Global Markets

Analysis Report

A Monthly Publication of Ginnie

Mae’s Office of Capital Markets

Global Markets   Analysis Report

A MONTHLY PUBLICATION OF GINNIE MAE’S

OFFICE OF CAPITAL MARKETS

AUGUST

2021
Global Markets Analysis Report

Global Markets Analysis Report

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

Table of Contents

Section Page

Highlights......................................................................................................................................................................... 2

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

1.1 Barclays US Aggregate and Global Indices.................................................................................................................... 4

1.2 Global 10‐Year Treasury Yields...................................................................................................................................... 5

1.3 Ginnie Mae Yields– USD................................................................................................................................................ 6

1.4 Ginnie Mae Yield Spreads – Intermediate Credit.......................................................................................................... 7

1.5 Global Treasury Yield Per Duration............................................................................................................................... 8

2.0 State of the US Housing Market............................................................................................................................. 9

2.1 Serious Delinquency Rates............................................................................................................................................ 9

2.2 National HPI ................................................................................................................................................................ 10

2.3 Ginnie Mae Agency Issuance and Agency Outstanding by State ................................................................................ 11

2.4 Size and Value of the US Housing Market................................................................................................................... 12

2.5 Outstanding Single Family Agency MBS...................................................................................................................... 13

2.6 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time ............................................................... 14

2.7 Characteristics of Ginnie Mae Loans in Forbearance.................................................................................................. 15

2.8 Origination Volume Over Time ................................................................................................................................... 18

3.0 US Agency Market, Originations.......................................................................................................................... 19

4.0 High LTV Loans: Ginnie Mae vs. GSEs................................................................................................................... 23

5.0 Holders of Ginnie Mae Mortgage Servicing Rights................................................................................................ 24

6.0 Agency Nonbank Originators............................................................................................................................... 25

6.1 Agency Nonbank Originator Share (All, Purchase, Refi).............................................................................................. 25

6.2  Ginnie Mae Nonbank Originator Share (All, Purchase, Refi)...................................................................................... 26

6.3 Bank vs. Nonbank Originators Historical Credit Box, Ginnie Mae vs. GSE (FICO, LTV, DTI) ........................................ 27

7.0 Market Conditions............................................................................................................................................... 31

7.1 Average Daily Trading Volume and Turnover by Sector ............................................................................................. 31

8.0 Prepayments....................................................................................................................................................... 32

8.1 Aggregate Prepayments.............................................................................................................................................. 32

9.0 MBS Ownership .................................................................................................................................................. 36

9.1 Commercial Bank Holdings of Agency MBS ................................................................................................................ 36

9.2 Bank and Thrift Residential MBS Holdings.................................................................................................................. 37

9.3 Foreign Ownership of MBS ......................................................................................................................................... 39

9.4 Agency Debt + Agency MBS ........................................................................................................................................ 40
Highlights

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 2

Highlights

Ginnie Mae, with approximately $2 trillion of Ginnie Mae mortgage‐backed securities (MBS) outstanding, has

taken steps to align their MBS program and data reporting with emerging Environmental, Social, and

Governance (ESG) investment data demanded by fixed income investors; while keeping a strong focus on

maintaining liquidity for its securities and attracting a wide group of global investors.  

Global ESG investment requirements have shifted over the last decade and will continue to evolve as investors,

institutions, and markets work to define how ESG investing aligns with the needs of each individual and

organizations’ ESG strategy. Market participants, standard setters, and industry groups are also working

together as ESG reporting standards continue to evolve. In the MBS market, the process to establish ESG

investment criteria is driven by the ongoing exercise of identifying relevant ESG data, the requirements to collect

that data, and how to present the data in useable form.  

Ginnie Mae ESG Data Disclosure Leadership  

As demand for Environmental, Social, and Governance data has emerged, Ginnie Mae has taken tangible steps

to lead the market in disclosing data related to “Social” ESG factors. For instance, In May 2021, Ginnie Mae

added new ESG data to its Single Family Supplemental File, which investors may use to analyze Ginnie Mae

securities at the pool level. With the new ESG disclosure, Investors can review exposure at the pool level to

loans in low and moderate income (LMI) areas.  

The data discloses key metrics such as the number of LMI area loans in

the pool, the percentage of LMI area loans within the pool, the unpaid

principal balance (UPB) of LMI area loans within the pool, and the

percentage of LMI area loans within the pool by UPB. LMI areas are

defined by the Department of Housing and Urban Development (HUD)

(as delineated by HUD’s Community Development Block Grant (CDBG)

Program) which is the key differentiator for loans in Ginnie Mae MBS

pools designated as LMI.1 As of June 11, 2021 approximately $255 billion

of Ginnie Mae loans were categorized as LMI area loans as defined by

HUD’s CDBG Program.2 Socially responsible investors have the

opportunity to leverage this new data to better target their investment dollars into pools with higher

concentrations of LMI area loans.3

  

While each ESG investor may have their own parameters of what constitutes an ESG investment and overall ESG

investment strategy, Ginnie Mae pools with a higher concentration of LMI area loans may be more likely to fall

under the definition of an ESG investment.2 As of the end of June 2021, “per the new data disclosure, more than

1.7 million government loans outstanding were originated in LMI areas, comprising 15.9% of the roughly 10.7

million loans.”3

Ginnie Mae’s – “Social” – LMI data disclosure provides MBS investors with increased detail on mortgage pool

characteristics, allowing Investors to make informed ESG decisions when investing in Ginnie Mae MBS. By

1 https://catalog.data.gov/dataset/hud‐low‐and‐moderate‐income‐areas   2 Barrow, J., & Zhao, Z. (2021, June 11). Agency MBS Weekly | North America | Looking Into Low Income. Data is as of June 11, 2021. 3 https://www.ginniemae.gov/newsroom/GinnieInBrief/Pages/Post.aspx?PostID=56. Data is as of June 30, 2021.

Figure 1. Ginnie Mae Loans LMI vs. Non‐LMI 2

13.17%

$255 Bn

86.83%

$1,683 Bn

LMI

Non‐LMI
Highlights

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 3

examining pool level data, analysis shows that “lower loan sizes generally correlate with higher LMI pool

percentages”4

. Lower Loan Balances (LLB) can also drive positive convexity through reduced prepay risk and

reduced refinance risk. MBS originators have been pooling low loan balances in GNMA II Custom pools for a long

time due to their attractive prepay profile. There are incremental benefits to Ginnie Mae adding the LMI data

disclosure for pools, which include providing investors the ability to determine if an MBS investment aligns with

their organization's ESG goals and investment profile. By examining pool level data using Ginnie Mae’s – “Social”

– LMI data, MBS Investors can identify and invest in Ginnie Mae securities with a readily identifiable LMI

percentage, thereby increasing the likelihood of capturing positive convexity while potentially fulfilling internal

ESG investing goals.

ESG Data Disclosure and Investment: Future Considerations

Many global investors agree on the environmental factors that influence ESG investment, but the societal

differences across global markets require further study to develop industry specific standardization of ESG

“Social” reporting.5 Organizations in different parts of the world are working to promote ESG considerations in

investments across all asset classes. ESG fixed income investment policy standards are in development across

the globe, particularly in the context of social investing.  

MBS investors will continue to incorporate ESG data into their investment decisions as new ESG data becomes

available. A 2020 survey conducted with organizations that use ESG principles in their investment strategy

indicated that up to 60% of those organizations incorporate ESG principles into their management of fixed

income investments.6 Established ESG investment criteria may provide a roadmap for investors and

organizations to consider ESG principles when managing fixed income investments. Part of establishing ESG

investment criteria for fixed income investors comes with developing ESG metrics and considering evolving data

sets that are available and reported by organizations.  

Ginnie Mae is already adapting to the demand for ESG investment information as evidenced by the addition of

new ESG data to their Single Family Supplemental Files. With the newly available data, investors can see that the

UPB outstanding for LMI area loans is, as of June 2021, about $259 billion representing 13.5% of the $2 trillion

Ginnie Mae MBS outstanding.7 Additionally, on July 15th, 2021, Ginnie Mae announced the implementation of

ESG data within the Platinum Portfolio Enhanced Supplemental File, with the first production file being available

on October 13th, 2021. The new ESG record will provide platinum pool level aggregate information about the

extent of UPB dollars that are in Low‐ and Moderate‐Income areas.8

  

Ginnie Mae will continue efforts to lead the MBS market in the identification of relevant “Social” data to present

to investors in a usable format. As more global investors consider ESG factors in investment decisions, globalized

standards will continue to be developed to align ESG investor sentiment with industry specific reporting

guidelines, including mortgage finance standards. Ginnie Mae is supportive of the advancement of global ESG

initiatives and standards and continues to lead by providing data to help boards of directors, regulators,

investors, and others make decisions with transparency into ESG investment criteria and regular reporting of

that data.

4 Barrow, J., & Zhao, Z. (2021, June 11). Agency MBS Weekly | North America | Looking Into Low Income. Data is as of June 11, 2021. 5 https://thedocs.worldbank.org/en/doc/375981604591250621‐0340022020/original/WorldBankESGGuide2020FINAL.11.5.2020.pdf 6 https://www.rbcgam.com/documents/en/other/esg‐executive‐summary.pdf   7 https://www.ginniemae.gov/newsroom/GinnieInBrief/Pages/Post.aspx?PostID=56 8 https://www.ginniemae.gov/investors/disclosures_and_reports/Pages/BulletinsDispPage.aspx?ParamID=514&Ident=2021‐038 
Highlights

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 4

1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS

US MBS (Ginnie Mae, Fannie Mae, and Freddie Mac) contribute approximately 27% of the Barclays US Aggregate

Index. US MBS follow only US Treasuries which contribute approximately 38% of the Barclays US Aggregate

Index. In Global Markets, the US share of fixed income still represents the largest share of total outstanding

issuance, representing approximately 37% of the total Barclays Global Aggregate Index.

