APR

2017
CONTENTS

RelativeAttractiveness of US Fixed Income andGinnie Mae MBS

Barclays US Aggregate andGlobalIndices4

Global 10-year treasuryyields5

Ginnie Maeyields andyieldspreads—USD, JPY, Euro6-8

MBSyield perduration9

Total return andSharpe Ratios 10

Stateof the US housing Market 

Seriousdelinquency rates 11

National HPI 11

HPIbystate 12

Ginnie Mae Agency issuance and Agency outstandingbystate 13

Size andvalueof the US Residential housing and mortgage markets 14

Outstanding Agency MBS 15

Originationvolumeover time 16

US Agency Market, Originations

Agency Grossissuance 17

Agency Net issuance 18

Purchaseversusrefi: Percent Refi at Issuance 19

Credit Box

First time homebuyershare—purchaseonly loans 20

First time homebuyershare—Ginnie Mae purchaseonly loans 21

FICO scoredistribution 22

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

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

Ginnie Mae Nonbank Originators

Nonbank originatorshare (All, Purchase, Refi) 29

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

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

Prepayments 

Aggregate 34

Select coupon/originationyear cohorts 35-36

Other Ginnie MaePrograms

HMBS 37

Multifamily 38

Market Conditions-Agency MBS

Averagedaily tradingvolume and turnoverbysector 39

Dealernet positions, repovolume 40

MBS Ownership

Ownership breakdownof total agency debt 41

MBSshareof total agency debt and commercialbank ownership of MBS 42

Bank and Thrift Residential MBS Holdings 43

Foreignownership of MBS 44-45

Fed Ownership of MBS 46
HIGHLIGHTS

VA’s Contribution to Ginnie Mae Issuances

The issuance volume of Ginnie Mae MBS has nearly doubled over the last eight years: from $268 billion in 2008

to $508 billion in 2016. Although FHA lending was the single largest contributor to this growth, VA lending has

also played an increasingly larger role. The share of Ginnie Mae MBS backed by VA mortgages increased from

just 15 percent in 2008 to over 40 percent in 2016. At the same time, FHA’s share has declined from 82 percent 

to 55 percent over the same period (see page 17 for issuance volumes by agency). In other words, Ginnie Mae

issuance volume today is much more sensitive to the volume of VA lending than was the case in the past.

Much of the growth in recent issuances was driven by refinance activity induced by historically low interest 

rates. But not all government lending channels were equally dependent on refinance. For instance, the share of 

FHA originations that were refinances averaged about 34 percent from 2013 to 2016. In contrast, the average

VA refinance share was much higher at 51 percent (see page 19 for refinance shares). Therefore as rates rise

over the next few years and refinance volumes decline, VA origination volumes will undoubtedly suffer more

than FHA’s.

And recent data confirm this: The share of VA originations that are refinances declined from 61 percent for Nov

2016 issuances to 52 percent for Feb ’17 issuances, a 9 percentage point fall. In contrast, FHA’s refinance share

declined only 3 points, from 35 to 32 percent. This trend has an important implication for the future

composition of Ginnie Mae MBS: If VA’s refinance share continues to decline at a faster rate, its share of Ginnie

issuances will gradually reduce. However, offsetting this decline will be the strength of VA’s purchase

origination volume, which has increased from $57 billion in 2013 to $94 billion in 2016. Thus, even as VA’s 

refinance volumes dwindle, increased purchase originations should help keep VA’s share of Ginnie issuances 

above historical levels.

Highlightsthis month:

• US MBS comprised 29 percent of the Barclays US Aggregate Index, and 12 percent in the Barclays Global

Aggregate Index in March 2017 (Page 4).

• The total value of the US Housing Market surpassed its pre-crisis level in Q4 2016, driven by an increase in

household equity (Page 6).

• The agency refi share continued to decline in February with the recent interest rate increases. For the

Ginnie Mae market, the VA refi share dropped the most from 61 to 52 percent, while FHA was down from

35 to 32 percent (Page 19).

• The non-bank originator share of the Ginnie Mae market fell sharply from 77 to 73 percent in February

2017, reversing a trend of expansion in recent years (Page 29).
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

4

US MBS comprise 29 percent of the Barclays US Aggregate Index-- marginally smaller 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% and 6% of the market,

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

US securities are the largest single contributor to the Barclays Global Aggregate, accounting for 39% of the global

total. US MBS comprises 12% of the global aggregate.

Sources: Bloomberg and State Street Global Advisors.

Note: Data as of March2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of March 2017

37%

2%

31%

8%

10%

6%

5%

2%

Barclays US 

Aggregate Index

Treasury

Agency

Credit

GNMA MBS 30y

FNMA MBS 30y

FHLMC MBS 30y

15y and 20y MBS

ABS & CMBS

54%

6%

25%

12%

1%

Global 3%

Treasury

Global Agency

Global Credit

US MBS

ABS & CMBS

Collateralised

(Pfandbrief)

2%

3%

1%

39%

30%

21%

1%

0.3%

2%

1%

Australia

Canada

Middle East

United States

Europe

Asia & Pacific Rim

Latin America

Africa

Supranational

Others

Sources: Bloomberg and State Street Global Advisors. Note:Data as of March2017

Barclays Global Aggregate Index by Country Barclays Global Aggregate Index by Sector
5

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

Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-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

Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-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

Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-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 March 2017

Sources: Bloomberg and State Street Global Advisors

Note: Data as of March 2017

Sources: Bloomberg and State Street Global Advisors. Note:Data as of March2017

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

the highest in the developed world, a trend which continued this month. As of the end of March, the US 10-

year Treasury note had a yield of 2.39%, versus 1.14% for the UK, 0.33% for Germany and 0.07% for Japan.

However, if the Treasury notes are hedged into foreign currencies, the US yield advantage narrows -- it stands 

at 84 bps this month versus the JGB, and 29 bps versus the 10-year Bund. This month shows an increase of 9 

bps versus the JGB and a decrease of 20 bps versus the Bund.
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

6

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

Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-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

Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-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 March2017

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

Treasury yields) -- 73 basis points on G2SF and 74 basis points on GNSF.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of March2017
7

Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-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 March2017

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

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

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

Japanese yen yield more than the JGB 5/10 blend by 143 and 144 basis points, respectively.

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14 Mar-15 Mar-16 Mar-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)
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

8

0.0

0.5

1.0

1.5

2.0

2.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-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

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

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

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

of the German 5/10 Bund blend by 114 and 115 basis points, respectively.

Sources: Bloomberg and State Street Global Advisors. Note: Data as of March2017

March2017
9

Relative Attractiveness of US Fixed 

Income and Ginnie Mae MBS

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

Data as of March 2017.

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

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

exception is the high yield index, where interest rate risk does not fully capture the volatility of the high yield 

asset class. Investors are unable to match the yield on Ginnie Mae securities, while preserving the full 

government guarantee, even if they extend their duration significantly.

