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

Increase in Conventional and FHA Loan Limits

On November 28th, the Federal Housing Finance Agency announced the 2018 maximum conforming 

loan limits for mortgages backed by Fannie Mae and Freddie Mac; this limit will increase by the rate of 

home price appreciation, as calculated by the FHFA. For most of the US, this limit will rise to $453,100 

in 2018, an increase of 6.8 percent from the current conventional loan limit of $424,100. In certain 

high cost areas (those areas those in which 115 percent of the area median home price exceeds the 

loan limit), the limit will rise to the lesser of 115 percent of the area median home price, or the cap of 

$679,650 (150 percent of the loan limit).

Following closely on the heels of FHFA’s announcement, On December 7, the FHA also announced an 

increase in its 2018 loan limits. FHA is required by HERA to set loan limits at 115 percent of the area 

median home price, with a cap (100 percent of the GSE high cost limit) and a floor (65% of the GSE 

limit). With this change, which is effective Jan 1st 2018, FHA’s cap will increase from $636,150 to 

$679,650 while the floor will increase from $275,665 to $294,515. VA does not limit the loan amount. 

Rather, the GSE loan limit is the maximum the VA will guarantee for a borrower with a full entitlement 

and no down payment. A VA borrower can technically borrow more, but will then be only partially 

insured and still subject to Ginnie Mae loan limit. 

Given the recent increase in house prices across the nation, the coming increases in 2018 loan limits 

will allow roughly the same portion of borrowers to secure government-backed financing as had been 

the case in the past. A failure to increase FHA loan limits in line with home prices would have 

represented a contraction of the FHA footprint; and would have been felt significantly and 

disproportionately in areas of higher housing costs where the limits are more likely binding than in 

areas using the floor. In addition, areas with higher costs tend to be counties with a larger population 

and mortgage market. For example, based on the 2018 loan limits and fiscal year 2017 endorsements, 

82 percent of counties were at the floor, but this represents 47 percent of endorsements and only 35 

percent of the total loan amount. By contrast, only 2.3 percent of the counties were at the ceiling, but 

this represents 9 percent of the endorsements and 16 percent of the endorsed amount.

Highlights this month:

• Treasury and Ginnie Mae MBS yields both continued to edge up in November, while current coupon 

Ginnie Mae MBS spreads relative to Treasuries tightened by 1-4 bps (Pages 5 and 6).

• GSE serious delinquencies remained flat in Q3 2017, while FHA and VA delinquencies edged up, 

reflecting primarily seasonal factors (Page 11).

• The total value of the US Housing Market continued to rise in Q3 2017, driven by a $260 billion 

increase in household equity (Page 14).

• The non-bank originator share of Ginnie Mae originations increased to a historical high of 78 

percent in October 2017 (Page 30).

• Fed absorption of gross issuance dropped to a five year low in October, the starting month of Fed’s 

balance sheet reduction plan (Page 47).
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of September 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of September 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%

0.2% 2%

0%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

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

Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17

Yield (%)

Global 10-year Treasury Yields

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

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17

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

Nov-12 Nov-13 Nov-14 Nov-15 Nov-16 Nov-17

10yr US Treasury hedged yield, EUR

10y US hedged yield, EUR (left)

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

Sources: Bloomberg and State Street Global Advisors. 

Note: Data as of November 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of November 2017

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

US Treasury interest rates, as measured by the 10-year note, are currently the highest in the developed world. 

The US 10-year Treasury note was at 2.38 percent in October, and has edged up to 2.41 percent this month. 

Interest rates for Italy declined for the second consecutive month to 1.75 percent. Interest rates for Germany, 

UK and Japan stayed stable at 1.33, 0.37 and 0.04 percent, respectively. If the Treasury notes are hedged into 

foreign currencies, 10-year US Treasury yields are 40 basis points (bps) above 10-year JGBs, and 27 bps below 

10-year Bunds. The hedged yield difference between the 10-year Treasuries and JGBs is now 40 bps, while the 

hedged yield differential between the 10-year Treasuries and Bunds now stands at -27 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

Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17

G2SF CC yield & nominal spread, USD

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

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

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

GNSF CC yield & nominal spread, USD

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

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

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

With the Fed shrinking its investments in MBS and Treasuries since October 2017, nominal yield spreads on 

current coupon GNMA II and GNMA I securities continued to tighten by 1 bp and 4 bps, respectively in 

November 2017. Current coupon Ginnie Mae securities currently outyield their Treasury counterparts 

(relative to the average of 5- and 10-year Treasury yields) by 61 and 60 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

Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17

G2SF CC yield & nominal spread, JPY

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

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

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

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 95 and 94 bps, respectively.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

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

GNSF CC yield & nominal spread, JPY 

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

Yield(%) Yield(%)

Yield(%) Yield(%)

7
Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17

G2SF CC yield & nominal spread, EUR

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

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

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

GNSF CC yield & nominal spread, EUR

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

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

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

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 54 and 53 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 November 2017.