1.1 Barclays US Aggregate and Global Indices

         Barclays US Aggregate Index

Sources: Bloomberg. Note: Data as of July 2021. Numbers in chart may not add to 100 % due to rounding.

Barclays Global Aggregate Index by Country

Sources: Bloomberg. Note: Data as of July 2021. Figures in charts may not add to 100 % due to rounding.

38%

27%

17%

8%

2%

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

Treasury

MBS Passthrough

Industrial

Financial Institutions

Agency

Utility

CMBS

Supranational

Sovereign

37%

7% 13%

6%

5%

5%

4%

4%

2%

2% 15%

United States

Japan

China

France

United Kingdom

Germany

Canada

Italy

Spain
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 5

1.2 Global 10‐Year Treasury Yields

US 10‐year treasury yields decreased by 25 basis points (“bps”) to 1.22% in July 2021, maintaining the

decreasing yield trend of the last 4 months. US Treasury yields remain the highest of all the government treasury

yields depicted in the figure below. The yield on the Italian 10‐year note decreased by 20 bps to 0.62%. The

yields on the UK 10‐year and Japanese 10‐year government notes decreased to 0.56% and 0.02%, respectively,

in July; also, a MoM decrease of 15 bps and 4 bps. The German 10‐year yield decreased to ‐0.4%, decreasing by

25 bps in July. At the end of July 2021, the hedged yield for the 10‐year Treasury JPY stood at 266 bps, an

increase of 4 bps from the previous month. The hedged yield for the 10‐year Treasury EUR stood at 152 bps, an

increase of 2 bps from the previous month.

Global 10‐Year Treasury Yields

     7– 10yr Total Return Hedged Index, JPY

Sources: Bloomberg. Note: Data as of July 2021

    7 – 10yr Total Return Hedged Index, EUR

219

229

239

249

259

269

279

120

130

140

150

160

170

‐2.0

‐1.0

0.0

1.0

2.0

3.0

4.0

5.0

US 10 YR UK 10 YR GER 10 YR IT 10 YR JPY 10 YR
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 6

1.3 Ginnie Mae Yields– USD

Ginnie Mae MBS yields slightly decreased in July 2021. GNMA II yields were at 1.59% and GNMA I yields at

1.79%, down by 12 bps and 10 bps respectively from the prior month. At the end of July, Ginnie Mae II SF yields

were 37 bps higher than the US 10‐year Treasury yield, representing an increase in spread of 13 bps since last

month. The security yields on the Ginnie Mae I SF were 57 bps higher than the US 10‐year Treasury yield at the

end of July, representing an increase in spread of 14 bps since last month.

Ginnie Mae II SF Yield, USD

Ginnie Mae I SF Yield, USD

Sources: Bloomberg. Note: Data as of July 2021

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

0

0.5

1

1.5

2

2.5

3

3.5

4

4.5
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 7

1.4 Ginnie Mae Yield Spreads – Intermediate Credit

The yield differential between US Intermediate Credit and GNMA II 30‐year OAS increased in February 2020 in

response to the COVID‐19 pandemic. This was followed by tightening over the remainder of 2020 and into July

of 2021, finally reaching pre‐pandemic levels during July. At the same time, the Ginnie Mae II 30‐year yield

differential fell to multi‐year lows, recovering at a slower pace than the US intermediate credit curve and

surpassing pre‐pandemic levels during July 2021. The differential between the two decreased 4bps, ending July

2021 at 20 bps and reaching pre‐COVID levels.

US GNMA II 30yr MBS versus Intermediate Credit

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

Sources: Bloomberg. Note: Data as of July 2021.

0

0.5

1

1.5

2

2.5

3

3.5

‐0.5

0

0.5

1

1.5

2

2.5

3

3.5

4

US GNMA II 30yr U.S. Intermediate Credit ‐ OAS
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 8

1.5 Global Treasury Yield Per Duration

GNMA MBS, due to prepayment risk, continues to offer a higher yield in comparison to other government fixed

income securities of various tenors with similar or longer duration. However, some of the GNMA MBS products

have decreased their yield and duration while others have increased. The GNMA II 2.5% securities duration and

yield decreased by 0.22 and 9 bps when compared to the previous month, while the GNMA II 3% securities

duration and yield increased by 0.3 and 11 bps when compared to the previous month.

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

settlement of 8/19. All other data is as of July 2021. Yields are in base currency of security and unhedged.

Security Duration Yield

US 5y 4.87 0.74

US 10y 9.37 1.24

JPY 5y 4.92 ‐0.13

JPY 10y 9.88 0.02

GER 5y 5.23 ‐0.74

GER 10y 10.09 ‐0.45

ITA 5y 4.68 ‐0.05

ITA 10y 9.64 0.62

UK 5y 4.48 0.28

UK 10y 7.89 0.56

GNMA II 2% 4.98 1.51

GNMA II 2.5% 3.67 1.41

GNMA II 3% 3.03 1.43

Yield vs. Duration

US 5y

US 10y

JPY 5y

JPY 10y

GER 5y

GER 10y

ITA 5y

ITA 10y

UK 5y

UK 10y

GNMA II 2%

GNMA II 2.5%

GNMA II 3%

‐1.00

‐0.50

0.00

0.50

1.00

1.50

2.00

0.00 2.00 4.00 6.00 8.00 10.00 12.00

Yield

Duration
Relative Attractiveness of US Fixed

Income and Ginnie Mae MBS

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 9

2.0 State of the US Housing Market

2.1 Serious Delinquency Rates

Serious delinquency rates for single family GSE, FHA, and VA loans all fell slightly in Q1 2021. The increase in

delinquencies from Q2 2020 to Q1 2021 reflects the impact of the pandemic on mortgage payments. Data as of

2021 Q2 will be included in the September 2021 edition of the report.

Sources: Fannie Mae and Freddie Mac Monthly Summary Reports, FHA Single Family Loan Performance Trends Report, and MBA Delinquency Survey.

Note: Serious delinquency is defined as 90 days or more past due or in the foreclosure process. Data as of Q1 2021.

11.00%

2.58%

2.34%

5.59%

0%

2%

4%

6%

8%

10%

12%

1Q053Q051Q063Q061Q073Q071Q083Q081Q093Q091Q103Q101Q113Q111Q123Q121Q133Q131Q143Q141Q153Q151Q163Q161Q173Q171Q183Q181Q193Q191Q203Q201Q21

Serious Delinquency Rates

FHA Fannie Mae Freddie Mac VA

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 10

2.2 National HPI

Nationally, nominal home prices have increased by 79.1% since the trough (see footnote), and now exceed their

pre‐crisis peak valuation on a nominal basis by 41.4%. Two states, Connecticut and Illinois, surpassed their 2007

peak only recently in March of 2021, currently 6.1% and 8% above their respective peaks. Data as of 2021 Q2

will be included in the September 2021 edition of the report.

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

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

2009 to 2012. Current period is 3/2021, the latest HPI data period.

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

Peak

National 59.6% ‐21.1% 79.1% 8.6% 41.4%

AK 66.9% ‐5.0% 37.5% 6.6% 30.6%

AL 41.7% ‐15.0% 56.3% 6.9% 32.8%

AR 39.8% ‐11.0% 48.6% 7.3% 32.3%

AZ 110.2% ‐49.5% 157.4% 11.7% 30.1%

CA 144.8% ‐47.0% 124.8% 10.2% 19.2%

CO 32.4% ‐10.1% 127.1% 9.6% 104.1%

CT 72.9% ‐19.6% 32.0% 11.1% 6.1%

DC 162.5% ‐12.1% 110.7% 7.7% 85.3%

DE 88.5% ‐23.4% 47.7% 10.1% 13.2%

FL 130.1% ‐46.5% 127.5% 8.8% 21.6%

GA 35.9% ‐27.0% 102.1% 8.8% 47.5%

HI 138.5% ‐26.8% 82.0% 3.9% 33.2%

IA 27.8% ‐5.3% 48.5% 5.7% 40.5%

ID 73.3% ‐32.2% 170.8% 15.8% 83.6%

IL 49.9% ‐23.8% 41.7% 6.8% 8.0%

IN 19.1% ‐8.7% 70.0% 8.7% 55.2%

KS 31.0% ‐7.6% 59.1% 7.7% 47.0%

KY 28.9% ‐5.4% 56.6% 7.1% 48.1%

LA 51.5% ‐6.5% 40.0% 4.4% 30.9%

MA 69.8% ‐18.1% 68.3% 8.9% 37.9%

MD 126.5% ‐26.4% 48.8% 9.0% 9.5%

ME 72.0% ‐12.3% 63.9% 9.9% 43.8%

MI 18.4% ‐31.5% 101.8% 8.6% 38.2%

MN 52.6% ‐23.0% 76.6% 7.5% 36.0%

MO 39.2% ‐14.9% 66.2% 7.9% 41.4%

MS 38.9% ‐12.8% 37.8% 5.3% 20.2%

MT 79.3% ‐13.8% 85.1% 11.2% 59.6%

NC 39.8% ‐14.0% 72.8% 9.0% 48.6%

ND 51.7% ‐0.8% 64.6% 4.4% 63.3%

NE 24.3% ‐6.0% 70.2% 8.1% 60.0%

NH 72.7% ‐21.9% 70.9% 10.6% 33.5%

NJ 102.3% ‐22.6% 43.7% 9.3% 11.2%

NM 66.6% ‐18.0% 50.5% 8.7% 23.3%

NV 117.5% ‐59.2% 181.4% 8.8% 14.8%

NY 75.8% ‐10.4% 49.9% 8.4% 34.2%

OH 19.6% ‐16.5% 70.5% 8.6% 42.4%

OK 36.9% ‐4.7% 53.2% 6.8% 46.0%

OR 85.8% ‐28.6% 117.6% 10.0% 55.4%

PA 69.1% ‐10.8% 50.9% 8.0% 34.6%

RI 108.1% ‐28.0% 69.7% 10.6% 22.3%

SC 40.5% ‐15.9% 73.4% 7.0% 45.9%

SD 40.1% ‐2.4% 66.1% 10.1% 62.0%

TN 38.6% ‐12.8% 87.9% 9.7% 63.9%

TX 35.8% ‐3.0% 87.0% 8.3% 81.4%

UT 65.2% ‐26.1% 133.8% 13.9% 72.9%

VA 95.1% ‐18.8% 53.9% 8.2% 25.0%

VT 78.0% ‐10.0% 42.8% 7.6% 28.6%

WA 83.5% ‐27.3% 130.8% 10.7% 67.8%

WI 38.6% ‐14.1% 61.8% 7.2% 38.9%

WV 39.4% ‐5.7% 36.3% 7.5% 28.5%

WY 85.0% ‐9.7% 45.6% 5.2% 31.4%
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 11

2.3 Ginnie Mae Agency Issuance and Agency Outstanding by State

Ginnie Mae MBS represent 25% of overall outstanding Agency issuance by unpaid loan balance and

approximately 22% of new Agency issuance over the past year. The share of Ginnie Mae issuance varies across

states, with the highest Ginnie Mae share in Mississippi (45%) and the lowest in the District of Columbia (12%).