Security Duration Yield

US 5y 4.7 1.92

US 10y 8.8 2.39

GNMA II 3% 6.8 2.86

GNMA II 3.5% 5.5 2.81

JPY 5y 5.0 -0.13

JPY 10y 9.9 0.06

GER 5y 5.0 -0.39

GER 10y 9.7 0.33

ITA 5y 4.8 1.10

ITA 10y 8.9 2.31

US credit 7.1 3.23

US credit >= A 7.5 3.12

US HY 4.0 5.68

Pan-Euro 

corp 5.9 1.19

Pan-Euro HY 3.4 3.3

US 5y

US 10y

G2 3.0% G2 3.5%

JPY 5y

GER 10y

GER 5y

JPY 10y

ITA 5y

ITA 10y

US Credit

US Credit>=A

US HY

Pan-Euro 

Corp

Pan-Euro HY

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

0.0 2.0 4.0 6.0 8.0 10.0 12.0

Yield

Duration

Yield per duration
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

10

Source: State Street

Average Return (Per Month)

Time Period US MBS US Treasury US Credit Corp Ginnie Mae

Pan Euro 

Credit Corp US High Yield* Pan EuroHigh Yield*

1 year 0.01 -0.12 0.28 0.22 1.28 0.67

3 year 0.20 0.18 0.31 0.36 0.39 0.41

5 year 0.15 0.14 0.33 0.43 0.56 0.69

10 year 0.35 0.33 0.46 0.36 0.66 0.72

*Assumes 2% capitalization max per issuer

Source: State Street

Average Excess Return (Per Month)

Time Period US MBS US Treasury US Credit Corp Ginnie Mae

Pan Euro 

Credit Corp US High Yield* Pan Euro

1 year -0.02 -0.15 0.25 0.28 1.25 0.73

3 year 0.19 0.16 0.29 0.40 0.37 0.45

5 year 0.14 0.13 0.32 0.45 0.55 0.71

10 year 0.30 0.28 0.41 0.31 0.61 0.67

High Yield*

*Assumes 2% capitalization max per issuer

Source: State Street

s

Standard Deviation

Time Period US MBS US Treasury US Credit Corp Ginnie Mae

Pan Euro 

Credit Corp

US High Yield* Pan Euro

High Yield*

1 year 0.55 1.13 1.28 1.11 1.25 1.25

3 year 0.52 1.00 1.19 1.16 1.75 1.44

5 year 0.66 0.93 1.21 1.18 1.55 1.43

10 year 0.77 1.23 1.76 1.47 3.08 3.65

*As umes 2% capitalization max per issuer

Sharpe Ratio

Time Period US MBS US Treasury US Credit Corp Ginnie Mae

Pan Euro 

Credit Corp US High Yield Pan EuroHigh Yield*

1 year -0.04 -0.13 0.19 0.25 1.00 0.59

3 year 0.36 0.16 0.24 0.34 0.21 0.31

5 year 0.21 0.13 0.27 0.38 0.36 0.50

10 year 0.40 0.23 0.24 0.21 0.20 0.18

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

Sources: Barclays Indices, Bloomberg and State Street Global Advisors Note:Data as of March2017

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

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

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

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

highest of any market over the past decade.
State of the US Housing Market

11

7.2%

6.9%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Jul-00

Jan-01

Jul-01

Jan-02

Jul-02

Jan-03

Jul-03

Jan-04

Jul-04

Jan-05

Jul-05

Jan-06

Jul-06

Jan-07

Jul-07

Jan-08

Jul-08

Jan-09

Jul-09

Jan-10

Jul-10

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

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 January 2017

1.20%

1.00%

4.56%

2.40%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

2Q054Q052Q064Q062Q074Q072Q084Q082Q094Q092Q104Q102Q114Q112Q124Q122Q134Q132Q144Q142Q154Q152Q164Q16

Serious delinquency rates

Fannie Mae Freddie Mac FHA VA

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

Note: Serious delinquency is defined as 90 days ormore past due orin the foreclosure process.Data as of Q4 2016

Serious Delinquency Rates: Single-Family Loans

The US Housing Market is recovering from the Great Recession. Serious delinquency rates at the GSEs are 

slightly above where they were pre-crisis, while serious delinquency rates at the FHA and VA are actually 

lower, as the book of business is of much higher credit quality. FHA, VA recorded their first uptick in recent 

years, Whether this is a new trend or a strong seasonal change will be closely monitored. Home price changes 

turned positive in 2012, and continue to increase at around 7 percent per year, as measured by both 

CoreLogic and Zillow.
State of the US Housing Market

12

Debt,

household

mortgages,

$9,833

HPI Changes

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

National 93.7% -33.4% 44.1% 6.9% 4.2%

Alabama 45.9% -21.0% 18.6% 3.8% 6.7%

Alaska 68.9% -9.2% 15.7% 1.6% -4.9%

Arizona 121.6% -50.6% 60.8% 6.6% 26.0%

Arkansas 39.2% -7.8% 12.2% 4.6% -3.3%

California 149.1% -42.6% 64.3% 5.8% 6.0%

Colorado 40.2% -13.9% 55.5% 9.1% -25.3%

Connecticut 79.5% -25.0% 6.7% 0.6% 25.0%

Delaware 90.3% -24.0% 16.0% 1.7% 13.4%

District of Columbia 150.2% -10.3% 35.7% 5.3% -17.8%

Florida 149.2% -49.8% 57.6% 7.3% 26.3%

Georgia 40.2% -31.0% 46.0% 6.4% -0.7%

Hawaii 152.4% -20.8% 42.9% 6.7% -11.6%

Idaho 86.1% -41.1% 58.5% 9.0% 7.1%

Illinois 60.1% -32.8% 26.2% 5.6% 18.0%

Indiana 24.1% -16.4% 22.8% 5.3% -2.6%

Iowa 25.5% -4.8% 16.1% 3.3% -9.5%

Kansas 33.1% -13.9% 22.1% 5.6% -4.8%

Kentucky 27.0% -8.9% 17.3% 5.6% -6.4%

Louisiana 58.2% -7.8% 18.9% 3.4% -8.7%

Maine 93.1% -15.3% 27.1% -1.8% -7.2%

Maryland 137.8% -31.3% 17.8% 4.3% 23.6%

Massachusetts 81.8% -21.4% 32.7% 6.1% -4.1%

Michigan 26.1% -43.5% 62.2% 6.4% 9.1%

Minnesota 69.9% -28.4% 34.7% 5.4% 3.7%

Mississippi 36.8% -19.0% 15.7% 1.5% 6.7%

Missouri 46.2% -22.2% 24.2% 4.6% 3.6%

Montana 80.4% -16.7% 29.3% 3.1% -7.2%

Nebraska 25.3% -5.2% 20.4% 4.6% -12.4%

Nevada 129.0% -60.1% 71.6% 5.3% 46.2%

New Hampshire 82.9% -24.0% 25.6% 6.0% 4.8%

New Jersey 109.7% -26.5% 13.2% 2.5% 20.1%

New Mexico 64.3% -26.9% 17.3% 5.5% 16.6%

New York 102.4% -13.7% 29.8% 7.1% -10.7%

North Carolina 39.4% -14.8% 22.5% 5.2% -4.2%

North Dakota 49.0% -2.0% 43.0% 1.0% -28.7%

Ohio 22.1% -20.7% 24.8% 5.4% 1.1%

Oklahoma 35.6% -3.3% 12.7% 1.6% -8.3%

Oregon 87.6% -29.5% 57.5% 10.3% -10.0%

Pennsylvania 71.6% -12.8% 11.3% 2.9% 3.0%

Rhode Island 131.0% -34.6% 23.9% 5.6% 23.4%

South Carolina 61.3% -22.3% 28.4% 6.4% 0.3%

South Dakota 37.2% -3.6% 31.2% 9.1% -20.9%

Tennessee 41.0% -13.5% 30.0% 7.4% -11.1%

Texas 39.2% -13.2% 42.7% 6.8% -19.2%

Utah 64.8% -31.9% 50.1% 8.0% -2.2%

Vermont 80.7% -9.0% 11.8% 6.1% -1.7%

Virginia 135.4% -30.8% 26.7% 3.1% 14.0%

Washington 90.2% -28.3% 51.4% 10.8% -7.9%

West Virginia 78.4% -28.8% 18.3% 1.7% 18.8%

Wisconsin 48.6% -17.5% 19.6% 5.4% 1.3%

Wyoming 75.8% -15.4% 23.6% 1.1% -4.4%

Nationally, the housing market has improved by 44.1 percent since the trough, and needs to increase by another

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

states well in excess of the prior peak, while Nevada is 46 percent below peak levels, and Arizona and Florida are

both around 26 percent below peak levels.

