Globa Markets

Analy i Rep t

A M th P bli i f Gi

Mae’s Office of Capital Markets

– men

l

s s or

on ly u cat on o nnie

Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

APRIL

2022
Global Markets Analysis Report

 

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Global Markets Analysis Report

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

Table of Contents

Table of Contents i

Highlights 2

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 4

1.1 Barclays US Aggregate and Global Indices 4

1.2 Global 10‐Year Treasury Yields 5

1.3 Ginnie Mae Yields – USD 6

1.4 Ginnie Mae Yield Spreads – Intermediate Credit 7

1.5 Global Treasury Yield Per Duration 8

1.6 Monthly REMIC Demand for Ginnie Mae MBS 9

2.0 State of the US Housing Market 10

2.1 National HPI 10

2.2 Size and Value of the US Housing Market 12

2.3 Serious Delinquency Rates 13

2.4 Characteristics of Ginnie Mae Loans in Forbearance 14

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 17

2.6 Outstanding Single-Family Agency MBS 18

2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 19

2.8 Origination Volume and Share Over Time 20

3.0 US Agency Market, Single-Family Issuance 21

3.1 Percent Refi at Issuance 24

4.0 High LTV Loans: Ginnie Mae vs. GSEs 25

5.0 Holders of Ginnie Mae Mortgage Servicing Rights 26

6.0 Agency Nonbank Originators 27

6.1 Agency Nonbank Originator Share (All, Purchase, Refi) 27

6.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi) 28

6.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) 29

7.0 Fixed Income Market Conditions 33

7.1 Average Daily Trading Volume and Turnover by Sector 33

8.0 Prepayments 34

8.1 Aggregate Prepayments 34

9.0 MBS Ownership 35

9.1 Commercial Bank Holdings of Agency MBS 35

9.2 Bank and Thrift Residential MBS Holdings 36

9.3 Foreign Ownership of MBS 38

9.4 Foreign Ownership of Agency Debt and Agency MBS 39
Highlights

Highlights

In the first quarter of calendar year 2022 (2022 Q1), the U.S. housing market experienced significant changes in

market factors that have resulted in changes to investor projections for the mortgage-backed securities (MBS)

market. Despite recent market uncertainty, Ginnie Mae has continued to link the US housing market to global

capital markets and provide low-cost financing for consumers throughout the United States. Ginnie Mae closely

monitors market factors to determine how best to continue its mission while also providing full faith and credit

liquid securities to fixed income investors around the globe. As discussed in the January 2022 edition of the

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 2

Global Market Analysis Report, in 2022 the U.S. mortgage market would experience higher mortgage rates, 

fewer refinances, more purchase volume, and home-price appreciation. With 2022 Q1 complete, the April 2022

edition of the Highlights section in the Global Market Analysis Report revisits those expectations and presents

data that either supports expectations or has resulted in changes to mortgage market estimates.

On April 13th, 2022, Mortgage

Bankers Association (MBA) released

an updated Mortgage Finance

Forecast which recorded a decrease

in estimated origination volumes for

2022 and 2023 while showing a

rebound in estimated origination

volumes for 2024.

1 Most notable was

the change in expected 30-Year fixed

rate mortgage for 2022. In December

2021, MBA estimated that the 30-

Year Fixed Rate Mortgage would

reach 4% by the end of 2022,

however, as of April 14th, 2022, the

30-Year Fixed Rate Mortgage Average

in the U.S. reached 5%.

2 MBA now

predicts that the 30-Year Fixed Rate Mortgage will end 2022 at 4.8%.

Rising mortgage rates and an estimated decrease in origination volume may result in reduced collateral available

for securitization into MBS. However, despite indicators that MBS production may decline of available collateral

in 2022, Ginnie Mae MBS issuance volume January 2022 to March 2022 was $167.2 billion, which is a slight

increase from the pre-pandemic MBS issuance volume of $165.7 billion for January 2020 to March 2020. Figure

2, on the following page, shows Ginnie Mae MBS issuance levels returning to a pre-pandemic level, driven by an

estimated 60% reduction in refinance activity from a year ago3 4. Additionally, while collateral availability may

decline due to reduced refinance activity, “MBA continues to expect purchase originations to reach a new

record in 2022,”4 which may continue to provide MBS collateral availability.

1 https://www.mba.org/docs/default-source/research-and-forecasts/forecasts/mortgage-finance-forecast-apr-2022.pdf?sfvrsn=983665d9_2 2 https://fred.stlouisfed.org/series/MORTGAGE30US 3 https://www.housingwire.com/articles/purchase-mortgages-cross-dreaded-5-threshold/ 4 https://www.mba.org/docs/default-source/research-and-forecasts/forecasts/forecast-commentary-april-2022.pdf?sfvrsn=a5365ab7_2

)

$5,000 6

$3,000

1 $1,000 M Rat

$0 0

2020 2021 2022 2023 2024

Actual Actual Estimated Estimated Estimated

Origination Volume (in $ Billions) $4,000

$2,000

5

4

3

2 ortgage Rate (%)

Purchase Refinance

FHA Originations 30-Year Fixed Rate Mortgage (%)

Figure 1. MBA Mortgage Finance Forecast, April 13, 20221
Highlights

A key driver in the faster than anticipated

mortgage rate rise has been the Federal

Reserve action, and market expectations

around planned action, as it relates to the

increasing of the target range for the federal

funds rate. Following the most recent Federal

Open Market Committee (FOMC) meeting, the

Committee announced an increase to the target

range for the federal funds rate from 0 to 25

basis points (bps) to 25 to 50 bps, and one

member of the Committee voted to raise the

target range even further to 50 to 75 bps. With

inflation running higher than the Fed’s target of

2%, market participants are anticipating more rate increases throughout 2022. In the March FOMC meeting

minutes, Committee members indicated that, “futures prices implied that the federal funds rate would increase

around 170 basis points through year-end, about 70 basis points more than had been priced in at the time of the

January meeting.”5 Throughout the meeting minutes, conversation among committee members demonstrates

that market participants predict that the federal funds target range at the end of 2022 will be above 1% and

perhaps closer to 1.5%.

5 The March 2022 increase in the federal funds rate, and anticipated increases in 2022,

may continue to drive refinancing activity and purchase volume down in the origination market.

Home price appreciation (HPA) will continue to play a large role in the mortgage origination market as home

prices nationwide increased 20% in February 2022, year-over-year.

6 New home construction continues to lag

due to supply chain disruptions and inflationary pressure, which has contributed to the continued increase in

home prices across the United States and limited mortgage origination volume. Michael Fratantoni, MBA’s

Senior Vice President and Chief Economist, stated in MBA’s April Forecast Commentary that, “higher home

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page 3

prices and rates as well as ongoing supply constraints are now expected to lead to an annual decline in existing 

home sales. Even though existing sales volume will be slightly lower than last year, the continued growth in new 

home sales and the rapid rise in home prices should deliver a smaller, but solid, 4-percent annual growth in 

purchase origination volume.”7 However, Wells Fargo’s Housing Chartbook states that sales of new homes, 

“should hold up reasonably well thanks to significant pent-up demand and a rising tide of Millennial buyers.”8

Federal Reserve actions, inflationary pressure, and rising rates have generated uncertainty in the fixed income

market over the first quarter of calendar year 2022. Ginnie Mae continues to work with the Federal Housing

Administration, Department of Veteran Affairs, and Rural Housing Services to increase homeownership in the

U.S. while also providing liquid high-quality securities for investors. Ginnie Mae’s President, Alanna McCargo,

stated that, “with rising interest rates, we expect [MBS] volumes to decline as affordability is challenged. In this

current environment, we are steadfast in our mission to remain a consistent source of finance for affordable

housing and to find innovative ways to expand access to credit.”

