.0%

19.1%

42.6%

19
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total

2000 $80.2 $18.8 $3.2 $102.2

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 YTD $241.0 $200.3 $14.5 $455.9

2019 YTD % Change YOY 16.6% 34.1% -9.4% 22.5%

2019 Ann. $263.0 $218.6 $15.8 $497.3

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 YTD $535.3 $392.7 $928.0 $455.9 $1,383.9

2019 YTD % Change YOY 20.6% 35.3% 26.4% 22.5% 25.1%

2019 Ann. $584.0 $428.4 $1,012.3 $497.3 $1,509.7

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

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

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

Agency gross issuance was $1.38 trillion in the first eleven months of 2019, up 25.1 percent compared to the same 

period in 2018. Ginnie Mae gross issuance was up by 22.5 percent and GSE gross issuance was up by 26.4 percent. 

Within the Ginnie Mae market, FHA was up by 16.6 percent and VA origination was up by 34.1 percent. While 

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

issuance year-over-year.

20
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.3

2018 $49.2 $61.2 $3.5 $113.9

2019 YTD $33.7 $52.9 $1.6 $92.2

2019 YTD % Change YOY -23.4% -6.8% -50.4% -11.2%

2019 Ann. $36.7 $57.7 $1.7 $100.6

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 $68.6 $49.2 $117.8 $108.1 $225.9

2019 YTD $90.6 $111.4 $202.0 $92.2 $294.3

2019 YTD % Change YOY 22.9% 82.2% 49.8% -11.2% 23.3%

2019 Ann. $98.9 $121.5 $220.4 $100.6 $321.0

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 November 2019.

Agency net issuance totaled $294.3 billion in the first eleven months of 2019, up 23.3 percent compared to the same period 

in 2018. Ginnie Mae net issuance was $92.2 billion, comprising 31.3 percent of total agency net issuance. Ginnie Mae net 

issuance was down 11.2 percent compared to the same period in 2018, while GSE net issuance was up 49.8 percent over the 

same period. Ginnie Mae net issuance in the first ten months of 2019 was comprised of 57.3 percent VA and 36.5 percent 

FHA. 

21
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Sources: eMBS and Urban Institute.

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

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

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

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

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

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

2019 gross agency issuance of $173.1 billion is well above the November 2018 level of $97.6 billion. 

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 -$5.1 -$12.0 $4.3 -$12.7

Jan-19 $33.3 $19.2 $29.0 $81.6 $19.1 $20.8 $13.2 $53.1

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

Monthly Agency Issuance

22
$26.9 

$18.9 

$7.4 $1.5 $0.1 

$17.3 

$21.8 

$17.7 

$10.0 

$4.3 

$13.1 

$9.9 

$3.9 

$1.4 

$0.4 

 $0

 $10

 $20

 $30

 $40

 $50

 $60

 $70

3 3.5 4 4.5 5

Streamlined Cash-out Not streamlined, not cash-out

Coupon

$ billions

Ginnie Mae Refinance Issuance by Type: 2019 YTD

US Agency Market, Originations

Sources: eMBS and Urban Institute.

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

The FHA refinance share stood at 39.5 percent in November 2019, below the 61.4 percent refi share for VA 

originations and the 58.4 percent share for the GSEs. Refinances as a share of all originations have grown in 2019 

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

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

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

58.4%

39.5%

61.4%

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

Percent Refi at Issuance

Refishare GSE FHA VA

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

23
Credit Box

38.4%

43.2%

70.6%

52.3%

20%

30%

40%

50%

60%

70%

80%

Mar-14 Jul-14 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-19

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

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

The first time homebuyer share of Ginnie Mae purchase loans was 70.6 percent in November 2019, down 

slightly from its historical high in May. First time homebuyers comprise a significantly higher share of the Ginnie 

Mae purchase market than of the GSE purchase market, with first time homebuyers accounting for 43.2 

percent and 38.4 percent of Fannie Mae and Freddie Mac purchase originations respectively. The bottom table 

shows that based on mortgages originated in November 2019, the average first-time homebuyer was more 

likely than an average repeat buyer to take out a smaller loan, have a lower credit score, a much higher LTV, a 

similar DTI, and pay a slightly higher rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount ($ ) 244,379 272,221 250,126 274,010 221,673 265,865 233,871 271,019 