Sources: CoreLogic and Urban Institute. Note: HPI data as of January 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 09/2005to 09/2008. Trough represents the month when HPI fell to the lowest level for each state/US

after the housing bust, ranging from 01/2009to 03/2012.Current is 01/2017,the latest HPI data period.
State of the US Housing Market

13

Debt,

usehold

rtgages,

ho

mo

$9,833

State

Agency Issuance (past 1 year) Agency Outstanding

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 33.4% 210.4 230.3 33.1% 172.5 204.2

Alabama 46.4% 159.0 181.5 48.3% 139.1 166.1

Alaska 53.6% 279.9 244.2 52.6% 250.9 224.8

Arizona 38.7% 200.1 206.9 35.9% 169.2 185.9

Arkansas 43.3% 139.6 166.8 48.1% 119.9 150.0

California 27.0% 334.9 321.9 22.6% 272.5 286.6

Colorado 32.0% 258.8 255.1 31.9% 214.7 228.7

Connecticut 31.0% 213.9 229.2 30.1% 202.2 217.1

Delaware 40.3% 214.5 221.6 38.0% 196.0 205.2

District of Columbia 18.3% 409.9 361.6 18.6% 315.2 328.5

Florida 40.0% 198.2 198.7 37.3% 164.8 180.1

Georgia 41.7% 176.3 205.5 41.7% 149.5 182.2

Hawaii 41.5% 486.5 374.3 31.8% 402.6 339.5

Idaho 36.2% 182.2 188.3 36.2% 155.9 169.9

Illinois 24.4% 175.2 202.6 25.6% 152.2 181.3

Indiana 39.4% 137.1 156.9 40.7% 119.1 139.0

Iowa 24.2% 142.0 165.0 28.1% 122.3 145.7

Kansas 34.3% 149.8 173.9 38.1% 129.8 153.8

Kentucky 40.2% 145.8 166.1 40.9% 130.7 147.3

Louisiana 42.0% 168.6 191.0 44.8% 147.7 174.5

Maine 35.7% 178.5 196.0 33.2% 163.6 177.8

Maryland 45.0% 282.1 268.6 40.2% 247.0 244.3

Massachusetts 21.1% 275.0 278.0 19.9% 246.2 251.2

Michigan 26.6% 141.2 169.0 27.9% 120.2 148.4

Minnesota 25.4% 189.0 205.5 26.7% 165.2 186.5

Mississippi 49.2% 147.5 169.4 53.6% 128.9 155.3

Missouri 34.6% 148.1 174.7 37.5% 129.8 153.2

Montana 31.7% 206.0 206.3 32.9% 177.0 186.7

Nebraska 32.0% 156.5 168.6 37.4% 131.3 149.9

Nevada 44.8% 220.1 212.8 42.3% 186.9 190.9

New Hampshire 32.8% 222.9 219.4 30.8% 204.7 198.2

New Jersey 29.4% 248.5 268.8 28.8% 230.7 246.5

New Mexico 45.0% 174.6 184.7 44.9% 153.6 170.6

New York 27.2% 236.2 261.7 27.5% 200.0 238.2

North Carolina 35.3% 174.9 200.6 37.2% 151.2 181.3

North Dakota 27.4% 205.6 203.0 27.7% 174.6 181.1

Ohio 37.0% 137.7 156.9 39.0% 123.2 141.9

Oklahoma 46.1% 149.2 168.9 51.5% 128.3 154.2

Oregon 27.9% 233.8 243.7 26.7% 200.9 213.8

Pennsylvania 34.8% 167.0 194.3 34.8% 150.2 178.4

Rhode Island 36.6% 212.7 216.3 34.2% 195.8 200.3

South Carolina 40.3% 177.1 191.6 39.8% 153.7 174.3

South Dakota 35.2% 170.7 181.2 38.0% 150.9 160.5

Tennessee 42.4% 171.1 194.0 44.6% 145.1 173.6

Texas 36.0% 185.0 208.1 40.3% 146.0 185.9

Utah 31.9% 219.4 234.5 34.0% 193.1 211.1

Vermont 23.8% 194.8 196.1 20.0% 179.7 180.6

Virginia 46.0% 277.9 266.8 42.3% 238.3 241.5

Washington 32.1% 262.2 266.3 31.7% 223.0 235.3

West Virginia 47.9% 154.0 156.0 46.2% 136.5 145.4

Wisconsin 21.2% 160.9 175.7 22.2% 143.9 158.4

Wyoming 40.8% 205.8 207.2 42.6% 189.9 192.4

Ginnie Mae loans constitute 33.1 percent of outstanding agency issuance by loan balance, 33.4 percent of the

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

outstandings (as measured by loan balance) as low as 18.6 percent in the District of Columbia to a high of 53.6 

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

Sources: eMBS and Urban Institute. Note: Ginnie Mae share are based on loan balance as of January 2017.
State of the US Housing Market

14

$10.3

$14.0

$24.3

0

5

10

15

20

25

30

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

$ Trillions

Value of the US Housing Market

Debt, household mortgages Household equity Total Value

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

$0.5

$0.6

$6.1

$3.1

0

1

2

3

4

5

6

7

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

$ Trillions

Size of the US Residential Mortgage Market

Private Label Securities Second Liens Agency MBS Unsecuritized first liens

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

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

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

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

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

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

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

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,savingsinstitutions, and credit unions. Data as of Q4 2016.
State of the US Housing Market

15

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

$6.1 trillion: 44.2 percent Fannie Mae, 27.6 percent Freddie Mac, and 28.2 percent Ginnie Mae. Ginnie Mae now

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

comprising 31.5 percent of total Ginnie Mae outstandings.

$2.7

$1.7

0

1

1

2

2

3

3

Aug-00

Feb-01

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

$ Trillions

Outstanding Agency Mortgage-Backed Securities

Fannie Mae Freddie Mac Ginnie Mae

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

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

$1.1

$0.5

$0.1

0

0.2

0.4

0.6

0.8

1

1.2

Aug-00

Feb-01

Aug-01

Feb-02

Aug-02

Feb-03

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

$ Trillions

Outstanding Ginnie Mae Mortgage-Backed Securities

FHA VA Other
State of the US Housing Market

16

$0.66

$0.47

$0.009

$0.64

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

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

$ trillions

First Lien Origination Volume Portfolio

PLS securitization

FHA/VA securitization

GSE securitization

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

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

First Lien Origination Share

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

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

45.9 percent, from 45.7 percent for the same period in 2015. The FHA/VA share was slightly down: 22.8 percent 

in 2016 versus 23.3 percent in 2015. Origination of private-label securities is well under 1% in both years.