5 https://www.federalreserve.gov/monetarypolicy/files/fomcminutes20220316.pdf 6 https://www.corelogic.com/intelligence/u-s-home-price-insights/ 7 https://www.mba.org/docs/default-source/research-and-forecasts/forecasts/forecast-commentary-april-2022.pdf?sfvrsn=a5365ab7_2 8 https://wellsfargo.bluematrix.com/links2/html/b1f2bb0d-a1ee-4acf-b560-b04aa265a61f

$250

$200

$150

$100

$50

$0

2016 Q2 2017 Q2 2018 Q2 2019 Q2 2020 Q2 2021 Q2 2022 Q2

Figure 2. Ginnie Mae MBS Issuance (in $ Billions)
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

1.1 Barclays US Aggregate and Global Indices

Barclays US Aggregate Index

US Treasuries contribute approximately 40% to the Barclays US Aggregate Index. US MBS (Ginnie Mae,

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

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

than 1%.

Barclays Global Aggregate Index by Country

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

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

Aggregate Index. All categories remained stable when compared to the prior month.

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

Page 4

2% 2% 1% 1% 1% 0%

2%

8%

15%

28%

40%

Treasury - 40%

MBS Passthrough - 28%

Industrial - 15%

Financial Institutions - 8%

Agency - 2%

Utility - 2%

CMBS - 2%

Supranational - 1%

Sovereign - 1%

Local Authority - 1%

ABS - 0%

2% 14%

2%

3%

4%

4%

5%

5%

8% 13%

39%

United States - 39%

Japan - 13%

China - 8%

France - 5%

United Kingdom - 5%

Germany - 4%

Canada - 4%

Italy - 3%

Spain - 2%

Netherlands - 2%

Other - 14%
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.2 Global 10‐Year Treasury Yields

The US 10-year Treasury yield moved to 2.34% at month end March 2022, a MoM increase of 51 bps. US Treasury yields

remain the highest of all the government treasury yields depicted in the figure below.

 The yield on the UK 10-year government notes increased to 1.61% at month-end March, a MoM increase of 20 bps.

 The yield on the German 10-year note increased to 0.55% at month-end March, a MoM increase of 41 bps.

 The yield on the Italian 10-year note increased to 2.04% at month-end March, a MoM increase of 33 bps.

 The yield on the Japanese 10-year government notes increased to 0.21% at month-end March, a MoM increase of 2 bps.

 The hedged yield for the 10-year Treasury JPY decreased to 2.44% at month-end March, a MoM decrease of 9 bps.

 The hedged yield for the 10-year Treasury EUR decreased to 1.39% at month-end March, a MoM decrease of 6 bps.

Global 10‐Year Treasury Yields

7–10yr Total Return Hedged Index, JPY

Source: Bloomberg. Note: Data as of March 2022

7–10yr Total Return Hedged Index, EUR

Page 5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

-0.5

-1.0

-1.5

2.34%

2.04%

1.61%

0.55%

0.21% % Yield

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

280

270

260

250

240

230

220

243.61

170

160

150

140

130

120

138.92
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.3 Ginnie Mae Yields – USD

Ginnie Mae fixed rate MBS yields increased MoM in March 2022. Ginnie Mae II yields were at 3.34% at month

end March, up by 82 bps MoM. Ginnie Mae I yields were at 3.39%, up by 81 bps MoM. At month end March,

Ginnie Mae II SF yields were 100 bps higher than the US 10-year Treasury yield, an increase in spread of 31 bps

MoM. The yields on the Ginnie Mae I SF were 105 bps higher than the US 10-year Treasury yield at month end

March, an increase in spread of 29 bps MoM.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of March 2022

Page 6

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

3.34% % Yield

4.5

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

3.93% % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30-year OAS remained stable at 0.62% at

month end March. The Ginnie Mae II 30-year OAS increased 4 bps MoM. The US Intermediate credit OAS has

decreased 5 bps MoM.

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

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

Source: Bloomberg. Note: Data as of March 2022.

Page 7

4.0

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

-0.5

0.80

0.26 % Yield

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

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

0.62% % Yield
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

 

 

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.5 Global Treasury Yield Per Duration

GNMA MBS continue to offer a higher yield in comparison to other government fixed income securities of

various tenors with similar or longer duration. Prepayment risk is a feature of MBS. In March, the GNMA II 2.5%

securities duration increased MoM by 0.10 units and yield increased MoM by 47 bps. In March, the GNMA II 3%

securities duration increased MoM by 0.16 units and yield increased MoM by 49 bps.

Yield vs. Duration

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

settlement of 4/20. All other data is as of March 2022. Yields are in base currency of security and unhedged.

Page 8

US 5y

US 10y

ITA 10y

ITA 5y

UK 10y

UK 5y

GER 10y

GER 5y

JPY 5y

JPY 10y

GNMA II 2%

%

Yield 3.50

3.00

2.50

2.00

1.50

1.00

0.50

0.00

GNMA II 3%

GNMA II 2.5%

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Duration

Security Duration Yield

US 5y

US 10y

4.66

8.86

2.56

2.34

JPY 5y 4.96 0.02

JPY 10y

GER 5y

9.73

5.01

0.21

 0.37

GER 10y

ITA 5y

 9.79

4.79

 0.55

 1.43

ITA 10y

UK 5y

9.39

5.10

2.04

1.41

UK 10y

GNMA II 2%

8.39

6.35

1.61

2.77

GNMA II 2.5%

GNMA II 3%

6.35

5.87

2.96

3.17
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

1.6 Monthly REMIC Demand for Ginnie Mae MBS

In March 2022, $10.4 billion of Ginnie Mae MBS were securitized into Real Estate Mortgage Investment Conduits

(REMICs) as underlying collateral. Of that $10.4 billion, approximately $3.0 billion were Multifamily MBS, all

having coupons between 2% and 3%. $7.4 billion were Single-Family MBS with over 75-percent of the SingleFamily MBS having coupons between 2.5% and 3.5%.

The $10.4 billion of Ginnie Mae MBS securitized into REMICs was the lowest level of MBS securitized into

REMICs since May 2020.

March 2022 REMIC Collateral Coupon Distribution

Page 9

9

Totals may not sum due to rounding.

$25

$20

$15

$10

Ginnie Mae Single‐Family and Multifamily MBS Securitized into REMICs

$18.8

$15.6

$21.5

$14.3

$17.1

$18.2

$14.2

$16.6

$13.2

$15.7 $15.3

$10.4

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

Net Coupon (%) Approx. Ginnie Mae MBS amount 

securitized into REMIC Deals ($MM)9

% Breakdown of REMIC Collateral by 

coupon17

Multifamily 

2.01-2.50 649.1 38%

2.51-3.00 2,337.6 62%

Subtotal 2,986.7 100%

Single Family 

<2.00 - 0%

2.01-2.50 10.1 0%

2.51-3.00 1,586.7 22%

3.01-3.50 3,898.4 53%

3.51-4.00 1,495.3 20%

4.01-4.50 217.3 3%

4.51-5.00 166.7 2%

Subtotal 7,374.5 100% 

Grand Total 10,361.2
State of the US Housing Market

 

 

2.0 State of the US Housing Market

2.1 National HPI

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

15.1% between March 2020 and January 2022. Over that same period, the Mountain region has had the

greatest home price appreciation (18.6% CAGR), while in the West North Central region, increases in home

values have been the slowest (12.6% CAGR).

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

10

U.S. Census Subregion New England Middle 

Atlantic 

East North 

Central 

East South 

Central 

South 

Atlantic 

West North 

Central 

West South 

Central Mountain Pacific National 

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

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

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

Pandemic CAGR 14.5% 12.9% 13.1% 15.8% 17.0% 12.6% 14.3% 18.6% 16.6% 15.1%

12-Month Period of Max HPI Growth

During Pandemic

7-2020 to

6-2021

8-2020 to

7-2021

7-2020 to

6-2021

2-2021 to

1-2022

2-2021 to

1-2022

6-2020 to

5-2021

2-2021 to

1-2022

9-2020 to

8-2021

8-2020 to

7-2021

8-2020 to

7-2021

Max 12-Month Period Change,

During Pandemic 21.7% 18.1% 17.1% 20.4% 21.2% 16.3% 18.1% 25.8% 22.1% 19.2%

12-Month Period of Max HPI

Growth, Pre-Pandemic

12-2001 to

11-2002

12-2003 to

11-2004

2-2017 to

1-2018

2-2005 to

1-2006

9-2004 to

8-2005

4-1993 to

3-1994

3-2005 to

2-2006

11-2004 to

10-2005

5-2004 to

4-2005

10-2004 to

9-2005

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

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

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

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

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

 

S&P’s Corelogic Case-Shiller US National Housing Price Index’s March 29, 2022 reporting data indicated that

home prices had increased by 17.9% YoY as of January 2022. This latest reported YoY HPI appreciation value is

just 135 bps lower than the historical maximum value (19.2%) observed in July of 2021, suggesting a sustained

pace of home price increases.