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 2.14

US 10y 8.8 2.41

GNMA II 3% 6.5 2.87

GNMA II 3.5% 4.9 2.78

JPY 5y 4.8 -0.12

JPY 10y 9.7 0.03

GER 5y 4.9 -0.31

GER 10y 9.4 0.37

ITA 5y 4.5 0.48

ITA 10y 8.6 1.74

US credit 7.3 3.20

US credit >= A 7.5 3.05

US HY 3.8 5.68

Pan-Euro corp 5.8 1.01

Pan-Euro HY 3.7 2.7

US 5y

US 10y

G2 3.5% G2 3.0%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield 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 0.13 0.16 0.50 0.24 0.74 0.67

3 year 0.13 0.12 0.30 0.21 0.48 0.45

5 year 0.14 0.10 0.28 0.32 0.50 0.57

10 year 0.32 0.28 0.47 0.38 0.70 0.79

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 0.06 0.08 0.43 0.31 0.66 0.74

3 year 0.10 0.08 0.27 0.26 0.45 0.50

5 year 0.12 0.08 0.26 0.35 0.48 0.60

10 year 0.29 0.25 0.44 0.36 0.67 0.76

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 0.36 0.52 0.51 0.74 0.72 0.70

3 year 0.46 0.99 1.13 1.15 1.66 1.45

5 year 0.66 0.91 1.15 1.11 1.51 1.29

10 year 0.75 1.20 1.75 1.45 3.02 3.60

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 0.17 0.16 0.84 0.42 0.92 1.06

3 year 0.21 0.08 0.24 0.23 0.27 0.34

5 year 0.18 0.08 0.22 0.32 0.32 0.47

10 year 0.39 0.21 0.25 0.25 0.22 0.21

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

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

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

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

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

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%

6.9%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Mar-01

Sep-01

Mar-02

Sep-02

Mar-03

Sep-03

Mar-04

Sep-04

Mar-05

Sep-05

Mar-06

Sep-06

Mar-07

Sep-07

Mar-08

Sep-08

Mar-09

Sep-09

Mar-10

Sep-10

Mar-11

Sep-11

Mar-12

Sep-12

Mar-13

Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Sep-16

Mar-17

Sep-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 September 2017.

1.01%

0.86%

3.86%

2.08%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

3Q051Q063Q061Q073Q071Q083Q081Q093Q091Q103Q101Q113Q111Q123Q121Q133Q131Q143Q141Q153Q151Q163Q161Q173Q17

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q3 2017.

Serious Delinquency Rates: Single-Family Loans

Serious delinquencies for GSE single-family loans remained flat. After their decline in the past two quarters, 

both FHA and VA delinquencies edged up to 3.86 and 2.08 percent in Q3 2017, reflecting primarily seasonal 

factors. 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 September 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 09/2017, the latest HPI data period.

Nationally, the nominal home prices have improved by 50.5 percent since the trough, and have exceeded peak 

valuation. However, the picture is very different for different states, with many states well in excess of the prior 

peak, while Nevada is 32.6 percent below peak levels and Florida is 21.2 percent below peak levels.