There continues to be a strong correlation between home prices and Ginnie Mae share, with the Ginnie Mae

share higher in states with lower home prices. 

Agency Issuance (past 1 year) Agency Outstanding

  

   GNMA Share GNMA Loan Count   GNMA Avg. Loan Size   GSE Avg. Loan Size   GNMA Share by UPB GNMA Loan Count   GNMA Avg. Loan Size   GSE Avg. Loan Size  

National 22%   2,954,490     277,114.78     295,981.06   25%   10,799,661     183,182.09     219,584.73  

AK 49%   11,316     333,485.33     292,342.38   45%   37,202     248,513.63     246,856.81  

AL 35%   56,900     210,393.26     230,743.62   39%   234,030     142,398.55     166,613.80  

AR 33%   30,119     184,691.95     208,977.61   25%   289,975     193,293.36     214,679.42  

AZ 24%   106,366     271,911.72     271,174.86   38%   136,768     121,238.59     147,073.21  

CA 15%   262,730     422,549.82     412,987.66   16%   704,432     302,564.71     329,822.35  

CO 23%   89,086     354,785.40     337,508.27   23%   222,480     262,145.34     275,557.14  

CT 21%   24,792     262,331.87     283,038.60   24%   104,447     190,804.59     219,858.24  

DC 10%   2,798     472,331.73     469,537.90   12%   8,847     350,961.66     372,759.32  

DE 27%   13,577     262,548.85     269,658.94   31%   50,699     192,214.76     214,208.17  

FL 32%   258,940     268,671.39     262,285.70   32%   842,129     190,960.87     205,582.03  

GA 30%   133,637     241,423.40     265,171.94   33%   500,311     161,857.82     192,131.57  

HI 37%   15,075     581,599.77     460,145.86   30%   32,912     438,902.58     396,190.91  

IA 16%   16,708     194,716.25     200,756.50   20%   82,861     124,095.21     153,663.62  

ID 21%   21,596     280,754.79     268,258.29   24%   69,656     186,963.50     210,089.77  

IL 16%   80,533     223,501.35     243,962.71   20%   352,331     150,446.32     184,796.55  

IN 24%   63,891     188,422.90     199,169.45   30%   284,880     122,154.32     146,016.90  

KS 21%   21,897     178,910.72     221,334.75   28%   98,639     130,195.64     159,888.09  

KY 28%   38,517     195,158.45     206,164.92   33%   163,633     132,115.21     153,562.02  

LA 33%   44,098     206,022.26     238,475.25   37%   189,880     148,436.80     173,774.86  

MA 12%   33,744     362,778.35     357,059.50   15%   114,216     262,099.25     284,820.60  

MD 31%   88,420     353,101.36     328,888.76   32%   286,762     250,766.80     262,760.29  

ME 22%   10,187     229,603.67     248,785.33   25%   38,508     164,108.33     191,274.37  

MI 15%   61,046     189,207.95     210,573.07   19%   282,558     123,249.84     157,471.13  

MN 14%   40,399     254,114.79     256,977.00   17%   165,706     170,121.70     203,411.95  

MO 22%   56,151     198,708.27     213,713.93   28%   250,018     131,046.99     158,737.59  

MS 40%   24,037     200,822.13     213,392.46   45%   117,383     131,814.73     151,437.96  

MT 20%   10,314     234,131.96     274,346.76   24%   34,453     190,099.01     213,331.62  

NC 26%   116,064     236,263.55     261,221.89   29%   422,860     159,409.10     191,569.03  

ND 21%   4,889     252,398.02     240,688.66   22%   16,531     182,917.54     197,340.00  

NE 19%   14,758     204,255.25     210,821.26   26%   67,391     136,449.97     161,028.77  

NH 20%   11,725     291,012.36     277,291.27   22%   40,521     210,413.62     223,025.49  

NJ 17%   59,938     311,927.80     337,865.77   21%   230,154     223,922.65     262,230.00  

NM 34%   22,621     232,187.58     236,044.93   37%   95,663     154,165.49     174,846.81  

NV 31%   50,642     308,676.18     283,283.53   31%   134,341     224,419.09     231,083.02  

NY 15%   48,620     310,360.46     336,462.24   19%   309,065     195,022.84     252,027.68  

OH 23%   86,534     188,168.11     204,129.55   28%   426,602     121,035.37     146,711.34  

OK 37%   39,466     201,556.46     214,140.41   41%   190,693     130,342.57     152,220.59  

OR 19%   40,553     320,424.43     315,486.31   19%   115,870     230,938.24     252,295.64  

PA 20%   78,282     212,966.54     248,185.61   25%   394,232     142,328.90     179,793.92  

RI 25%   9,756     292,106.83     272,626.26   28%   35,082     211,607.54     221,670.17  

SC 32%   67,333     240,500.42     246,300.31   33%   229,772     166,300.93     186,768.75  

SD 24%   8,258     228,265.50     224,295.04   29%   29,684     158,531.59     178,353.35  

TN 28%   73,254     242,012.79     256,782.29   32%   282,795     157,768.11     187,796.82  

TX 29%   278,836     254,750.56     270,658.23   31%   1,072,696     165,881.80     198,033.62  

UT 17%   37,680     317,176.83     306,440.94   20%   105,794     227,937.02     253,503.45  

VA 33%   143,262     349,555.27     336,447.09   35%   438,951     240,710.05     258,589.17  

VT 17%   2,949     238,001.29     248,567.25   18%   12,346     172,707.73     192,005.01  

WA 20%   89,240     362,693.49     366,790.64   21%   244,756     257,168.78     285,716.21  

WI 13%   32,017     212,868.97     217,904.38   16%   126,162     145,466.81     171,125.75  

WV 38%   12,969     196,936.46     198,189.19   41%   56,461     135,369.39     148,095.59  

WY 32%   7,970     257,910.77     254,643.56   34%   25,523     193,462.50     206,495.27  

Sources: eMBS, Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files.  

Notes: Outstanding balance is based on loan balance as of June 2021. Ginnie Mae issuance is based on the last 12 months, from July 2020 to June 2021.
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 12

Size of the US Residential Mortgage Market

Value of the US Housing Market

2.4 Size and Value of the US Housing Market

The trending increase in total value of the US housing market has been driven primarily by growing home equity

since the recovery from the Global Financial Crisis. Mortgage debt outstanding has been relatively flat,

increasing from $10.8 trillion in Q3 2020 to $11.0 trillion in Q1 2021 while total household equity increased from

$21.2 trillion to $22.7 trillion. The total value of the single‐family housing market reached $33.8 trillion in Q1

2021. Agency MBS account for 65.5% of the total mortgage debt outstanding.

Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q1 2021.

11.0

22.7

33.8

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

20002001200220032004200520062007200820092010201120122013201420152016

2017

201820192020

Q1 2021

$ Trillions

Debt Household equity Total Value

0.39

0.42

7.71

3.25

0

1

2

3

4

5

6

7

8

9

200020012002200320042005200620072008200920102011201220132014201520162017201820192020

Q1 2021

$ Trillions

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 13

Outstanding Agency Mortgage‐Backed Securities

2.5 Outstanding Single Family Agency MBS  

As of June 2021, according to the Agency MBS disclosure files, outstanding single family securities in the Agency

market totaled $7.93 trillion: 40.9% Fannie Mae, 34.0% Freddie Mac, and 25.1% Ginnie Mae MBS. Within the

Ginnie Mae market the composition of issuance by Agency has shifted in the past ten years, as FHA outstanding

has slowed and VA outstanding has increased significantly. In June 2011, over 76% of Ginnie Mae outstanding

collateral was FHA and under 20% was VA. In June 2021, FHA collateral comprises 54% of Ginnie Mae

outstanding and VA collateral comprises 40% of Ginnie Mae outstanding.

Sources: Data as of June 2021 is based on outstanding balances in the Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files.