30.9%

0.5%

22.8%

45.8%

Sources: Inside Mortgage Finance and Urban Institute. Note: Data as of Q4 2016.
US Agency Market, Originations

17

Debt,

househo

mortg ,

ld

ages

$9,833

Ginnie Mae Breakdown: Agency Gross Issuance

Issuance Year FHA VA Other Total Agency

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016 

2017 YTD

2017 %Change YOY 

2017 Ann.

$80.2

$133.8

$128.6

$147.9

$85.0

$55.7

$51.2

$67.7

$2

$

21.7

359.9

$304.9

$216.1

$253.4

$239.2

$163.9

$261.5

$281.8

$41.8

13.5%

$251.0

$18.8

$34.7

$37.9

$62.7

$31.8

$23.5

$23.2

$24.2

$39.0

$74.6

$70.6

$82.3

$131.3

$132.2

$111.4

$155.7

$206.5

$30.4

30.7%

$182.5

$3.2

$3.1

$2.5

$2.5

$2.5

$2.1

$2.3

$3.0

$6.9

$16.8

$15.3

$16.9

$20.3

$22.2

$21.0

$19.2

$19.9

$3.4

19.5%

$20.5

$102.2

$171.5

$169.0

$213.1

$119.2

$81.4

$76.7

$94.9

$267.6

$451.3

$390.7

$315.3

$405.0

$393.6

$296.3

$436.3

$508.2

$75.7

20.2%

$454.0

Agency Gross Issuance

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

Agency gross issuance totaled $234.7 billion in the first two months of 2017, a 34 percent increase from the

same period last year. Ginnie Mae gross issuance has grown by 20.2 percent, while GSE gross issuance has

grown by 42.4 percent. Within the Ginnie Mae market, FHA is up by 13.5 percent while VA origination is up by

30.7 percent.

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017 YTD

2017 %Change YOY 

2017 Ann.

$202.8

$506.9

$710.0

$1,174.4

$517.5

$514.1

$500.2

$633.0

$562.7

$817.1

$626.6

$578.2

$847.6

$749.9

$392.9

$493.9

$600.5

$93.2

37.0%

$559.1

$157.9

$378.2

$529.0

$700.5

$355.2

$379.9

$352.9

$433.3

$348.7

$462.9

$377.0

$301.2

$441.3

$426.7

$258.0

$351.9

$391.1

$65.9

50.9%

$395.1

$360.6

$885.1

$1,238.9

$1,874.9

$872.6

$894.0

$853.0

$1,066.2

$911.4

$1,280.0

$1,003.5

$879.3

$1,288.8

$1,176.6

$650.9

$845.7

$991.6

$159.0

42.4%

$954.2

$102.2

$171.5

$169.0

$213.1

$119.2

$81.4

$76.7

$94.9

$267.6

$451.3

$390.7

$315.3

$405.0

$393.6

$296.3

$436.3

$508.2

$75.7

20.2%

$454.0

$462.8

$1,056.6

$1,407.9

$2,088.0

$991.9

$975.3

$929.7

$1,161.1

$1,179.0

$1,731.3

$1,394.3

$1,194.7

$1,693.8

$1,570.2

$947.2

$1,282.0

$1,499.8

$234.7

34.4%

$1,408.2

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

Note : Dollar amounts are in billions. Annualized figure based on data from 2016.“Other“refers to loans insured by HUD’s Office of Public and

Indian Housing and the Department of Agriculture’s RuralDevelopment. All data is as of February2017.
US Agency Market, Originations

18

Debt,

househol

mortgag

$9,833

d

es,

Ginnie Mae Breakdown: Net Issuance

Issuance Year FHA VA Other Total

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017 YTD

2017 %Change YOY 

2017 Ann.

$29.0

$0.7

-$22.5

-$56.5

-$45.2

-$37.7

-$4.7

$20.2

$173.3

$206.4

$158.6

$102.8

$58.9

$20.7

-$4.8

$20.0

$46.4

$4.9

-11.0%

$29.6

$0.3

-$10.6

-$28.7

-$21.1

$5.1

-$11.8

$3.8

$8.7

$17.7

$35.1

$29.6

$34.0

$45.9

$53.3

$53.9

$66.8

$72.7

$14.1

40.0%

$84.4

$0.0

$0.0

$0.0

$0.0

$0.0

$0.0

$1.2

$2.0

$5.4

$15.8

$10.0

$12.8

$14.3

$13.9

$12.5

$7.9

$6.1

$0.7

-93.3%

$4.0

$29.3

-$9.9

-$51.2

-$77.6

-$40.1

-$42.2

$0.2

$30.9

$196.4

$257.4

$198.3

$149.6

$119.1

$87.9

$61.6

$94.7

$125.1

$19.7

13.7%

$118.0

Agency Net Issuance

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

Agency net issuance totaled $50.1 billion for the first two months of 2017, up 115 percent over the same

period last year. Ginnie Mae net issuance was $19.7 billion, comprising 39.3 percent of total agency net 

issuance. Note that Ginnie Mae net issuance was up 13.7 percent versus the same time last year. Ginnie Mae

net issuance is comprised of 71.5 percent VA issuance, 25.1 percent FHA issuance and 3.4 percent other

issuance.

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016 

2017 YTD

2017 %Change YOY 

2017 Ann.

$92.0

$216.0

$219.2

$293.9

$33.2

$62.6

$164.3

$295.9

$212.5

$207.0

-$158.7

-$37.6

$28.8

$54.9

$0.4

$10.1

$68.6

$13.2

621.2%

$79.2

$67.8

$151.8

$138.3

$41.1

$50.2

$111.7

$149.3

$218.8

$101.8

$42.5

-$146.8

-$95.8

-$75.3

$11.6

$29.9

$64.9

$67.0

$17.2

315.0%

$103.1

$159.8

$367.8

$357.6

$335.0

$83.3

$174.4

$313.6

$514.7

$314.3

$249.5

-$305.5

-$133.4

-$46.5

$66.5

$30.3

$75.0

$135.6

$30.4

408.9%

$182.3

$29.3

-$9.9

-$51.2

-$77.6

-$40.1

-$42.2

$0.3

$30.9

$196.4

$257.4

$198.2

$149.4

$118.4

$85.8

$59.8

$94.5

$125.1

$19.7

13.7%

$118.0

$189.1

$357.9

$306.4

$257.4

$43.2

$132.1

$313.8

$545.5

$510.8

$506.8

-$107.3

$16.0

$71.9

$152.3

$90.1

$169.5

$260.7

$50.1

115.0%

$300.4

Sources: eMBS and Urban Institute (top and bottom)

Note : Dollar amounts are in billions. Annualized figure based on data from 2016.“Other“refers to loans insured by HUD’s Office of Public and Indian 

Housing and the Department of Agriculture’s RuralDevelopment. All data is as of February 2017.
US Agency Market, Originations

19

0%

1%

2%

3%

4%

5%

6%

7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Aug-03

Feb-04

Aug-04

Feb-05

Aug-05

Feb-06

Aug-06

Feb-07

Aug-07

Feb-08

Aug-08

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

Mortgage Rate

Percent Refi

Percent Refi at Issuance

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

32%

52%

7%

0%

10%

20%

30%

40%

50%

60%

70%

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

Percent Refi

Percent Refi at Issuance: Ginnie Mae Breakdown

FHA VA Other

The Ginnie Mae refi share stands at 36 percent in February 2017, below the 55 and 58 percent shares for Fannie

Mae and Freddie Mac, respectively. Within Ginnie Mae, VA had the highest refi share of 52 percent in February

2017, followed by FHA’s 32 percent refi share. While most of these refi rates continued to edge down this

month, we expect them to taper more in the months ahead, due to higher interest rates.