HPI Changes

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

National 93.7% -33.2% 50.5% 7.0% -0.5%

Alabama 46.5% -20.7% 23.7% 4.8% 2.0%

Alaska 68.7% -9.3% 18.4% 2.2% -6.8%

Arizona 121.5% -50.5% 67.6% 6.1% 20.6%

Arkansas 39.5% -7.7% 15.4% 3.7% -6.1%

California 149.0% -42.5% 74.9% 7.3% -0.7%

Colorado 40.4% -13.8% 65.1% 8.2% -29.8%

Connecticut 79.5% -24.9% 9.9% 2.0% 21.1%

Delaware 90.3% -23.9% 19.8% 2.5% 9.7%

District of Columbia 150.5% -10.4% 38.1% 3.5% -19.1%

Florida 149.2% -49.7% 63.9% 6.2% 21.2%

Georgia 40.4% -30.8% 53.1% 6.3% -5.6%

Hawaii 152.7% -20.5% 47.9% 7.9% -14.9%

Idaho 85.7% -40.9% 71.7% 8.9% -1.4%

Illinois 60.0% -32.6% 31.8% 4.0% 12.6%

Indiana 24.3% -16.4% 28.4% 4.6% -6.8%

Iowa 25.5% -4.8% 21.9% 4.5% -13.9%

Kansas 33.3% -14.0% 26.4% 3.3% -8.1%

Kentucky 26.9% -8.9% 23.4% 5.9% -11.1%

Louisiana 58.6% -7.5% 24.2% 5.1% -12.9%

Maine 92.5% -16.6% 36.9% 7.5% -12.5%

Maryland 137.7% -31.2% 21.6% 3.2% 19.4%

Massachusetts 81.8% -21.3% 39.8% 6.9% -9.1%

Michigan 26.1% -43.3% 76.3% 8.2% 0.0%

Minnesota 69.7% -28.2% 43.7% 6.1% -3.1%

Mississippi 35.4% -18.7% 19.1% 3.2% 3.3%

Missouri 46.2% -22.2% 32.0% 6.0% -2.6%

Montana 80.2% -16.7% 37.4% 5.9% -12.6%

Nebraska 25.2% -5.3% 27.5% 5.2% -17.1%

Nevada 129.0% -59.9% 88.1% 9.5% 32.6%

New Hampshire 82.5% -23.9% 31.5% 5.6% -0.1%

New Jersey 109.5% -26.4% 17.7% 2.8% 15.4%

New Mexico 64.4% -26.5% 20.5% 2.9% 13.0%

New York 102.1% -13.9% 32.0% 6.2% -12.0%

North Carolina 39.7% -14.6% 27.7% 5.1% -8.3%

North Dakota 49.4% -2.0% 51.0% 5.4% -32.4%

Ohio 22.2% -20.5% 31.7% 5.0% -4.5%

Oklahoma 35.7% -3.2% 15.5% 2.1% -10.6%

Oregon 87.5% -29.3% 68.4% 8.8% -16.0%

Pennsylvania 71.7% -12.9% 16.9% 3.4% -1.9%

Rhode Island 131.0% -34.3% 32.5% 6.3% 15.0%

South Carolina 61.4% -22.1% 32.7% 5.5% -3.2%

South Dakota 37.3% -3.5% 34.8% 7.4% -23.2%

Tennessee 41.2% -13.4% 36.6% 6.5% -15.5%

Texas 39.4% -13.2% 48.1% 5.6% -22.2%

Utah 64.8% -31.7% 63.8% 10.5% -10.6%

Vermont 81.5% -9.1% 14.9% 5.1% -4.3%

Virginia 135.1% -30.6% 30.3% 3.2% 10.5%

Washington 90.2% -28.1% 68.0% 12.5% -17.2%

West Virginia 82.0% -27.7% 20.0% -0.3% 15.3%

Wisconsin 48.7% -17.2% 27.5% 5.9% -5.3%

Wyoming 75.6% -14.5% 28.6% 2.4% -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 33.7% 210.9 227.2 32.8% 176.5 206.9

Alabama 45.7% 158.5 179.6 47.6% 141.1 167.9

Alaska 52.8% 278.0 242.2 52.3% 254.6 227.1

Arizona 36.0% 203.0 207.2 35.3% 173.9 189.2

Arkansas 43.4% 140.5 165.7 47.4% 121.8 152.2

California 27.6% 335.9 319.5 22.6% 281.4 290.1

Colorado 32.8% 268.1 259.0 31.2% 224.3 234.0

Connecticut 31.3% 214.4 227.5 30.0% 203.1 217.8

Delaware 39.4% 212.1 220.2 37.8% 197.4 207.0

District of Columbia 17.6% 402.2 355.4 17.9% 322.8 331.7

Florida 39.5% 203.5 199.6 37.1% 170.7 183.2

Georgia 41.5% 178.6 203.4 41.4% 153.1 184.9

Hawaii 38.8% 479.3 369.8 31.9% 412.6 342.9

Idaho 35.7% 186.8 191.2 35.9% 160.4 173.4

Illinois 25.5% 176.4 199.2 25.5% 154.6 182.7

Indiana 39.6% 138.6 154.8 40.2% 121.0 140.8

Iowa 25.3% 143.1 162.8 27.4% 124.3 147.9

Kansas 35.7% 151.4 173.4 37.5% 131.8 156.1

Kentucky 41.0% 146.5 165.1 40.7% 132.4 149.3

Louisiana 43.3% 168.1 189.1 44.3% 149.9 176.4

Maine 35.6% 180.3 195.1 33.3% 165.5 179.7

Maryland 44.6% 281.0 263.2 40.3% 250.8 246.1

Massachusetts 22.7% 282.2 276.2 19.9% 251.0 253.7

Michigan 26.3% 142.7 166.9 27.3% 122.5 150.5

Minnesota 25.6% 192.6 205.1 26.2% 168.6 189.1

Mississippi 50.4% 149.2 168.5 53.0% 131.1 157.1

Missouri 35.9% 149.1 171.0 37.1% 131.8 155.2

Montana 31.5% 208.5 209.0 32.3% 180.9 190.2

Nebraska 31.5% 159.0 168.1 36.2% 134.0 152.6

Nevada 42.2% 227.2 217.0 41.5% 193.6 195.5

New Hampshire 32.5% 225.3 219.3 30.7% 207.3 200.8

New Jersey 29.7% 248.1 263.3 28.5% 232.0 247.8

New Mexico 44.3% 175.5 183.8 44.5% 155.6 172.0

New York 26.9% 239.9 264.3 26.9% 203.6 241.4

North Carolina 35.1% 176.0 199.0 36.6% 153.7 183.5

North Dakota 28.2% 206.3 202.8 27.3% 178.4 184.1

Ohio 36.9% 139.3 155.6 38.4% 124.5 143.5

Oklahoma 46.8% 150.1 168.8 50.7% 130.4 156.1

Oregon 27.6% 242.1 247.5 26.2% 206.8 218.8

Pennsylvania 34.0% 166.6 192.2 34.3% 151.4 180.0

Rhode Island 36.9% 217.7 214.4 34.4% 198.7 202.1

South Carolina 40.5% 179.3 190.1 39.6% 156.8 176.4

South Dakota 36.8% 173.2 181.0 37.5% 153.6 163.7

Tennessee 41.8% 174.8 194.6 43.7% 148.6 176.7

Texas 36.0% 189.4 209.3 39.3% 150.9 189.5

Utah 31.6% 225.8 237.8 32.8% 198.4 215.9

Vermont 23.0% 193.9 192.7 20.0% 180.8 181.8

Virginia 45.3% 272.6 261.2 42.3% 241.8 243.5

Washington 32.1% 268.5 269.2 31.1% 229.3 240.5

West Virginia 48.4% 153.5 154.6 46.3% 138.2 146.3

Wisconsin 22.5% 162.8 174.0 22.0% 145.9 160.1

Wyoming 41.9% 209.8 207.2 42.1% 192.3 194.2

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

Ginnie Mae loans constitute 32.8 percent of outstanding agency issuance by loan balance, 33.7 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 17.9 percent in the District of Columbia and as high as 53.0 

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 October 2017, outstanding securities in the agency market totaled $6.32 trillion and were 43.8 percent 

Fannie Mae, 27.3 percent Freddie Mac, and 28.8 percent Ginnie Mae. Ginnie Mae now has more outstandings than 

Freddie Mac. Within the Ginnie Mae market, VA has been growing very rapidly--comprising 32.6 percent of total 

Ginnie Mae outstandings.

