Global Markets 

Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S 

OFFICE OF CAPITAL MARKETS

PREPARED FOR GINNIE MAE 

BY STATE STREET GLOBAL ADVISORS 

URBAN INSTITUTE, HOUSING FINANCE POLICY CENTER
CONTENTS

Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

Barclays US Aggregate and Global Indices 4

Global 10-year treasury yields 5

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

MBS yield per duration 9

Total return and Sharpe Ratios 10 

State of the US housing Market 

Serious delinquency rates 11

National HPI 11

HPI by state 12

Ginnie Mae Agency issuance and Agency outstanding by state 13

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

Outstanding Agency MBS 15

Origination volume over time 16

US Agency Market, Originations

Annual Agency Gross Issuance 17

Annual Agency Net Issuance 18

Monthly Agency Issuance 19

Purchase versus refi: Percent Refi at Issuance 20

Credit Box 

First time home buyer share—purchase only loans 21

First time home buyer share— Ginnie Mae purchase only loans 22

FICO score distribution 23

Credit box at a glance (FICO, LTV, DTI) 24-26

Historical credit box (FICO, LTV,DTI) 27-29

Ginnie Mae Nonbank Originators

Nonbank originator share (All, Purchase, Refi) 30

Bank vs. nonbank originators credit box at a glance (FICO, LTV, DTI) 31-33

Bank vs. nonbank originators historical credit box (FICO) 34

Prepayments 

Aggregate 35

Select coupon/origination year cohorts 36-37

Other Ginnie Mae Programs

HMBS 38

Multifamily 39

Market Conditions-Agency MBS

Average daily trading volume and turnover by sector 40

Dealer net positions, repo volume 41

MBS Ownership

Ownership breakdown of total agency debt 42

MBS share of total agency debt and commercial bank ownership of MBS 43

Bank and Thrift Residential MBS Holdings 44

Foreign ownership of MBS 45-46

Fed Ownership of MBS 47
HIGHLIGHTS

Mortgage rates have increased: What does it mean?

The first six weeks of 2018 have seen a marked increase in the 30-year fixed mortgage rate. According 

to Freddie Mac’s most recent Primary Mortgage Market Survey, the 30 FRM stood at 4.32 percent as 

of Feb 8. Rates have increased even more since Feb 8th. At the end of 2017, the PMMS rate was 3.99 

percent. This rate increase in a relatively short period of time will have several implications for the 

mortgage market.

The most immediate impact will be on rate refinance volumes, which will plummet as fewer and fewer 

borrowers will save money by refinancing. This will no doubt slow down prepayment speeds; at the 

same time, the impact on Ginnie speeds will be lower compared to GSE as Ginnie MBS are less 

dependent on refinances to begin with (page 20). We don’t anticipate cash out refinance to fill the rate 

refinance void because borrowers with ultra-low rate mortgages would be very reluctant to upgrade 

to larger homes, and in the process give up their existing rate. Such households are much more likely to 

opt for a second lien product such as a home equity loan, or a line of credit.

The second potential impact is on affordability. Modest-to-moderate increases in interest rates that 

are accompanied by corresponding increases in wages generally don’t worsen affordability. But rapid 

increases in rates that outpace wage growth can reduce monthly payment affordability. Together with 

the decline in refinance volumes, this can result in lower origination and MBS issuance volumes.

Mortgage originators are likely to respond to slowing demand in a couple of different ways. 

Competition between originators would heat up as they try to maintain volumes. This means lower 

originator profitability. Originators can also support volumes by making mortgages more widely 

available through more relaxed underwriting. Some of this is already happening – the Urban Institute’s 

most recent Housing Credit Availability Index showed marked improvement in credit availability in 

late 2017. We expect this trend to continue in 2018.

Highlights this month:

• While Treasury and Ginnie Mae MBS yields both rose sharply in January 2018, current coupon 

Ginnie Mae MBS spreads relative to Treasuries stayed relatively stable (Pages 5 and 6).

• Serious delinquencies for single-family GSE loans, FHA loans and VA loans all edged up in Q4 2017, 

mostly due to the recent hurricanes (Page 11).

• Total agency gross issuance was down 12 percent, while agency net issuance was up 15 percent in 

2017 (Pages 17 and 18).

• Median debt-to-income ratios (DTIs) on Ginnie Mae and Fannie Mae new originations have been 

moving up in recent months, while Freddie Mac median DTIs remain flat (Page 29). 

• Agency MBS trading volumes and turnover have both been higher in January 2018 (Page 40).
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of December 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of December 2017

US MBS comprise 28 percent of the Barclays US Aggregate Index-- slightly less than either the US Treasury share 

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

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

respectively. Mortgages with terms of 15 and 20 years comprise the balance (4%) of the US MBS share. US securities 

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

MBS comprises 11 percent of the global aggregate. 

37%

2%

31%

8%

10%

6%

4%

2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

11%

1%

3%

Global Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

2%

3% 1%

39%

32%

20%

1%

0.04% 2%

1%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

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

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

4
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

Yield (%)

Global 10-year Treasury Yields

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

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

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

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

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 January 2018

Sources: Bloomberg and State Street Global Advisors

Note: Data as of January 2018

Sources: Bloomberg and State Street Global Advisors. Note: Data as of January 2018

US Treasury interest rates, as measured by the 10-year note, continue to be the highest in the developed world. The 

US 10-year Treasury note continues to rise, and is at 2.71 percent this month. Interest rates in the UK, Germany and 

Japan increased as well, and now stand at 1.51, 0.70 and 0.085 percent, respectively, while interest rates in Italy 

stayed relatively stable at 2.03 percent. If the Treasury notes are hedged into foreign currencies, 10-year US 

Treasury yields are 57 basis points (bps) in JPY, and 31 bps in EUR. The hedged yield difference between the 10-year 

Treasuries and JGBs is now 49 bps, while the hedged yield differential between the 10-year Treasuries and Bunds 

widened, currently at -38 bps.

Yield(%)Yield(%)

5
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18

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

Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

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 January 2018

Sources: Bloomberg and State Street Global Advisors. Note: Data as of January 2018

With yield hike in both Treasuries and Ginnie Mae MBS this month, the nominal yield spread on current 

coupon GNMA II and GNMA I securities stays relatively stable in January 2018. Current coupon Ginnie Mae 

securities currently outyield their Treasury counterparts (relative to the average of 5- and 10-year Treasury 

yields) by 56 and 57 bps on G2SF and GNSF, respectively.

Yield(%) Yield(%)

Yield(%)

Yield(%)

6
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18

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 January 2018

Sources: Bloomberg and State Street Global Advisors. Note: Data as of January 2018

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

sovereign alternatives. The figures show that current coupon G2SF and GNSF hedged into Japanese yen 

yield more than the JGB 5/10 blend by 104 and 105 bps, respectively.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

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(%)

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

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18

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

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18

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 January 2018

Sources: Bloomberg and State Street Global Advisors. Note: Data as of January 2018

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

alternatives. The figures show that current coupon G2SF and GNSF hedged into euros yield more than the 

average of the German 5/10 blend by 38 and 39 bps, respectively.

Yield(%) Yield(%)

Yield(%) Yield(%)

8
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of January 2018.

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

security class with significantly more yield is the US high yield index, where interest rate risk does not fully 

capture the volatility of the high yield asset class. Investors are unable to match the yield on Ginnie Mae 

securities, while preserving the full government guarantee, even if they extend their duration significantly.