Source: FHFA/S&P Corelogic Case-Shiller US National Hosing Price Index Data; Notes: HPI State-level data is provided quarterly by FHFA and presented here

as of December 2021. Peak refers to the month when HPI reached the highest level for each state/US during the housing boom period, ranging from 2005

to 2008. Trough represents the month when HPI fell to the lowest level for each state/US after the housing bust, ranging from 2009 to 2012; S&P Corelogic

Case-Shiller US National Housing Price Index reported for January 2022 in its Report dated March 29, 2022

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

Page

11

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

National 59.6% -21.1% 92.0% 14.4% 51.4%

AK 66.9% -5.2% 42.3% 10.6% 35.0%

AL 41.8% -15.0% 68.0% 15.7% 42.8%

AR 39.8% -11.0% 60.4% 16.0% 42.8%

AZ 110.1% -49.5% 186.6% 24.6% 44.8%

CA 145.0% -47.0% 142.0% 19.0% 28.2%

CO 32.4% -10.3% 144.4% 18.2% 119.2%

CT 72.7% -19.6% 38.5% 17.0% 11.3%

DC 162.4% -11.7% 113.4% 10.1% 88.5%

DE 88.6% -23.5% 53.9% 15.3% 17.7%

FL 130.0% -46.5% 152.2% 21.0% 34.9%

GA 36.0% -27.1% 118.4% 18.0% 59.2%

HI 138.7% -27.0% 101.3% 14.8% 46.9%

IA 28.0% -5.4% 56.2% 11.5% 47.7%

ID 73.2% -32.2% 206.7% 30.9% 107.9%

IL 49.9% -23.8% 48.2% 12.3% 13.0%

IN 19.1% -8.7% 79.6% 15.1% 64.0%

KS 31.0% -7.8% 68.2% 14.2% 55.2%

KY 29.0% -5.4% 66.7% 14.4% 57.6%

LA 51.6% -6.7% 46.6% 9.6% 36.8%

MA 69.8% -18.2% 79.0% 16.1% 46.4%

MD 126.4% -26.5% 53.3% 12.7% 12.7%

ME 72.2% -12.4% 79.9% 20.7% 57.5%

MI 18.4% -31.5% 113.8% 15.6% 46.4%

MN 52.5% -23.0% 85.7% 13.4% 43.0%

MO 39.2% -15.0% 76.8% 15.3% 50.3%

MS 38.6% -12.8% 47.4% 12.8% 28.6%

MT 80.0% -13.6% 102.5% 22.5% 75.0%

NC 39.8% -14.1% 88.4% 19.2% 61.7%

ND 51.3% -0.9% 72.2% 9.4% 70.8%

NE 24.3% -5.9% 79.8% 14.8% 69.2%

NH 72.7% -21.9% 84.4% 19.4% 44.0%

NJ 102.3% -22.7% 52.3% 16.5% 17.8%

NM 66.7% -17.9% 58.2% 14.8% 29.8%

NV 117.4% -59.3% 211.5% 20.1% 26.9%

NY 75.7% -10.5% 58.3% 14.9% 41.6%

OH 19.5% -16.6% 79.8% 14.8% 50.1%

OK 36.9% -4.6% 63.1% 14.2% 55.5%

OR 85.6% -28.6% 133.5% 18.3% 66.7%

PA 68.8% -10.9% 59.3% 14.2% 41.9%

RI 108.0% -28.0% 82.1% 18.9% 31.1%

SC 40.5% -16.0% 89.6% 17.4% 59.2%

SD 40.2% -2.4% 76.8% 17.7% 72.6%

TN 38.4% -12.6% 105.6% 20.5% 79.6%

TX 35.8% -3.0% 101.2% 17.1% 95.1%

UT 65.1% -26.1% 158.9% 26.3% 91.4%

VA 95.1% -18.8% 61.6% 14.3% 31.3%

VT 77.9% -10.3% 58.7% 19.2% 42.4%

WA 83.4% -27.3% 149.2% 19.9% 81.2%

WI 38.6% -14.2% 72.0% 14.2% 47.5%

WV 38.7% -5.7% 42.5% 12.8% 34.4%

WY 85.1% -9.7% 55.8% 13.4% 40.8%
State of the US Housing Market

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Size of the US Residential Mortgage Market

 

2.2 Size and Value of the US Housing Market

The total value of the single-family housing market reached $38 trillion in Q4 2021. The total value of the US

housing market is up 100% from its trough in 2011. Over that same period, mortgage debt outstanding has

increased just 14%, approximately seven times less rapidly. From Q3 2021 to Q4 2021 mortgage debt

outstanding has increased from $11.5 trillion to $11.7. However, according to Jim Reid, head of Thematic

Research at Deutsche Bank, for the first time in 30 years household cash on hand exceeded total household

debt. Agency SF MBS account for a growing percentage of the total mortgage debt outstanding, up to 67% of

total mortgage debt from just 52% in 2011.

Value of the US Housing Market

Sources:

1. Federal Reserve Flow of Funds Data. Notes: Data as of Q4 2021.

2. Idzelis, Christine. “Fed May Need to Be Even More Aggressive Fighting Inflation as U.S. Household Cash Exceeds Debt for First Time in Three

Decades, Warns Deutsche Bank.” MarketWatch, MarketWatch, 20 Apr. 2022, https://www.marketwatch.com/story/fed-may-need-to-be-evenmore-aggressive-fighting-inflation-as-u-s-household-cash-exceeds-debt-for-first-time-in-three-decades-warns-deutsche-bank-11650474606.

$ Trillions

40

35

30

25

20

15

10

5

0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

2021Q12021Q22021Q32021Q4 38.0

26.3

11.7

Debt Household equity Total Value

$0.40

$0.39

$8.37

$

$3.37 Trillions 10

8

6

4

2

0

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021Q2 2021Q3 2021Q4 2021

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

2.3 Serious Delinquency Rates

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

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

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

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

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

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Sources:

1. Fannie Mae and Freddie Mac Monthly Summary Reports

2. MBA Delinquency Survey.

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

6.30%

1.25%

Serious Delinquency Rates 12%

10%

8%

6%

4%

2%

0%

3.82%

1.12%

4

Q05

2Q064

Q06

2Q074

Q07

2Q084

Q08

2Q094

Q09

2Q104

Q10

2Q114

Q11

2Q124

Q12

2Q134

Q13

2Q144

Q14

2Q154

Q15

2Q164

Q16

2Q174

Q17

2Q184

Q18

2Q194

Q19

2Q204

Q20

2Q214

Q21

FHA Fannie Mae Freddie Mac VA

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

2.4 Characteristics of Ginnie Mae Loans in Forbearance

154,685 Ginnie Mae loans were in forbearance as of the end of February 2022. This represents a 1.6% decrease

MoM. 5,467 of loans in forbearance were removed from MBS pools and 149,218 loans in forbearance still

actively remain in pools. Most liquidated loans (3,930) were FHA and within that subset, 2,035 of those loans

were originated by nonbanks. As of February 2022 month-end, the number of loans in forbearance due to

COVID-19 circumstances decreased YoY by 78%.