Sources: eMBS and Urban Institute. Note: Based on at-issuance balance. Data as of February 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 RuralDevelopment. Data as of February 2017.
20

Credit Box

36%

41%

69%

51%

20%

30%

40%

50%

60%

70%

80%

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

First Time Homebuyer Share: Purchase Only Loans

Freddie Fannie Ginnie All

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

First time homebuyers are more important to the Ginnie Mae market, comprising 69 percent of purchase 

originations, compared to Fannie and Freddie’s 41 percent and 36 percent share of the first-time homebuyer 

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

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

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

Fannie Mae Freddie Mac Ginnie Mae All

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

Loan Amount 

($Thousands ) 211.9 238.6 218.9 248.2 194.3 237.2 203.2 241.1

Credit Score 735.4 751.8 740.1 754.4 684.6 703.4 707.3 736.0

LTV (%) 86.4 78.0 87.1 79.9 96.5 95.3 92.1 84.3

DTI (%) 34.5 35.0 35.0 35.6 40.5 41.2 38.0 37.3

Loan Rate (%) 4.23 4.11 4.20 4.07 4.06 3.97 4.13 4.05

Sources: eMBS and Urban Institute. Note: Data as of February 2017.
21

Credit Box

76 %

52%

77%

69%

40%

45%

50%

55%

60%

65%

70%

75%

80%

85%

Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17

First Time Homebuyer Share: 

Ginnie Mae Purchase Only Loans Breakdown by Source

FHA VA Other All

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

and the Department of Agriculture’s RuralDevelopment.

Within the Ginnie Mae purchase market, 76 percent of FHA loans, 52 percent of VA loans and 77 percent of 

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

originated in February 2017, the average first-time homebuyer was more likely than an average repeat buyer 

to take out a smaller loan and have a lower credit score, a higher LTV and slightly lower DTI, thus requiring a 

higher interest rate.

FHA VA Other Ginnie Mae Total

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

Loan Amount

($ Thousands) 193.1 213.4 231.5 282.2 139.4 153.2 194.3 237.2

Credit Score 679.2 685.2 697.1 726.5 695.2 698.8 684.6 703.4

LTV (%) 95.5 94.3 98.5 95.6 99.3 99.2 96.5 95.3

DTI (%) 41.7 42.4 39.5 40.8 34.9 35.4 40.5 41.2

Loan Rate (%) 4.12 4.08 3.93 3.82 3.95 4.01 4.06 3.97

Sources: eMBS and Urban Institute. Note: Data as of February 2017.
Credit Box

22

FICO Score Distribution: Mortgage Owners vs All Consumers

Sources: Credit Bureau Data and Urban Institute.

Note:Data as of August 2015.

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

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

All Consumers Mortgage owners

All Consumers- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

300 501 523 575 675 770 812 821 839

Mortgage Owners- Percentiles

Minimum P5 P10 P25 P50 P75 P90 P95 Maximum

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

top table shows that the median FICO score for all consumers (675) is lower than the 25th percentile of those

with a mortgage (676).

306 564 609 676 749 800 818 824 839
23

De

hold

mort ages,

bt,

house

g

$9,833

Purchase FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 211,562 645 678 726 773 797 723 

Fannie 65,631 679 713 756 787 801 746 

Freddie 53,939 686 719 758 787 801 750 

Ginnie 91,992 628 651 683 726 770 690 

Refi FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 209,164 651 689 737 779 800 730 

Fannie 94,367 662 700 747 784 802 738 

Freddie 67,918 676 709 752 786 802 744 

Ginnie 46,879 622 652 690 737 780 694 

All FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 420,726 647 683 731 776 798 727 

Fannie 159,998 668 706 751 785 802 742 

Freddie 121,857 680 713 755 786 802 747 

Ginnie 138,871 627 651 685 729 774 691 

Purchase FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 91,992 628 651 683 726 770 690 

FHA 58,067 625 647 675 711 750 681 

VA 24,209 635 664 708 762 635 664 

Other 9,716 642 660 691 732 767 696 

Refi FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 46,879 622 652 690 737 780 694 

FHA 23,563 612 641 673 708 749 675 

VA 22,651 637 670 712 762 793 712 

Other 665 638 667 702 747 782 705 

All FICO: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 138,871 627 651 685 729 774 691 

FHA 81,630 622 645 674 710 750 679 

VA 46,860 636 667 710 762 793 712 

Other 10,381 641 660 692 732 768 697 

February 2017 Credit Box at a Glance

In February 2017, the median Ginnie Mae FICO score was 685 versus 751 for Fannie and 755 for Freddie. Note

that the FICO score for the 10th percentile was 627 for Ginnie Mae, versus 668 for Fannie and 680 for Freddie.

Within the Ginnie Mae market, FHA loans have a median FICO score of 674, VA loans have a median FICO score of 

710 and other loans have a median FICO score of 692.

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 RuralDevelopment. Data as of February 2017.
February 2017 Credit Box at a Glance

24

De t,

o old

ages,

$9,833

bt

h useh

mortga

$

Purchase LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 204,817 71.0 80.0 95.0 96.5 99.7 87.6

Fannie 65,687 60.0 75.0 80.0 95.0 95.0 81.0

Freddie 53,944 64.0 78.0 80.0 95.0 95.0 82.0

Ginnie 85,186 91.9 96.5 96.5 99.2 101.2 96.2

Refi LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 200,551 42.0 57.0 72.0 80.0 90.0 68.5

Fannie 94,368 39.0 53.0 68.0 77.0 80.0 64.3

Freddie 67,912 41.0 55.0 69.0 79.0 82.0 65.4

Ginnie 38,271 66.5 79.7 85.0 94.4 98.7 84.4

All LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 405,368 50.0 68.0 80.0 95.0 97.0 78.1

Fannie 160,055 44.0 60.0 75.0 80.0 95.0 71.2

Freddie 121,856 47.0 62.0 76.0 84.0 95.0 72.7

Ginnie 123,457 80.0 90.0 96.5 97.1 101.0 92.5

 

Purchase LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 85,186 91.9 96.5 96.5 99.2 101.2 96.2

FHA 52,524 93.1 96.5 96.5 96.5 96.5 95.2

VA 22,870 88.5 96.4 100.0 101.8 102.3 97.1

Other 9,792 95.1 99.1 101.0 101.0 101.1 99.2

Refi LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 38,271 66.5 79.7 85.0 94.4 98.7 84.4

FHA 24,636 67.5 79.7 85.0 91.8 95.9 83.0

VA 12,953 63.8 79.2 90.0 99.2 102.2 86.3

Other 682 83.1 90.7 99.0 100.7 102.0 94.5

All LTV: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 123,457 80.0 90.0 96.5 97.1 101.0 92.5

FHA 77,160 80.0 88.0 96.5 96.5 96.5 91.3

VA 35,823 76.7 90.0 98.7 101.1 102.2 93.2

Other 10,474 94.0 98.8 101.0 101.0 101.3 98.9

In February 2017, the median loan-to-value ratio (LTV) was 96.5 percent for Ginnie Mae , 75.0 percent for Fannie

Mae, and 76.0 for Freddie. The 10th percentile was 80.0 percent for Ginnie Mae and 44-47 percent for the GSEs. 

Within the Ginnie Mae market, the median LTV was 96.5 for FHA, 98.7 for VA and 101.0 for the other lending

programs. 