Composition of Outstanding Ginnie Mae Mortgage‐Backed Securities

$3,241

$2,692

$1,992

$7,925

$0

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

$7,000

$8,000

$9,000

Jun‐00

Dec‐00

Jun‐01

Dec‐01

Jun‐02

Dec‐02

Jun‐03

Dec‐03

Jun‐04

Dec‐04

Jun‐05

Dec‐05

Jun‐06

Dec‐06

Jun‐07

Dec‐07

Jun‐08

Dec‐08

Jun‐09

Dec‐09

Jun‐10

Dec‐10

Jun‐11

Dec‐11

Jun‐12

Dec‐12

Jun‐13

Dec‐13

Jun‐14

Dec‐14

Jun‐15

Dec‐15

Jun‐16

Dec‐16

Jun‐17

Dec‐17

Jun‐18

Dec‐18

Jun‐19

Dec‐19

Jun‐20

Dec‐20

Jun‐21

$ in billions

Fannie Mae Freddie Mac Ginnie Mae Total

$1,071

$806

$114 $‐

$200

$400

$600

$800

$1,000

$1,200

$1,400

Jun‐00

Dec‐00

Jun‐01

Dec‐01

Jun‐02

Dec‐02

Jun‐03

Dec‐03

Jun‐04

Dec‐04

Jun‐05

Dec‐05

Jun‐06

Dec‐06

Jun‐07

Dec‐07

Jun‐08

Dec‐08

Jun‐09

Dec‐09

Jun‐10

Dec‐10

Jun‐11

Dec‐11

Jun‐12

Dec‐12

Jun‐13

Dec‐13

Jun‐14

Dec‐14

Jun‐15

Dec‐15

Jun‐16

Dec‐16

Jun‐17

Dec‐17

Jun‐18

Dec‐18

Jun‐19

Dec‐19

Jun‐20

Dec‐20

Jun‐21

$ in billions

FHA VA Other
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 14

Outstanding Ginnie Balance, by Vintage

Outstanding Ginnie Balance, by Coupon

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

As of June 2021, the weighted average coupon on outstanding Ginnie Mae pools was 3.06%. The share of

outstanding MBS pools with coupons below 3.0% has grown significantly since 2020 due to low interest rates

and attendant refinance opportunities. The bottom chart shows that loans originated since 2019 now comprise

over 60% of Ginnie MBS collateral outstanding, as older vintages continue to refinance in substantial numbers.

The weighted average coupon of loans in the 2019 cohort is 2.67%.

Sources: Ginnie Mae Pool Level MBS Disclosure Files. Note: June 2021 data points reflect the current composition of balances by coupon and vintage; factor

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

2.70%

2.90%

3.10%

3.30%

3.50%

3.70%

3.90%

4.10%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Mar‐15

Jun‐15

Sep‐15

Dec‐15

Mar‐16

Jun‐16

Sep‐16

Dec‐16

Mar‐17

Jun‐17

Sep‐17

Dec‐17

Mar‐18

Jun‐18

Sep‐18

Dec‐18

Mar‐19

Jun‐19

Sep‐19

Dec‐19

Mar‐20

Jun‐20

Sep‐20

Dec‐20

Mar‐21

Jun‐21

Avg Coupon

<3.0 3.0‐3.49 3.5‐4.0 >4.0 Avg Coup

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Mar‐15

Jun‐15

Sep‐15

Dec‐15

Mar‐16

Jun‐16

Sep‐16

Dec‐16

Mar‐17

Jun‐17

Sep‐17

Dec‐17

Mar‐18

Jun‐18

Sep‐18

Dec‐18

Mar‐19

Jun‐19

Sep‐19

Dec‐19

Mar‐20

Jun‐20

Sep‐20

Dec‐20

Mar‐21

Jun‐21

Pre‐2008 2008‐2013 2014‐2018 2019‐Present
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 15

2.7 Characteristics of Ginnie Mae Loans in Forbearance

In June 2021, a total of 283,406 Ginnie Mae loans were in forbearance, a decline of approximately 40% MoM

and the lowest since October 2020.  In June 2021, 14,657 of loans in forbearance were removed from pools and

268,749 still actively remain in pools. Most liquidated loans (11,850) were FHA and within that subset, 9,441 of

those loans were originated by nonbanks. Of the 283,406 Ginnie Mae loans in forbearance, 97% of the loans are

in forbearance due to COVID‐19 circumstances.

All Loans in Forbearance – June 2021 

 FICO 

Score* 

Note 

Rate* 

Current Principal Balance 

Median 

First Time Homebuyer 

Share (%) 

Purchase Share 

(%) 

Loan 

Count 

Ginnie 658 3.8 $ 169,399.65 76.6 66.7 283,406 

Bank 673 4.0 $ 129,350.18 73.2 77.7 40,786 

Nonbank 657 3.8 $ 175,955.17 77.0 65.5 242,620 

FHA 654 3.9 $ 164,290.73 78.8 72.2 197,880 

Bank 664 4.2 $ 117,000.00 77.3 82.4 29,733 

Nonbank 653 3.9 $ 172,662.76 79.0 71.2 168,147 

VA 668 3.6 $ 217,707.96 65.8 47.2 60,651 

Bank 685 3.7 $ 191,878.07 63.9 68.2 9,015 

Nonbank 665 3.5 $ 222,050.10 66.2 44.1 51,636 

Loans in Forbearance and Removed from Pools – June 2021 

 FICO 

Score* 

Note 

Rate* 

Current Principal Balance 

Median 

First Time Homebuyer 

Share (%) 

Purchase Share 

(%) 

Loan 

Count 

Ginnie 654 4.2 $ 155,281.68 75.6 68.7 14,657 

Bank 674 4.1 $ 125,100.62 76.8 79.4 3,141 

Nonbank 651 4.2 $ 164,459.69 75.3 66.8 11,516 

FHA 650 4.2 $ 152,209.39 77.4 71.6 11,850 

Bank 669 4.2 $ 119,391.53 80.3 84.3 2,409 

Nonbank 647 4.3 $ 161,127.97 76.9 69.6 9,441 

VA 673 3.8 $ 197,037.50 64.4 51.0 2,049 

Bank 688 3.8 $ 163,732.62 59.5 62.1 542 

Nonbank 668 3.8 $ 209,735.92 65.9 48.1 1,507 

Loans in Forbearance that Remain in Pools – June 2021 

 FICO 

Score* 

Note 

Rate* 

Current Principal Balance 

Median 

First Time Homebuyer 

Share (%) 

Purchase Share 

(%) 

Loan 

Count 

Ginnie 659 3.8 $ 170,123.78 76.7 66.6 268,749 

Bank 673 4.0 $ 129,808.50 72.9 77.5 37,645 

Nonbank 657 3.8 $ 176,528.77 77.1 65.5 231,104 

FHA 654 3.9 $ 165,000.00 78.9 72.2 186,030 

Bank 664 4.2 $ 116,789.91 77.0 82.3 27,324 

Nonbank 653 3.9 $ 173,312.26 79.1 71.3 158,706 

VA 668 3.5 $ 218,324.94 65.8 47.1 58,602 

Bank 685 3.7 $ 193,843.92 64.1 68.5 8,473 

Nonbank 665 3.5 $ 222,385.24 66.2 44.0 50,129 

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

Notes: Data as of June 2021; *Averages weighted by remaining principal balance of the loans.
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 16

Share of Ginnie Mae Loans in Forbearance

Number of Loans Removed from Pools: Bank Number of Loans Removed from Pools: Nonbank

The share of Ginnie Mae loans in forbearance continued to decline from its record low since the pandemic to

2.6% in June 2021. The forbearance rate for Ginnie Mae MBS issued by nonbanks continues to be higher than

that of Ginnie Mae MBS issued by banks. This is partly due to banks continuing to buy out loans in forbearance

more aggressively than nonbanks. In June 2021 of the 40,786 Ginnie Mae bank loans in forbearance,

approximately 8% were liquidated from pools; whereas, of the 242,620 nonbank Ginnie Mae loans in

forbearance, approximately 5% were liquidated. The number of loans liquidated from pools increased for both

bank and nonbank issuers in June 2021 from the previous month (charts below). The number of loans that have

been repurchased due to delinquency for nonbank issuers increased 27% MoM.

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

as of June 2021.

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

Data as of June 2021.

Additionally, 9 loans removed due to ‘Foreclosure with Claim’, 1 loan removed

due to ‘Substitution’ and 152 loans removed due to 'Other' in June 2021.

Additionally, 450 loans removed due to ‘Foreclosure with Claim’, 5 loans

removed due to ‘Substitution’ and 108 loans removed due to 'Other' in June

2021.

0

50000

100000

150000

200000

250000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

50000

100000

150000

200000

250000

300000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0%

5%

10%

15%

Bank Forbearance Nonbank Forbearance All Forbearance
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 17

Number of Loans Removed from Pools: FHA Number of Loans Removed from Pools: VA

Number of Loans Removed from Pools by Coupon

Of the Ginnie Mae loans that are liquidated from pools due to mortgage delinquency, a higher share of the loans

are FHA versus VA loans (top charts, yellow areas). Liquidated loans across FHA and VA are also more likely to

have coupons greater than or equal to 3.5% (bottom charts). In June 2021, 37,367 FHA and 5,434 VA loans were

bought out of pools (these counts include all delinquent buyouts, regardless of forbearance status). Despite the

increase in buyout activity during the pandemic, the vast majority of loans removed from pools have been

payoffs triggered by ultra‐low interest rates (blue areas).

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

disclosure files and IOPP Peer Group list. Notes: Data as of June 2021.

Additionally, 177 loans removed due to ‘Foreclosure with Claim’ and 70 loans

removed due to 'Other' in June 2021.

Additionally, 114 loans removed due to 'Foreclosure with Claim', 6 loans removed

due to 'Substitution' and 134 loans removed due to 'Other' in June 2021.

Additionally, 345 loans removed due to 'Foreclosure with Claim' and 126 loans

removed due to 'Other' in June 2021.

Additionally, 207 loans removed due to 'Foreclosure with Claim', 6 loans

removed due to 'Substitution' and 177 loans removed due to 'Other' in June

2021.