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All Loans in Forbearance – February 2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $ 180,546.80 77.0 70.3 154,685

Bank 672 3.8 $ 128,879.49 77.5 80.0 19,842

Nonbank 657 3.4 $ 188,473.77 77.0 69.4 134,843

FHA 654 3.5 $ 176,000.00 79.8 76.0 109,665

Bank 667 3.9 $ 120,228.22 81.2 82.9 14,759

Nonbank 652 3.4 $ 185,017.18 79.6 75.4 94,906

VA 668 3.1 $ 230,327.01 63.9 49.7 31,744

Bank 683 3.5 $ 178,457.85 65.3 70.5 3,782

Nonbank 666 3.1 $ 237,022.58 63.7 47.5 27,962

Loans in Forbearance and Removed from Pools – February 2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 662 3.9 $ 142,091.29 74.7 71.1 5,467

Bank 673 4.1 $ 107,602.58 75.1 77.7 2,395

Nonbank 658 3.8 $ 173,725.74 74.5 68.6 3,072

FHA 657 4.1 $ 130,213.83 78.2 77.0 3,930

Bank 672 4.2 $ 103,625.16 77.2 76.9 1,895

Nonbank 651 4.0 $ 160,283.42 78.6 77.1 2,035

VA 672 3.4 $ 211,416.37 62.4 55.5 1,194

Bank 677 3.6 $ 153,109.32 58.7 73.9 328

Nonbank 671 3.4 $ 234,508.48 63.2 52.3 866

Loans in Forbearance that Remain in Pools – February2022

 FICO Score* Note Rate* Current Principal Balance 

Median

First Time 

Homebuyer 

Share (%)

Purchase Share 

(%) Loan Count

Ginnie 658 3.4 $ 181,985.86 77.1 70.3 149,218

Bank 672 3.8 $ 132,011.34 77.7 80.3 17,447

Nonbank 657 3.4 $ 188,807.80 77.0 69.4 131,771

FHA 653 3.5 $ 177,836.64 79.8 76.0 105,735

Bank 666 3.9 $ 123,063.60 81.7 83.5 12,864

Nonbank 652 3.4 $ 185,619.20 79.7 75.4 92,871

VA 668 3.1 $ 231,130.12 64.0 49.5 30,550

Bank 683 3.5 $ 182,350.67 65.6 70.3 3,454

Nonbank 666 3.1 $ 237,157.45 63.7 47.4 27,096

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

Notes: Data as of February 2022; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

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Number of Loans Removed from Pools: Nonbank

The current share of Ginnie Mae loans in forbearance stands at 1.45% as of the end of February 2022, a 2 bp

MoM decline from 1.47% observed as of the end of January 2022. The forbearance rate remains significantly

higher than the forbearance rate prevailing in the period prior to the pandemic between January 2019 and

February 2020 (approximately 0.1%), and the rate of convergence to pre-pandemic rates slowed down in

February 2022.

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

as of February 2022.

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

Data as of February 2022.

14%

12%

10%

8%

6%

4%

2%

0%

Bank Forbearance Nonbank Forbearance All Forbearance

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

Share of Ginnie Mae Loans in Forbearance
State of the US Housing Market

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Number of Loans Removed from Pools: FHA

 

Number of Loans Removed from Pools: VA

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

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

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

equal to 3.5% (bottom charts: “Number of Loans Removed from Pools by Coupon”). In February 2022, the

number of loans repurchased due to delinquency decreased 37% to 10,832 for FHA and decreased 42% to 2,432

for VA loans.

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

files and IOPP Peer Group list. Notes: Data as of February 2022.

300000

250000

200000

150000

100000

50000

0

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

140000

120000

100000

80000

60000

40000

20000

0

160000

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

180000

160000

140000

120000

100000

80000

60000

40000

20000

0

<3.5 Mortgagor Payoff <3.5 Repurchase of Delinquent Loan

<3.5 Loss Mitigation

350000

300000

250000

200000

150000

100000

50000

0

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

>=3.5 Mortgagor Payoff

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

Number of Loans Removed from Pools by Coupon
State of the US Housing Market

2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent approximately 20% of new Agency issuance over the past year. The share of Ginnie

Mae new Agency issuance varies across states, with the highest Ginnie Mae share in Alaska (51%) and the lowest

in the District of Columbia (14%). The same holds true for Agency issuance outstanding, with the highest

issuance share over the past year in Alaska (47%) and the lowest in the District of Columbia (12%). The

difference between Ginnie Mae share of new Agency issuance (20%) and Ginnie Mae share of Agency

outstanding (25%) is in large part reflective of the decline in origination volume of first lien FHA and VA insured

loans as shown below in Section 2.8.

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Agency Issuance (past 1 year) Agency Outstanding (past 1 year) 

National 

GNMA 

Share 

GNMA Loan 

Count 

GNMA Avg. Loan 

Size (000) 

GSE Avg. Loan 

Size (000) GNMA Share by UPB GNMA Loan Count 

GNMA Avg. Loan Size 

(000) 

GSE Avg. Loan Size 

(000) 

20% 2,739,826 273.33 292.74 25% 10,540,689 189.75 220.09

AK 51% 9,655 332.75 286.16 47% 37,010 255.68 219.47

AL 37% 56,213 212.96 227.82 40% 231,318 148.91 174.08

AR 35% 30,106 183.77 207.78 39% 135,194 126.26 157.26

AZ 23% 88,289 284.78 287.13 24% 270,371 204.76 218.60

CA 17% 222,520 428.59 415.16 16% 666,448 314.98 319.89

CO 24% 72,913 368.28 348.40 23% 212,404 276.95 271.70

CT 22% 25,209 248.36 274.59 25% 103,262 196.65 208.35

DC 14% 2,431 539.59 452.43 12% 8,574 370.51 352.53

DE 29% 13,490 262.52 270.55 31% 50,148 198.14 207.72

FL 30% 237,344 273.69 269.92 32% 827,745 199.83 203.84

GA 31% 129,081 241.40 265.94 33% 488,366 169.38 200.15

HI 35% 11,209 593.49 470.16 31% 32,825 457.50 355.65

IA 20% 17,418 184.82 195.99 21% 81,499 129.18 148.50

ID 22% 18,364 302.45 292.94 23% 63,706 202.20 216.42

IL 19% 84,187 212.82 240.07 21% 351,408 155.13 177.98

IN 27% 62,782 186.07 196.94 30% 275,345 127.28 147.58

KS 26% 21,816 196.89 215.86 29% 96,008 135.07 161.49

KY 29% 38,486 183.94 204.43 34% 161,088 137.36 153.36

LA 39% 45,567 209.42 230.95 39% 190,931 153.11 175.82

MA 16% 32,498 363.18 354.89 15% 110,739 274.55 269.37

MD 32% 81,672 341.39 321.76 33% 282,837 258.91 248.62

ME 24% 9,672 233.31 251.57 25% 37,393 170.85 189.16

MI 17% 62,215 182.70 207.35 20% 271,481 128.25 155.29

MN 16% 35,950 249.13 257.87 18% 158,537 176.83 196.40

MO 25% 55,288 195.51 210.81 29% 242,279 136.10 159.91

MS 43% 25,648 200.49 209.66 47% 118,190 137.16 158.51

MT 23% 8,798 284.76 284.43 24% 32,785 199.63 211.01

NC 26% 108,233 237.66 262.55 29% 410,381 166.49 196.32

ND 24% 4,621 247.58 238.13 23% 16,639 188.82 184.64

NE 23% 13,560 214.62 208.17 26% 65,054 142.68 158.63

NH 20% 10,084 295.43 281.87 22% 38,349 218.72 212.35

NJ 20% 58,928 314.52 329.48 21% 224,418 231.96 253.52

NM 34% 20,934 232.42 235.78 38% 93,962 159.71 174.63

NV 29% 41,852 318.78 298.93 30% 129,812 235.55 228.39

NY 17% 54,825 315.68 342.11 20% 301,300 201.27 245.63

OH 25% 90,201 181.33 199.22 29% 416,369 125.21 147.16

OK 38% 38,773 197.44 210.81 42% 187,462 135.14 158.37

OR 19% 33,830 328.72 327.59 19% 109,494 242.91 248.30

PA 21% 77,065 205.10 241.78 26% 383,265 145.33 179.93

RI 29% 9,694 304.73 276.67 29% 34,629 223.54 210.79

SC 32% 64,965 240.87 247.02 34% 227,365 173.95 187.32

SD 28% 6,907 231.63 227.89 29% 29,071 165.96 175.24

TN 27% 67,315 241.16 260.28 32% 270,568 165.31 197.71

TX 28% 254,125 252.36 276.37 32% 1,063,199 172.87 204.73

UT 18% 31,156 331.88 331.11 18% 95,681 243.44 256.32

VA 35% 127,278 337.92 321.72 35% 435,920 249.59 249.65

VT 18% 2,825 238.97 250.03 18% 12,028 177.40 178.80

VI 16% 102 380.87 417.26 21% 232,333 272.39 284.95

WA 21% 72,015 374.33 372.50 17% 121,944 151.25 162.58

WI 15% 31,018 201.87 217.39 43% 57,195 139.46 143.79

WV 40% 13,486 195.98 195.82 35% 24,872 200.39 199.33

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

2022. Ginnie Mae issuance is based on the last 12 months, from January 2021 to February 2022.
State of the US Housing Market

