Globa Markets
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A M th P bli i f Gi
Mae’s Office of Capital Markets
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Global Markets
Analysis Report
A MONTHLY PUBLICATION OF GINNIE MAE’S
OFFICE OF CAPITAL MARKETS
FEBRU
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2022
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Analysis of the US Housing Market and Ginnie Mae's Role in Mortgage-Backed Securities, Slides of Finance
An analysis of the US housing market, including home price trends, prepayment rates, and the role of Ginnie Mae in mortgage-backed securities (MBS). It includes data on the relative attractiveness of US fixed income and Ginnie Mae MBS, as well as the amount of MBS securitized into collateralized mortgage obligations (CMOs) by coupon and by single or multifamily properties. The document also includes a table showing the historical volume of mortgages by type, including GSE, GNMA, private MBS, agency CMO, private CMO, banks, and thrifts from 2000 to 2021.
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Globa Markets
Analy i Rep t
A M th P bli i f Gi
Mae’s Office of Capital Markets
- men
l
s s or
on ly u cat on o nnie
Global Markets
Analysis Report
A MONTHLY PUBLICATION OF GINNIE MAE’S
OFFICE OF CAPITAL MARKETS
FEBRUARY
Global Markets Analysis Report
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page i
Table of Contents
Table of Contents i
Highlights 2
1.0 Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 5
2.0 State of the US Housing Market 11
2.1 National HPI 11
2.2 Size and Value of the US Housing Market 13
2.3 Serious Delinquency Rates 14
2.4 Characteristics of Ginnie Mae Loans in Forbearance 15
2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State 18
2.6 Outstanding Single-Family Agency MBS 19
2.7 Outstanding Ginnie Mae MBS Volume by Coupon and Vintage Over Time 20
2.8 Origination Volume and Share Over Time 21
3.0 US Agency Market, Single-Family Issuance 22
3.1 Percent Refi at Issuance 25
4.0 High LTV Loans: Ginnie Mae vs. GSEs 26
5.0 Prepayments 27
5.1 Aggregate Prepayments 27
6.0 Holders of Ginnie Mae Mortgage Servicing Rights 28
7.0 MBS Ownership 29
7.1 Commercial Bank Holdings of Agency MBS 29
7.2 Bank and Thrift Residential MBS Holdings 30
7.3 Foreign Ownership of MBS 32
7.4 Foreign Ownership of Agency Debt and Agency MBS 33
Highlights Manager), an Environmental Protection Agency (EPA) online platform for owners to upload and report energy performance for properties. The system measures and tracks energy and water consumption and greenhouse gas emissions on a 1-100 index score.” 3 With these green property requirements, owners “are incentivized to implement measures that result in projects with greater energy and water efficiency, reduced operating costs, improved indoor air quality and resident comfort, and reduced overall impact on the environment. For properties that have already achieved a green building standard and that are refinancing with this lower MIP premium, proceeds may be used to complete further efficiency upgrades, and/or to retrofit to the next-level green certification standards.” 4 The new Green Status field in the Multifamily data disclosure file provides investors with additional transparency that allows for granular ESG investment decisions in the Ginnie Mae MBS market. The implementation timeline for the new data field began on February 1, 2022, with the addition of the Green Status field to the Multifamily Pool and Loan New Issuance Daily file. The Green Status field will be fully implemented into data disclosure files by March 1, 2022 when the data is aggregated into the Multifamily Pool and Loan New Issuance Monthly Disclosure. Within the file, investors will be able to identify pools with green properties by looking at the final entry in each row. The entry will contain one of five MIP indicators which are combinations of the four FHA mortgage categories: GRA (Green/Affordable); GRB (Green/Broadly Affordable); GRM (Green/Market); NGR (Not Green); or blank (Unknown). Table 2, shown below, describes the four categories of FHA mortgages (Green, Affordable, Broadly Affordable, and Market) in further detail.
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 3
FHA Mortgage
Category
MIP
Basis Points FHA Mortgage Category Description
Green 25 Projects must use a green building standard and must ultimately achieve and maintain an Energy
Star score of 75 or better using EPA's Portfolio Manager (annual reporting is required after
completion of construction/rehab projects). Properties under 20 units are exempt from the Portfolio
Manager scoring requirement.