$2.8

$1.7

$1.8

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Apr-01

Oct-01

Apr-02

Oct-02

Apr-03

Oct-03

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

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

$1.1

$0.6

$0.1

0

0

0

1

1

1

1

Apr-01

Oct-01

Apr-02

Oct-02

Apr-03

Oct-03

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other

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

15
State of the US Housing Market

$0.39

$0.21

$0.01

$0.23

$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-Q2

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

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

First Lien Origination Share

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

totaled $840 billion in the first half of 2017, down 6 percent from the same period last year, mostly due to the 

elevated interest rates. The share of portfolio originations was 28 percent, down slightly from 30 percent in 2016. 

The GSE share stayed at about 46 percent. The FHA/VA share was slightly up: 25 percent for the first half 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 Q2 2017. 

27.9%

0.7%

25.0%

46.4%

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 YTD $218.2 $146.4 $17.1 $381.6

2017 YTD %Change YOY -6.0% -11.7% 4.8% -7.9%

2017 Ann. $261.8 $175.6 $20.5 $457.9

Agency Gross Issuance

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

2000 $202.8 $157.9 $360.6 $102.2 $462.8

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

2017 YTD $442.6 $278.7 $721.3 $381.7 $1,102.9

2017 YTD %Change YOY -7.6% -10.2% -8.6% -7.9% -8.4%

2017 Ann. $531.1 $334.4 $865.5 $458.0 $1,323.5

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

Note : Dollar amounts are in billions. Annualized figure based on data from October 2017. “Other“ refers to loans insured by HUD’s Office of 

Public and Indian Housing and the Department of Agriculture’s Rural Development. All data is as of October 2017.

Agency gross issuance totaled $1,103 billion in the first ten months of 2017, a 8.4 percent decrease from the same 

period last year. Ginnie Mae issuance was down by 7.9 percent and GSE gross issuance was down by 8.6 percent. 

Within the Ginnie Mae market, FHA is down by 6.0 percent and VA origination is down by 11.7 percent. As a result 

of higher rates, originations for 2017 are expected to be 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 YTD $47.3 $64.8 $4.4 $116.5

2017 YTD %Change YOY 16.9% 11.6% -21.3% 11.9%

2017 (Ann.) $56.8 $77.7 $5.3 $139.8

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 YTD $76.1 $55.3 $139.6 $116.5 $247.9

2017 YTD %Change YOY 55.7% 13.9% 43.2% 11.9% 23.0%

2017 Ann. $91.3 $66.4 $152.2 $139.8 $297.5

Sources: eMBS and Urban Institute (top and bottom) 

Note : Dollar amounts are in billions. Annualized figure based on data from October 2017. “Other“ refers to loans insured by HUD’s Office of Public and 

Indian Housing and the Department of Agriculture’s Rural Development. All data is as of October 2017.

Agency net issuance totaled $247.9 billion for the first ten months of 2017, up 23.0 percent over the same period 

last year. Ginnie Mae net issuance was $116.5 billion, comprising 47.0 percent of total agency net issuance. Note 

that Ginnie Mae net issuance is up 11.9 percent versus the same time last year. Ginnie Mae net issuance is 

comprised of 55.6 percent VA issuance, 40.6 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 October 2017.

Agency gross issuance totaled 116.0 billion in October 2017, up slightly from 115.5 billion of issuance in 

September 2017. Monthly agency gross issuance is down year-over-year since March 2017, due to elevated 

mortgage rates. Less dependent on refinances, the Ginnie Mae share has increased from 29 percent to 35 percent 

in the first ten months of 2017. 

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 $11.0

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%

Apr-04

Oct-04

Apr-05

Oct-05

Apr-06

Oct-06

Apr-07

Oct-07

Apr-08

Oct-08

Apr-09

Oct-09

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

Mortgage Rate

Percent Refi

Percent Refi at Issuance

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

25%

42%

4%

0%

10%

20%

30%

40%

50%

60%

70%

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

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 October 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 October 2017.

The Ginnie Mae refi share stood at 29 percent in October 2017, below the 36 and 45 percent shares for Fannie 

Mae and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share at 42 percent in October 

2017, followed by FHA’s 25 percent refi share. 

20
Credit Box

38.1%

42.9%

70.0%

52.0%

20%

30%

40%

50%

60%

70%

80%

Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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 October 2017.

First time homebuyers are important to the Ginnie Mae market, comprising 70 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 October 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 requiring a higher interest rate.

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount 

($Thousands ) 239,241 257,568 222,891 250,594 200,809 248,367 214,820 252,419 

Credit Score 741.6 754.3 737.1 753.3 682.4 703.0 709.7 739.0

LTV (%) 86.4 79.6 87.8 78.6 96.8 95.5 92.2 83.9

DTI (%) 34.8 35.6 35.3 35.6 40.8 41.8 38.1 37.4

Loan Rate (%) 4.15 4.07 4.20 4.05 4.15 4.01 4.16 4.04

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 October 2017.