Credit Score 742.6 756.2 744.1 756.6 680.0 699.9 710.8 740.4

LTV (%) 88.1 79.1 87.0 79.4 96.8 95.3 92.3 83.7

DTI (%) 35.3 36.2 35.2 36.0 41.5 42.5 38.4 37.9

Loan Rate (%) 4.0 3.8 3.9 3.8 3.9 3.7 3.9 3.8

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 November 2019.

24
Credit Box

82.2%

53.8%

76.9%

70.6%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

90%

Mar-14 Jul-14 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-19

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Breakdown

FHA VA Other All

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

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

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

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

Within the Ginnie Mae purchase market, 76.9 percent of FHA loans, 53.8 percent of VA loans and 82.2 percent of 

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

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

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

FHA VA Other Ginnie Mae Total

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

Loan Amount ($) 219,003 234,486 261,652 310,754 155,324 170,886 221,673 265,865 

Credit Score 671.0 673.4 699.6 727.6 696.5 703.2 680.0 699.9

LTV (%) 95.5 93.8 99.8 96.4 99.1 99.1 96.8 95.3

DTI (%) 42.9 44.0 40.4 41.8 34.7 35.3 41.5 42.5

Loan Rate (%) 4.0 3.9 3.7 3.6 3.8 3.8 3.9 3.7

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

25
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2017.

FICO Score Distribution: Mortgage Owners vs All Consumers

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

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

All Consumers Mortgage owners

All Consumers- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 503 524 587 682 774 813 822 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 570 615 682 752 801 818 824 839

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

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

mortgage (682).

26
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 289,590 644 683 734 777 798 727 

Fannie 100,852 689 722 759 787 802 751 

Freddie 78,731 691 724 760 788 802 753 

Ginnie 110,007 622 645 677 724 770 686 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 332,450 660 702 748 781 799 738 

Fannie 146,199 691 723 760 786 802 752 

Freddie 105,857 689 723 759 785 801 751 

Ginnie 80,394 622 651 690 740 781 694 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 622,040 651 693 742 779 799 733 

Fannie 247,051 690 723 760 787 802 752 

Freddie 184,588 690 723 759 786 801 752 

Ginnie 190,401 622 647 682 731 775 689 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 110,007 622 645 677 724 770 686 

FHA 68,025 617 639 666 700 739 672 

VA 31,973 631 662 713 766 794 713 

Other 10,009 639 660 694 733 767 698 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 80,394 622 651 690 740 781 694 

FHA 37,005 611 639 667 699 735 669 

VA 42,929 637 673 719 766 793 715 

Other 460 643 664 700 743 779 704 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 190,401 622 647 682 731 775 689 

FHA 105,030 615 639 666 700 738 671 

VA 74,902 633 668 717 766 793 714 

Other 10,469 639 660 695 734 767 698 

November 2019 Credit Box at a Glance

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

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

In November 2019, the median Ginnie Mae FICO score was 682 versus 760 for Fannie Mae and 759 for Freddie Mac. 

Note that the FICO score for the 10th percentile was 622 for Ginnie Mae, versus 690 for both Fannie Mae and Freddie 

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

of 717 and other loans have a median FICO score of 695.

27
November 2019 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 289,972 72.0 80.0 95.0 96.5 100.0 87.6 

Fannie 100,946 64.0 79.0 84.0 95.0 97.0 82.5 

Freddie 78,791 63.0 79.0 80.0 95.0 95.0 81.8 

Ginnie 110,235 92.6 96.5 96.5 100.0 101.0 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 342,104 50.0 64.0 75.0 85.3 95.9 73.6 

Fannie 146,204 46.0 59.0 71.0 80.0 85.0 67.9 

Freddie 105,867 47.0 60.0 73.0 80.0 85.0 69.0 

Ginnie 90,033 73.0 82.3 90.2 98.0 100.0 88.4 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 632,076 56.0 71.0 80.0 95.0 97.3 80.0 