Affordable 35 Owners must accept Section 8 vouchers. Section 8 based projects include:
Inclusionary Zoning, Density Bonus Set-Asides, and Other Local Affordability Restriction
projects with at least 10% of units at 80% area median income or less, for at least 30 years, or
10%-90% Section 8 Project Based contract (15 years or more remaining), or
10%-100% Low Income Housing Tax Credit (LIHTC) or similarly restricted (15 years or more
remaining)
Broadly Affordable 25 Broadly Affordable is defined as either:
90% or more Section 8 Project Based contract (15 years or more remaining), or
90% or more LIHTC/restricted and rents at least 10% below market (15 years or more
remaining)
Market 50 to 95 Market FHA mortgages are broadly defined as mortgages that do not fall into one, or more, of the
categories above.
Table 2. FHA MIP Indicators^5 With the new data disclosure field, Ginnie Mae presents information to investors on Multifamily pools within the Ginnie Mae MBS portfolio that are collateralized by green properties. So, how might Ginnie Mae Multifamily
3 https://www.hud.gov/sites/dfiles/OCHCO/documents/2020-1hsgml.pdf
4 https://www.hud.gov/program_offices/housing/mfh/green
5 https://static1.squarespace.com/static/5e3882db4b0f9a3409a88c46/t/5eb44fb32703075822680bcb/1588875187968/AGM_MIP_Description-2018.pdf
Highlights MBS investors use this new ESG data disclosure field? According to the U.S. Department of Housing and Urban Development’s (HUD’s) office of Housing, “For investors in Ginnie Mae MBS, green building disclosure provides additional transparency of loan collateral quality. Further, such disclosure—along with HUD’s underwriting policies—provides investors with the facts needed to assess environmental, social, and governance (“ESG”) factors. ESG investing has grown in popularity in recent years, and this disclosure supports investment selection for buildings that are certified to be energy efficient during HUD’s loan underwriting process.” 2
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 4
Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 1.2 Global 10‐Year Treasury Yields The US 10-year Treasury yield moved to 1.78% at month end January 2022, a MoM increase of 27 bps. At month end January 2022, US Treasury yields remain the highest of all the government treasury yields depicted in the figure below. The yield on the UK 10-year government notes increased to 1.30% in January, a MoM increase of 33 bps. The yield on the German 10-year note increased to 0.01% in January, a MoM increase of 19 bps. This is the first time since March 2019 that the German yield has crossed back into positive territory. The yield on the Italian 10-year note increased to 1.29% in January, a MoM increase of 12 bps. The yield on the Japanese 10-year government notes increased to 0.17% in January, a MoM increase of 11 bps. At the end of January 2021, the hedged yield for the 10-year Treasury JPY shifted to 2.56%, a decrease of 6 bps from the previous month. The hedged yield for the 10-year Treasury EUR shifted to 1.46%, a slight decrease of 4 bps from the previous month. Global 10‐Year Treasury Yields 7–10yr Total Return Hedged Index, JPY 7–10yr Total Return Hedged Index, EUR
Sources: Bloomberg. Note: Data as of January 2021
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 6
% Yield 0.01%
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 1.3 Ginnie Mae Yields– USD Ginnie Mae fixed rate MBS yields increased MoM in January 2022. Ginnie Mae II yields were at 2.33% on January 31, 2022, up by 45 bps from the prior month. Ginnie Mae I yields were at 2.45%, up by 36 bps from the prior month. On January 31, Ginnie Mae II SF yields were 55 bps higher than the US 10-year Treasury yield, representing an increase in spread of 36 bps since December 31, 2021. The yields on the Ginnie Mae I SF were 67 bps higher than the US 10-year Treasury yield on January 31, 2022, representing an increase in spread of 9 bps since December 31, 2021. Ginnie Mae II SF Yield, USD Ginnie Mae I SF Yield, USD
Sources: Bloomberg. Note: Data as of January 2021
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 7
% Yield
% Yield
Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 1.5 Global Treasury Yield Per Duration GNMA MBS continue to offer higher yields in comparison to other government fixed income securities of various tenors with similar or longer duration. Prepayment risk is a feature of MBS. In January, the GNMA II 2.5% securities duration and yield increased MoM by 0.51 units and 38 bps, respectively. In January, the GNMA II 3% securities duration and yield increased MoM by 0.41 units and increased by 38 bps, respectively. Yield vs. Duration
Sources: Bloomberg. Note: Yield and modified duration for GNMA II securities is from illustrative TBA using base prepayment assumptions and an assumed
settlement of 1/20. All other data is as of December 2021. Yields are in base currency of security and unhedged.