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 February 2017.
25

Deb

ehold

mo gages,

$9,833

t,

hous

m rt

Purchase DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 210,988 24.0 31.0 38.6 44.0 49.0 37.4

Fannie 65,617 22.0 28.0 36.0 42.0 45.0 34.6

Freddie 53,909 22.0 29.0 37.0 42.0 45.0 35.2

Ginnie 91,462 28.0 34.6 41.4 47.6 52.9 40.7

Refi DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 191,696 21.0 28.0 36.0 43.0 47.0 34.9

Fannie 91,844 20.0 27.0 35.0 42.0 45.0 33.8

Freddie 66,299 20.0 27.0 36.0 42.0 46.0 34.4

Ginnie 33,553 23.8 31.3 39.8 46.9 52.1 38.7

All DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 402,684 22.0 29.0 37.0 43.4 48.0 36.2

Fannie 157,461 21.0 27.0 35.0 42.0 45.0 34.2

Freddie 120,208 21.0 28.0 36.0 42.0 45.0 34.7

Ginnie 125,015 26.8 33.7 41.0 47.4 52.7 40.2

Purchase DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 91,462 28.0 34.6 41.4 47.6 52.9 40.7

FHA 58,126 29.2 36.0 42.8 48.7 53.6 41.9

VA 24,026 26.7 33.5 40.7 47.2 52.5 40.1

Other 9,310 25.5 30.7 35.9 40.2 43.1 35.0

Refi DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 33,553 23.8 31.3 39.8 46.9 52.1 38.7

FHA 16,923 25.8 33.0 41.3 47.8 52.3 40.0

VA 16,132 22.4 29.9 38.6 45.8 51.9 37.8

Other 498 15.4 21.2 28.9 38.4 44.0 29.7

All DTI: Ginnie Mae Breakdown By Source

Number of Loans P10 P25 Median P75 P90 Mean

All 125,015 26.8 33.7 41.0 47.4 52.7 40.2

FHA 75,049 28.4 35.3 42.5 48.5 53.3 41.4

VA 40,158 24.8 32.1 39.9 46.7 52.3 39.2

Other 9,808 24.8 30.2 35.7 40.2 43.1 34.7

February 2017 Credit Box at a Glance

In February 2017, the median Ginnie Mae debt-to-income ratio (DTI) was 41.0 percent, considerably higher than

the 35-36 percent median DTIs for Fannie and Freddie. The 10th percentile for Ginnie Mae was 26.8 percent, also 

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

was 42.5, versus 39.9 for VA and 35.7 for other lending programs. 

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 RuralDevelopment. Data as of February2017.
Credit Box: Historical

26

660

680

700

720

740

760

780

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

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

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

FICO Scores for Refinance Loans

Freddie Median FICO Fannie Median FICO

Ginnie Median FICO All Median FICO

755

751

685

731

660

680

700

720

740

760

780

Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17

FICO Scores

FICO Scores for All Loans

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

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

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

GSE FICO scores is wider in purchase loans than in refi loans.

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

Sources: eMBS and Urban Institute. Note:Data as of February 2017 Sources: eMBS and Urban Institute. Note: Data as of February 2017
Credit Box: Historical

27

76.0

75.0

96.5

80.0

65.0

70.0

75.0

80.0

85.0

90.0

95.0

100.0

Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-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

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

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

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

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, much higher than the 75-80 average for

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

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

Sources: eMBS and Urban Institute

Note:Data as of February2017.

Sources: eMBS and Urban Institute

Note:Data as of February2017.
Credit Box: Historical

28

36.0

35.0

41.0

37.0

30.0

32.0

34.0

36.0

38.0

40.0

42.0

Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-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

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

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

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

DTI Ratio for Purchase Loans

Freddie Median DTI Fannie Median DTI

Ginnie Median DTI All Median DTI

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

than the 35-36 DTIs for the GSEs. 

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

Sources: eMBS and Urban Institute. 

Note:Data as of February2017

Sources: eMBS and Urban Institute. 

Note:Data as of February2017
Ginnie Mae Non-bank Originators

29

The non-bank originator share of the Ginnie Mae market fell sharply from 77 to 73 percent in February

2017, reversing a long expanding trend in recent years. VA issuance experienced the biggest drop from 71

to 64 percent. FHA issuance was down from 82 to 80 percent, and the Other issuance declined from 81 to 

80 percent. This is likely due to the refi reduction caused by recent interest rate hike, as non-bank

originators are more dominant in the refinance market and the VA originations relies more heavily on refis

than FHA and other loans.

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 RuralDevelopment.Data as of February2017.

Sources: eMBS and Urban Institute

Note:Data as of February2017.

Sources: eMBS and Urban Institute

Note:Data as of February2017

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

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

Ginnie Mae Non-bank Originator Share: All Loans

All FHA VA Other

80%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

Ginnie Mae Non-bank Share: 

Purchase Loans

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

Ginnie Mae Non-bank Share: 

Refi Loans

All FHA VA Other

73%

64%
30

All Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 137,708 627 651 685 730 774 691

Bank 36,485 643 666 702 750 786 707

Non-Bank 101,223 623 647 680 722 767 686

FHA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 80,761 622 645 674 710 750 679

Bank 17,279 642 661 687 721 761 692

Non-Bank 63,482 620 641 671 707 746 675

VA Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 46,645 636 667 710 762 793 712

Bank 17,097 645 677 724 772 797 723

Non-Bank 29,548 630 661 703 754 789 705

Other Ginnie Mae FICO

Number of Loans P10 P25 Median P75 P90 Mean

All 10,302 641 660 692 733 768 697

Bank 2,109 639 662 703 748 779 701

Non-Bank 8,193 642 660 690 728 764 696

Ginnie Mae Non-bank Originators: 

February 2017 Credit Box

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

scores than do bank originators. Overall, the median Ginnie Mae FICO score is 685-- it is 702 for bank borrowers

and 680 for non-bank borrowers. For FHA borrowers, the median FICO score for bank originators is 687 and 16

points lower for non-banks. For VA borrowers, the median FICO score for bank originators is 724 and it is 19 

points lower for non-banks. For “Other” loans, the median FICO score for bank originators is 703 and it is 13 points 

lower 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 RuralDevelopment.Data as of February 2017.
31

All Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 122,392 80.0 90.0 96.5 97.1 101.0 92.5

Bank 31,725 82.7 93.4 96.5 99.3 101.8 93.8

Non-Bank 90,667 79.5 88.6 96.5 96.5 101.0 92.0

FHA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 76,340 80.0 87.9 96.5 96.5 96.5 91.3

Bank 16,302 85.0 95.0 96.5 96.5 96.5 93.3

Non-Bank 60,038 79.3 85.8 96.5 96.5 96.5 90.7

VA Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 35,657 76.6 90.0 98.7 101.1 102.2 93.2

Bank 13,251 77.7 90.0 98.8 101.2 102.2 93.5

Non-Bank 22,406 76.0 90.0 98.7 101.0 102.2 93.1

Other Ginnie Mae LTV

Number of Loans P10 P25 Median P75 P90 Mean

All 10,395 94.0 98.8 101.0 101.0 101.4 98.9

Bank 2,172 96.0 100.0 101.0 101.0 102.0 99.7

Non-Bank 8,223 93.8 98.6 100.8 101.0 101.0 98.7

Ginnie Mae Non-bank Originators: 

February 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 RuralDevelopment.Data as of February2017.
32

All Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 123,894 26.8 33.7 41.0 47.4 52.7 40.2

Bank 33,783 25.1 32.3 39.8 45.6 51.0 38.8

Non-Bank 90,111 27.5 34.2 41.5 48.0 53.1 40.7

FHA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 74,212 28.4 35.3 42.5 48.5 53.3 41.4

Bank 16,714 27.4 34.5 41.5 46.6 51.7 40.2

Non-Bank 57,498 28.7 35.5 42.9 49.0 53.6 41.8

VA Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 39,953 24.8 32.1 39.9 46.7 52.3 39.2

Bank 15,057 23.1 30.5 38.6 45.4 50.7 37.7

Non-Bank 24,896 25.9 33.1 40.7 47.5 52.9 40.0

Other Ginnie Mae DTI

Number of Loans P10 P25 Median P75 P90 Mean

All 9,729 24.8 30.2 35.7 40.2 43.1 34.7

Bank 2,012 24.3 29.6 35.6 40.2 43.3 34.6

Non-Bank 7,717 25.0 30.4 35.7 40.2 43.0 34.8

Ginnie Mae Non-bank Originators: 

February 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 39.8, versus 41.5 for non-banks. This 

difference is slightly smaller for FHA loans, and slightly larger for VA loans.