0

50000

100000

150000

200000

250000

300000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

20000

40000

60000

80000

100000

120000

140000

160000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation

0

50000

100000

150000

200000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

<3.5 Loss Mitigation <3.5 Repurchase of Delinquent Loan

<3.5 Mortgagor Payoff

0

50000

100000

150000

200000

250000

300000

350000

1/1/20202/1/20203/1/20204/1/20205/1/20206/1/20207/1/20208/1/20209/1/2020

10/1/202011/1/202012/1/2020

1/1/20212/1/20213/1/20214/1/20215/1/20216/1/2021

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

>=3.5 Mortgagor Payoff
State of the US Housing Market

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 18

First Lien Origination Volume & Share

2.8 Origination Volume Over Time

2020 was a record year for first‐lien mortgage originations with $4.1 trillion during the year. This mortgage loan

origination number exceeds the 2003 volume of $3.73 trillion, the previous record holder, by $375 billion. Strong

origination volume trends have continued into Q1 2021, with $1.3 trillion in originations, which outpaces Q1

2020 issuance by approximately 89%. At this rate, 2021 originations would be set to outpace record‐level

origination volume of 2020. As of Q1 2021, the share of private label securitizations (PLS) is up approximately

84% from Q4 2020 and is at its highest level ($13.4 billion) since Q4 2019. While GSE securitization share is down

by 6.7% Q4 2020‐Q1 2021, GSE share is still up 137.8% from Q1 2020‐Q1 2021, which reflects the large number

of refinances done through this channel.

  

Source: Inside Mortgage Finance. Note: Data as of Q1 2021.

$0.75

$0.21

$0.01

$0.33

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$ trillions GSE securitization FHA/VA securitization PLS securitization Portfolio

57.4%

15.9%

1.0%

25.6%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

20012002200320042005200620072008200920102011201220132014201520162017201820192020

2021 Q1
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 19

3.0 US Agency Market, Originations

Total Agency gross issuance has decreased approximately 10% MoM and total net issuance has decreased 27%.

Despite the MoM decline, 2021 year to date Agency gross issuance is still on pace to exceed the historic issuance

observed in 2020 of $3.18 trillion. Within the Ginnie Mae market, VA production is outpacing FHA’s significantly.  

Agency Gross Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Total Ginnie Mae Total

2000 $202.8 $157.9 $360.6 $102.2 $462.8

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

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

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

2004 $517.5 $355.2 $872.6 $119.2 $991.9

2005 $514.1 $379.9 $894.0 $81.4 $975.3

2006 $500.2 $352.9 $853.0 $76.7 $929.7

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

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

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

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

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

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

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

2014 $392.9 $258.0 $650.9 $296.3 $947.2

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

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

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

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

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

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

2021 YTD $793.2 $676.5 $1,469.7 $452.4 $1,922.0

Ginnie Mae Gross Issuance ($ in billions)

Issuance Year FHA VA Other Total

2000 $80.2 $18.8 $3.2 $102.2

2001 $133.8 $34.7 $3.1 $171.5

2002 $128.6 $37.9 $2.5 $169.0

2003 $147.9 $62.7 $2.5 $213.1

2004 $85.0 $31.8 $2.5 $119.2

2005 $55.7 $23.5 $2.1 $81.4

2006 $51.2 $23.2 $2.3 $76.7

2007 $67.7 $24.2 $3.0 $94.9

2008 $221.7 $39.0 $6.9 $267.6

2009 $359.9 $74.6 $16.8 $451.3

2010 $304.9 $70.6 $15.3 $390.7

2011 $216.1 $82.3 $16.9 $315.3

2012 $253.4 $131.3 $20.3 $405.0

2013 $239.2 $132.2 $22.2 $393.6

2014 $163.9 $111.4 $21.0 $296.3

2015 $261.5 $155.6 $19.2 $436.3

2016 $281.8 $206.5 $19.9 $508.2

2017 $257.6 $177.8 $20.2 $455.6

2018 $222.6 $160.8 $17.2 $400.6

2019 $266.9 $225.7 $16.0 $508.6

2020 $327.0 $423.5 $24.9 $775.4

2021 YTD $194.5 $244.8 $13.1 $452.4
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 20

Agency Net Issuance ($ in billions)

Issuance Year Fannie Mae Freddie Mac GSE Ginnie Mae Total

2000 $92.0 $67.8 $159.8 $29.3 $189.1

2001 $216.6 $151.8 $368.4 ‐$9.9 $358.5

2002 $218.9 $138.3 $357.2 ‐$51.2 $306.1

2003 $293.7 $41.1 $334.9 ‐$77.6 $257.3

2004 $32.3 $50.2 $82.5 ‐$40.1 $42.4

2005 $62.5 $111.7 $174.2 ‐$42.2 $132.0

2006 $164.3 $149.3 $313.6 $0.2 $313.8

2007 $296.1 $218.8 $514.9 $30.9 $545.7

2008 $213.0 $101.8 $314.8 $196.4 $511.3

2009 $208.1 $42.5 $250.6 $257.4 $508.0

2010 ‐$156.4 ‐$146.8 ‐$303.2 $198.3 ‐$105.0

2011 ‐$32.6 ‐$95.8 ‐$128.4 $149.6 $21.2

2012 $32.9 ‐$75.3 ‐$42.4 $119.1 $76.8

2013 $53.5 $11.8 $65.3 $89.6 $154.9

2014 ‐$4.0 $30.0 $26.0 $61.6 $87.7

2015 $3.5 $65.0 $68.4 $97.3 $165.7

2016 $60.5 $66.8 $127.4 $126.1 $253.5

2017 $83.7 $77.0 $160.7 $132.3 $293.0

2018 $81.9 $67.6 $149.4 $112.0 $261.5

2019 $87.4 $110.3 $197.7 $95.7 $293.5

2020 $289.3 $343.5 $632.8 $19.9 $652.7

2021 YTD $207.6 $256.5 $464.0 ‐$11.1 $453.0

Ginnie Mae Net Issuance ($ in billions)

Issuance Year FHA VA Other Total

2000 $29.0 $0.3 $0.000 $29.3

2001 $0.7 ‐$10.6 $0.0 ‐$9.9

2002 ‐$22.5 ‐$28.7 $0.0 ‐$51.2

2003 ‐$56.5 ‐$21.1 $0.0 ‐$77.6

2004 ‐$45.2 $5.1 $0.0 ‐$40.1

2005 ‐$37.3 ‐$12.1 $7.2 ‐$42.2

2006 ‐$4.7 $3.8 $1.2 $0.2

2007 $20.2 $8.7 $2.0 $30.9

2008 $173.3 $17.7 $5.4 $196.4

2009 $206.4 $35.1 $15.8 $257.4

2010 $158.6 $29.6 $10.0 $198.3

2011 $102.8 $34.0 $12.8 $149.6

2012 $58.9 $45.9 $14.3 $119.1

2013 $20.7 $53.3 $13.9 $87.9

2014 ‐$4.8 $53.9 $12.5 $61.6

2015 $22.5 $66.9 $7.9 $97.3

2016 $45.6 $73.2 $6.0 $124.9

2017 $50.1 $76.1 $5.0 $131.2

2018 $49.2 $61.2 $3.5 $113.9

2019 $35.9 $58.0 $1.9 $95.7

2020 ‐$52.5 $71.0 $1.3 $19.9

2021 YTD ‐$49.4 $41.7 ‐$3.4 ‐$11.1

  
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 21

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

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

Jan‐17 $55.6 $38.5 $42.6 $94.1 $136.6 $8.5 $10.7 $10.3 $19.2 $29.5

Feb‐17 $37.6 $27.4 $33.1 $65.0 $98.1 $2.5 $6.5 $9.4 $9.0 $18.5

Mar‐17 $39.5 $24.4 $31.3 $63.9 $95.2 $9.7 $6.2 $9.7 $15.9 $25.6

Apr‐17 $39.3 $21.2 $36.4 $60.6 $97.0 $3.3 $0.4 $11.7 $3.7 $15.4

May‐17 $40.3 $22.6 $36.4 $62.9 $99.3 $7.7 $2.7 $13.3 $10.4 $23.8

Jun‐17 $45.7 $25.1 $39.9 $70.8 $110.7 $7.9 $2.4 $13.3 $10.3 $23.5

Jul‐17 $45.3 $27.6 $40.6 $72.9 $113.5 $5.6 $3.5 $12.3 $9.2 $21.5

Aug‐17 $49.1 $29.3 $42.8 $78.4 $121.1 $12.0 $6.7 $15.4 $18.7 $34.1

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Jun‐21 $108.5 $91.1 $67.7 $199.6 $267.3 $36.1 $34.4 $2.6 $70.6 $73.2

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

month data was sourced from eMBS and Urban Institute.
US Agency Market, Originations

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 22

Percent Refi at Issuance

The FHA refinance share stood at 37% in June 2021, below the 61% refi share for Freddie originations, the 60%

share for Fannie, and the 56% share for the VA. The total Ginnie refinance share stood at 45% in June.

Refinances as a share of all originations grew during 2019 and 2020 as interest rates fell. Thus far in 2021,

refinance as a share has begun to drop off from the increase witnessed in 2019 and 2020.

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

2021.

61%

60%

45%

37%

56%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

2/1/20136/1/2013

10/1/2013

2/1/20146/1/2014

10/1/2014

2/1/20156/1/2015

10/1/2015

2/1/20166/1/2016

10/1/2016

2/1/20176/1/2017

10/1/2017

2/1/20186/1/2018

10/1/2018

2/1/20196/1/2019

10/1/2019

2/1/20206/1/2020

10/1/2020

2/1/20216/1/2021

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

GSEs

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 23

4.0 High LTV Loans: Ginnie Mae vs. GSEs 

Ginnie Mae dominates high‐LTV lending, with 62.83% of its issuances in the April 2021‐ July 2021 period having

LTVs of 95 or above, compared to 9.67% for the GSEs. While Ginnie Mae has decreased high‐LTV lending share

from April 2019− July 2019, the GSEs have increased high‐LTV lending share over the same period. The share of

high‐LTV agency loans going to highest FICO borrowers (i.e. above 750) has decreased by 57% from the May

2019‐July 2019 period to the May 2021‐ July 2021 period, and the share of lower DTI borrowers (below 35) has

decreased by 50% over the same period.