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page 9
Yield
GNMA II 2%
GNMA II 3% GNMA II 2.5%
US 5y
US 10y
UK 5y
ITA 10y
UK 10y
ITA 5y
JPY 5y
JPY 10y
GER 10y
GER 5y
Duration
Security Duration Yield
US 5y
US 10y
JPY 5y 4.89 -0.
JPY 10y
GER 5y
GER 10y
ITA 5y
ITA 10y
UK 5y
UK 10y
GNMA II 2%
GNMA II 2.5%
GNMA II 3%
Relative Attractiveness of US Fixed Income and Ginnie Mae MBS 1.6 Monthly CMO Demand for Ginnie Mae MBS In January 2022, $15.7 billion of Ginnie Mae MBS were securitized into Collateralized Mortgage Obligations (CMOs) as underlying collateral, a 20% MoM increase. Of that, approximately $4 billion were Multifamily MBS, all having coupons between 2% and 3%. $11.2 billion were Single-Family MBS with over 90-percent of the Single- Family MBS having coupons between 2% and 3.5%. Through the first four months of Fiscal Year 2022 approximately $60 billion of Ginnie Mae Single-Family and Multifamily MBS were securitized into Ginnie Mae CMO transactions. This represents a roughly 8% decrease over the same period in Fiscal Year 2021. January 2022 CMO Collateral Coupon Distribution
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
6 Totals may not sum due to rounding.
Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-
Ginnie Mae Single‐Family and Multifamily MBS Securitized into
CMOs
Net Coupon (%)
Approx. Ginnie Mae MBS amount
securitized into CMO Deals ($MM) 6
% Breakdown of CMO Collateral by
coupon 1
Multifamily
Subtotal 3,961.0 100%
Single Family
Subtotal 11,243.3 100%
Grand Total 15,743.
State of the US Housing Market Nationally, home prices exceed their pre-crisis peak on a nominal basis by 48.6% through September 2021. As shown in both the tables above and below, the extent of HPI increases since the trough has varied from region to region and state to state. Nationally, home prices exceed the trough by 88.4%. As shown in the regional HPI table above, much of this asset appreciation has taken place during the pandemic.
Source: FHFA Notes: HPI State-level data is provided quarterly by FHFA and presented here as of September 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.
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
State 2000 to Peak Peak to Trough Trough to Current YOY Current HPI % Above Peak National 59.6% -21.1% 88.4% 12.7% 48.6% AK 66.9% -5.2% 40.3% 9.0% 33.0% AL 41.6% -15.0% 64.7% 13.1% 40.0% AR 39.8% -11.0% 56.3% 13.1% 39.1% AZ 110.2% -49.5% 178.2% 20.8% 40.5% CA 144.8% -47.0% 137.5% 16.6% 25.8% CO 32.3% -10.3% 140.3% 16.1% 115.6% CT 72.9% -19.6% 36.9% 15.6% 10.0% DC 162.5% -11.7% 115.1% 10.8% 90.0% DE 88.5% -23.5% 52.0% 13.4% 16.3% FL 130.0% -46.5% 144.6% 17.2% 30.8% GA 35.9% -27.1% 112.7% 14.7% 55.1% HI 139.0% -27.0% 96.0% 11.9% 43.0% IA 27.8% -5.4% 54.2% 9.9% 45.8% ID 73.3% -32.2% 201.0% 28.4% 104.0% IL 49.9% -23.8% 46.4% 10.7% 11.6% IN 19.1% -8.7% 76.9% 13.3% 61.6% KS 31.0% -7.8% 66.2% 12.6% 53.2% KY 28.9% -5.4% 64.3% 12.6% 55.4% LA 51.6% -6.7% 45.0% 8.3% 35.2% MA 69.8% -18.2% 76.7% 14.4% 44.5% MD 126.4% -26.5% 51.8% 11.5% 11.6% ME 72.0% -12.4% 76.8% 18.3% 54.8% MI 18.4% -31.5% 110.8% 13.7% 44.3% MN 52.5% -23.0% 83.7% 12.0% 41.5% MO 39.2% -15.0% 74.2% 13.4% 48.1% MS 38.9% -12.8% 43.6% 9.9% 25.3% MT 79.3% -13.6% 98.1% 19.3% 71.2% NC 39.7% -14.1% 83.9% 16.2% 57.9% ND 51.7% -0.9% 69.8% 7.9% 68.3% NE 24.3% -5.9% 77.3% 13.0% 66.7% NH 72.7% -21.9% 81.1% 17.4% 41.4% NJ 102.2% -22.7% 50.2% 14.6% 16.2% NM 66.6% -17.9% 55.7% 12.8% 27.8% NV 