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2.6 Outstanding Single‐Family Agency MBS

As of March 2022, outstanding single-family MBS in the Agency market totaled $8.22 trillion: 42.2% Fannie Mae,

33.7% Freddie Mac, and 24.1% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s, Fannie Mae’s and

Ginnie Mae’s total outstanding MBS increased by approximately 21%, 11% and 3%, respectively. Despite this,

Fannie outstanding MBS remains larger than either Freddie or Ginnie by approximately $0.7 trillion and $1.5

trillion, respectively.

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

76% of Ginnie Mae outstanding collateral was FHA and 19.5% was VA. In February 2022, FHA collateral

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

outstanding.

Outstanding Agency Mortgage‐Backed Securities

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

Data as of February 2022. Beginning with the October 2021 GMAR, the Fannie Mae and Freddie Mac data within the Outstanding Agency MBS graph have

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

Freddie Mac for data from May 2021 through July 2021.

$ in billions

$10,000

$8,000

$6,000

$4,000

$2,000

$0

Mar-01Mar-02Mar-03Mar-04Mar-05Mar-06Mar-07Mar-08Mar-09Mar-10Mar-11Mar-12Mar-13Mar-14Mar-15Mar-16Mar-17Mar-18Mar-19Mar-20Mar-21Mar-22 $8,221

$3,473

$2,768

$1,980

Fannie Mae Freddie Mac Ginnie Mae Total

$ in billions $1,500

$1,000

$500

$-

Feb-01Feb-02Feb-03Feb-04Feb-05Feb-06Feb-07Feb-08Feb-09Feb-10Feb-11Feb-12Feb-13Feb-14Feb-15Feb-16Feb-17Feb-18Feb-19Feb-20Feb-21Feb-22 $1,058

$851

$109

FHA VA Other

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

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

As of February 2022, the weighted average coupon on outstanding Ginnie Mae pools was 2.89%, down 2 bps

since January 2022, down 3 bps since December 2021 and 41 bps since December 2020. The share of

outstanding MBS pools with coupons below 3.0% (51% as of December 2021) began a rapid expansion in 2020.

Approximately 27% of the outstanding MBS coupons are between 2.5 and 3.0%, 23% have coupons between 2.0

and 2.5%, while approximately 0.64% have coupons under 2.0%. The proportion with coupons under 2.0% has

increased approximately 13% (percent change). The bottom chart illustrates that loans originated since 2019

accounting for 74% of Ginnie MBS collateral outstanding.

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: February 2022 data points reflect the current composition of balances by coupon and vintage;

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

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100%

80%

60%

40%

20%

0%

4.10%

3.90%

3.70%

3.50%

3.30%

3.10%

2.90%

2.70%

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21

Feb-22

Avg Coupon

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

100%

80%

60%

40%

20%

0%

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

May-17

Aug-17

Nov-17

Feb-18

May-18

Aug-18

Nov-18

Feb-19

May-19

Aug-19

Nov-19

Feb-20

May-20

Aug-20

Nov-20

Feb-21

May-21

Aug-21

Nov-21

Feb-22

Pre-2008 2008-2013 2014-2018 2019-Present

Outstanding Ginnie Mae MBS Balance, by Vintage

Outstanding Ginnie Mae MBS Balance, by Coupon
State of the US Housing Market

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2.8 Origination Volume and Share Over Time

Strong origination volume trends continued in Q4 2021, with $3.73 trillion in originations in 2021, which

outpaced 2020 issuance by approximately 32%. Ginnie Mae’s share of total origination declined to under 15% in

Q4 2021.

First Lien Origination Volume & Share

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

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

$0.0

$0.34

$0.04

$0.16

$0.56

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

30.9%

3.2%

14.5%

51.4%

100%
US Agency Market, Issuance

3.0 US Agency Market, Single‐Family Issuance

Agency gross MBS issuance decreased MoM by 11.3% (from January to February). Each of the Agencies saw

decreases in gross issuance as compared to January, with Fannie’s 21% decline in February being the largest.

Ginnie Mae’s $47 billion in gross issuance in February was approximately 32% below the average monthly

issuance for 2021.

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Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

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

2022 YTD $166.4 $126.4 $292.8 $96.2 $389.0

Ginnie Mae Gross Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 $389.7 $370.9 $175.7 $614.5

2022 YTD $49.6 $43.8 $2.9 $96.2
US Agency Market, Issuance

Agency net issuance in February was approximately $61.2 billion, which represents a 37.9% MoM decrease in

net issuance. Ginnie Mae net issuance was $4.2 billion in February. As noted in Section 2.6, VA net issuance

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continues to outpace FHA.

Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

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

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

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

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

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

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

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

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

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

2013 $53.5 $11.8 $65.3 $89.6 $154.9

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

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 $384.9 $498.0 $882.9 $2.7 $885.6

2022 YTD $72.7 $74.5 $147.2 $12.5 $159.7

Ginnie Mae Net Issuance Collateral Composition ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

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

2006 -$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 -$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 -$52.5 $71.0 $1.3 $19.9

2021 -$64.2 $74.2 -$7.3 $2.7

2022 YTD $1.5 $12.0 -$1.0 $12.5

 
US Agency Market, Issuance

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Jan-22 $93.1 $64.1 $49.0 $157.2 $206.2 $44.0 $46.2 $8.3 $90.2 $98.6

Feb-22 $73.3 $62.3 $47.3 $135.6 $182.8 $28.7 $28.3 $4.2 $57.0 $61.2

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

issuance is defined here as the difference between prior period UPB and current period UPB. Data as of February 2022. Beginning with the October 2021

GMAR, the Fannie Mae and Freddie Mac net issuance data have been updated to reflect the current UPB of the portfolios. July 2021 through February 2022

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

3.1 Percent Refi at Issuance

The Ginnie Mae refinance share was 40% in February:

 The FHA refinance share was at 32% in February 2022, below the 59% share for Fannie, the 55% refi

share for Freddie originations, and the 50% share for the VA.

 Refinances as a share of all Agency originations decreased 6% to 53% in February.

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

2022

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90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

10/1/2013

2/1/20146/1/2014

10/1/2014

2/1/20156/1/2015

10/1/2015

2/1/20166/1/2016

10/1/2016

2/1/20176/1/2017

10/1/2017

2/1/20186/1/2018

10/1/2018

2/1/20196/1/2019

10/1/2019

2/1/20206/1/2020

10/1/2020

2/1/20216/1/2021

10/1/2021

2/1/2022 59%

55%

50%

40%

32%

Freddie Fannie Ginnie FHA VA
High LTV Loans: Ginnie Mae vs. 