Security Duration Yield

US 5y 4.7 2.51

US 10y 8.6 2.71

GNMA II 3% 6.8 3.12

GNMA II 3.5% 5.8 3.17

JPY 5y 4.9 -0.08

JPY 10y 9.8 0.08

GER 5y 5.2 0.10

GER 10y 9.7 0.69

ITA 5y 4.4 0.73

ITA 10y 8.5 2.02

US credit 7.3 3.39

US credit >= A 7.5 3.26

US HY 3.9 5.78

Pan-Euro corp 5.9 1.12

Pan-Euro HY 3.8 2.8

US 5y

US 10y G2 3.0%

G2 3.5%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield per duration

9
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Average Return (Per Month)

Time Period US MBS 

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

1 year 0.07 0.06 0.42 0.21 0.54 0.50

3 year 0.09 0.01 0.21 0.09 0.53 0.40

5 year 0.13 0.10 0.29 0.34 0.47 0.55

10 year 0.29 0.25 0.46 0.39 0.71 0.84

Source: State Street

*Assumes 2% capitalization max per issuer

Average Excess Return (Per Month)

Time Period US MBS 

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

1 year -0.01 -0.02 0.33 0.28 0.45 0.57

3 year 0.05 -0.03 0.18 0.14 0.49 0.45

5 year 0.11 0.08 0.27 0.38 0.44 0.58

10 year 0.27 0.22 0.43 0.37 0.69 0.82

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 0.52 0.69 0.68 0.67 0.57 0.62

3 year 0.50 0.93 1.05 1.03 1.63 1.43

5 year 0.67 0.92 1.16 1.05 1.50 1.27

10 year 0.75 1.19 1.75 1.44 3.02 3.55

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 -0.02 -0.04 0.49 0.42 0.79 0.93

3 year 0.10 -0.03 0.17 0.14 0.30 0.32

5 year 0.16 0.08 0.23 0.36 0.30 0.46

10 year 0.36 0.19 0.25 0.26 0.23 0.23

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

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note: Data as of January 2018.

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

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

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

price volatility. The result: the excess return per unit of risk for the mortgage market is the highest of any market 

over the past decade, as measured by the Sharpe Ratio.

10
State of the US Housing Market

7.0%

6.7%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

May-01

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

Year-over-year growth rate

National Year-Over-Year HPI Growth

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

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

1.24%

1.08%

4.78%

2.43%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

4Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q162Q174Q17

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q4 2017.

Serious Delinquency Rates: Single-Family Loans

Serious delinquencies for single-family GSE loans, FHA loans, and VA loans edged up in the fourth quarter of 

2017, partly due to seasonal factors, but mostly due to the impact of hurricanes Harvey, Irma and Maria. The 

delinquency rates for FHA and VA went up to 4.78 percent and 2.43 percent, respectively, while delinquency 

rates for Fannie Mae and Freddie Mac went up to 1.24 and 1.08 percent, respectively. GSE delinquencies remain 

high relative to 2005-2007, while FHA and VA delinquencies (which are higher than their GSE counterparts) are 

at levels lower than 2005-2007. Home price changes turned positive in 2012, and continue to increase 

approximately 7 percent per year, as measured by both CoreLogic and Zillow.

11
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Sources: CoreLogic and Urban Institute. Note: HPI data as of November 2017. Negative sign indicates that state is above earlier peak. Peak refers to the month when HPI 

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

level for each state/US after the housing bust, ranging from 01/2009 to 03/2012. Current is 11/2017, the latest HPI data period.

Nationally, the nominal home prices have improved by 51.6 percent since the trough, and have exceeded their precrisis peak valuation. However, the picture is very different for different states, with many states well in excess of 

the prior peak, while Nevada is 29.9 percent below peak levels and Florida is 20.1 percent below peak levels.

HPI Changes

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

National 93.8% -33.2% 51.6% 7.0% -1.2%

Alabama 46.3% -20.7% 23.9% 4.9% 1.8%

Alaska 68.9% -9.4% 18.2% 2.3% -6.6%

Arizona 121.5% -50.5% 69.2% 6.3% 19.4%

Arkansas 39.6% -7.6% 15.7% 3.6% -6.4%

California 149.0% -42.4% 77.3% 8.0% -2.0%

Colorado 40.4% -13.7% 66.2% 8.1% -30.3%

Connecticut 79.6% -24.8% 9.0% 2.4% 22.1%

Delaware 90.3% -23.8% 20.9% 4.6% 8.5%

District of Columbia 150.5% -10.5% 38.0% 2.7% -19.1%

Florida 149.2% -49.6% 65.3% 6.0% 20.1%

Georgia 40.4% -30.7% 53.0% 5.8% -5.7%

Hawaii 152.7% -20.6% 49.6% 8.1% -15.8%

Idaho 85.5% -40.9% 74.9% 10.4% -3.3%

Illinois 60.0% -32.6% 31.1% 3.5% 13.1%

Indiana 24.3% -16.4% 29.1% 4.8% -7.3%

Iowa 25.5% -4.9% 21.7% 4.0% -13.6%

Kansas 33.3% -14.0% 25.2% 2.3% -7.1%

Kentucky 27.0% -8.9% 23.7% 6.0% -11.2%

Louisiana 58.7% -7.5% 24.5% 4.8% -13.2%

Maine 92.2% -19.4% 31.4% 4.1% -5.6%

Maryland 137.7% -31.1% 21.1% 3.3% 19.9%

Massachusetts 81.8% -21.2% 40.0% 6.5% -9.3%

Michigan 26.2% -43.2% 76.4% 7.7% -0.2%

Minnesota 69.7% -28.1% 43.8% 6.0% -3.3%

Mississippi 34.3% -18.4% 21.1% 4.7% 1.1%

Missouri 46.2% -22.3% 32.4% 6.3% -2.9%

Montana 79.9% -16.5% 39.0% 5.8% -13.8%

Nebraska 25.3% -5.3% 27.2% 5.2% -17.0%

Nevada 129.1% -59.9% 92.1% 10.8% 29.9%

New Hampshire 82.5% -23.8% 31.6% 7.1% -0.3%

New Jersey 109.5% -26.4% 16.8% 3.6% 16.3%

New Mexico 64.3% -26.5% 20.1% 2.0% 13.3%

New York 101.9% -13.8% 30.0% 5.2% -10.8%

North Carolina 39.7% -14.6% 28.7% 5.4% -9.1%

North Dakota 50.3% -1.9% 51.9% 6.4% -32.8%

Ohio 22.2% -20.4% 33.2% 6.4% -5.6%

Oklahoma 35.8% -3.2% 15.8% 2.2% -10.8%

Oregon 87.5% -29.3% 68.1% 7.5% -15.9%

Pennsylvania 71.7% -12.9% 16.1% 3.4% -1.1%

Rhode Island 131.0% -34.2% 33.7% 8.0% 13.7%

South Carolina 61.5% -22.2% 33.7% 4.9% -3.8%

South Dakota 37.3% -3.5% 37.0% 9.1% -24.4%

Tennessee 41.3% -13.3% 37.9% 6.8% -16.4%

Texas 39.4% -13.2% 48.2% 5.4% -22.3%

Utah 64.8% -31.7% 64.9% 10.5% -11.2%

Vermont 81.5% -9.1% 15.3% 5.0% -4.6%

Virginia 135.1% -30.6% 30.1% 2.9% 10.7%

Washington 90.2% -28.1% 68.8% 12.2% -17.6%

West Virginia 81.3% -26.9% 23.5% 3.5% 10.7%

Wisconsin 48.6% -17.2% 27.7% 6.4% -5.4%

Wyoming 75.7% -14.5% 28.7% 3.5% -9.1%

12
State of the US Housing Market

Debt,

household 

mortgages,

$9,833

Agency Issuance (past 1 year) Agency Outstanding 

State Ginnie Mae Share Ginnie Mae Average

Loan Size (Thousands)

GSE Average Loan 

Size (Thousands)

Ginnie Mae 

Share

Ginnie Mae Average 

Loan Size (Thousands)