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 RuralDevelopment.Data as of February 2017.
Ginnie Mae Nonbank Originators: 

Historical Credit Box

33

The difference in FICO scores between loans originated by banks and non-banks has been growing over time

for both FHA and VA loans. The growth of the bank-non-bank differential is even more pronounced in VA

loans than in FHA loans-- a point that has received little attention.

Sources: eMBS and Urban Institute

Note:Data as of February2017

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 February 2017.

660

665

670

675

680

685

690

695

700

705

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

Ginnie Mae FICO Scores 

Bank vs. Nonbank

All Median FICO

Bank Median FICO

Nonbank Median FICO

660

665

670

675

680

685

690

695

700

705

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

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

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

Ginnie Mae VA FICO Scores 

Bank vs. Nonbank

VA All Median FICO

VA Bank Median FICO

VA Nonbank Median FICO

670

680

690

700

710

720

730

740

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

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 February 2017 Sources: eMBS and Urban Institute Note:Data as of February 2017
Prepayments

34

0%

5%

10%

15%

20%

25%

30%

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

Constant Prepayment Rate (%)

Aggregate Prepayments

Fannie CPR Freddie CPR Ginnie I CPR Ginnie II CPR

9%

14%

0%

5%

10%

15%

20%

25%

30%

35%

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

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 March 2017

Prepayments on Ginnie Mae securities were lower than on GSE securities in 2011 to mid-2013. Since then, they

have been higher. 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 refinance program applies to a 

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

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

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

With the mortgage rate hike since election day in November 2016, the speeds for all agencies have slowed down 

considerably. This declining trend was reversed in March 2017, mostly due to an increased numbers of days 

compared to February (23 vs 19).

15%

13%

10%

9%

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

35

8%

13%

0%

5%

10%

15%

20%

25%

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

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%

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

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

The 2013 Ginnie II 3.0s are 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 their 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. And in fact GSE guarantee fees have gone

up over that period, creating a disincentive for conventional borrower. Moreover, more recent origination is 

more heavily VA loans, which are more prepayment responsive than either FHA or conventional. As mortgage

rates rose since election day, the prepayment speeds of Ginnies and Conventionals both fell sharply.

However, speeds ticked up for all agencies this month, mostly due to an increased numbers of days in March 

(23) compared to February (19).

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

15%

10%

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

36

0%

5%

10%

15%

20%

25%

30%

35%

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

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%

Mar-11

May-11

Jul-11

Sep-11

Nov-11

Jan-12

Mar-12

May-12

Jul-12

Sep-12

Nov-12

Jan-13

Mar-13

May-13

Jul-13

Sep-13

Nov-13

Jan-14

Mar-14

May-14

Jul-14

Sep-14

Nov-14

Jan-15

Mar-15

May-15

Jul-15

Sep-15

Nov-15

Jan-16

Mar-16

May-16

Jul-16

Sep-16

Nov-16

Jan-17

Mar-17

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

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

2013. We believe both the contributions of the much faster VA mortgages as well as simplifications to the

FHA streamlined programs during 2013 explain this. However, as mortgage rates started to rise sharply

since November and reached 4.17 percent in February, the speeds for all agencies have slowed down 

considerably. In March, the speeds ticked up mostly due to an increased number of days compared to 

February (23 vs 19).

18%

13%

12%

Sources: Credit Suisse and Urban Institute. Note:Data as of March2017

21%

16%

15%

Sources: Credit Suisse and Urban Institute. Note:Data as of March 2017
Reverse Mortgage Volumes

37

$0.7

$0.0

$0.2

$0.4

$0.6

$0.8

$1.0

$1.2

$1.4

$1.6

$1.8

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

$ Billions

HMBS Issuance Volume

$55.2

$0

$10

$20

$30

$40

$50

$60

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

$ Billions

HMBS Outstanding

Other Ginnie Mae Programs

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

securities total $55.2 billion in February.

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

Sources: Ginnie Mae and Urban Institute. Note: Data as of February 2017
Multifamily Market

38

$1.3

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

$ Billions

Ginnie Mae Multifamily MBS Issuance

$100.4

$0

$20

$40

$60

$80

$100

$120

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Nov-10

Feb-11

May-11

Aug-11

Nov-11

Feb-12

May-12

Aug-12

Nov-12

Feb-13

May-13

Aug-13

Nov-13

Feb-14

May-14

Aug-14

Nov-14

Feb-15

May-15

Aug-15

Nov-15

Feb-16

May-16

Aug-16

Nov-16

Feb-17

$ Billions

Ginnie Mae Multifamily MBS Outstanding

Other Ginnie Mae Programs

Ginnie Mae multifamily issuance volumes in February totaled $1.3 billion. Outstanding multifamily securities 

totaled $100.4 billion in February.

Sources: Ginnie Mae and Urban Institute. Note: Data as of December 2016

Sources: Ginnie Mae and Urban Institute. Note: Data as of December 2016
Market Conditions

Sources: SIFMAand Urban Institute. Note:Data as of February 2017 39

$216 

$543 

$36 

$0

$100

$200

$300

$400

$500

$600

1996 1999 2002 2005 2008 2011 2014 2017

$ Billions

Average Daily Fixed Income Trading Volume by Sector

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

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

3.57%

3.90%

0.42%

0%

2%

4%

6%

8%

10%

12%

14%

1996 1999 2002 2005 2008 2011 2014 2017

Average Daily Turnover by Sector

Agency MBS Turnover Treasury Turnover Corporates Turnover

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

than in the 2014-2016 period. In the first two months of 2017, daily turnover was 3.57% versus 3.55% in 

2016 and 3.34% 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.
Market Conditions

40

$201.8

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

$52.1

0

10

20

30

40

50

60

70

80

90

100

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

$ Billions

Dealer Net Positions: Federal Agency and GSE MBS

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

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

cutting back on lower margin businesses.

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

Sources: Federal Reserve Bank of New York PrimaryDealer Statistics and Urban Institute. Note: Data as of March 2017
MBS Ownership

41

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

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

GSEs

Commercial 

Banks

Federal Reserve

Broker/Dealers

REITs

Other

Who owns Total Agency Debt?

Mutual 

Funds

Money Market and Pension

Funds

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

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

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

fraction of what they once were.

% of Total Agency

Debt by Owner

Foreign Investors

Credit Unions
MBS Ownership

42

household

mortgages,

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

Debt,

$9,833

71.0%

50%

55%

60%

65%

70%

75%

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

Percent of MBS over Outstanding Agency Debt

MBS Share of Total Agency Debt

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

activity, hence the MBS share of total agency debt increases. It now stands at 71.0 percent. Commercial banks 

are the second largest holders of Agency MBS behind the Federal Reserve. Out of their $1.7 trillion in holdings 

as of the end of March, $1.23 trillion of it is held by the top 25 domestic banks.