GSEs

 

4.0 High LTV Loans: Ginnie Mae vs. GSEs

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

approximately 7% between periods January 2020 – March 2020 and January 2022 - March 2022. The share of

borrowers with DTIs below 35% increased by approximately 3.7% over the same period. From the period

between January 2020 – March 2020 to the period between January 2022 – March 2022, the share of high-LTV

loans decreased in the Ginnie Mae guarantee book by approximately 3.4% and the GSE portfolios increased by

approximately 2%. Still, Ginnie Mae maintains its key role of expanding credit access to low-to-moderate income

borrowers as it continues to dominate high-LTV lending, with 60.44% of its issuances between January 2022 and

March 2022 having LTVs of 95 or above, compared to 12.58% for the GSEs.

Share of Loans with LTV > 95

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 Ginnie Mae GSE All

Jan 2020 - March 2020 62.58% 12.34% 29.04% 

Jan 2022 - March 2022 60.44% 12.58% 24.75%

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

Jan 2020‐Mar 2020

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 3.35% 4.33% 3.05% 3.86% 0.85% 15.45%

35‐45 7.32% 8.65% 5.24% 4.22% 0.24% 25.67%

≥45 7.99% 10.88% 7.07% 4.60% 0.10% 30.64%

NA 4.02% 5.35% 4.23% 4.14% 10.51% 28.24%

All 22.68% 29.21% 19.58% 16.83% 11.69% 100.0%

Jan 2022‐Mar 2022

 FICO 

DTI <650 650-700 700-750 ≥750 NA All

<35 3.72% 5.03% 3.04% 4.12% 0.10% 16.01%

35‐45 9.02% 11.52% 5.87% 4.86% 0.07% 31.34%

≥45 10.58% 15.40% 8.77% 5.84% 0.08% 40.67%

NA 1.82% 1.47% 0.96% 0.80% 6.92% 11.97%

All 25.14% 33.42% 18.65% 15.62% 7.17% 100.0%

Sources: eMBS, Recursion and Ginnie Mae. Data as of March 2022
Holders of Ginnie Mae Mortgage 

Servicing Rights

5.0 Holders of Ginnie Mae Mortgage Servicing Rights

This table shows the 30 largest owners of mortgage servicing rights (MSR) by UPB for loans collateralizing Ginnie

Mae MBS. The top 30 firms collectively own 82.9% of Ginnie Mae MSRs (see Cumulative Share). Twenty-two of

these top 30 are non-depository institutions, the remaining 8 are depository institutions. As of February 2022,

over half (50.5%) of the Ginnie Mae MSRs are owned by the top six firms.

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

Rank MSR Holder UPB ($ millions) Share Cumulative Share 

1 DBA FREEDOM HOME MOR $255,701,668,758 12.9% 12.9%

2 PENNYMAC LOAN SERVIC $227,070,622,422 11.4% 24%

3 LAKEVIEW LOAN SERVIC $210,193,014,112 10.6% 34.8%

4 WELLS FARGO BANK, NA $120,230,775,304 6.0% 40.9%

5 ROCKET MORTGAGE, LLC $98,363,920,942 4.9% 45.8%

6 NATIONSTAR MORTGAGE, $92,402,404,485 4.6% 50.5%

7 NEWREZ LLC $61,027,714,165 3.1% 53.5%

8 CARRINGTON MORTGAGE $60,988,160,204 3.1% 56.6%

9 UNITED WHOLESALE MOR $50,631,033,548 2.5% 59.1%

10 CALIBER HOME LOANS, $50,175,568,931 2.5% 61.7%

11 U. S. BANK, NA $48,618,927,451 2.4% 64.1%

12 LOANDEPOT.COM, LLC $35,351,897,695 1.8% 65.9%

13 MORTGAGE RESEARCH CE $32,165,944,326 1.6% 67.5%

14 USAA FEDERAL SAVINGS $30,918,562,293 1.6% 69.1%

15 PLANET HOME LENDING, $30,900,583,284 1.6% 70.6%

16 NAVY FEDERAL CREDIT $28,397,276,128 1.4% 72.0%

17 TRUIST BANK $21,401,818,405 1.1% 73.1%

18 THE MONEY SOURCE INC $21,094,622,271 1.1% 74.2%

19 GUILD MORTGAGE COMPA $20,528,875,455 1.0% 75.2%

20 AMERIHOME MORTGAGE C $18,705,215,380 0.9% 76.1%

21 CROSSCOUNTRY MORTGAG $15,952,422,354 0.8% 76.9%

22 NEW AMERICAN FUNDING $15,020,755,512 0.8% 77.7%

23 VILLAGE CAPITAL & IN $14,450,771,119 0.7% 78.4%

24 CITIZENS BANK N.A. $13,294,803,780 0.7% 79.1%

25 IDAHO HOUSING AND FI $13,154,496,861 0.7% 79.8%

26 MIDFIRST BANK $12,971,338,665 0.7% 80.4%

27 RUSHMORE LOAN MANAGE $12,870,831,714 0.6% 81.1%

28 MOVEMENT MORTGAGE, LL $12,656,167,151 0.6% 81.7%

29 CMG MORTGAGE, INC. $12,459,128,674 0.6% 82.3%

30 PHH MORTGAGE CORPORA $11,298,174,688 0.6% 82.9%

Source: Deloitte and Ginnie Mae. Data as of February 2022.
Holders of Ginnie Mae Mortgage 

Servicing Rights

 

 

 

6.0 Agency Nonbank Originators

Total Agency nonbank origination experienced its fifth consecutive month of declines, down approximately 2%

since September 2021. This decline in nonbank origination share was driven primarily by Freddie Mac (nonbank

origination share down 3% MoM). The Ginnie Mae nonbank share reached 89.0% as of February 2022 and has

been consistently higher than the GSEs since September 2021 (88.6%). Ginnie Mae nonbank origination share of

refinance mortgage loans has continued to drive Ginnie Mae’s relatively higher nonbank origination share. GSE

origination volume of purchase mortgage loans has been the primary driver in the MoM decline of Agency

nonbank origination share.

6.1 Agency Nonbank Originator Share (All, Purchase, Refi)

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

2022.

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100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Feb15

Aug15

Feb16

Aug16

Feb17

Aug17

Feb18

Aug18

Feb19

Aug19

Feb20

Aug20

Feb21

Aug21

89.0%

77.1%

75.3%

71.7%

Feb22

All Fannie Freddie Ginnie

100%

80%

60%

40%

20%

0%

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Fannie Freddie Ginnie

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Fannie Freddie Ginnie

Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans
Holders of Ginnie Mae Mortgage 

Servicing Rights

 

 

Ginnie Mae’s total nonbank originator share increased in February 2022, up 1.4% MoM. This increase in Ginnie

Mae nonbank origination share was driven primarily by FHA insured and VA guaranteed loans, while PIH and RDguaranteed (“Other”) origination declined at nonbanks in February. The increase in nonbank origination share of

refi loans was primarily driven by Other loans and VA guaranteed loans, with increases of approximately 1.6%

and 1.2% MoM, respectively.

6.2 Ginnie Mae Nonbank Originator Share (All, Purchase, Refi)

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “Other" refers to

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of February 2022.

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100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22 90.3%

89.0%

88.1%

84.2% FHA VA Other All

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All FHA VA Other

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All FHA VA Other

Ginnie Mae Nonbank Share: Purchase Loans Ginnie Mae Nonbank Share: Refi Loans
Holders of Ginnie Mae Mortgage 

Servicing Rights

6.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI)

The mortgage loan originations of nonbanks continue to have a consistently lower median FICO score than their

bank counterparts across all Agencies. The spread between nonbank and bank FICO scores decreased by 1 FICO

score point from January 2022 to February 2022. The Agency median FICO decreased by 3 FICO score points to

738 MoM.

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

2022.