Fannie 247,150 50.0 64.0 77.0 85.0 95.0 73.8 

Freddie 184,658 51.0 67.0 79.0 85.0 95.0 74.4 

Ginnie 200,268 80.3 89.9 96.5 98.9 101.0 92.8 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 110,235 92.6 96.5 96.5 100.0 101.0 96.4 

FHA 68,144 92.4 96.5 96.5 96.5 96.5 95.1 

VA 32,036 91.1 100.0 100.0 102.2 103.1 98.2 

Other 10,055 95.1 99.0 100.9 101.0 101.0 99.1 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 90,033 73.0 82.3 90.2 98.0 100.0 88.4 

FHA 41,628 73.2 81.4 86.5 96.7 98.2 86.7 

VA 47,882 72.9 83.9 93.2 99.6 101.0 89.8 

Other 523 81.7 92.8 99.2 101.0 102.4 94.8 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 200,268 80.3 89.9 96.5 98.9 101.0 92.8 

FHA 109,772 81.4 89.2 96.5 96.5 97.0 91.9 

VA 79,918 77.8 89.2 99.0 100.0 102.2 93.2 

Other 10,578 94.5 98.9 100.9 101.0 101.0 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. 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 November 2019.

In November 2019, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, 77 percent for Fannie 

Mae and 79 percent for Freddie Mac. The 90th percentile was 101.0 percent for Ginnie Mae, and 95 percent for both 

Freddie and Fannie. Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 99.0 for VA and 100.9 for 

other programs. 

28
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 289,580 24.0 31.0 39.0 45.0 49.9 37.9 

Fannie 100,941 22.0 29.0 37.0 43.0 47.0 35.6 

Freddie 78,787 22.0 29.0 37.0 43.0 47.0 35.5 

Ginnie 109,852 28.6 35.3 42.5 49.1 54.2 41.8 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 296,750 21.0 28.0 36.0 43.0 47.2 34.9 

Fannie 146,150 21.0 27.0 35.0 42.0 46.0 34.1 

Freddie 105,861 21.0 27.0 35.0 42.0 46.0 34.3 

Ginnie 44,739 22.6 31.5 40.0 48.2 54.0 39.0 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 586,330 22.0 29.0 37.0 44.0 49.0 36.4 

Fannie 247,091 21.0 28.0 36.0 43.0 47.0 34.7 

Freddie 184,648 21.0 28.0 36.0 43.0 46.0 34.8 

Ginnie 154,591 27.1 34.0 41.9 48.9 54.1 41.0 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 109,852 28.6 35.3 42.5 49.1 54.2 41.8 

FHA 68,119 30.4 37.2 44.1 50.2 54.6 43.1 

VA 31,716 27.1 34.0 41.6 48.5 54.1 41.0 

Other 10,017 25.4 30.3 35.9 40.0 42.9 34.8 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 44,739 22.6 31.5 40.0 48.2 54.0 39.0 

FHA 24,635 28.0 34.7 43.1 49.9 54.7 41.9 

VA 19,716 17.8 27.3 35.4 45.0 52.1 35.7 

Other 388 14.8 20.9 29.1 35.9 40.6 28.7 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 154,591 27.1 34.0 41.9 48.9 54.1 41.0 

FHA 92,754 29.8 36.6 43.9 50.1 54.7 42.8 

VA 51,432 23.2 31.6 39.7 47.4 53.5 39.0 

Other 10,405 24.9 30.0 35.7 39.9 42.8 34.6 

November 2019 Credit Box at a Glance

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

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

In November 2019, the median Ginnie Mae debt-to-income ratio (DTI) was 41.9 percent, considerably higher than 

the 36.0 percent median DTI for both Freddie Mac and Fannie Mae. The 90th percentile for Ginnie Mae was 54.1 

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

the Ginnie Mae market, the median FHA DTI ratio was 43.9 percent, versus 39.7 percent for VA and 35.7 percent for 

other lending programs. 