GSE Average Loan

Size (Thousands)

National 33.6% 210.7 225.8 32.6% 177.5 207.6

Alabama 45.3% 158.4 178.9 47.4% 141.5 168.2

Alaska 52.5% 279.1 242.0 52.2% 255.5 227.9

Arizona 35.0% 203.4 207.6 35.0% 175.0 190.2

Arkansas 43.1% 139.9 165.3 47.1% 122.3 152.6

California 27.8% 337.0 319.4 22.5% 283.4 291.3

Colorado 32.5% 270.8 260.3 30.8% 226.6 235.6

Connecticut 31.8% 214.1 225.2 30.0% 203.5 218.1

Delaware 39.2% 211.2 219.9 37.7% 197.9 207.4

District of Columbia 17.5% 399.5 353.2 17.7% 324.4 332.4

Florida 39.2% 204.6 199.8 37.0% 172.1 184.0

Georgia 41.3% 179.2 202.7 41.2% 154.0 185.7

Hawaii 38.3% 482.4 372.7 31.9% 415.9 344.6

Idaho 35.0% 188.5 192.1 35.6% 161.7 174.5

Illinois 26.0% 175.8 196.6 25.4% 155.2 183.0

Indiana 39.5% 138.7 153.6 39.9% 121.6 141.3

Iowa 26.0% 142.8 160.8 27.2% 124.8 148.4

Kansas 36.3% 152.2 172.7 37.3% 132.4 156.7

Kentucky 40.5% 146.6 163.8 40.4% 132.8 149.8

Louisiana 42.9% 167.9 189.4 44.0% 150.4 177.0

Maine 35.8% 181.3 194.6 33.3% 166.2 180.2

Maryland 44.5% 280.2 260.8 40.2% 251.9 246.7

Massachusetts 23.4% 284.1 275.5 19.9% 252.5 254.6

Michigan 26.1% 142.9 166.1 27.0% 123.1 151.1

Minnesota 25.4% 192.8 204.6 25.9% 169.5 189.8

Mississippi 50.6% 149.4 167.4 52.8% 131.7 157.5

Missouri 36.1% 149.1 169.1 36.8% 132.3 155.7

Montana 31.2% 209.3 210.3 32.0% 182.0 191.2

Nebraska 31.4% 158.9 167.2 35.8% 134.8 153.2

Nevada 40.4% 229.5 219.7 41.0% 195.3 197.1

New Hampshire 32.3% 225.4 219.0 30.5% 208.1 201.7

New Jersey 29.6% 247.9 261.7 28.4% 232.5 248.5

New Mexico 43.4% 175.1 184.6 44.3% 156.0 172.5

New York 26.9% 240.1 263.7 26.8% 204.5 242.1

North Carolina 34.9% 175.9 197.4 36.3% 154.4 183.9

North Dakota 27.9% 205.7 202.7 27.2% 179.6 185.0

Ohio 36.7% 139.6 154.8 38.1% 124.9 143.9

Oklahoma 46.7% 150.6 168.5 50.5% 130.9 156.6

Oregon 27.4% 244.5 248.6 26.0% 208.5 220.3

Pennsylvania 33.8% 166.0 190.8 34.1% 151.7 180.4

Rhode Island 37.3% 218.6 214.4 34.4% 199.7 202.7

South Carolina 40.2% 179.9 189.1 39.4% 157.6 176.9

South Dakota 36.4% 172.7 180.2 37.3% 154.2 164.5

Tennessee 41.2% 175.7 194.3 43.3% 149.5 177.5

Texas 35.3% 190.8 209.3 38.8% 152.2 190.5

Utah 31.1% 228.2 238.9 32.4% 200.0 217.3

Vermont 23.0% 192.5 193.3 20.1% 181.3 182.2

Virginia 45.1% 270.4 258.1 42.1% 242.6 243.9

Washington 31.8% 271.3 271.9 30.8% 231.2 242.3

West Virginia 48.0% 152.6 154.4 46.2% 138.6 146.6

Wisconsin 22.7% 162.8 173.3 21.9% 146.5 160.6

Wyoming 41.4% 209.2 207.2 42.0% 192.9 194.8

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

Ginnie Mae loans constitute 32.6 percent of outstanding agency issuance by loan balance, 33.6 percent of the 

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

outstandings (as measured by loan balance) as low as 17.7 percent in the District of Columbia and as high as 52.8 

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

13
State of the US Housing Market

$10.5

$14.9

$25.4

0

5

10

15

20

25

30

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

Q3

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

Sources: Federal Reserve Flow of Funds and Urban Institute. Data as of Q3 2017.

$0.5

$0.6

$6.3

$3.2

0

1

2

3

4

5

6

7

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

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, Fannie Mae, Freddie Mac, eMBS and Urban Institute.

Note: Unsecuritized first liens includes loans held by commercial banks, GSEs, savings institutions, and credit unions. Data as of Q3 2017.

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

market driven by growing household equity since 2012, and 2017 Q3 was no different. While total debt and 

mortgages was stable at $10.5 trillion, household equity reached a new high of $14.9 trillion, bringing the total 

value of the housing market to $25.4 trillion, surpassing the pre-crisis peak of $23.9 trillion in 2006. Agency MBS 

make up 59.7 percent of the total mortgage market, private-label securities make up 4.6 percent, and 

unsecuritized first liens at the GSEs, commercial banks, savings institutions, and credit unions make up 30.2 

percent. Second liens comprise the remaining 5.5 percent of the total.

14
State of the US Housing Market

As of December 2017, outstanding securities in the agency market totaled $6.38 trillion and were 43.7 percent 

Fannie Mae, 27.5 percent Freddie Mac, and 28.8 percent Ginnie Mae. Ginnie Mae has more outstandings than 

Freddie Mac. Within the Ginnie Mae market, VA has been growing very rapidly--comprising 33.0 percent of total 

Ginnie Mae outstandings.

$2.8

$1.8

$1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Jun-01

Dec-01

Jun-02

Dec-02

Jun-03

Dec-03

Jun-04

Dec-04

Jun-05

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

Dec-08

Jun-09

Dec-09

Jun-10

Dec-10

Jun-11

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

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

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

$1.1

$0.6

$0.1

0

0

0

1

1

1

1

Jun-01

Dec-01

Jun-02

Dec-02

Jun-03

Dec-03

Jun-04

Dec-04

Jun-05

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

Dec-08

Jun-09

Dec-09

Jun-10

Dec-10

Jun-11

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

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

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

15
State of the US Housing Market

$0.61

$0.33

$0.01

$0.39

$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

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 2017.

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

Q1-Q3

First Lien Origination Share

After a record origination year in 2016 ($2.1 trillion), the highest since the great recession, first lien originations 

totaled $1.3 trillion in the first three quarters of 2017. It was down 9 percent from the same period last year, 

mostly due to the elevated interest rates. The share of portfolio originations was 29 percent, down slightly from 30 

percent in 2016. The GSE share stayed at about 45 percent. The FHA/VA share was slightly up: 25 percent for the 

first three quarters of 2017 versus 24 percent in 2016. Origination of private-label securities was well under 1 

percent in both periods.

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q3 2017. 

28.8%

0.4%

25.0%

45.4%

16
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total Agency

2000 $80.2 $18.8 $3.2 $102.2

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2017 %Change YOY -8.7% -13.8% 2.0% -10.3%

Agency Gross Issuance

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

2000 $202.8 $157.9 $360.6 $102.2 $462.8

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

2017 %Change YOY -11.5% -11.6% -11.5% -10.3% -11.1%

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 December 2017.