21
Credit Box

76.2%

52.9%

80.6%

70.0%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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 October 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, 76 percent of FHA loans, 53 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 October 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 requiring a higher interest rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount

($ Thousands) 199,085 221,216 237,225 290,783 142,355 161,611 200,809 248,367 

Credit Score 674.8 681.3 698.7 726.9 696.9 702.6 682.4 703.0

LTV (%) 95.5 94.0 99.8 96.5 99.2 99.5 96.8 95.5

DTI (%) 42.2 43.2 39.8 41.0 34.8 35.7 40.8 41.8

Loan Rate (%) 4.21 4.14 3.99 3.86 4.08 4.06 4.15 4.01

Sources: eMBS and Urban Institute. Note: Data as of October 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 304,337 645 681 731 775 797 726 

Fannie 100,732 680 715 756 786 801 747 

Freddie 86,326 687 720 759 787 802 751 

Ginnie 117,279 626 648 681 725 770 689 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 179,389 645 682 727 772 796 723 

Fannie 79,681 661 696 740 779 799 734 

Freddie 56,666 668 702 743 778 799 737 

Ginnie 43,042 616 645 681 724 768 685 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 483,726 645 682 729 774 797 725 

Fannie 180,413 670 706 749 783 801 742 

Freddie 142,992 680 712 753 784 801 745 

Ginnie 160,321 624 647 681 725 769 688 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 117,279 626 648 681 725 770 689 

FHA 72,542 622 643 670 706 744 676 

VA 33,214 634 663 710 764 793 712 

Other 11,523 642 661 694 733 767 698 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 43,042 616 645 681 724 768 685 

FHA 21,478 603 634 664 700 739 667 

VA 21,210 631 662 700 747 784 703 

Other 354 617 656 691 742 777 692 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 160,321 624 647 681 725 769 688 

FHA 94,020 619 641 669 705 743 674 

VA 54,424 633 663 706 757 790 708 

Other 11,877 642 661 694 733 767 698 

October 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 October 2017.

In October 2017, the median Ginnie Mae FICO score was 681 versus 749 for Fannie and 753 for Freddie. Note that 

the FICO score for the 10th percentile was 624 for Ginnie Mae, versus 670 for Fannie and 680 for Freddie. Within the 

Ginnie Mae market, FHA loans have a median FICO score of 669, VA loans have a median FICO score of 706 and 

other loans have a median FICO score of 694.

24
October 2017 Credit Box at a Glance

Debt,

household 

mortgages,

$9,833

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 304,795 72.0 80.0 95.0 96.5 100.0 87.5 

Fannie 100,839 63.0 80.0 80.0 95.0 97.0 82.2 

Freddie 86,418 63.0 79.0 80.0 95.0 95.0 81.5 

Ginnie 117,538 93.0 96.5 96.5 100.0 101.0 96.4 

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 182,262 46.0 61.0 75.0 82.0 93.0 71.5 

Fannie 79,700 43.0 57.0 70.0 79.0 80.0 66.3 

Freddie 56,730 43.0 58.0 71.0 80.0 80.0 66.8 

Ginnie 45,832 69.0 81.4 86.5 96.9 100.0 86.3 

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 487,057 57.0 74.0 83.2 96.5 97.7 81.5 

Fannie 180,539 50.0 67.0 80.0 90.0 95.0 75.2 

Freddie 143,148 51.0 68.0 80.0 90.0 95.0 75.7 

Ginnie 163,370 82.5 92.6 96.5 100.0 101.0 93.6 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 117,538 93.0 96.5 96.5 100.0 101.0 96.4 

FHA 72,689 93.3 96.5 96.5 96.5 96.5 95.1 

VA 33,273 91.1 100.0 100.0 102.2 103.0 98.2 

Other 11,576 95.4 99.1 101.0 101.0 101.0 99.3 

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 45,832 69.0 81.4 86.5 96.9 100.0 86.3 

FHA 22,118 67.6 80.0 86.5 88.6 96.9 83.1 

VA 23,308 70.0 83.0 92.8 100.0 102.0 89.2 

Other 406 77.0 83.6 94.0 100.3 101.1 90.7 

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 163,370 82.5 92.6 96.5 100.0 101.0 93.6 

FHA 94,807 83.3 91.5 96.5 96.5 96.5 92.3 

VA 56,581 79.8 91.1 100.0 100.0 102.7 94.5 

Other 11,982 94.6 98.9 101.0 101.0 101.0 99.0 

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

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

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

insurance premium by subtracting 169 bps from this new issuer-reported LTV. Data as of October 2017.

In October 2017, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae, and 80.0 percent for Fannie 

Mae and Freddie Mac. The 10th percentile was 82.5 percent for Ginnie Mae and 50-51 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 304,339 24.0 31.0 38.6 44.5 49.0 37.5 

Fannie 100,837 22.0 29.0 37.0 43.0 46.0 35.3 

Freddie 86,389 22.0 28.0 36.0 43.0 46.0 35.1 

Ginnie 117,113 28.2 34.7 41.7 48.3 53.5 41.1 

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 167,327 22.0 29.0 37.0 44.0 48.0 36.2 

Fannie 78,442 22.0 28.0 36.0 43.0 47.0 35.3 

Freddie 55,769 21.0 28.0 36.0 43.0 47.0 35.1 

Ginnie 33,116 25.5 32.9 41.0 47.8 52.9 40.0 

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 471,666 23.0 30.0 38.0 44.0 49.0 37.0 