29
Credit Box: Historical

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

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

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

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

760

759

682

742

660

680

700

720

740

760

780

Mar-14 Jul-14 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-19

FICO Scores

FICO Scores for All Loans

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

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

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

The median FICO score for all agency loans originated in November 2019 was 742, up considerably since the 

start of 2019, owing to the refinance wave, which higher FICO borrowers take advantage of with greater 

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

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

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

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

30
Credit Box: Historical

96.5

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

Mar-19

May-19

Jul-19

Sep-19

Nov-19

Loan-to-Value Ratio

LTV Ratio for All Loans

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

Median LTVs for Ginnie Mae loans have historically been at 96.5 percent, much higher than the 77–80 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 have witnessed measurable 

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

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

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

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

80.0

79.0

77.0

36.0

41.9

37.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

46.0

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

Debt-to-Income Ratio

DTI Ratio for All Loans

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

31
Credit Box: Historical

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81

FHA Cumulative Default Rate by DTI and FICO

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

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

Loan age

Cumulative default rate

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53 55 57 59 61 63 65 67 69 71 73 75 77 79 81

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 November 2019.

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

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

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

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

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

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

much weaker predictor of loan performance than credit score.

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

32
95%

84%

63%

46%

34%

97%

87%

62%

41%

31%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

<640 640–680 680–700 700–750 ≥ 750

94%

84%

64%

47%

35%

96%

86%

63%

43%

34%

0%

20%

40%

60%

80%

100%

120%

<640 640–680 680–700 700–750 ≥ 750

September 2017- November 2017 September 2019- November 2019

Credit Box: Historical

DTI < 35

Sources: eMBS and Urban Institute. 

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

35 ≤ DTI < 45 

98% 94%

85%

72%

60%

99% 96%

84%

65%

51%

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 September 2019-

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

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

DTI bucket looks a lot like the below 35 percent DTI bucket. In September 2019− November 2019, Ginnie Mae’s 

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

share of loans with a DTI of 45 and above and a FICO of 680-700 was 84 percent; it was 62-63 percent for the 

same FICO in the lower DTI buckets. Comparing this period to 2 years earlier, it is clear the GSEs have marginally 

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

33
High LTV Loans: Ginnie Mae vs. 

GSEs

Sources: eMBS and Urban Institute.

September 2017-November 2017

FICO

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

< 35 2.9% 5.5% 3.2% 8.0% 9.9% 29.5%

35 −45 5.1% 9.7% 5.2% 12.0% 10.3% 42.3%

≥ 45 3.9% 8.0% 3.9% 7.5% 5.0% 28.3%

All 11.8% 23.2% 12.3% 27.5% 25.2% 100.0%

September 2019-November 2019

FICO

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

< 35 2.9% 4.9% 2.8% 7.8% 10.8% 29.1%

35 −45 4.9% 8.5% 4.6% 11.7% 10.7% 40.4%

≥ 45 4.4% 7.9% 3.9% 8.2% 6.1% 30.5%

All 12.2% 21.2% 11.3% 27.7% 27.6% 100.0%

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

Share of Loans with LTV ≥ 95

Ginnie Mae GSE All

September 2017- November 2017 69.0% 17.5% 33.8%

September 2019- November 2019 67.1% 15.6% 29.9%

Ginnie Mae dominates high-LTV lending, with 67.1 percent of its issuances in the September 2019-November 

2019 period having LTVs of 95 or above, compared to 15.6 percent for the GSEs. The GSEs have decreased their 

high-LTV lending share from 17.5 percent in September 2017−November 2017. Ginnie Mae’s high-LTV lending 

is down just slightly over the same period from 69.0 percent. As home prices have increased, the share of highDTI lending (loans with DTI ≥ 45) has increased across the FICO spectrum.

34
Nonbank Originators

Sources: eMBS and Urban Institute

Note:Data as of November 2019.