Agency gross issuance totaled $1,333 billion in 2017, down by 11.1 percent compared to 2016. Ginnie Mae 

issuance was down by 10.3 percent and GSE gross issuance was down by 11.5 percent. Within the Ginnie Mae 

market, FHA is down by 8.7 percent and VA origination is down by 13.8 percent. As a result of higher rates, 

originations for 2017 are down substantially compared to 2016.

17
US Agency Market, Originations

Debt,

household 

mortgages,

$9,833

Ginnie Mae Breakdown: Net Issuance

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.0 $29.3

2001 $0.7 -$10.6 $0.0 -$9.9

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

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

2004 -$45.2 $5.1 $0.0 -$40.1

2005 -$37.3 -$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

2017 %Change YOY 8.1% 3.4% -18.5% 4.1%

Agency Net Issuance

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

2000 $92.0 $67.8 $159.8 $29.3 $189.1

2001 $216.6 $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 $57.5 $11.6 $69.1 $87.9 $157.0

2014 $0.5 $30.0 $30.5 $61.6 $92.1

2015 $10.2 $65.0 $75.1 $97.3 $172.5

2016 $68.6 $66.8 $135.5 $125.3 $260.8

2017 $90.2 $78.2 $168.5 $131.3 $299.7

2017 %Change YOY 31.5% 17.0% 24.3% 4.1% 14.6%

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 December 2017.

Agency net issuance totaled $299.7 billion in 2017, up 14.6 percent compared to 2016. Ginnie Mae net issuance 

was $131.3 billion, comprising 44 percent of total agency net issuance. Note that Ginnie Mae net issuance is up 

4.1 compared to 2016. Ginnie Mae net issuance is comprised of 58.0 percent VA issuance, 38.2 percent FHA 

issuance and 3.8 percent other issuance.

18
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 December 2017.

Agency gross issuance totaled $111.5 billion in December 2017, down slightly from $118.5 billion of issuance in 

November 2017. Since March 2017, monthly agency gross issuance has been lower than in the same period in 

2016, reflecting higher mortgage rates. 

Date

Gross Issuance Net Issuance

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

Jan-14 $28.2 $20.0 $21.6 -$4.9 $0.5 $4.9

Feb-14 $27.9 $17.9 $20.1 -$0.2 $1.2 $5.2

Mar-14 $24.1 $14.7 $16.7 -$2.3 -$0.9 $1.9

Apr-14 $28.0 $18.7 $21.7 -$1.9 $1.2 $5.2

May-14 $27.7 $18.1 $23.9 -$3.7 $0.0 $4.9

Jun-14 $32.1 $20.7 $24.9 -$0.4 $1.8 $4.5

Jul-14 $36.3 $23.2 $27.4 $0.6 $2.6 $5.4

Aug-14 $34.2 $28.4 $30.0 -$2.7 $7.4 $7.9

Sep-14 $39.6 $25.9 $27.0 $4.8 $5.6 $5.2

Oct-14 $39.5 $25.8 $29.9 $4.3 $6.2 $8.4

Nov-14 $32.0 $23.1 $26.4 -$3.0 $2.7 $4.2

Dec-14 $43.3 $21.6 $26.7 $9.9 $1.8 $4.1

Jan-15 $36.8 $22.9 $27.5 -$1.2 $0.8 $2.5

Feb-15 $35.4 $29.9 $23.9 $1.5 $10.1 $2.9

Mar-15 $44.8 $26.0 $30.7 $3.1 $1.1 $0.6

Apr-15 $49.3 $33.8 $40.6 -$1.2 $3.8 $4.3

May-15 $42.4 $33.2 $39.4 -$2.9 $6.6 $5.8

Jun-15 $44.6 $34.4 $40.5 $0.8 $8.3 $9.1

Jul-15 $46.0 $39.2 $45.6 $1.0 $12.3 $13.3

Aug-15 $39.4 $27.6 $43.4 -$2.2 $3.1 $14.9

Sep-15 $45.3 $30.4 $39.4 $7.6 $7.9 $12.7

Oct-15 $41.5 $28.4 $39.2 $4.8 $6.4 $12.4

Nov-15 $28.8 $23.3 $35.8 -$8.1 $1.3 $10.6

Dec-15 $39.7 $22.8 $30.3 $7.1 $3.2 $8.2

Jan-16 $35.6 $22.5 $32.5 -$0.6 $1.0 $7.3

Feb-16 $32.4 $21.2 $30.5 $2.4 $3.1 $8.4

Mar-16 $39.7 $27.5 $32.9 $7.9 $8.2 $9.6

Apr-16 $43.8 $26.2 $40.1 $0.8 -$0.2 $8.8

May-16 $44.2 $29.9 $41.6 $2.4 $4.4 $11.4

Jun-16 $46.7 $30.1 $43.9 $2.7 $3.0 $11.9

Jul-16 $49.8 $35.3 $46.1 $2.3 $6.3 $10.8

Aug-16 $54.9 $37.9 $46.7 $10.4 $11.0 $13.8

Sep-16 $65.8 $44.0 $52.5 $8.7 $9.0 $12.5

Oct-16 $66.0 $35.9 $47.4 $11.8 $2.7 $9.3

Nov-16 $48.8 $40.2 $47.2 -$3.5 $7.9 $10.3

Dec-16 $72.7 $40.5 $46.8 $23.3 $10.4 $10.8

Jan-17 $55.6 $38.5 $42.6 $10.3 $10.7 $10.3

Feb-17 $37.6 $27.4 $33.1 $3.1 $6.5 $9.2

Mar-17 $39.5 $24.4 $31.3 $10.3 $6.2 $9.6

Apr-17 $39.3 $21.2 $36.4 $4.8 $0.4 $11.7

May-17 $40.3 $22.6 $36.4 $7.6 $2.7 $13.1

Jun-17 $45.7 $25.1 $39.9 $8.3 $2.4 $13.2

Jul-17 $45.3 $27.6 $40.6 $5.8 $3.5 $12.1

Aug-17 $49.1 $29.3 $42.8 $12.0 $6.7 $15.6

Sep-17 $47.3 $27.9 $40.2 $7.4 $3.8 $10.5

Oct-17 $42.9 $34.6 $38.4 $6.4 $12.5 $10.7

Nov-17 $43.5 $37.2 $37.8 $4.6 $13.6 $8.2

Dec-17 $45.3 $30.0 $36.2 $9.6 $8.2 $6.8

Monthly Agency Issuance

19
US Agency Market, Originations

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Jun-04

Dec-04

Jun-05

Dec-05

Jun-06

Dec-06

Jun-07

Dec-07

Jun-08

Dec-08

Jun-09

Dec-09

Jun-10

Dec-10

Jun-11

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

Mortgage Rate

Percent Refi

Percent Refi at Issuance

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

28.1%

45.7%

3.80%

0%

10%

20%

30%

40%

50%

60%

70%

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

Percent Refi

Percent Refi at Issuance: Ginnie Mae Breakdown

FHA VA Other

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

Sources: eMBS and Urban Institute.

Note: Based on at-issuance balance. “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s 

Rural Development. Data as of December 2017.

The Ginnie Mae refi share stood at 33 percent in December 2017, below the 45 and 48 percent shares for Fannie 

Mae and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share at 46 percent in December 

2017, followed by FHA’s 28 percent refi share. 

20
Credit Box

37.9%

42.9%

70.7%

52.0%

20%

30%

40%

50%

60%

70%

80%

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

First-time homebuyer share (%)

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

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

First time homebuyers are important to the Ginnie Mae market, comprising 71 percent of purchase originations, 

compared to Fannie and Freddie’s respective 43 percent and 38 percent share of the first-time homebuyer 

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

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

a much higher LTV and a similar DTI, thus paying a higher interest rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount ($ ) 230,486 257,220 226,954 246,519 201,359 246,099 214,955 250,716 

Credit Score 737.3 753.4 742.0 754.8 681.2 701.8 709.6 739.4

LTV (%) 87.7 79.1 85.6 78.5 96.9 95.5 92.0 83.5

DTI (%) 36.2 36.5 35.1 35.7 41.0 42.0 38.4 37.7

Loan Rate (%) 4.20 4.04 4.12 4.02 4.15 4.01 4.16 4.03

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 December 2017.