117.4% -59.3% 203.6% 17.1% 23.6% NY 75.7% -10.5% 56.5% 13.5% 40.1% OH 19.6% -16.6% 77.4% 13.1% 48.0% OK 36.8% -4.6% 60.2% 11.9% 52.7% OR 85.6% -28.6% 129.9% 16.3% 64.1% PA 68.9% -10.9% 57.3% 12.6% 40.1% RI 108.1% -28.0% 79.2% 17.0% 29.0% SC 40.6% -16.0% 84.6% 14.3% 55.1% SD 40.2% -2.4% 72.9% 15.1% 68.7% TN 38.4% -12.6% 100.0% 17.2% 74.7% TX 35.8% -3.0% 96.9% 14.4% 91.0% UT 65.1% -26.1% 152.8% 23.1% 86.9% VA 95.1% -18.8% 59.7% 12.7% 29.8% VT 78.1% -10.3% 55.3% 16.8% 39.3% WA 83.4% -27.3% 144.1% 17.3% 77.5% WI 38.6% -14.2% 69.8% 12.6% 45.6% WV 39.2% -5.7% 40.8% 11.6% 32.8% WY 84.7% -9.7% 52.8% 10.7% 38.1%
State of the US Housing Market
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
Size of the US Residential Mortgage Market 2.2 Size and Value of the US Housing Market The total value of the single-family housing market reached $36.8 trillion in Q3 2021. The value of household equity has continued to trend upward into Q3 2021. As mentioned in Section 2.1 above, the unprecedented pace of asset appreciation during the pandemic is driving much of the increase in the overall value of real estate as an asset class, as debt remains relatively flat. The total value of the US housing market is up 93.4% from its trough in 2011. Conversely, mortgage debt outstanding has increasing slightly from $11.3 trillion in Q2 2021 to $11.5 trillion in Q3 2021. Agency MBS account for a growing percentage of the total mortgage debt outstanding, up to 67% of total mortgage debt. Value of the US Housing Market
Source: Federal Reserve Flow of Funds Data. Notes: Data as of Q3 2021.
$ Trillions
2021Q1 2021Q2 2021Q
Debt Household equity Total Value
$ Trillions
Q1 2021 Q2 2021 Q3 2021
Private Label Securities Home Equity loans Agency MBS Unsecuritized first liens
State of the US Housing Market 2.4 Characteristics of Ginnie Mae Loans in Forbearance 157,070 Ginnie Mae loans were in forbearance as of the end of December 2021. This represents 6% decrease MoM, lower than the 11% MoM pace observed in October and November. 8,292 of loans in forbearance were removed from MBS pools and 148,778 still actively remain in pools. Most liquidated loans (5,986) were FHA and within that subset, 3,482 of those loans were originated by nonbanks. Approximately 96% of the loans that were in forbearance at the end of December were due to COVID-19 circumstances.
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
All Loans in Forbearance – December 2021
FICO Score* Note Rate* Current Principal Balance Median
First Time
Homebuyer
Share (%)
Purchase Share
(%) Loan Count
Ginnie 658 3.5^ $175,734.67^ 76.8^ 68.1^ 157,
Bank 672 3.9^ $123,815.27^ 76.7^ 79.6^ 22,
Nonbank 657 3.5^ $184,420.90^ 76.8^ 67.0^ 134,
FHA 653 3.6^ $169,235.76^ 79.8^ 74.6^ 109,
Bank 665 4.0^ $114,549.62^ 80.1^ 82.7^ 16,
Nonbank 652 3.6^ $179,134.36^ 79.7^ 73.8^ 92,
VA 669 3.2^ $227,893.35^ 63.8^ 47.3^ 34,
Bank 684 3.6^ $178,300.44^ 66.3^ 70.2^ 4,
Nonbank 667 3.2^ $234,000.00^ 63.4^ 44.8^ 30,
Loans in Forbearance and Removed from Pools – December 2021
FICO Score* Note Rate* Current Principal Balance Median
First Time
Homebuyer
Share (%)
Purchase Share
(%) Loan Count
Ginnie 660 3.9^ $141,684.94^ 75.1^ 69.5^ 8,
Bank 676 3.9^ $110,038.61^ 78.4^ 81.7^ 3,
Nonbank 655 3.9^ $162,797.00^ 73.8^ 65.6^ 5,
FHA 654 3.9^ $134,288.10^ 78.0^ 74.1^ 5,
Bank 674 4.0^ $104,501.31^ 79.9^ 82.2^ 2,
Nonbank 646 3.9^ $158,246.43^ 77.1^ 70.8^ 3,
VA 673 3.7^ $192,883.20^ 63.1^ 53.7^ 1,