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

Development. Data as of November 2019.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Nonbank Origination Share: All Loans

All Fannie Freddie Ginnie

88.7%

71%

65%

63%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

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

All Fannie Freddie Ginnie

Nonbank Origination Share: 

Refinance Loans

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

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

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, rising to 89 percent in November 2019, a record 

high. Freddie and Fannie’s nonbank shares both shrank in November, to 65 and 63 percent respectively (note 

that these numbers can be volatile on a month-to-month basis). Ginnie Mae, Fannie Mae and Freddie Mac all 

have higher nonbank origination shares for refi activity than for purchase activity. Freddie Mac’s nonbank share 

is the lowest among the three agencies for both purchase and refinance loans.

35
Ginnie Mae Nonbank Originators 

Sources: eMBS and Urban Institute

Note:Data as of November 2019.

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

Development. Data as of November 2019.

In November 2019, Ginnie Mae’s nonbank share grew to 89 percent. The nonbank originator share for FHA 

rose to 93 percent in November, a new high. The nonbank originator share for VA was higher than last month at 

84 percent, and the nonbank originator share for other loans, which can fluctuate quite a bit month to month, 

increased to 89 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

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%

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

Non-bank originator share

Ginnie Mae Nonbank Share: 

Purchase Loans

All FHA VA Other

0%

20%

40%

60%

80%

100%

120%

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

Ginnie Mae Nonbank Share: 

Refinance Loans

All FHA VA Other

93%

90%

89%

84%

36
Sources: eMBS and Urban Institute. 

Note: Data as of November 2019. 

Sources: eMBS and Urban Institute. 

Note: Data as of November 2019. 

743

758

733

680

690

700

710

720

730

740

750

760

770

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

Agency FICO: Bank vs. Nonbank

FICO All Median FICO Bank Median FICO Nonbank Median FICO

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

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

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

All Median FICO Bank Median FICO

Nonbank Median FICO

GSE FICO: Bank vs. Nonbank

Nonbank Credit Box

FICO FICO

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

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

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

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

cut-back in FHA lending by many banks. 

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

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

GSE LTV: Bank vs. Nonbank

All Median LTV Bank Median LTV

Nonbank Median LTV

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

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

All Median LTV Bank Median LTV

Nonbank Median LTV

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

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

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

GSE DTI: Bank vs. Nonbank

All Median DTI Bank Median DTI

Nonbank Median DTI

Nonbank Credit Box

Ginnie Mae LTV: Bank vs. Nonbank

Ginnie Mae DTI: Bank vs. Nonbank

LTV LTV

DTI DTI

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

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

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

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

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

38
650

660

670

680

690

700

710

720

730

740

750

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

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 November 2019.

Sources: eMBS and Urban Institute

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

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

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

November 2019. This is contrary to the longer term trend in which FICO spreads between banks and non-banks 

have generally increased since 2013. The gap between banks and non-banks is very apparent in all programs 

backing Ginnie Mae securities: FHA, VA, and Other.

650

660

670

680

690

700

710

720

730

740

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

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

650

660

670

680

690

700

710

720

730

740

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

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

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

39
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

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 November 2019.

Sources: eMBS and Urban Institute

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

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

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

lower median DTI. The DTIs for FHA and VA 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. 