21
Credit Box

76.9%

54.1%

80.9%

70.7%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

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

First-time homebuyer share (%)

First Time Homebuyer Share: 

Ginnie Mae Purchase Only Loans Breakdown by Source

FHA VA Other All

Sources: eMBS and Urban Institute. Note: Data as of December 2017. “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, 77 percent of FHA loans, 54 percent of VA loans and 81 percent of other 

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

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

smaller loan and have a lower credit score, and similar LTVs and DTIs, thus paying a higher interest rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount ($) 199,308 220,880 237,528 285,649 142,141 156,343 201,359 246,099 

Credit Score 673.3 678.9 697.9 726.6 695.6 699.1 681.2 701.8

LTV (%) 95.5 94.1 99.8 96.5 99.3 99.6 96.9 95.5

DTI (%) 42.3 43.4 40.2 41.3 35.0 36.0 41.0 42.0

Loan Rate (%) 4.22 4.14 3.99 3.87 4.04 4.11 4.15 4.01

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

22
Credit Box

Sources: Credit Bureau Data and Urban Institute. 

Note: Data as of August 2016.

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

300 502 524 583 676 772 813 822 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

308 569 613 680 751 801 818 824 839

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

mortgage (680).

23
Debt,

household 

mortgages,

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 273,386 645 682 731 776 798 726 

Fannie 99,099 681 715 755 786 801 747 

Freddie 71,678 688 720 759 788 802 751 

Ginnie 102,609 624 647 679 724 769 687 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 196,631 647 684 728 772 797 724 

Fannie 89,371 661 695 739 778 799 734 

Freddie 62,599 673 706 746 781 800 740 

Ginnie 44,661 614 644 680 723 767 684 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 470,017 645 682 730 774 797 725 

Fannie 188,470 670 705 748 782 800 741 

Freddie 134,277 681 713 754 785 801 746 

Ginnie 147,270 622 646 680 724 769 686 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 102,609 624 647 679 724 769 687 

FHA 62,985 621 641 669 704 743 675 

VA 29,640 632 662 710 763 793 711 

Other 9,984 641 660 692 730 766 696 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 44,661 614 644 680 723 767 684 

FHA 22,291 603 633 664 699 739 667 

VA 22,058 628 659 698 745 781 700 

Other 312 624 665 701 742 781 700 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 147,270 622 646 680 724 769 686 

FHA 85,276 616 640 668 702 742 673 

VA 51,698 631 660 704 756 789 706 

Other 10,296 641 660 693 731 766 696 

December 2017 Credit Box at a Glance

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

Agriculture’s Rural Development. Data as of December 2017.

In December 2017, the median Ginnie Mae FICO score was 680 versus 748 for Fannie and 754 for Freddie. Note that 

the FICO score for the 10th percentile was 622 for Ginnie Mae, versus 670 for Fannie and 681 for Freddie. Within the 

Ginnie Mae market, FHA loans have a median FICO score of 668, VA loans have a median FICO score of 704 and 

other loans have a median FICO score of 693.

24
December 2017 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 273,886 70.0 80.0 95.0 96.5 100.0 87.2 

Fannie 99,162 64.0 80.0 80.0 95.0 97.0 82.4 

Freddie 71,888 61.0 75.0 80.0 94.0 95.0 80.5 

Ginnie 102,836 93.0 96.5 96.5 100.0 102.0 96.5 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 199,407 45.0 60.0 74.0 80.0 93.0 70.9 

Fannie 89,377 43.0 57.0 70.0 79.0 80.0 66.1 

Freddie 62,783 41.0 56.0 70.0 79.0 80.0 65.8 

Ginnie 47,247 69.8 81.7 86.7 97.5 100.0 86.7 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 473,293 55.0 72.0 80.0 95.0 97.3 80.3 

Fannie 188,539 50.0 66.0 80.0 89.0 95.0 74.7 

Freddie 134,671 49.0 65.0 79.0 83.0 95.0 73.7 

Ginnie 150,083 81.7 91.2 96.5 100.0 101.0 93.4 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 102,836 93.0 96.5 96.5 100.0 102.0 96.5 

FHA 63,084 93.0 96.5 96.5 96.5 96.5 95.2 

VA 29,707 91.1 100.0 100.0 102.2 103.3 98.3 

Other 10,045 95.4 99.2 101.0 101.0 101.5 99.3 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 47,247 69.8 81.7 86.7 97.5 100.0 86.7 

FHA 22,841 68.9 80.5 86.5 88.4 97.8 83.6 

VA 24,021 70.7 83.4 93.4 100.0 102.2 89.5 

Other 385 76.1 88.2 96.1 100.8 102.0 92.1 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 150,083 81.7 91.2 96.5 100.0 101.0 93.4 

FHA 85,925 82.4 89.9 96.5 96.5 96.5 92.1 

VA 53,728 78.8 91.0 100.0 100.0 103.0 94.4 

Other 10,430 94.7 99.0 101.0 101.0 101.6 99.1 

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 December 2017.

In December 2017, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, and 79-80 percent for 

Fannie Mae and Freddie Mac. The 10th percentile was 81.7 percent for Ginnie Mae and 49-50 percent for the GSEs. 

Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 100.0 for VA and 101.0 for other programs. 

25
Debt,

household 

mortgages,

$9,833

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 273,487 24.0 31.0 39.0 45.0 49.3 37.8 

Fannie 99,159 23.0 30.0 38.0 44.0 48.0 36.2 

Freddie 71,882 22.0 29.0 36.0 43.0 47.0 35.2 

Ginnie 102,446 28.4 35.0 42.0 48.4 53.6 41.3 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 183,483 22.0 29.0 38.0 44.1 49.0 36.6 

Fannie 87,974 22.0 29.0 37.0 44.0 48.0 36.1 

Freddie 61,722 22.0 28.0 36.0 43.0 47.0 35.0 

Ginnie 33,787 25.9 33.5 41.5 48.3 53.4 40.4 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 456,970 23.0 30.3 38.4 45.0 49.0 37.3 

Fannie 187,133 22.0 29.0 37.0 44.0 48.0 36.2 

Freddie 133,604 22.0 28.0 36.0 43.0 47.0 35.1 

Ginnie 136,233 27.8 34.6 41.9 48.4 53.5 41.1 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 102,446 28.4 35.0 42.0 48.4 53.6 41.3 

FHA 63,058 29.7 36.6 43.6 49.7 54.2 42.5 

VA 29,467 27.2 34.0 41.3 47.9 53.2 40.7 

Other 9,921 25.7 30.7 36.2 40.4 43.3 35.2 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 33,787 25.9 33.5 41.5 48.3 53.4 40.4 

FHA 17,542 27.2 34.8 42.8 48.9 53.6 41.4 

VA 15,975 24.9 32.3 40.3 47.6 53.0 39.6 

Other 270 16.3 22.3 31.4 39.4 44.8 31.0 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 136,233 27.8 34.6 41.9 48.4 53.5 41.1 

FHA 80,600 29.2 36.2 43.5 49.5 54.1 42.3 

VA 45,442 26.3 33.4 41.0 47.8 53.1 40.3 

Other 10,191 25.4 30.5 36.1 40.4 43.3 35.1 

December 2017 Credit Box at a Glance

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

Agriculture’s Rural Development. Data as of December 2017.