Fannie 179,279 22.0 29.0 36.0 43.0 47.0 35.3 

Freddie 142,158 22.0 28.0 36.0 43.0 46.0 35.1 

Ginnie 150,229 27.6 34.4 41.6 48.2 53.3 40.9 

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 117,113 28.2 34.7 41.7 48.3 53.5 41.1 

FHA 72,650 29.7 36.4 43.4 49.5 54.1 42.4 

VA 32,992 26.9 33.6 40.9 47.7 52.9 40.4 

Other 11,471 25.5 30.4 36.0 40.2 43.1 35.0 

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 33,116 25.5 32.9 41.0 47.8 52.9 40.0 

FHA 17,530 26.9 34.2 42.2 48.6 53.3 40.9 

VA 15,299 24.2 31.6 39.9 46.9 52.5 39.0 

Other 287 19.6 25.9 33.7 39.4 45.2 32.9 

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 150,229 27.6 34.4 41.6 48.2 53.3 40.9 

FHA 90,180 29.1 36.0 43.2 49.3 54.0 42.1 

VA 48,291 26.0 33.0 40.6 47.4 52.8 39.9 

Other 11,758 25.4 30.3 35.9 40.1 43.1 34.9 

October 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 October 2017.

In October 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.6 percent, considerably higher than the 

36.0 percent median DTIs for Fannie Mae and Freddie Mac. The 90th percentile for Ginnie Mae was 53.3 percent, 

also much higher than the 46-47 percent DTIs for the GSEs. Within the Ginnie Mae market, the median FHA DTI 

ratio was 43.2 percent, versus 40.6 percent for VA and 35.9 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

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

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

749

753

681

729

660

680

700

720

740

760

780

Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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 October 2017 Sources: eMBS and Urban Institute. Note: Data as of October 2017

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

The median FICO score for all agency MBS originated in October now stands at 729, 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

80.0

96.5

83.2

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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 average 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 October 

2017.

28
Credit Box: Historical

36.0

41.6

38.0

32.0

34.0

36.0

38.0

40.0

42.0

44.0

Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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 October 2017

Sources: eMBS and Urban Institute. 

Note: Data as of October 2017

Sources: eMBS and Urban Institute. 

Note: Data as of October 2017

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

than the 35-36 percent DTIs for the GSEs. The DTIs for refinance loans have historically been much lower than 

for purchase loans, but the DTIs for refinance loans have been creeping up sharply since November 2016, and 

started to stabilize in recent months.

29
Ginnie Mae Non-bank Originators

Sources: eMBS and Urban Institute

Note: Data as of October 2017.

Sources: eMBS and Urban Institute

Note: Data as of October 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 October 2017.

The non-bank originator share of Ginnie Mae originations increased to 78 percent in October 2017, the 

highest level in recent history. The non-bank share of VA issuance rose to73 percent in October, while the 

non-bank share of FHA issuance edged up to 82 percent and Other issuance was flat at 81 percent.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-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%

Jul-13

Oct-13

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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%

Jul-13

Oct-13

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

Ginnie Mae Non-bank Share: Refi

Loans

All FHA VA Other

82%

81%

78%

73%

30
All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 159,501 624 647 681 725 769 688

Bank 34,351 642 665 702 752 788 707

Non-Bank 125,150 621 644 676 717 761 682

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 93,484 619 641 669 705 743 674

Bank 16,900 639 658 684 722 759 691

Non-Bank 76,584 615 637 666 700 738 671

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 54,218 633 663 706 757 790 708

Bank 15,089 646 678 729 777 798 725

Non-Bank 39,129 628 658 698 748 784 702

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 11,799 642 661 694 733 767 698

Bank 2,362 645 670 712 757 786 711

Non-Bank 9,437 641 659 690 727 760 695

Ginnie Mae Non-bank Originators: 

October 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 October 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 681-- it is 702 for bank borrowers 

versus 676 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 684 versus 

666 for non-banks. For VA borrowers, the median FICO score for bank originators is 729 versus 698 for non-banks. 

For “Other” loans, the median FICO score for bank originators is 712 versus 690 for non-banks.

31
All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 162,546 82.4 92.5 96.5 100.0 101.0 93.6

Bank 34,647 84.8 94.8 96.5 100.0 101.3 94.5

Non-Bank 127,899 82.0 91.5 96.5 99.0 101.0 93.3

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 94,269 83.3 91.4 96.5 96.5 96.5 92.3

Bank 17,093 86.5 94.8 96.5 96.5 97.3 93.8

Non-Bank 77,176 82.2 89.9 96.5 96.5 96.5 92.0

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 56,374 79.8 91.1 100.0 100.0 102.7 94.5

Bank 15,136 80.0 92.0 100.0 100.0 102.4 94.5

Non-Bank 41,238 79.7 90.9 100.0 101.0 102.9 94.5

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 11,903 94.6 98.9 101.0 101.0 101.0 99.0

Bank 2,418 95.5 100.1 101.0 101.9 102.0 99.5

Non-Bank 9,485 94.5 98.7 100.8 101.0 101.0 98.8

Ginnie Mae Non-bank Originators: 

October 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 October 2017. 