Share of Loans with LTV > 95 

         Ginnie Mae    GSE    All

     

April 2019‐July 2019 64.36% 6.55% 26.67%

April 2021 ‐ July 2021        62.83%     9.67%     21.96%

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

May ‐ July 2021 

            FICO         

DTI    <650 650‐700 700‐750 ≥750 NA All

<35 4.36% 6.00% 3.18% 5.06% 1.19% 19.79%

35‐45 6.44% 8.49% 3.88% 3.94% 0.15% 22.90%

≥45 5.11% 7.83% 3.70% 3.10% 0.24% 19.98%

NA 5.13% 6.77% 4.40% 7.20% 13.83% 37.33%

All    21.04% 29.09% 15.16% 19.30% 15.41% 100.00%

May ‐ July 2019 

            FICO         

DTI    <650 650‐700 700‐750 ≥750 NA All

<35 2.63% 5.75% 6.95% 24.33% 0.59% 40.25%

35‐45 3.28% 6.89% 6.99% 14.11% 0.13% 31.40%

≥45 2.19% 3.89% 3.01% 4.85% 0.16% 14.10%

NA 2.18% 2.80% 1.80% 2.62% 4.87% 14.27%

All    10.28% 19.33% 18.75% 45.91% 5.75% 100.02%

Sources: eMBS, Recursion and Ginnie Mae.
Holders of Ginnie Mae Mortgage

Servicing Rights

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 24

5.0 Holders of Ginnie Mae Mortgage Servicing Rights

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

2021, almost half (49.9%) of the Ginnie Mae MSRs are owned by the top six firms. The top 30 firms collectively

own 81.2% (see Cumulative Share). Twenty‐two of these top 30 are non‐depositories, the remaining 9 are

depository institutions.

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

Rank MSR Holder UPB ($ millions) Share Cumulative Share  

1 Freedom Home Mortgage   $232,733 12.1% 12.1%

2 PennyMac $215,447 11.2% 23.2%

3 Lakeview $200,379 10.4% 33.6%

4 Wells Fargo $135,477 7.0% 40.6%

5 Rocket Mortgage $95,669 5.0% 45.6%

6 Nationstar $83,190 4.3% 49.9%

7 Newrez $58,609 3.0% 52.9%

8 US Bank $47,328 2.5% 55.4%

9 Caliber Home Loans $44,981 2.3% 57.7%

10 Carrington Mortgage $38,599 2.0% 59.7%

11 United Wholesale Mortgage $35,576 1.8% 61.6%

12 USAA Federal Savings Bank $34,970 1.8% 63.4%

13 Loan Depot $30,253 1.6% 65.0%

14 Navy Federal Credit Union $27,752 1.4% 66.4%

15 Home Point Financial Corporation $26,698 1.4% 67.8%

16 Mortgage Research Center $26,382 1.4% 69.1%

17 Planet Home Lending $24,734 1.3% 70.4%

18 Amerihome Mortgage $24,498 1.3% 71.7%

19 Truist Bank $23,799 1.2% 72.9%

20 The Money Source $22,527 1.2% 74.1%

21 Guild Mortgage $20,125 1.0% 75.1%

22 Midfirst Bank $15,015 0.8% 75.9%

23 New American Funding $13,977 0.7% 76.6%

24 Crosscountry Mortgage $13,430 0.7% 77.3%

25 Village Capital   $12,875 0.7% 78.0%

26 JP Morgan Chase $12,764 0.7% 78.7%

27 Citizens Bank $12,610 0.7% 79.3%

28 Idaho Housing and Finance Association $12,238 0.6% 80.0%

29 CMG Mortgage, INC $12,027 0.6% 80.6%

30 PHH Mortgage Corporation $12,026 0.6% 81.2%

Source:  Deloitte and Ginnie Mae. Data as of July 2021.
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 25

6.0 Agency Nonbank Originators

Since 2013 there has been a steady increase in nonbank origination share for the GSEs, which continues through

June 2021, up nearly 5% from the prior month. The Ginnie Mae nonbank share has been consistently higher

than the GSEs, standing at 89.7% in June 2021, approximately 13% greater than Fannie or Freddie’s nonbank

share. This represents a MoM increase of 46 basis points for Ginnie Mae nonbank origination share. And while

May saw a decline in nonbank share for Freddie Mac, Freddie’s nonbank share bounced back to 77.24%, and

slightly higher than Fannie’s 77.21% rate.

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

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

2021.

Nonbank Origination Share: Purchase Loans Nonbank Origination Share: Refi Loans

77.2%

77.2%

89.7%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul‐13

Dec‐13

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

All Fannie Freddie Ginnie

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Dec‐13

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

All Fannie Freddie Ginnie

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jul‐13

Dec‐13

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

All Fannie Freddie Ginnie
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 26

After a 150 basis point drop in May 2021 over the rate in April, in June 2021, Ginnie Mae’s total nonbank

originator share rebounded with an approximately 46 basis point increase from the prior month. In June 2021

there was a slight increase in nonbank origination share for both purchase and refi loans. After a sharp decline in

the nonbank origination share for refi loans from agencies other than FHA or VA in May, nonbank shares of

“Other” Agency refis bounced back significantly, leading to increases in the nonbank share of refinance

transactions.

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

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

loans insured by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of June 2021.

Ginnie Mae Nonbank Share: Purchase Loans Ginnie Mae Nonbank Share: Refi Loans

89.7

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

FHA VA Other All

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

All FHA VA Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

All FHA VA Other
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 27

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

Nonbank originators continue to have consistently lower median FICO score across all Agencies. Agency median

FICOs have declined this year for both banks and nonbanks. According to an Urban Institute study (see

footnote), borrowers across the Agencies with higher credit scores are more likely to take advantage of refi

opportunities. This trend has been narrowing the bank/nonbank FICO differential over the past 2 years, as

nonbanks are relatively more active in refi lending.  

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

https://www.urban.org/urban‐wire/streamlined‐home‐refinancing‐program‐would‐lower‐monthly‐payments‐and‐prevent‐defaults

Agency FICO: Bank vs. Nonbank 

GSE FICO: Bank vs. Nonbank Ginnie Mae FICO: Bank vs. Nonbank 

680

700

720

740

760

780

Jun‐14

Oct‐14

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median FICO Bank Median FICO Nonbank Median FICO

640

650

660

670

680

690

700

710

720

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median FICO Bank Median FICO Nonbank Median FICO

680

690

700

710

720

730

740

750

760

770

780

Jun‐14

Oct‐14

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

FICO All Median FICO Bank Median FICO Nonbank Median FICO
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 28

The median LTV for GSE bank and nonbank originators has been on a steady decline since Q3 2019 with a slight

uptick in recent months. The substantial increase in Ginnie Mae DTIs between 2017 and 2019 have mostly been

reversed, due largely to the drop in interest rates. 

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

GSE LTV: Bank vs Nonbank Ginnie Mae LTV: Bank vs. Nonbank

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

30

32

34

36

38

40

42

44

46

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

30

32

34

36

38

40

42

44

46

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

64

66

68

70

72

74

76

78

80

82

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median LTV Bank Median LTV

Nonbank Median LTV

90

91

92

93

94

95

96

97

98

99

100

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median LTV Bank Median LTV

Nonbank Median LTV
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 29

The median FICO score for Ginnie Mae bank and nonbank originators has been on a steady decline since the

beginning of Q1 2021. June continued this pattern with median FICOs for all Ginnie originations dropping to 680.

The gap between banks and non‐banks continues to be very apparent for all categories of government mortgage

loan lending. While VA nonbank median FICOs have been declining since Q4 2020, Bank VA FICOs have remained

flat MoM.

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

loans insured by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of June 2021.

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

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

640

650

660

670

680

690

700

710

720

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median FICO Bank Median FICO

Nonbank Median FICO

640

650

660

670

680

690

700

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

FHA All Median FICO FHA Bank Median FICO

FHA Nonbank Median FICO

650

670

690

710

730

750

770

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

VA All Median FICO VA Bank Median FICO

VA Nonbank Median FICO

650

670

690

710

730

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

Other All Median FICO Other Bank Median FICO

Other Nonbank Median FICO
Agency Nonbank Originators

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 30

Median DTI’s for Ginnie Mae nonbank originations have been consistently higher than bank DTIs. This is a trend

evident for all loans except for the “Other” category, where the spread between bank and nonbank DTI is

relatively small. The spread between nonbank and bank DTIs has been most prominent in FHA and VA

originations. Median DTIs dipped slightly during the pandemic but have rebounded to pre‐COVID level in recent

months.

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

loans insured by HUD's Office of Public and Indian Housing and the Department of Agriculture's Rural Development. Data as of June 2021.

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

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

30

32

34

36

38

40

42

44

46

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

All Median DTI Bank Median DTI

Nonbank Median DTI

36

38

40

42

44

46

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

FHA All Median DTI FHA Bank Median DTI

FHA Nonbank Median DTI

0

5

10

15

20

25

30

35

40

45

50

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

VA All Median DTI VA Bank Median DTI

VA Nonbank Median DTI

0

5

10

15

20

25

30

35

40

45

50

Feb‐15

Jun‐15

Oct‐15

Feb‐16

Jun‐16

Oct‐16

Feb‐17

Jun‐17

Oct‐17

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

Other All Median DTI Other Bank Median DTI

Other Nonbank Median DTI
Market Conditions

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 31

7.0 Market Conditions

Agency MBS average daily trading volume was $298 billion from January 2021 to July 2021. Agency MBS

turnover is hovering around its 2020 average at 2.96%. As of July 2021, year to date Agency MBS average

turnover was 1 basis point higher than the 2020 average. In 2020 and thus far in 2021 Agency MBS turnover has

been higher than US Treasury turnover, which has not occurred since the reporting of this data in 2002. Both

average daily mortgage and Treasury turnover are down from their pre‐crisis peaks. Corporate turnover remains

minimal relative to either Agency MBS or Treasury turnover.

7.1 Average Daily Trading Volume and Turnover by Sector

Source: SIFMA. Note: Da ta as of July 2021.