In December 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.9 percent, considerably higher than 

the 36-37 percent median DTIs for Fannie Mae and Freddie Mac. The 90th percentile for Ginnie Mae was 53.5 

percent, also much higher than the 47-48 percent DTIs for the GSEs. Within the Ginnie Mae market, the median 

FHA DTI ratio was 43.5 percent, versus 41.0 percent for VA and 36.1 percent for other lending programs. 

26
Credit Box: Historical

660

680

700

720

740

760

780

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

FICO Scores

FICO Scores for Purchase Loans 

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

660

680

700

720

740

760

780

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

748

754

680

730

660

680

700

720

740

760

780

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

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

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

The median FICO score for all agency MBS originated in December now stands at 730, stable since last month. 

The figures clearly show that the median FICO score for Ginnie Mae borrowers has always been considerably 

lower than for GSE borrowers. The difference between Ginnie Mae and GSE borrowers is wider in purchase 

loans than in refi loans.

27
Credit Box: Historical

79.0

96.5

80.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

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

Loan-to-Value Ratio

LTV Ratio for All Loans

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

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

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

LTV Ratio for Refinance Loans

Freddie Median LTV Fannie Median LTV

Ginnie Median LTV All Median LTV

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

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

Loan-to-Value Ratio

LTV Ratio for Purchase 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 75-80 

percent for the GSEs. Through time, both Ginnie Mae and GSE refinances have LTVs about 10 points lower 

than their purchase counterparts. 

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 December 

2017.

28
Credit Box: Historical

36.0

37.0

41.9

38.4

32.0

34.0

36.0

38.0

40.0

42.0

44.0

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

Debt-to-Income Ratio

DTI Ratio for All Loans

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

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

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

DTI Ratio for Refinance Loans 

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

30.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

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

Debt-to-income Ratio

DTI Ratio for Purchase Loans

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

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

Sources: eMBS and Urban Institute. 

Note: Data as of December 2017

Sources: eMBS and Urban Institute. 

Note: Data as of December 2017

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

than the GSEs. DTIs have been inching up this past year for both Ginnie Mae and GSE loans, with the movement 

more pronounced for Ginnie Mae loans.

29
Ginnie Mae Non-bank Originators

Sources: eMBS and Urban Institute

Note: Data as of December 2017.

Sources: eMBS and Urban Institute

Note: Data as of December 2017.

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

Development. Data as of December 2017.

The non-bank originator share of Ginnie Mae originations remained constant at 80 percent in December 

2017, the highest level in recent history. The non-bank share of VA issuance stayed at 76 percent in 

December, while the non-bank share of FHA issuance edged up to 84 percent and Other issuance was flat at 

81 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Non-bank originator share

Ginnie Mae Non-bank Originator Share: All Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Non-bank originator share

Ginnie Mae Non-bank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

Ginnie Mae Non-bank Share: Refi

Loans

All FHA VA Other

84%

81%

80%

76%

30
All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 146,295 622 646 680 724 769 686

Bank 30,142 641 664 702 752 788 707

Non-Bank 116,153 620 643 675 716 760 681

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 84,632 616 640 668 703 742 673

Bank 14,924 636 656 683 721 759 690

Non-Bank 69,708 613 636 664 698 736 669

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 51,433 631 660 704 756 789 706

Bank 13,130 647 680 729 777 798 726

Non-Bank 38,303 627 655 697 747 782 700

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 10,230 641 660 693 731 767 696

Bank 2,088 645 670 713 755 784 710

Non-Bank 8,142 640 658 689 724 759 693

Ginnie Mae Non-bank Originators: 

December 2017 Credit Box

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

Agriculture’s Rural Development. Data as of December 2017.

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

scores than do bank originators. Overall, the median Ginnie Mae FICO score is 680-- it is 702 for bank borrowers 

versus 675 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 683 versus 

664 for non-banks. For VA borrowers, the median FICO score for bank originators is 729 versus 697 for non-banks. 

For “Other” loans, the median FICO score for bank originators is 713 versus 689 for non-banks.

31
All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 149,104 81.6 91.1 96.5 100.0 101.0 93.4

Bank 30,226 83.9 94.1 96.5 100.0 101.0 94.2

Non-Bank 118,878 81.3 90.2 96.5 99.3 101.0 93.2

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 85,279 82.3 89.9 96.5 96.5 96.5 92.1

Bank 14,993 85.5 94.6 96.5 96.5 97.3 93.3

Non-Bank 70,286 81.4 88.3 96.5 96.5 96.5 91.8

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 53,462 78.8 91.0 100.0 100.0 103.0 94.4

Bank 13,123 78.4 91.1 100.0 100.0 102.4 94.1

Non-Bank 40,339 78.9 90.9 100.0 101.2 103.2 94.4

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 10,363 94.8 99.0 101.0 101.0 101.6 99.1

Bank 2,110 97.3 100.9 101.0 102.0 102.0 100.4

Non-Bank 8,253 94.2 98.7 100.9 101.0 101.0 98.8

Ginnie Mae Non-bank Originators: 

December 2017 Credit Box

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

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

marginally higher than their non-bank counterparts.

Sources: eMBS and Urban Institute. 

Note: “Other“ refers to loans insured by HUD’s Office of Public and Indian Housing and the Department of Agriculture’s Rural Development. 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 December 2017. 

32
All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 135,269 27.8 34.7 41.9 48.4 53.5 41.1 

Bank 28,859 26.3 33.2 40.5 46.8 52.3 39.7 

Non-Bank 106,410 28.2 35.0 42.3 48.8 53.8 41.5 

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 79,955 29.2 36.2 43.5 49.5 54.1 42.3 

Bank 14,354 28.6 35.5 42.3 48.1 53.3 41.4 

Non-Bank 65,601 29.3 36.4 43.8 49.7 54.2 42.5 

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 45,190 26.3 33.4 41.0 47.8 53.1 40.3 

Bank 12,468 24.4 31.4 39.1 46.0 51.6 38.6 

Non-Bank 32,722 27.2 34.2 41.7 48.3 53.5 41.0 

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 10,124 25.4 30.5 36.1 40.4 43.3 35.1 

Bank 2,037 24.8 30.0 36.0 40.7 43.7 35.0 

Non-Bank 8,087 25.6 30.7 36.1 40.3 43.2 35.1 

Ginnie Mae Non-bank Originators: 

December 2017 Credit Box

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

conservative. That is, the median DTI ratio for bank originators is 40.5, versus 42.3 for non-banks. 

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

Agriculture’s Rural Development. Data as of December 2017.

33
670

680

690

700

710

720

730

740

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

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: 

Historical Credit Box

Sources: eMBS and Urban Institute

Note: Data as of December 2017

Sources: eMBS and Urban Institute

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

and the Department of Agriculture’s Rural Development. Data as of December 2017.

The FICO scores for both Ginnie Mae bank and nonbank originators remained relatively stable in December. 

The spread in the FICO scores between banks and non-banks remains at their widest level since the data 

became available in 2013.

660

665

670

675

680

685

690

695

700

705

710

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

FICO score

Ginnie Mae FICO Scores: 

Bank vs. Nonbank

All Median FICO Bank Median FICO

Nonbank Median FICO

660

665

670

675

680

685

690

695

700

705

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

Ginnie Mae FHA FICO Scores: Bank 

vs. Nonbank

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

670

680

690

700

710

720

730

740

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

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

34
Prepayments

0%

5%

10%

15%

20%

25%

30%

Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

10%

15%

0%

5%

10%

15%

20%

25%

30%

35%

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

Constant Prepayment Rate (%)

2015 Issued 3.5 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

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

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

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

speeds than either FHA or GSE loans. This also reflects the fact that FHA streamlined refinances apply to a wide range 

of borrowers and unlike GSE streamlined refinances, requires no credit report and no appraisal. Some of the upfront 

mortgage insurance premium can also be applied to the refinanced loan. Moreover, both FHA and VA permit 

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

increase in interest rates since November 2016, the prepayment speeds for all agencies have slowed down 

considerably. In 2017, with the bulk of the mortgage universe finding it non-economic to refinance, the muted month 

to month variations in speeds reflect seasonality, changes in day count and changes in mortgage rates. With mortgage 

rates substantially above 4%, we would expect prepayment speeds in the coming months to be more muted than the 

same month in 2017.