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780

770

760

750

740

730

720

710

700

690

680

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22 751

738

732

All Median FICO Bank Median FICO FICO Nonbank Median FICO

780

770

760

750

740

730

720

710

700

690

680

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median FICO Bank Median FICO Nonbank Median FICO

660

650

640

720

710

700

690

680

670

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median FICO Bank Median FICO

Nonbank Median FICO

Agency FICO: Bank vs. Nonbank

GSE FICO: Bank vs. Nonbank Ginnie Mae FICO: Bank vs. Nonbank
Holders of Ginnie Mae Mortgage 

Servicing Rights

 

 

 

The median LTV for all GSE originators declined by 1.4% in February 2022 MoM to 72%. While Ginnie Mae

Median Bank LTV has been very flat at 98.19% since January 2021, Nonbank Median LTV has fluctuated more,

although remaining within 20 bps of 96.5% since April of 2021. Ginnie Mae median DTI experienced a slight

MoM uptick of 0.16% in February 2022, driven by both bank and nonbank originations.

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

2022.

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82

80

78

76

74

72

70

68

66

64

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median LTV Bank Median LTV Nonbank Median LTV

100

98

96

94

92

90

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median LTV Bank Median LTV Nonbank Median LTV

46

44

42

40

38

36

34

32

30

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median DTI Bank Median DTI Nonbank Median DTI

46

44

42

40

38

36

34

32

30

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median DTI Bank Median DTI Nonbank Median DTI

GSE LTV: Bank vs Nonbank

Ginnie Mae LTV: Bank vs. Nonbank

GSE DTI: Bank vs Nonbank Ginnie Mae DTI: Bank vs. Nonbank
Holders of Ginnie Mae Mortgage 

Servicing Rights

 

In February 2022, the median FICO score for Ginnie Mae bank and nonbank originators remained stable MoM

after twelve consecutive months of declines between December 2021 and December 2022. The median FICO for

all Ginnie originations declined to 672 MoM. The gap between banks and non-banks continues and is most

apparent in VA lending (13-point spread).

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: "Other" refers to

loans guaranteed by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of February 2022.

Global Markets Analysis Report

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31

700

690

680

670

660

650

640

630

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

770

750

730

710

690

670

650

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

740

730

720

710

700

690

680

670

660

650

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO

Ginnie Mae FICO Score: Bank vs. Nonbank Ginnie Mae FHA FICO Score: Bank vs. Nonbank

Ginnie Mae VA FICO Score: Bank vs. Nonbank Ginnie Mae Other FICO Score: Bank vs. Nonbank

720

710

700

690

680

670

660

650

640

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median FICO Bank Median FICO Nonbank Median FICO
Holders of Ginnie Mae Mortgage 

Servicing Rights

 

 

 

Median DTI for Ginnie Mae nonbank originations has been consistently higher than the median DTI for Ginnie

Mae bank originations. This is a trend evident for all Ginnie Mae-eligible loan types except for the “Other”

category, where the spread between median bank and nonbank DTI is relatively small.

Sources: eMBS and Urban Institute; Beginning January 2021 data sourced from Ginnie Mae loan level disclosure files and IOPP. Notes: “Other" refers to

loans insured by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Notes: Data as of February 2022 for

Ginnia Mae DTI and as of October 2021 for all FHA, VA and Others.

Global Markets Analysis Report

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46

45

44

43

42

41

40

39

38

37

36

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

46

44

42

40

38

36

34

32

30

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

46

44

42

40

38

36

34

32

30

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Aug-...

Feb-...

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI

Ginnie Mae DTI: Bank vs. Nonbank Ginnie Mae FHA DTI: Bank vs. Nonbank

Ginnie Mae VA DTI: Bank vs. Nonbank Ginnie Mae Other DTI: Bank vs. Nonbank

46

44

42

40

38

36

34

32

30

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Aug-17

Feb-18

Aug-18

Feb-19

Aug-19

Feb-20

Aug-20

Feb-21

Aug-21

Feb-22

All Median DTI Bank Median DTI

Nonbank Median DTI
Holders of Ginnie Mae Mortgage 

Servicing Rights

7.0 Fixed Income Market Conditions

Agency MBS average daily trading volume was $292 billion from January 2021 to August 2021. August 2021 was

the lowest month of Agency MBS trading volume since June 2020. Agency MBS turnover in 2021 is 8 basis points

lower than its 2020 average, at 2.87%. 2021 YTD Agency MBS turnover and US Treasury turnover are both

2.87%. Corporates turnover remains minimal relative to either Agency MBS or Treasury turnover.

7.1 Average Daily Trading Volume and Turnover by Sector

Source: SIFMA. Note: Data as of December 2021 for Average Daily Trading Volume by Sector and as of October 2021 for Average Daily Turnover by Sector.

Global Markets Analysis Report

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$500

$600

$400

$300

$200

$100

$0

$624

$280

$37

$700

$ Billions

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021

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

14%

12%

10%

8%

6%

4%

2%

0%

2.87%

2.70%

0.37%

Agency MBS Turnover Treasury Turnover Corporates Turnover

Average Daily Trading Volume by Sector

Average Daily Turnover by Sector
Holders of Ginnie Mae Mortgage 

Servicing Rights

8.0 Prepayments

In March 2022, Ginnie Mae fixed rate prepayment speed increased slightly by 2.4%, to 19.4 CPR. Comparatively,

Fannie Mae and Freddie Mac fixed rate prepayment speeds increased by 8.1% and 7.5% MoM, respectively. ARM

MBS prepayments for Ginnie Mae increased by 27% MoM, while Freddie Mac and Fannie Mae posted increases

in ARM prepayment speeds of 21% and 31% MoM respectively.

8.1 Aggregate Prepayments

Source: eMBS; Note: Data as of March 2022.

5 Ahlgren R and Ichaso M (2022, December 7). US Structured Products Trading Desk Strategy | RMBS Strategy | Drop in VPRs Only Post Modest Slowdown,

Buyouts Fall, pp. 1.

Global Markets Analysis Report

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Markets

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Constant Prepayment Rate

(%) 60 Fixed Rate Aggregate Prepayments

40

20

0

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21

Feb-22

Apr-22 19.4

13.8

12.7

Fannie Mae Freddie Mac Ginnie Mae

Constant Prepayment Rate

(%) 70 ARM Aggregate Prepayments

60

50

40

30

20

10

0

Apr-18

Jun-18

Aug-18

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19

Oct-19

Dec-19

Feb-20

Apr-20

Jun-20

Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Oct-21

Dec-21

Feb-22

Apr-22 28.5

23.0

19.3

Fannie Mae Freddie Mac Ginnie Mae
MBS Ownership

 

 

9.0 MBS Ownership

As of Q4 2021, the largest holders of Agency debt (Agency MBS + Agency notes and bonds) included commercial

banks (26%), the Federal Reserve (25%), and foreign investors (12%). The Federal Reserve’s share increased to

25% in the fourth quarter of 2021, the highest it has been since 2015. Despite large Federal Reserve purchases,

commercial banks continue to be the largest holders of Agency MBS. Out of their $3.7 trillion in holdings as of

the end of February 2022, $2.9 trillion was held by the top 25 domestic banks.

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

and nonprofits. Data as of Q4 2021.

9.1 Commercial Bank Holdings of Agency MBS

Global Markets Analysis Report

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Page

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Commercial Bank Holdings ($Billions) Week Ending

Feb‐21 Aug‐21 Sep‐21 Oct‐21 Nov‐21 Dec‐21 Jan‐22 Feb‐22 2‐Mar 9‐Mar 16‐Mar 23‐Mar

Largest 25 Domestic 

Banks 2,001.3 2,125.1 2,129.5 2,139.7 2,129.9 2,143.1 2,178.3 2,189.2 2,190.7 2,184.0 2,175.5 2,172.3

Small Domestic 

Banks 593.0 690.3 704.8 722.3 731.8 741.3 752.9 759.4 755.5 757.4 755.0 756.9

Foreign Related 

Banks 52.9 47.9 48.0 47.9 46.2 44.0 43.3 40.7 39.3 37.7 35.8 35.0

Total, Seasonally 

Adjusted 2,647.2 2,863.3 2,882.3 2,909.9 2,907.9 2,928.4 2,974.5 2,989.3 2,985.5 2,979.1 2,966.3 2,964.2

 

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

2022.