Average Daily Trading Volume by Sector

Average Daily Turnover by Sector

$298

$621

$40 $0

$100

$200

$300

$400

$500

$600

$700

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

$ Billions

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

2.96%

2.90%

0.38%

0%

2%

4%

6%

8%

10%

12%

14%

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

Agency MBS Turnover Treasury Turnover Corporates Turnover
Prepayments

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 32

8.0 Prepayments

Ginnie Mae prepayment rates have been historically higher than the GSEs over the past four years. The trend

inverted briefly in Q1 2020 and Q3 2020 as GSE borrowers were more responsive to refinance opportunities.

After two consecutive months of declining speeds, in June 2021, Fannie Mae and Freddie Mac fixed rate

prepayment speeds increased by 5% and 6% respectively, primarily driven by refi activity. This increase is

relatively modest when compared to the Ginnie Mae and GSE June 2020 MoM uptick of 38% and 18%,

respectively. In June 2021, Ginnie Mae fixed rate prepayment speeds posted a 7% MoM increase.  

ARM MBS prepayments for both Ginnie Mae and the GSEs also posted an average 8‐9% increase across all

products, led by Treasury‐indexed loans.  

With the recent termination of the FHFA refinance fee on August 1, 2021, the volume of GSE refi activity is

expected to increase in the coming months. The terminated FHFA refinance fee is estimated to have added an

additional 10 basis points to the mortgage rate for conventional buyers.  

8.1 Aggregate Prepayments

Source: eMBS. Note: Data as of June 2021.

23.8

22.1

33.4

0

10

20

30

40

50

60

Constant Prepayment Rate (%)

Fixed Rate Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae

36.2

36.5

35.6

0

10

20

30

40

50

60

Constant Prepayment Rate (%)

ARM Aggregate Prepayments

Fannie Mae Freddie Mac Ginnie Mae
Prepayments

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 33

Since the inversion in Q1 2020 and Q3 2020, the prepayment rate gap between Ginnie Mae and the GSEs has

widened. This is most evident in the 4% coupon cohorts where prepayment gap widened by 10.9% CPR, driven

mainly by Ginnie Mae buyout rates.  

Source: eMBS. Note: Data as of June 2021. Freddie prepayment data is aggregated from 55‐day UMBS and 45‐day Gold PC, weighted average by June 2021

remaining principal balance.

0

10

20

30

40

50

60

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐21

Constand Prepayment Rate (%)

All Agency 3% Coupon CPR

Fannie Mae 30YR 3% Fixed Rate Freddie Mac 30YR 3% Fixed Rate Ginnie Mae II 30YR 3% Fixed Rate

0

10

20

30

40

50

60

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐21

Constant Prepayment Rate (%)

All Agency 3.5% Coupon CPR

Fannie Mae 30YR 3.5% Fixed Rate Freddie Mac 30YR 3.5% Fixed Rate Ginnie Mae II 30YR 3.5% Fixed Rate

0

10

20

30

40

50

60

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐21

Constant Prepayment Rate (%)

All Agency 4% Coupon CPR

Fannie Mae 30YR 4% Fixed Rate Freddie Mac 30YR 4% Fixed Rate Ginnie Mae II 30YR 4% Fixed Rate
Prepayments

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 34

Ginnie Mae II Multi‐issuer pools in the 3%, 3.5% and 4% coupon cohorts account for 37% of total Ginnie Mae

outstanding balance. Within those coupon cohorts, prepayments of 2019 vintage stands out among the 2015‐ 

2020 cohorts due to elevated buyout rates as well as voluntary prepayment rates. According to Wells Fargo9

, the

2019 vintage has the highest buyout rates among the 2.5%‐4.5% coupon cohorts. This cohort vintage also

contains the highest weighted average coupon since the 2010 vintage. Among the vintages examined,

prepayments of the 2015 and 2016 vintage cohorts are very similar and are the second lowest prepay speed.

And, as illustrated in section 4.3, these cohorts have the lowest original DTI.

9 Ahlgren R and Hong P (2021, July 8). US Structured Products Trading Desk Strategy | RMBS Strategy | FHA Catches Up, Reverses VPR Gap With VA, pp. 4.

0

20

40

60

80

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐21

Constand Prepayment Rate (%)

Ginnie Multi‐Issuer Pools 3% Coupon CPR

Ginnie Mae II 30YR 3% Fixed Rate 2020 Ginnie Mae II 30YR 3% Fixed Rate 2019

Ginnie Mae II 30YR 3% Fixed Rate 2018 Ginnie Mae II 30YR 3% Fixed Rate 2017

Ginnie Mae II 30YR 3% Fixed Rate 2016 Ginnie Mae II 30YR 3% Fixed Rate 2015

0

10

20

30

40

50

60

70

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐21

Constant Prepayment Rate (%)

Ginnie Multi‐Issuer Pools 3.5% Coupon CPR

Ginnie Mae II 30YR 3.5% Fixed Rate 2020 Ginnie Mae II 30YR 3.5% Fixed Rate 2019

Ginnie Mae II 30YR 3.5% Fixed Rate 2018 Ginnie Mae II 30YR 3.5% Fixed Rate 2017

Ginnie Mae II 30YR 3.5% Fixed Rate 2016 Ginnie Mae II 30YR 3.5% Fixed Rate 2015
Prepayments

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 35

Source: eMBS Note: Data as of June 2021.

0

10

20

30

40

50

60

70

Aug‐17

Oct‐17

Dec‐17

Feb‐18

Apr‐18

Jun‐18

Aug‐18

Oct‐18

Dec‐18

Feb‐19

Apr‐19

Jun‐19

Aug‐19

Oct‐19

Dec‐19

Feb‐20

Apr‐20

Jun‐20

Aug‐20

Oct‐20

Dec‐20

Feb‐21

Apr‐21

Jun‐

Constant

21

Prepayment Rate (%)

Ginnie Multi‐Issuer Pools 4% Coupon CPR

Ginnie Mae 30YR 4% Fixed Rate 2020 Ginnie Mae 30YR 4% Fixed Rate 2019

Ginnie Mae 30YR 4% Fixed Rate 2018 Ginnie Mae 30YR 4% Fixed Rate 2017

Ginnie Mae 30YR 4% Fixed Rate 2016 Ginnie Mae 30YR 4% Fixed Rate 2015
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 36

9.0 MBS Ownership

The largest holders of Agency debt (Agency MBS + Agency notes and bonds) include commercial banks (26%),

the Federal Reserve (22%), and foreign investors (11%). The Federal Reserve’s share increased from 15% in the

first quarter of 2020 to 22% in the first quarter of 2021 due to substantial purchases of MBS in response to the

COVID‐19 crisis ($1.8 trillion in Fed purchases during this time period). Despite large Federal Reserve purchases,

commercial banks continue to be the largest holders of Agency MBS. Out of their $2.8 trillion in holdings as of

the end of July 2021, $2.1 trillion was held by the top 25 domestic banks.

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

and nonprofits. Data as of Q1 2021.

9.1 Commercial Bank Holdings of Agency MBS

  

Commercial Bank Holdings ($Billions)    Week Ending

Jun‐20 Dec‐20 Jan‐21 Feb‐21 Mar‐

21 Apr‐21 May‐21 Jun‐21 Jul‐21 July 07 July 14 July 21 July 28

Largest 25

Domestic Banks

  

1,655.1  

  

1,886.2  

  

1,929.2  

  

1,970.1  

  

1,999.5  

  

2,022.5  

  

2,053.0  

  

2,060.3  

  

2,081.0  

  

2,082.7  

  

2,078.9  

  

2,079.0  

  

2,083.8  

Small Domestic

Banks   520.7     595.0     609.7     621.7     640.4     656.6     675.0     683.5     695.8     693.2     698.1     692.4     695.1  

Foreign Related

Banks   43.9     47.7     49.0     52.3     50.6     51.0     49.3     46.4     46.9     47.9     44.5     45.9     48.1  

Total, Seasonally

Adjusted

  

2,219.7  

  

2,528.9  

  

2,587.9  

  

2,644.1  

  

2,690.5  

  

2,730.1  

  

2,777.3  

  

2,790.2  

  

2,823.7  

  

2,823.8  

  

2,821.5  

  

2,817.3  

  

2,827.0  

Source: Federal Reserve Bank. Note: Small domestic banks include all domestically chartered commercial banks not included in the top 20. Data as of July

2021.

Fed

Commercial Banks

Dealers GSEs REITs

Mutual Funds

Money Market Funds & Pension Funds

Credit Unions

Foreign Investment

Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2008Q4 2009Q4 2010Q4 2011Q4 2012Q4 2013Q4 2014Q4 2015Q4 2016Q4 2017Q4 2018Q4 2019Q4 2020 Q4

% of MBS owned

Who Owns Total Agency Debt?
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 37

9.2 Bank and Thrift Residential MBS Holdings

Out of the $2.7 trillion in MBS holdings at banks and thrifts as of Q1 2021, $2.1 trillion were Agency pass‐

throughs, $1.7 trillion were GSE pass‐throughs and $374 billion were Ginnie Mae pass‐throughs. Another $555

billion were Agency CMOs, while non‐Agency holdings totaled $47 billion. In Q1 2021, MBS holdings at banks

and thrifts increased for the tenth consecutive quarter. The increase was driven by both GSE pass‐throughs and

Agency CMO holdings, with the increase in GSE pass‐throughs making the larger contribution. Total bank and

thrift MBS holdings increased by 7% from Q4 2020.