32
All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 149,414 27.6 34.4 41.6 48.2 53.4 40.9 

Bank 33,368 26.2 33.1 40.4 46.8 52.5 39.7 

Non-Bank 116,046 28.0 34.7 41.9 48.5 53.6 41.2 

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 89,646 29.1 36.0 43.2 49.3 54.0 42.1 

Bank 16,720 28.5 35.4 42.3 48.2 53.3 41.3 

Non-Bank 72,926 29.3 36.1 43.4 49.5 54.1 42.3 

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 48,089 26.0 33.0 40.6 47.4 52.8 39.9 

Bank 14,362 24.3 31.3 39.2 46.2 52.0 38.6 

Non-Bank 33,727 26.8 33.7 41.1 47.9 53.0 40.5 

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 11,679 25.4 30.3 35.9 40.1 43.2 34.9 

Bank 2,286 25.3 29.9 35.7 40.3 43.3 34.8 

Non-Bank 9,393 25.4 30.3 35.9 40.1 43.1 34.9 

Ginnie Mae Non-bank Originators: 

October 2017 Credit Box

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

more conservative. That is, the median DTI ratio for bank originators is 40.4, versus 41.9 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 October 2017.

33
670

680

690

700

710

720

730

740

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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 October 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 October 2017.

The FICO scores for both Ginnie Mae bank and nonbank originators remained constant in October. 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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-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 October 2017 Sources: eMBS and Urban Institute Note: Data as of October 2017

34
Prepayments

0%

5%

10%

15%

20%

25%

30%

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

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

12%

18%

0%

5%

10%

15%

20%

25%

30%

35%

Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17

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 November 2017

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

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

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

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

faster speeds than FHA loans. This also reflects the fact that 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, FHA permits 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 interest rates. 

16%

15%

10%

19%

14%

19%

14%

35
Prepayments

8%

14%

0%

5%

10%

15%

20%

25%

May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17

Constant Prepayment Rate (%)

2013 Issued 3.0 Coupon CPR

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

0%

5%

10%

15%

20%

25%

30%

May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17

Constant Prepayment Rate (%)

2012 Issued 3.5 Coupon CPR

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

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

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

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

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

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

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

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

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

16%

11%

36
Prepayments

0%

5%

10%

15%

20%

25%

30%

35%

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

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%

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

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 November 2017

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

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.

18%

13%

20%

15%

37
Reverse Mortgage Volumes

$0.9

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

Apr-10

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

$ Billions

HMBS Issuance Volume

$55 

$0

$10

$20

$30

$40

$50

$60

Apr-10

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

$ Billions

HMBS Outstanding 

Other Ginnie Mae Programs

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

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

Ginnie Mae reverse mortgage volumes remain steady, with issuance of $0.9 billion in October. Outstanding 

securities totaled $55.0 billion in October.

38
Multifamily Market

$1.9

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Apr-10

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

$ Billions

Ginnie Mae Multifamily MBS Issuance

$106.9

$0

$20

$40

$60

$80

$100

$120

Apr-10

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

$ Billions

Ginnie Mae Multifamily MBS Outstanding 

Other Ginnie Mae Programs

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

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

Ginnie Mae multifamily issuance volumes in October totaled $1.9 billion. Outstanding multifamily securities 

totaled $106.9 billion in October.

39
Market Conditions

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

$209 

$508 

$31 

$0

$100

$200

$300

$400

$500

$600

1996 1999 2002 2005 2008 2011 2014 2017

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

3.40%

3.62%

0.37%

0%

2%

4%

6%

8%

10%

12%

14%

1996 1999 2002 2005 2008 2011 2014 2017

$Billions

Average Daily Turnover by Sector 

Agency MBS Turnover Treasury Turnover Corporates Turnover

Agency MBS trading volume in 2017 has been slightly more robust than in the 2014-2015 period, and on par 

with 2016. Agency MBS turnover, however, has been lower in 2017 than in 2016; in the first eleven months of 

2017, daily MBS turnover was 3.40 percent versus 3.76 percent in 2016. Current turnover levels are on par with 

those in 2015. Note that average daily Treasury turnover is also down dramatically from its 2005 peak. 

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

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

40
Market Conditions

$199.6

150

200

250

300

350

400

450

500

550

600

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

$ Billions

Repo Volume: Securities In

$37

0

10

20

30

40

50

60

70

80

90

100

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

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

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

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

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

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

cutting back on lower margin businesses. 

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 November 2017

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 71.0 percent. Commercial banks are the second largest holders of Agency MBS behind the Federal 

Reserve. Out of their $1.8 trillion in holdings as of the end of November 2017, $1.3 trillion of it was held by the top 

25 domestic banks.

Commercial Bank Holdings ($Billions) Week Ending

Oct-16 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov 8 Nov 15 Nov 22 Nov 29

Largest Domestic 

Banks 1217.2 1240.2 1258 1272.9 1285.5 1288.5 1296.6 1306.4 1307.3 1309.9 1310.7 1312.9

Small Domestic 

Banks 445.1 464.2 467.7 469.6 473.9 477.2 480.9 481.9 480.3 480 479.4 478.9

Foreign Related 

Banks 14.2 13.1 12 12.5 12.5 12.6 11.8 11.9 11.9 12.5 12.8 13.3

Total, 

Seasonally

Adjusted 1676.5 1717.5 1737.7 1755 1771.9 1778.3 1789.3 1800.2 1799.5 1802.4 1802.9 1805.1

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

$901.4

$391.4

$510.0

0

100

200

300

400

500

600

700

800

900

1,000

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

$ 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 August 2017.

Sources: SIFMA and Treasury International Capital (TIC). Note: Data as of Q2 2017.

13.8%

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 2017

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

Foreign investors hold 13.8 percent of agency MBS, up from the lows in 2013. For the month of August, this 

represents $901.4 billion in agency MBS, $391.4 billion held by foreign official institutions and $506.9 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 August 2017.