13%

12%

9%

8%

35
Prepayments

7%

11%

0%

5%

10%

15%

20%

25%

Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18

Constant Prepayment Rate (%)

2013 Issued 3.0 Coupon CPR

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

0%

5%

10%

15%

20%

25%

30%

Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18

Constant Prepayment Rate (%)

2012 Issued 3.5 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

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

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

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

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

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

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

are more prepayment responsive than either FHA or Conventional loans. After a sharp mortgage rate rise in 

November 2016, the prepayment speeds of Ginnie and Conventional loans both fell dramatically. In 2017, with 

the bulk of the mortgage universe finding it non-economic to refinance, the muted month to month variations in 

speeds reflect seasonality, changes in day count and changes in mortgage interest rates. With mortgage rates 

substantially above 4%, we would expect prepayment speeds in the coming months to be more muted than the 

same month in 2017.

13%

9%

36
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18

Constant Prepayment Rate (%)

2011 Issued 4.5 Coupon CPR

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

0%

5%

10%

15%

20%

25%

30%

35%

Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18

Constant Prepayment Rate (%)

2011 Issued 4.0 Coupon CPR

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

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

Sources: Credit Suisse and Urban Institute. Note: Data as of January 2018.

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

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

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

for all agencies have slowed down considerably. In 2017, with the bulk of the mortgage universe finding it noneconomic to refinance, the muted month to month variations in speeds reflect seasonality, changes in day 

count and changes in mortgage interest rates. With mortgage rates substantially above 4%, we would expect 

prepayment speeds in the coming months to be more muted than the same month in 2017.

14% 

12%

11%

16%

14%

13%

37
Reverse Mortgage Volumes

$1.4

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

$ Billions

HMBS Issuance Volume

$56 

$0

$10

$20

$30

$40

$50

$60

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

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

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

Ginnie Mae reverse mortgage volumes remain steady, with issuance of $1.4 billion in December. Outstanding 

securities totaled $56.0 billion in December.

38
Multifamily Market

$1.6

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

$ Billions

Ginnie Mae Multifamily MBS Issuance

$107.7

$0

$20

$40

$60

$80

$100

$120

Jun-10

Aug-10

Oct-10

Dec-10

Feb-11

Apr-11

Jun-11

Aug-11

Oct-11

Dec-11

Feb-12

Apr-12

Jun-12

Aug-12

Oct-12

Dec-12

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

Dec-17

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

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

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

Ginnie Mae multifamily issuance volumes in December totaled $1.6 billion. Outstanding multifamily securities 

totaled $107.7 billion in December.

39
Market Conditions

Sources: SIFMA and Urban Institute. Note: Data as of January 2018.

$236 

$508 

$37 

$0

$100

$200

$300

$400

$500

$600

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)

3.67%

3.51%

0.42% 0%

2%

4%

6%

8%

10%

12%

14%

1997 2000 2003 2006 2009 2012 2015 2018

$Billions

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume in January 2018 has been slightly more robust than in the 2014-2017 period. 

Agency MBS turnover has been higher in 2018 than in 2017; in January 2018, daily MBS turnover was 3.67 

percent versus 3.36 percent in 2017. Note that average daily Treasury turnover is also down dramatically from 

its 2005 peak. Corporate turnover is miniscule relative to either Agency MBS or Treasury turnover. 

Sources: SIFMA and Urban Institute. Note: Data as of January 2018.

40
Market Conditions

$208.6

150

200

250

300

350

400

450

500

550

600

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

$ Billions

Repo Volume: Securities In

$33.8

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

$ 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 January 2018.

Sources: Federal Reserve Bank of New York Primary Dealer Statistics and Urban Institute. Note: Data as of January 2018.

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

positions are likely down more. The volume of repurchase activity is down sharply. This reflects banks cutting 

back on lower margin businesses. 

41
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

GSEs

Commercial Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual 

Funds

Money Market and Pension Funds

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q3 2017.

Credit Unions

Foreign Investors

The largest holders of agency debt (Agency MBS + Agency notes and bonds) include the Federal Reserve (20 

percent), commercial banks (20 percent) and foreign investors (11 percent). The broker/dealer and GSE shares 

are a fraction of what they once were. 

% of Total Agency 

Debt by Owner

42
MBS Ownership

Debt,

household 

mortgages,

$9,833

Sources: Federal Reserve Flow of Funds and Urban Institute. Note: Data as of Q3 2017.

70.7%

50%

55%

60%

65%

70%

75%

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

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

Sources: Federal Reserve Bank and Urban Institute. Note: Data as of January 2018.

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. For Q3 2017, the MBS share of total agency 

debt stood at 70.7 percent. Commercial banks are now the largest holders of Agency MBS. Out of their $1.8 trillion 

in holdings as of the end of January 2018, $1.3 trillion of it was held by the top 25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Jan-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Jan 10 Jan 17 Jan 24 Jan 31

Largest Domestic 

Banks 1226.2 1286.7 1290.8 1299.3 1309.2 1312.7 1318.6 1311.1 1311 1313.3 1303.8 1303.4

Small Domestic 

Banks 458.1 471.6 474.5 477.2 478.2 477.4 476.4 477.3 475.1 475.9 478.1 475.4

Foreign Related 

Banks 12.8 12.4 12.8 12.1 12.3 19.4 38.8 19.4 37.3 36.5 37 35.8

Total, 

Seasonally

Adjusted 1697.1 1770.7 1778.1 1788.6 1799.7 1809.5 1833.8 1807.8 1823.4 1825.7 1818.9 1814.6

43
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 $323,833 $189,098 $120,870 $13,317 $548 17.60%

2 Wells Fargo & Company $236,485 $189,928 $35,691 $4,683 $6,184 12.90%

3 JP Morgan Chase & Co. $107,090 $71,767 $23,434 $497 $11,392 5.80%

4 U S. Bancorp. $77,867 $33,491 $10,859 $33,516 $1 4.20%

5 Charles Schwab Bank $68,072 $40,328 $12,454 $15,290 $0 3.70%

6 Citigroup Inc. $67,005 $50,868 $1,693 $9,508 $4,936 3.60%

7 Capital One Financial Corporation $52,701 $17,613 $11,747 $22,075 $1,265 2.90%

8 Bank of New York Mellon Corp. $52,005 $31,031 $2,146 $16,722 $2,106 2.80%

9 PNC Bank, National Association $42,494 $31,655 $4,557 $3,156 $3,125 2.30%

10 Branch Banking and Trust Company $36,678 $11,847 $5,850 $20,373 $608 2.10%

11 State Street Bank and Trust Company $30,004 $4,141 $6,432 $10,336 $9,096 1.60%

12 Morgan Stanley $25,382 $9,996 $7,793 $7,593 $0 1.40%

13 KeyBank National Association $25,189 $944 $1,197 $23,048 $0 1.40%

14 E*TRADE Bank $23,235 $13,673 $3,703 $5,854 $0 1.30%

15 SunTrust Bank $23,089 $11,976 $11,050 $0 $62 1.30%

16 HSBC Banks USA, National Association $21,865 $5,525 $7,982 $8,354 $5 1.20%

17 MUFG Union Bank, National Association $18,848 $6,175 $5,447 $6,675 $551 1.00%

18 Regions Bank $18,550 $11,258 $5,154 $2,135 $3 1.00%

19 Ally Bank $16,252 $8,871 $2,816 $2,440 $2,125 0.90%

20 Fifth Third Bank $15,933 $3,539 $3,879 $8,515 $0 0.90%

Total Top 20 $1,282,576 $743,723 $284,753 $214,088 $42,008 69.90%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q3 2017