All Banks & Thrifts

($ in billions)

All MBS

($ in billions)

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

2000   683.90     234.01     84.26     21.57     198.04     71.43     470.47     212.65  

2001   810.50     270.59     109.53     37.62     236.91     76.18     606.91     203.37  

2002   912.36     376.11     101.46     20.08     244.98     89.88     702.44     209.66  

2003   982.08     461.72     75.11     19.40     236.81     106.86     775.66     206.45  

2004   1,113.89     572.40     49.33     20.55     208.18     160.55     879.75     234.31  

2005   1,033.77     566.81     35.92     29.09     190.70     211.25     897.06     242.69  

2006   1,124.46     628.52     31.13     42.32     179.21     243.28     983.49     223.42  

2007   1,149.10     559.75     31.58     26.26     174.27     357.24     971.42     264.59  

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Change:                        

4Q20‐1Q21 7% 11% ‐4% 24% 1% 5% 6% 9%

1Q20‐1Q21 28% 46% ‐16% 5% 25% 13% 23% 69%

Source: Inside Mortgage Finance. Notes: Data as of Q1 2021.

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 38

Source: Inside Mortgage Finance. Notes: Data as of Q1 2021.

Top Bank

& Thrift

Residential

MBS

Investors

($ in

millions)

Institution Total GSE PT GNMA PT Agency

CMO

Non‐

Agency Share

1 Bank Of America Corporation   562,474.00     449,150.00     

101,103.00     11,969.00     252.00   21%

2 Wells Fargo & Company   259,187.00     188,326.00     64,441.00     5,994.00     426.00   10%

3 Jpmorgan Chase & Co.   204,088.00     118,246.00     70,487.00     154.00     

15,201.00   8%

4 Charles Schwab Bank   171,739.00     84,782.00     13,336.00     73,621.00     ‐     6%

5 Truist Bank   116,435.00     46,913.00     13,485.00     56,037.00     ‐     4%

6 U.S. Bancorp   116,049.72     82,567.06     17,779.43     15,702.78     0.45   4%

7 Citigroup Inc.   98,691.00     90,354.00     2,390.00     4,402.00     1,545.00   4%

8 Capital One Financial Corporation   75,021.92     42,658.39     9,173.50     22,612.89     577.14   3%

9 Bank Of New York Mellon Corp   61,338.00     45,554.00     2,891.00     10,384.00     2,509.00   2%

10 Pnc Bank, National Association   52,989.33     44,323.35     5,950.69     1,292.15     1,423.13   2%

11 Silicon Valley Bank   44,909.40     35,394.54     534.68     8,980.18     ‐     2%

12 Usaa Federal Savings Bank   44,529.10     39,219.05     2,064.33     3,245.72     ‐     2%

13 State Street Bank And Trust Company   43,141.84     17,869.00     5,849.00     16,928.84     2,495.00   2%

14 E*Trade Bank   38,091.08     28,463.36     6,156.67     3,471.05     ‐     1%

15 Morgan Stanley   33,957.00     21,722.00     3,981.00     8,254.00     ‐     1%

16 Td Bank Usa/Td Bank Na   26,046.00     1,526.53     133.02     24,290.02     96.42   1%

17 Ally Bank   24,197.00     18,367.00     961.00     2,594.00     2,275.00   1%

18 Bmo Harris Bank National Association   23,317.94     4,777.27     431.34     18,107.47     1.85   1%

19 Hsbc Bank Usa, National Association   23,285.77     7,790.54     7,486.95     8,006.48     1.80   1%

20 Keybank National Association   22,140.05     3,852.79     419.30     17,867.96     ‐     1%

Total Top 20   

2,041,628.14  

  

1,371,855.89  

  

329,053.91  

  

313,914.54  

  

26,803.80   76%

Bank and Thrift Residential MBS Holdings
MBS Ownership

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 39

9.3 Foreign Ownership of MBS

Foreign investors held approximately 14% of Agency MBS in May 2021, up from a low of 12% since July 2014,

but down from 17% in spring 2020. For the month of May 2021, foreign ownership of MBS represents $1.12

trillion in Agency MBS, which includes $480 billion held by foreign private institutions and $635 billion held by

foreign official institutions. This represents an overall increase of $34 billion in foreign holdings of Agency MBS

since March 2021.

Sources: SIFMA and Treasury International Capital (TIC) and eMBS. Beginning April 2021 MBS outstanding sourced from eMBS. Note: Data as of May 2021.

Sources: Treasury International Capital (TIC). Notes: In December 2017, there was a data correction that moved about $120 billion from privately held U.S.

Agency bonds to officially held U.S. Agency bonds; this resulted in a series break at December 2017 in the split between the portion held by foreign private

and the portion held by foreign official. Data as of May 2021.

Foreign Share of Agency MBS Market

Monthly Foreign MBS Holdings

14.2%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

16.0%

17.0%

18.0%

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

May‐17

Aug‐17

Nov‐17

Feb‐18

May‐18

Aug‐18

Nov‐18

Feb‐19

May‐19

Aug‐19

Nov‐19

Feb‐20

May‐20

Aug‐20

Nov‐20

Feb‐21

May‐21

Percent of Agency MBS Owned

by Foreigners

Foreign Share of MBS

1,115.7

635.3

480.3

0

200

400

600

800

1,000

1,200

1,400

Feb‐15

May‐15

Aug‐15

Nov‐15

Feb‐16

May‐16

Aug‐16

Nov‐16

Feb‐17

May‐17

Aug‐17

Nov‐17

Feb‐18

May‐18

Aug‐18

Nov‐18

Feb‐19

May‐19

Aug‐19

Nov‐19

Feb‐20

May‐20

Aug‐20

Nov‐20

Feb‐21

May‐21

$ Billions

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 40

9.4 Agency Debt + Agency MBS  

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

MBS holdings. Between June 2020 and June 2021, we estimate that these top three have decreased their

Agency MBS holdings by over $4 billion. Japan has decreased their holdings by $1.4 billion, Taiwan has

decreased their holdings by $208 million and China has decreased their holdings by $3.0 billion.  

All Agency Debt

Country

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

9/1/2020 12/1/2020 3/1/2021 6/1/2021 Q4 2020 Q1 2021 Q2 2021

Japan 305,064   308,033   319,771   311,375   2,969 11,738 ‐8,396

Taiwan 264,270   262,453   253,036   250,081   ‐1,817 ‐9,417 ‐2,955

China 206,861   212,317   200,972   217,842   5,456 ‐11,345 16,870

Luxembourg 35,626   36,223   34,371   35,497   597 ‐1,852 1,126

Ireland 28,286   31,064   26,965   21,453   2,778 ‐4,099 ‐5,512

South Korea 40,303   42,628   43,032   43,201   2,325 404 169

Cayman Islands 34,495   34,264   37,111   36,027   ‐231 2,847 ‐1,084

Bermuda 35,751   27,988   26,443   23,806   ‐7,763 ‐1,545 ‐2,637

Netherlands 10,964   12,344   13,049   12,544   1,380 705 ‐505

Malaysia 19,808   19,147   19,047   19,089   ‐661 ‐100 42

Other 190,175   197,462   173,905   166,009   7,287 ‐23,557 ‐7,896

Total 1,171,603   1,183,923   1,147,702   1,136,924   12,320 ‐36,221 ‐10,778

Agency MBS

Country

Level of Holdings ($ Millions)

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

Japan         306,963     305,580   ‐1,383

Taiwan         267,700     267,492   ‐208

China         235,078     232,076   ‐3,002

Luxembourg           40,207     34,255   ‐5,952

Ireland           21,091     25,336   4,245

South Korea           28,743     34,313   5,570

Cayman Islands           28,431     29,682   1,251

Bermuda           25,111     24,245   ‐866

Netherlands           12,739     13,351   612

Malaysia           20,028     19,949   ‐79

Other         173,716     170,062   ‐3,654

Total     1,159,809     1,156,341   ‐3,468

Sources: Treasury International Capital (TIC). Notes: Level of Agency debt Holdings by month data as of Q2 2021. Agency MBS as of June 2021. Revised to

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

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 41

In March 2020, the Fed bought $292.2 billion in Agency MBS, and April 2020 reached $295.1 billion, the largest

two months of mortgage purchases by the Fed ever. The Fed slowed its purchases to approximately $100 billion

per month in May through August of 2020. More recently, Fed purchases ramped up again slightly; purchases

totaled $110.8 billion in June 2021 (41% of monthly gross issuance). Fed purchases of Ginnie Mae MBS increased

MoM, with $26.6 billion in Fed purchases (38.8% of gross Ginnie Mae issuance).  As of June 2021, according to

the Federal Reserve, total Agency MBS owned by the Fed equaled $2.32 trillion (see footnote). Prior to the

COVID‐19 intervention, the Fed was winding down its MBS portfolio from its 2014 prior peak.

Sources: eMBS, Federal Reserve Bank of New York and https://fred.stlouisfed.org/series/WSHOMCB.. Notes: Data as of June 2021.

Total Fed Absorption

Fed Absorption of GSE MBS Fed Absorption of Ginnie Mae MBS

0

50

100

150

200

250

300

350

400

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

Feb‐18

Jun‐18

Oct‐18

Feb‐19

Jun‐19

Oct‐19

Feb‐20

Jun‐20

Oct‐20

Feb‐21

Jun‐21

$ billions

Total Gross Issuance Total Fed Purchases

0

50

100

150

200

250

300

350

Jul‐13

Dec‐13

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

$ billions

Gross Issuance Total Fed. Purchase

0

10

20

30

40

50

60

70

80

90

Jul‐13

Dec‐13

May‐14

Oct‐14

Mar‐15

Aug‐15

Jan‐16

Jun‐16

Nov‐16

Apr‐17

Sep‐17Feb‐18

Jul‐18

Dec‐18

May‐19

Oct‐19

Mar‐20

Aug‐20

Jan‐21

Jun‐21

$ billions

Gross Issuance Total Fed Purchase
Disclosure

Global Markets Analysis Report

A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 42

Disclosure:  

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

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

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

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

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

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

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

(hereinafter, “Ginnie Mae”).

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

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

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

the report.

The forward‐looking statements, and underlying assumptions, speak only as of the date of August 16, 2021.

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

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

circumstances upon which such statement is based.  

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

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

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