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

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

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

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

40
Holders of Ginnie Mae MSRs

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

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

Rank MSR Holder UPB ($ millions) Share Cumulative 

Share

1 Wells Fargo $224,960 13.4% 13.4%

2 Lakeview $204,216 12.2% 25.6%

3 PennyMac $185,035 11.0% 36.6%

4 Freedom Home Mortgage $117,032 7.0% 43.6%

5 Nationstar $97,684 5.5% 49.1%

6 Quicken Loans $64,651 3.9% 52.9%

7 US Bank $58,162 3.5% 56.4%

8 JPMorgan Chase $41,449 2.5% 58.9%

9 Carrington Home Mortgage $40,125 2.4% 61.3%

10 USAA Federal Savings Bank $37,169 2.2% 63.5%

11 Caliber Home Loans $35,039 2.1% 65.6%

12 Navy Federal Credit Union $26,543 1.6% 67.1%

13 Newrez $26,512 1.6% 68.7%

14 Amerihome Mortgage $25,622 1.5% 70.2%

15 The Money Source $21,893 1.3% 71.6%

16 Midfirst Bank $21,094 1.3% 72.8%

17 M&T Bank $18,911 1.1% 73.9%

18 Roundpoint $17,812 1.1% 75.0%

19 Ditech Financial $17,810 1.1% 76.1%

20 Home Point Financial $17,801 1.1% 77.1%

21 Suntrust $17,551 1.0% 78.2%

22 Loan Depot $15,284 0.9% 79.1%

23 Guild Mortgage $15,249 0.9% 80.0%

24 Branch Banking and Trust $15,209 0.9% 80.9%

25 PHH Mortgage $14,051 0.8% 81.7%

26 Flagstar Bank $13,849 0.8% 82.6%

27 Pingora $12,934 0.8% 83.3%

28 Citizens Bank $12,526 0.7% 84.1%

29 Bank of America $10,987 0.7% 84.7%

30 Fifth Third Bank $10,952 0.7% 85.4%

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

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

firms collectively own 85.4 percent. Seventeen of these 30 are non-depositories, the remaining 13 are 

depository institutions. 

41
68.4%

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

Share of outstanding loans by UPB

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

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

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

to $225 billion. Lakeview, PennyMac, Freedom Home Mortgage, and Nationstar (all nonbanks) make up the 

remainder of the top five largest holders of MSRs, owning $204 billion, $185 billion, $117 billion, and $92 billion 

respectively as of November 2019. As of November 2019, nonbanks collectively owned servicing rights for 68.4 

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

share was much smaller at 27.7 percent. 

Holders of Ginnie Mae MSRs

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

Share of Ginnie Mae MSRs held by Nonbanks

Top 5 MSR Holders: Outstanding Ginnie Mae Loans by UPB

$224,960

$185,035

$204,216

$117,032

$92,438

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

$400,000

$450,000

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

1. Wells Fargo 2. Lakeview

3. PennyMac 4. Freedom Home Mortgage

UPB ($ millions) 5. Nationstar

42
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

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

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

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

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

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

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

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

insurance premium can also be applied to the refinanced loan. 

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

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

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

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

16%

15%

0%

5%

10%

15%

20%

25%

30%

Dec 11 Jun 12 Dec 12 Jun 13 Dec 13 Jun 14 Dec 14 Jun 15 Dec 15 Jun 16 Dec 16 Jun 17 Dec 17 Jun 18 Dec 18 Jun 19 Dec 19

Constant prepayment rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

24%

18%

17%

14%

43
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

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

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

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

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

Constant Prepayment Rate (%)

2016 Issued 3.0 Coupon CPR

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

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

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

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

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

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

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

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

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

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

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

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

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

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

17%

12%

21%

17%

44
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

Aug-18 Oct-18 Dec-18 Feb-19 Apr-19 Jun-19 Aug-19 Oct-19 Dec-19

Constant Prepayment Rate (%)

2018 Issued 4.0 Coupon CPR

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

0%

5%

10%

15%

20%

25%

30%

Jun-17 Sep-17 Dec-17 Mar-18 Jun-18 Sep-18 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19

Constant Prepayment Rate (%)

2017 Issued 3.5 Coupon CPR

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

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

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

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

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

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

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

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

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

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

27%

17%

41%

31%

30%

45
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

40%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36

Constant Prepayment Rate (%)

2017 Issued 4.0 Coupon CPR, by Loan Age

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

Loan age

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

mortgages.

28.6%

23.0%

21.6%

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

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

39.6%

25.0%

19.6%

46
Reverse Mortgage Volumes

$0.73

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

Sep-19

Nov-19

Jul-19

Mar-19

May-19

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

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

$ Billions

HMBS Issuance Volume

53.9

$0

$10

$20

$30

$40

$50

$60

Sep-19

Nov-19

Jul-19

Mar-19

May-19May-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

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

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

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

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

consecutively in August and September 2019 but has risen since to $0.73 billion in November. Issuance has been 

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

In November 2019, outstanding reverse mortgage securities totaled $53.9 billion, lower compared to recent 

past, reflecting a lower volume of new issuances. 