Out of the $1.8 trillion in MBS holdings at banks and thrifts, $1.4 trillion is in agency pass-through form: $1.0 

trillion in GSE pass-throughs and $351.9 billion in Ginnie Mae pass-throughs. There are another $418.1 billion in 

Agency CMOs. Non-agency holdings total $56.1 billion. Ginnie Mae pass-throughs have been the fastest growing 

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

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

All Banks & Thrifts ($Billions)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Bank and Thrift Residential MBS Holdings

44
MBS Ownership

$911.7

$389.4

$522.3

0

100

200

300

400

500

600

700

800

900

1,000

Feb-13

Apr-13

Jun-13

Aug-13

Oct-13

Dec-13

Feb-14

Apr-14

Jun-14

Aug-14

Oct-14

Dec-14

Feb-15

Apr-15

Jun-15

Aug-15

Oct-15

Dec-15

Feb-16

Apr-16

Jun-16

Aug-16

Oct-16

Dec-16

Feb-17

Apr-17

Jun-17

Aug-17

Oct-17

$ Billions

Monthly Agency MBS Holdings by Foreigners

Total Agency MBS Held by Foreigners Foreign Official Foreign Private

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

Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of Q3 2017.

14.6%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%

14.0%

14.5%

15.0%

Q1 2012Q2 2012Q3 2012Q4 2012Q1 2013Q2 2013Q3 2013Q4 2013Q1 2014Q2 2014Q3 2014Q4 2014Q1 2015Q2 2015Q3 2015Q4 2015Q1 2016Q2 2016Q3 2016Q4 2016Q1 2017Q2 2017Q3 2017

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

Foreign investors hold 14.6 percent of agency MBS, up from the lows in 2013. For the month of October, this 

represents $911.7 billion in Agency MBS, $389.4 billion held by foreign official institutions and $522.3 billion 

held by foreign private investors. 

45
MBS Ownership

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

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

Note: *calculated based on June 2016 report with amount asset backed per country. Revised to include Top 10 holders of MBS listed as of 

June 2016. Monthly data as of October 2017.

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

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

while China has contracted. For the first ten months of 2017, we estimate Japan and Taiwan have each added more 

than $25 billion in agency MBS.

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

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Oct-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017

Q3 

2017 Oct-17

Taiwan 207,164 208,352 204,005 212,707 227,236 229,030 233,069 1,188 -4,347 8,702 14,529 1,794 4,039

China 195,933 191,743 184,151 187,664 183,396 177,580 174,815 -4,190 -7,592 3,513 -4,268 -5,816 -2,765

Japan 197,101 222,116 220,644 214,838 227,721 244,163 245,078 25,015 -1,472 -5,806 12,883 16,442 915

Ireland 47,635 48,307 47,065 46,178 45,353 46,393 47,429 672 -1,242 -887 -825 1,040 1,036

South Korea 50,323 50,072 49,000 44,349 46,577 47,581 48,073 -251 -1,072 -4,651 2,228 1,004 492

Luxembourg 32,164 32,549 35,352 29,014 29,229 29,788 29,985 385 2,803 -6,338 215 559 197

Bermuda 28,402 28,714 27,624 26,960 26,793 27,088 27,422 312 -1,090 -664 -167 295 334

Cayman Islands 31,076 30,686 30,186 29,014 28,763 29,014 29,303 -390 -500 -1,172 -251 251 289

Switzerland 16,240 20,638 15,626 16,244 17,591 18,667 20,121 4,398 -5,012 618 1,347 1,076 1,454

Netherlands 12,459 10,536 10,326 11,018 12,039 12,576 12,266 -1,923 -210 692 1,021 537 -310

Rest of World 148,288 140,716 140,625 126,439 128,428 124,664 127,526 -7,572 -91 -14,186 1,989 -3,764 2,862

Total 954,326 984,429 964,604 944,425 973,126 986,544 995,087 30,103 -19,825 -20,179 28,701 13,418 8,543

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

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Oct-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017

Q3 

2017 Oct-17

Taiwan 206,954 208,142 203,807 212,540 227,077 228,885 232,926 1,188 -4,335 8,734 14,536 1,808 4,041

China 186,993 185,881 178,556 183,103 178,934 173,422 170,683 -1,112 -7,325 4,547 -4,169 -5,512 -2,739

Japan 185,034 213,615 212,661 208,162 221,447 238,602 239,603 28,581 -954 -4,499 13,285 17,155 1,001

Ireland 37,695 39,142 38,405 38,910 38,381 40,054 41,203 1,447 -737 505 -530 1,673 1,149

South Korea 34,173 34,726 34,505 32,126 34,905 36,966 37,636 553 -221 -2,379 2,779 2,061 670

Luxembourg 27,187 28,094 31,198 25,455 25,821 26,689 26,937 907 3,104 -5,744 366 868 248

Bermuda 23,994 24,767 23,888 23,825 23,786 24,351 24,732 773 -879 -63 -39 565 381

Cayman Islands 22,815 22,918 22,851 22,847 22,855 23,637 24,017 103 -67 -3 8 782 379

Switzerland 11,717 16,446 11,596 12,873 14,380 15,755 17,272 4,729 -4,850 1,277 1,507 1,375 1,517

Netherlands 11,471 9,717 9,553 10,383 11,442 12,036 11,731 -1,754 -165 830 1,059 595 -305

Rest of World 83,560 78,246 81,668 76,757 80,909 81,369 84,971 -5,314 3,422 -4,910 4,152 460 3,602

Total 831,593 861,694 848,688 846,981 879,935 901,766 911,711 30,101 -13,006 -1,707 32,954 21,831 9,945

46
MBS Ownership

0

50

100

150

200

250

Mar-10

Jun-10

Sep-10

Dec-10

Mar-11

Jun-11

Sep-11

Dec-11

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

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Jun-10

Dec-10

Jun-11

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

$ 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 December 2017.

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

Institute. Note: Data as of December 2017.

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

Note: Data as of December 2017.

0

10

20

30

40

50

60

70

Jun-10

Dec-10

Jun-11

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

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

The Fed has begun to wind down their portfolio, and we are beginning to see the effects in slower absorption 

rates. During the period October 2014-September 2017, the Fed had ended its purchase program, but was 

reinvesting funds from mortgages and agency debt into the mortgage market, absorbing 20-30 percent of agency 

gross issuance. With the wind down, which started in October 2017, the Fed will continue to reinvest, but by less 

than their run off. In December, total Fed purchases decreased to $18.7 billion, yielding a Fed absorption rate of 

16.8 percent, the lowest in the past 5 years. The Fed absorbed 18.7 percent of Ginnie Mae issuance and 15.9 

percent of GSE issuance, respectively.

47
All the information contained in this document is as of date Indicated unless otherwise noted. The

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

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

The views expressed in this material are the views of Urban Institute and State Street Global Advisors as

of February 15, 2018 and are subject to change based on market and other conditions. This document

contains certain statements that may be deemed forward‐looking statements. Please note that any such

statements are not guarantees of any future performance and actual results or developments may differ

materially from those projected.   

© 2018 State Street Corporation. All Rights Reserved.

2031651.1.1.GBL.INST 

Expiration Date: 2/28/2019

[Internal Tracking Code and Expiration Date to be removed upon providing this document to Ginnie

Mae]