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

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

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

December 2016 to August 2017, adding $26.5 billion for 2017.

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

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Jul-17 Aug-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017 Jul-17Aug-17

Taiwan 207,164 208,352 204,005 212,707 227,236 228,476 227,405 1,188 -4,347 8,702 14,529 1,240 -1,071

China 195,933 191,743 184,151 187,664 183,396 184,110 182,081 -4,190 -7,592 3,513 -4,268 714 -2,029

Japan 197,101 222,116 220,644 214,838 227,721 238,525 244,826 25,015 -1,472 -5,806 12,883 10,804 6,301

Ireland 47,635 48,307 47,065 46,178 45,353 45,839 45,415 672 -1,242 -887 -825 486 -424

South Korea 50,323 50,072 49,000 44,349 46,577 46,444 47,813 -251 -1,072 -4,651 2,228 -133 1,369

Luxembourg 32,164 32,549 35,352 29,014 29,229 30,316 28,800 385 2,803 -6,338 215 1,087 -1,516

Bermuda 28,402 28,714 27,624 26,960 26,793 26,877 27,467 312 -1,090 -664 -167 84 590

Cayman Islands 31,076 30,686 30,186 29,014 28,763 29,380 29,485 -390 -500 -1,172 -251 617 105

Switzerland 16,240 20,638 15,626 16,244 17,591 17,755 18,102 4,398 -5,012 618 1,347 164 347

Netherlands 12,459 10,536 10,326 11,018 12,039 12,388 12,752 -1,923 -210 692 1,021 349 364

Rest of World 148,288 140,716 140,625 126,439 128,428 124,975 124,000 -7,572 -91 -14,186 1,989 -3,453 -975

Total 954,326 984,429 964,604 944,425 973,126 985,085 988,146 30,103 -19,825 -20,179 28,701 11,959 3,061

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

Country Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Jul-17 Aug-17

Q3 

2016

Q4 

2016

Q1 

2017

Q2 

2017 Jul-17Aug-17

Taiwan 206,954 208,142 203,807 212,540 227,077 228,323 227,257 1,188 -4,335 8,734 14,536 1,247 -1,066

China 186,993 185,881 178,556 183,103 178,934 179,807 177,871 -1,112 -7,325 4,547 -4,169 873 -1,935

Japan 185,034 213,615 212,661 208,162 221,447 232,597 239,133 28,581 -954 -4,499 13,285 11,150 6,536

Ireland 37,695 39,142 38,405 38,910 38,381 39,149 38,918 1,447 -737 505 -530 769 -232

South Korea 34,173 34,726 34,505 32,126 34,905 35,239 36,956 553 -221 -2,379 2,779 334 1,717

Luxembourg 27,187 28,094 31,198 25,455 25,821 27,055 25,617 907 3,104 -5,744 366 1,234 -1,438

Bermuda 23,994 24,767 23,888 23,825 23,786 23,989 24,670 773 -879 -63 -39 203 681

Cayman Islands 22,815 22,918 22,851 22,847 22,855 23,716 23,990 103 -67 -3 8 861 274

Switzerland 11,717 16,446 11,596 12,873 14,380 14,674 15,116 4,729 -4,850 1,277 1,507 294 442

Netherlands 11,471 9,717 9,553 10,383 11,442 11,817 12,202 -1,754 -165 830 1,059 375 385

Rest of World 83,560 78,246 81,668 76,757 80,909 79,332 79,702 -5,314 3,422 -4,910 4,152 -1,577 371

Total 831,593 861,694 848,688 846,981 879,935 895,697 901,431 30,101 -13,006 -1,707 32,954 15,762 5,734

46
MBS Ownership

0

50

100

150

200

250

Jan-10

Apr-10

Jul-10

Oct-10

Jan-11

Apr-11

Jul-11

Oct-11

Jan-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

Jul-13

Oct-13

Jan-14

Apr-14

Jul-14

Oct-14

Jan-15

Apr-15

Jul-15

Oct-15

Jan-16

Apr-16

Jul-16

Oct-16

Jan-17

Apr-17

Jul-17

Oct-17

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Apr-10

Oct-10

Apr-11

Oct-11

Apr-12

Oct-12

Apr-13

Oct-13

Apr-14

Oct-14

Apr-15

Oct-15

Apr-16

Oct-16

Apr-17

Oct-17

$ 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 October 2017.

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

Institute. Note: Data as of October 2017.

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

Note: Data as of October 2017.

0

10

20

30

40

50

60

70

Feb-10

Jun-10

Oct-10

Feb-11

Jun-11

Oct-11

Feb-12

Jun-12

Oct-12

Feb-13

Jun-13

Oct-13

Feb-14

Jun-14

Oct-14

Feb-15

Jun-15

Oct-15

Feb-16

Jun-16

Oct-16

Feb-17

Jun-17

Oct-17

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

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

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

absorption of gross issuance has been between 20 and 30 percent. In October 2017, the Fed began its balance 

sheet reduction plan. Total Fed purchases decreased sharply from $26.8 billion to $22.5 billion, yielding Fed 

absorption of gross issuance of 19.4 percent, the lowest level in the past five years. This is a slow wind down; 

initially, the Fed will continue to reinvest, but by less than their run off. In October, the Fed absorbed 20.8 percent 

of Ginnie Mae issuance and 18.7 percent of GSE issuance.

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 December 15, 2017 and are subject to change based on market and other conditions. This document

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

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

materially from those projected.   

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