47
Multifamily Market

$1.9

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Sep-19

Nov-19

Jul-19

Mar-19

May-19May-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

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

$ Billions

Ginnie Mae Multifamily MBS Issuance

$124.1

$0

$20

$40

$60

$80

$100

$120

$140

Sep-19

Nov-19

Jul-19

Mar-19

May-19May-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

May-17

Jul-17

Sep-17

Nov-17

Jan-18

Mar-18

May-18

Jul-18

Sep-18

Nov-18

Jan-19

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

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

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

Ginnie Mae multifamily issuance volume in November 2019 totaled $1.9 billion, an increase from the past month. 

Outstanding multifamily securities totaled $124.1 billion in November.

48
Market Conditions

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

$250 

$593 

$34 

$0

$100

$200

$300

$400

$500

$600

$700

1997 2000 2003 2006 2009 2012 2015 2018

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.70%

3.78%

0.37% 0%

2%

4%

6%

8%

10%

12%

14%

1997 2000 2003 2006 2009 2012 2015 2018

Percent

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

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

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

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

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

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

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

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

49
Market Conditions

$291.5

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

$ Billions

Repo Volume: Securities In

$81.4

0

10

20

30

40

50

60

70

80

90

100

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

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

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

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

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

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

through time reflects banks cutting back on lower margin businesses. 

50
MBS Ownership

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

GSEs

Commercial Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual Funds

Money Market and Pension Funds

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

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

Credit Unions

Foreign Investors

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

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

are a fraction of what they once were. 

Share of Total Agency Debt by Owner

51
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q3 2019.

72.0%

50%

55%

60%

65%

70%

75%

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

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 December 2019.

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

fund that activity, hence the MBS share of total agency debt increases. As of Q3 2019, the MBS share of total 

agency debt stood at 72.0 percent. Commercial banks are now the largest holders of Agency MBS. Out of their $2.1 

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

Commercial Bank Holdings ($Billions) Week Ending

Nov-18May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec 4 Dec 11 Dec 18 Dec 25

Largest 25 

Domestic Banks 1,338.1 1,442.4 1,460.0 1,464.4 1,471.3 1,495.3 1,508.6 1,529.1 1,533.9 1,531.9 1,492.1 1,496.3

Small Domestic 

Banks 476.3 496.2 501.0 506.0 506.2 511.5 515.5 520.5 522.9 522.7 525.7 528.6

Foreign Related 

Banks 23.7 29.4 28.8 29.6 33.8 34.7 36.5 37.4 39.2 40.0 34.9 35.0

Total, 

Seasonally

Adjusted 1,838.1 1,968.0 1,989.8 2,000.0 2,011.3 2,041.5 2,060.6 2,087.0 2,096.0 2,094.6 2,052.7 2,059.9

52
MBS Ownership

Debt,

household 

mortgages,

$9,833

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

GNMA PT 

($MM)

Agency REMIC 

($MM)

Non-Agency 

($MM)

Market 

Share

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

agency CMOs as well as non-agency holdings. 

All Banks & Thrifts ($Billions)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Bank and Thrift Residential MBS Holdings

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

16.0%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

Mar-12

Jun-12

Sep-12

Dec-12

Mar-13

Jun-13

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

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

Mar-19

Jun-19

Sep-19

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

MBS Ownership

$1,090.2

$495.3

$636.6

0

200

400

600

800

1,000

1,200

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

$ Billions

Monthly Agency MBS Holdings by Foreigners

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

Sources: Treasury International Capital (TIC) and Urban Institute. Note: Data as of September 2019. In December 2017, there was a data 

correction that moved about $120 billion from privately held U.S. agency bonds to officially held U.S. agency bonds; this resulted in a series 

break at December 2017 in the split between the portion held by foreign private and the portion held by foreign official.

Foreign investors held 16.0 percent of agency MBS in September 2019, up from a low of 12.0 percent in July 

2014. For the month of September 2019, this represents $1.09 trillion in Agency MBS, $495 billion held by 

foreign private institutions and $637 billion held by foreign institutions. 

54
MBS Ownership

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

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

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

2018. Monthly data as of September 2019.

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 2018 and September 2019, we estimate Japan has increased their 

agency MBS holdings by $53.6 billion, China has increased their holdings by $53.3 billion and Taiwan has 

increased their holdings by $13.0 billion.