Sources: Federal Reserve Bank and Urban Institute. Note: Data as of March2017

Commercial Bank Holdings ($Billions)

Feb-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17

Week Ending

Mar 8 Mar 15 Mar 22 Mar 29

Largest Domestic 

Banks 1131.2 1192.2 1205.9 1217.7 1217.2 1218 1224.8 1230 1223.3 1231.5 1232.8 1231.5

Small Domestic 

Banks 425.3 439.5 440.8 444.8 449.8 451.8 456.2 455.7 457.3 456.6 458.5 458.1

Foreign Related 

Banks 14.8 13.6 13.8 14.3 14.1 12.6 12.7 12.9 12.8 12.8 13.2 13.1

Total, 

Seasonally Adjusted 1571.3 1645.3 1660.5 1676.8 1681.1 1682.4 1693.7 1698.6 1693.4 1700.9 1704.5 1702.7
MBS Ownership

43

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)

1

Market

Share

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

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

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

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

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

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

7 CapitalOne FinancialCorporation $50,921 $9,697 $17,832 $21,571 $1,821 2.90%

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

$931 billion in GSE pass-throughs and $323 billion in Ginnie Mae pass-throughs. There are another $419.8 

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

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

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

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

Bank and Thrift Residential MBS Holdings

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

Total

$683.90

$810.50

$912.36

$982.08

$1,113.89

$1,139.68

$1,207.09

$1,236.00

$1,299.76

$1,345.74

$1,433.38

$1,566.88

$1,578.86

$1,506.60

AllBanks & Thrifts ($Billions)

AgencyMBS GSE PT GNMA PT AgencyCMO Private MBS Private CMO

$392.85

$459.78

$557.43

$619.02

$724.61

$708.64

$742.28

$678.24

$820.12

$854.40

$847.13

$917.10

$953.76

$933.73

$234.01

$270.59

$376.11

$461.72

$572.40

$566.81

$628.52

$559.75

$638.78

$629.19

$600.80

$627.37

$707.87

$705.97

$84.26

$109.53

$101.46

$75.11

$49.33

$35.92

$31.13

$31.58

$100.36

$155.00

$163.13

$214.81

$242.54

$231.93

$198.04

$236.91

$244.98

$236.81

$208.18

$190.70

$179.21

$174.27

$207.66

$271.17

$397.30

$478.82

$469.27

$432.60

$21.57

$37.62

$20.08

$19.40

$20.55

$29.09

$42.32

$26.26

$12.93

$7.53

$7.34

$3.28

$17.16

$26.11

$71.43

$76.18

$89.88

$106.86

$160.55

$211.25

$243.28

$357.24

$259.04

$212.64

$181.61

$167.70

$138.67

$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
44

MBS Ownership

$848.7

$382.7

$466.0

0

100

200

300

400

500

600

700

800

900

1,000

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

$ 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 November 2016.

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

14.0%

10.0%

10.5%

11.0%

11.5%

12.0%

12.5%

13.0%

13.5%

14.0%

14.5%

15.0%

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

Percent of Agency MBS Owned by Foreigners

Foreign Share of Agency MBS

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

December, this represents $848.7 billion in agency MBS, $382.7 billion held by official institutions and

$466.0 billion held by private investors.
MBS Ownership

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

Country Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016

Taiwan 189,503 199,028 198,243 204,340 207,057 208,352 204,005 9,525 -785 6,097 2,717 1,295 -4,347

China 221,978 207,537 195,429 197,628 195,759 191,743 184,151 -14,441 -12,108 2,199 -1,869 -4,016 -7,592

Japan 157,177 153,567 157,675 176,215 197,116 222,116 220,644 -3,610 4,108 18,540 20,901 25,000 -1,472

Ireland 38,510 39,831 43,193 46,136 48,460 48,307 47,065 1,321 3,362 2,943 2,324 -153 -1,242

Luxembourg 27,454 25,923 26,254 26,748 32,426 32,549 35,352 -1,531 331 494 5,678 123 2,803

Cayman Islands 22,794 26,078 26,450 27,307 28,281 30,686 30,186 3,284 372 857 974 2,405 -500

Switzerland 18,094 16,082 16,466 16,590 16,188 20,638 15,626 -2,012 384 124 -402 4,450 -5,012

United Kingdom 8,937 7,770 8,022 9,243 9,532 10,520 9,578 -1,167 252 1,221 289 988 -942

Canada 3,719 3,644 3,271 3,255 3,965 6,578 5,047 -75 -373 -16 710 2,613 -1,531

Belgium 5,746 5,749 5,459 5,627 4,490 4,336 4,597 3 -290 168 -1,137 -154 261

Rest of World 191,495 195,960 194,446 199,916 347,014 208,604 208,353 4,465 -1,514 5,470 147,098 -138,410 -251

Total 885,407 881,169 874,908 913,005 946,946 984,429 964,604 -4,238 -6,261 38,097 33,941 37,483 -19,825

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

percent of all foreign holdings. Since June of 2015, we estimate Taiwan and Japan have expanded their holdings 

while China has contracted. Our estimates indicate Japan has been the single largest buyer of MBS in 2016, up 

by $76 billion compared to June 2015.

Agency MBS+ Agency Debt

Agency MBS Only (Estimates)

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

Note: Data as of December 2016

*calculated based on June 2015 report with amount asset backed

per country

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

Country Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016

Taiwan 188,000 199,211 199,923 206,827 209,489 209,550 205,448 11,211 713 6,904 2,662 62 -4,102

China 208,000 195,829 185,493 187,035 185,139 181,535 174,719 -12,171 -10,336 1,542 -1,896 -3,604 -6,816

Japan 132,000 128,958 132,679 156,158 180,891 206,246 208,362 -3,042 3,722 23,478 24,734 25,355 2,116

Ireland 28,000 29,555 34,388 37,677 40,180 39,201 38,293 1,555 4,834 3,288 2,503 -979 -908

Luxembourg 22,000 20,710 20,983 21,392 28,086 27,825 31,503 -1,290 273 409 6,694 -261 3,677

Cayman Islands 18,000 21,865 22,987 23,727 24,717 27,023 26,894 3,865 1,122 739 990 2,306 -129

Switzerland 11,000 9,304 9,620 9,705 9,338 13,909 8,829 -1,696 316 85 -367 4,571 -5,080

United Kingdom 6,000 5,016 5,224 6,388 6,728 7,810 6,771 -984 208 1,164 340 1,082 -1,039

Canada 2,000 1,937 1,620 1,600 2,301 5,269 3,598 -63 -317 -20 701 2,968 -1,671

Belgium 2,000 2,004 1,757 1,898 905 766 989 4 -247 141 -993 -139 223

Rest of World 123,000 128,255 127,026 133,686 137,906 142,561 143,283 5,255 -1,229 6,660 4,221 4,655 722

Total 740,000 742,643 741,701 786,092 825,681 861,694 848,688 2,643 -942 44,391 39,589 36,013 -13,006

45
MBS Ownership

46

0

50

100

150

200

250

Feb-09 Oct-09 Jun-10 Feb-11 Oct-11 Jun-12 Feb-13 Oct-13 Jun-14 Feb-15 Oct-15 Jun-16 Feb-17

$ Billions

Total Fed Absorption

Gross Issuance Total Fed Purchases

0

50

100

150

200

250

Feb-09

Oct-09

Jun-10

Feb-11

Oct-11

Jun-12

Feb-13

Oct-13

Jun-14

Feb-15

Oct-15

Jun-16

Feb-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 February 2017.

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

Institute. Note: Data as of February 2017.

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

Note: Data as of February 2017.

0

10

20

30

40

50

60

70

Feb-09

Aug-09

Feb-10

Aug-10

Feb-11

Aug-11

Feb-12

Aug-12

Feb-13

Aug-13

Feb-14

Aug-14

Feb-15

Aug-15

Feb-16

Aug-16

Feb-17

$ Billions

Fed Absorption of Ginnie Mae MBS

Total Fed Purchases Gross Issuance

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

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

Fed’s absorption of gross issuance has been between 20 and 30 percent, and it was 25.3 percent for February 

2017. During this month, the Fed has been buying Ginnie Mae securities and GSE securities at similar rates. 

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

Ginnie Mae issuance.
Disclosures

For use with Ginnie Mae only. 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 April 15, 2017 and are 

subject to change based on market and other conditions. This document contains certain 

statements that may be deemed forward-looking statements. Please note that any such 

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

may differ materially from those projected. 

© 2017 State Street Corporation. All Rights Reserved.

CLADM-1347

4/15/2018