Who Owns Total Agency Debt?
MBS Ownership

 

9.2 Bank and Thrift Residential MBS Holdings

In Q4 2021, MBS holdings at banks and thrifts increased for the thirteenth consecutive quarter. The increase was

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

larger contribution. Ginnie Mae pass-throughs declined by less than 1%. Total bank and thrift MBS holdings

increased by 2% from Q3 2021. Out of the $2.9 trillion in MBS holdings at banks and thrifts as of Q4 2021, $2.3

trillion were Agency pass-throughs, including $1.9 trillion of GSE pass-throughs and $353 billion of Ginnie Mae

pass-throughs. In addition, another $578 billion in bank and thrift holdings were Agency CMOs, while holdings of

Private MBS and Private CMOs totaled $60 billion.

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All Banks & Thrifts

($ in billions) 

All MBS

($ in billions) 

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

 

Thrifts

2001 810.50 270.59 109.53 37.62 236.91 76.18 606.91 203.37 

2002 912.36 376.11 101.46 20.08 244.98 89.88 702.44 209.66 

2003 982.08 461.72 75.11 19.40 236.81 106.86 775.66 206.45 

2004 1,113.89 572.40 49.33 20.55 208.18 160.55 879.75 234.31 

2005 1,033.77 566.81 35.92 29.09 190.70 211.25 897.06 242.69 

2006 1,124.46 628.52 31.13 42.32 179.21 243.28 983.49 223.42 

2007 1,149.10 559.75 31.58 26.26 174.27 357.24 971.42 264.59 

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

4Q21 2,906.07 1,915.48 352.71 4.45 578.01 55.42 2,529.81 376.26 

Change:

3Q21-4Q21 2% 2% 0% 5% 2% 13% 2% 1%

4Q20-4Q21 15% 25% -10% 13% 5% 38% 14% 21%

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

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Top Bank & 

Thrift 

Residential 

MBS Investors 

($ in millions)

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

1 BANK OF AMERICA CORPORATION 599,912.0 518,605.0 71,466.0 9,675.0 166.0 21%

2 WELLS FARGO & COMPANY 290,952.0 216,803.0 69,862.0 3,963.0 324.0 10%

3 CHARLES SCHWAB 230,495.0 122,754.0 9,208.0 98,533.0 - 8%

4 JPMORGAN CHASE & CO. 166,570.0 98,276.0 54,898.0 115.0 13,281.0 6%

5 Truist Bank 139,783.0 66,766.0 16,573.0 52,186.0 4,258.0 5%

6 U.S. BANCORP 118,800.9 81,370.7 20,818.8 16,611.0 0.4 4%

7 CITIGROUP INC. 89,216.0 82,756.0 2,006.0 3,336.0 1,118.0 3%

8 Silicon Valley Bank 83,437.0 62,391.0 9,874.0 11,172.0 - 3%

9 CAPITAL ONE FINANCIAL 

CORPORATION 73,102.1 40,027.5 12,506.1 20,086.3 482.2 3%

10 PNC Bank, National Association 68,787.6 53,187.7 5,880.7 8,561.4 1,157.8 2%

11 BANK OF NEW YORK MELLON 

CORP 53,526.0 40,889.0 1,845.0 7,999.0 2,793.0 2%

12 USAA Federal Savings Bank 46,889.1 38,965.2 2,616.5 5,307.4 - 2%

13 State Street Bank and Trust 

Company 40,144.8 16,734.0 3,631.0 17,748.8 2,031.0 1%

14 MORGAN STANLEY 33,912.0 21,773.0 5,933.0 6,206.0 - 1%

15 The Huntington National Bank 30,336.2 15,947.0 7,018.4 7,265.2 105.5 1%

16 E*TRADE Bank 30,194.2 24,473.3 4,099.2 1,621.8 - 1%

17 KeyBank National Association 28,640.4 4,994.6 297.5 23,348.3 - 1%

18 HSBC Bank USA, National 

Association 25,866.4 8,068.9 9,558.6 8,237.5 1.5 1%

19 Ally Bank 23,771.0 16,454.0 764.0 2,322.0 4,231.0 1%

20 BMO Harris Bank National 

Association 23,723.8 3,637.7 369.6 19,711.0 5.6 1%

Total Top 20 2,198,059.6 1,534,873.5 309,225.4 324,005.6 29,955.0 76%

 

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

Bank and Thrift Residential MBS Holdings
MBS Ownership

9.3 Foreign Ownership of MBS

For the month of January 2022, foreign ownership of MBS represents $1.18 trillion in Agency MBS, which

includes $559 billion held by foreign private institutions and $617 billion held by foreign official institutions. This

represents a 2% overall increase in foreign holdings of Agency MBS YoY and a 0.28% decrease MoM.

Foreign Share of Agency MBS Market

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

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

the portion held by foreign private and the portion held by foreign official. Data as of January 2022.

Global Markets Analysis Report

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Percent of Agency MBS O

wned

by Foreigners 18.0%

17.0%

16.0%

15.0%

14.0%

13.0%

12.0%

11.0%

10.0%

14.08%

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Jan-22

Foreign Share of MBS

1,400

1,200

1,000

$

Billio

ns

800

600

400

200

0

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Jan-18

Apr-18

Jul-18

Oct-18

Jan-19

Apr-19

Jul-19

Oct-19

Jan-20

Apr-20

Jul-20

Oct-20

Jan-21

Apr-21

Jul-21

Oct-21

Jan-22 1,176

617

559

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

Monthly Foreign MBS Holdings
MBS Ownership

 

9.4 Foreign Ownership of Agency Debt and Agency MBS

The largest non-US holders of Agency MBS are in Japan, Taiwan, and China. As of December 2021, these three

own 60% of all US MBS held by investors outside of the United States. Between June 2020 and June 2021, these

top three have decreased their Agency MBS holdings by over $4.6 billion. Japan has decreased their holdings by

$1.4 billion, Taiwan has decreased their holdings by $208 million and China has decreased their holdings by $3.0

billion.

All Agency Debt

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Country

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

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

Japan 319,771 311,375 311,892 301,979 11,738 -8,396 517 -9,913

Taiwan 253,036 250,081 247,341 244,375 -9,417 -2,955 -2,740 -2,966

China 200,972 217,842 215,102 202,659 -11,345 16,870 -2,740 -12,443

Luxembourg 34,371 35,497 33,339 34,277 -1,852 1,126 -2,158 938

Ireland 26,965 21,453 22,617 21,305 -4,099 -5,512 1,164 -1,312

South Korea 43,032 43,201 43,208 42,051 404 169 7 -1,157

Cayman 

Islands

37,111 36,027 36,160 35,004 2,847 -1,084 133 -1,156

Bermuda 26,443 23,806 24,411 23,209 -1,545 -2,637 605 -1,202

Netherlands 13,049 12,544 17,435 16,249 705 -505 4,891 -1,186

Malaysia 19,047 19,089 19,445 18,830 -100 42 356 -615

Other 173,905 166,009 268,746 302,816 -23,557 -7,896 102,737 34,070

Total 1,147,702 1,136,924 1,239,696 1,242,754 ‐36,221 ‐10,778 102,772 3,058

Agency MBS

Country

Level of Holdings ($ Millions)

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

Japan 306,963 305,580 -1,383

Taiwan 267,700 267,492 -208

China 235,078 232,076 -3,002

Luxembourg 40,207 34,255 -5,952

Ireland 21,091 25,336 4,245

South Korea 28,743 34,313 5,570

Cayman Islands 28,431 29,682 1,251

Bermuda 25,111 24,245 -866

Netherlands 12,739 13,351 612

Malaysia 20,028 19,949 -79

Other 173,716 170,062 -3,654

Total 1,159,809 1,156,341 ‐3,468

 

 

Sources: Treasury International Capital (TIC). Notes: Level of Agency debt Holdings by month data as of Q4 2021. Agency MBS as of June 2021. Revised to

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

Disclosure: 

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

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

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

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

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

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

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

(hereinafter, “Ginnie Mae”).

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

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

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

the report.

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

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

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

circumstances upon which such statement is based.

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

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

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital

Markets

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