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

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

Q3 

2018

Q4 

2018

Q1 

2019

Q2 

2019

Q3 

2019

Japan 257,547 254,511 271,999 284,322 296,445 311,044 -3,036 17,488 12,323 12,123 14,599

Taiwan 250,009 250,639 261,262 265,992 265,520 263,013 630 10,623 4,730 -472 -2,507

China 180,635 190,203 188,921 208,540 227,312 233,778 9,568 -1,282 19,619 18,772 6,466

Ireland 46,817 48,220 48,020 46,623 44,979 41,374 1,403 -200 -1,397 -1,644 -3,605

Luxembourg 36,372 38,800 50,869 44,561 46,335 46,606 2,428 12,069 -6,308 1,774 271

South Korea 44,039 43,944 44,794 42,604 42,669 41,309 -95 850 -2,190 65 -1,360

Bermuda 27,866 27,610 28,861 28,535 29,377 29,651 -256 1,251 -326 842 274

Cayman Islands 31,017 31,638 31,405 30,374 30,885 29,434 621 -233 -1,031 511 -1,451

Malaysia 12,710 12,874 12,671 12,395 12,108 15,585 164 -203 -276 -287 3,477

Netherlands 11,995 12,229 9,601 9,400 13,548 10,546 234 -2,628 -201 4,148 -3,002

Rest of World 125,197 128,807 129,130 129,987 128,056 135,504 3,610 323 857 -1,931 7,448

Total 1,024,200 1,039,475 1,077,533 1,103,333 1,137,234 1,157,844 15,275 38,058 25,800 33,901 20,610

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

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

Q3 

2018

Q4 

2018

Q1 

2019

Q2 

2019

Q3 

2019

Japan 253,972 250,851 268,105 280,394 292,984 307,621 -3,121 17,254 12,289 12,590 14,637

Taiwan 249,773 250,397 261,005 265,733 265,292 262,787 624 10,608 4,728 -441 -2,504

China 176,345 185,811 184,249 203,827 223,159 229,671 9,466 -1,562 19,578 19,332 6,512

Ireland 37,832 39,021 38,234 36,751 36,281 32,772 1,189 -787 -1,483 -471 -3,509

Luxembourg 34,012 36,384 48,299 41,968 44,050 44,347 2,372 11,915 -6,331 2,082 296

South Korea 33,064 32,708 32,841 30,546 32,044 30,802 -356 133 -2,295 1,498 -1,242

Bermuda 24,969 24,644 25,706 25,352 26,572 26,877 -325 1,062 -354 1,220 305

Cayman Islands 24,384 24,847 24,181 23,086 24,464 23,084 463 -667 -1,094 1,377 -1,380

Malaysia 12,319 12,474 12,245 11,965 11,729 15,211 155 -229 -280 -236 3,481

Netherlands 11,437 11,658 8,993 8,787 13,008 10,012 221 -2,664 -206 4,221 -2,996

Rest of World 95,510 98,414 96,797 97,370 99,317 107,082 2,904 -1,617 574 1,946 7,766

Total 953,612 967,209 1,000,653 1,025,779 1,068,899 1,090,265 13,597 33,444 25,126 43,120 21,366

55
0

50

100

150

200

250

300

350

400

Mar-09

Jul-09

Nov-09

Mar-10

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

$ Billions

Total Fed Absorption

Total Fed Purchases Gross Issuance

MBS Ownership

0

50

100

150

200

250

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Billions

Fed Absorption of GSE MBS

Gross Issuance Total Fed Purchases

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

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

Institute. Note: Data as of November 2019.

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

Note: Data as of November 2019.

0

10

20

30

40

50

60

70

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Apr-18

Oct-18

Apr-19

Oct-19

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

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

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

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

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

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

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

absorption of gross issuance was 4.26 percent in November. 

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

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

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

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

Center and State Street Global Advisors as of January 17th, 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.

Tracking Code: 2911282.1.1.GBL.INST 

Expiration Date: 01/31/2021

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