Bank 683 3.6^ $151,864.04^ 67.9^ 73.0^404
Nonbank 671 3.7^ $211,028.68^ 62.0^ 50.5^ 1,
Loans in Forbearance that Remain in Pools – December 2021
FICO Score* Note Rate* Current Principal Balance Median
First Time
Homebuyer
Share (%)
Purchase Share
(%) Loan Count
Ginnie 658 3.5^ $177,643.50^ 76.9^ 68.1^ 148,
Bank 671 3.9^ $126,525.15^ 76.5^ 79.4^ 19,
Nonbank 657 3.4^ $185,260.68^ 77.0^ 67.0^ 129,
FHA 653 3.6^ $171,187.00^ 79.8^ 74.6^ 103,
Bank 664 4.0^ $116,270.49^ 80.2^ 82.8^ 14,
Nonbank 652 3.5^ $180,000.00^ 79.8^ 73.9^ 89,
VA 668 3.2^ $229,272.33^ 63.8^ 47.0^ 32,
Bank 684 3.6^ $182,491.46^ 66.2^ 70.0^ 3,
Nonbank 667 3.1 $235,000.00 63.4 44.6 28,
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 December 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
Number of Loans Removed from Pools: Nonbank The current share of Ginnie Mae loans in forbearance stands at 1.47% as of the end of December, down approximately a tenth of a percent MoM from 1.57% at the end of November. This approximately 10 bps decline is roughly half the decrease observed in each of the prior two months, during which the total forbearance percentage dropped approximately 20 bps each month. The forbearance rate remains significantly higher than the forbearance rate prevailing in the period prior to the pandemic between Jan 2019 and February 2020 (approximately 0.1%), and, as stated above, the rate of convergence to pre-pandemic rates has slowed in December.
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 December 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 December 2021.
Bank Forbearance Nonbank Forbearance All Forbearance
Share of Ginnie Mae Loans in Forbearance
Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation
Mortgagor Payoff Repurchase of Delinquent Loan Loss Mitigation
State of the US Housing Market 2.5 Ginnie Mae Agency Issuance and Agency Outstanding by State Ginnie Mae MBS represent approximately 24% of new Agency issuance over the past year. The share of Ginnie Mae collateral outstanding varies across states, with the highest Ginnie Mae share in Alaska (47%) and the lowest in the District of Columbia (12%). The difference between Ginnie Mae share of Agency Issuance (24%) over the past year and Ginnie Mae’s share of overall outstanding Agency MBS (26%) is reflective of ebbs and flows in FHA and VA first lien origination market share, discussed in Section 2.8 below.
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
Agency Issuance (past 1 year) Agency Outstanding National GNMA Share GNMA Loan Count GNMA Avg. Loan Size (000) GSE Avg. Loan Size (000) GNMA Share by UPB^ GNMA Loan Count GNMA Avg. Loan Size (000) GSE Avg. Loan Size (000) 24% 2,957,558 273.57 293.21 26% 10,611,120 186.89 217. AK 49% 10,581 304.93 288.76 47% 36,948 254.48 218. AL 37% 58,761 215.19 227.73 40% 231,762 147.38 172. AR 35% 31,244 183.82 206.35 39% 135,562 125.05 155. AZ 23% 95,711 279.21 281.77 25% 273,817 201.58 215. CA 16% 240,876 426.71 415.08 16% 670,676 311.59 316. CO 24% 79,248 363.20 344.07 23% 213,609 273.28 268. CT 23% 26,272 262.09 276.87 25% 103,430 195.30 207. DC 12% 2,653 470.08 456.22 12% 8,577 365.06 350. DE 29% 14,188 261.93 268.76 32% 50,192 196.72 206. FL 30% 252,363 270.26 267.45 32% 831,131 197.58 200. GA 31% 135,038 239.74 264.51 34% 489,860 167.46 198. HI 36% 12,779 588.53 465.86 31% 32,769 452.75 352. IA 18% 17,967 171.32 196.98 22% 81,793 128.14 148. ID 22% 19,636 295.77 285.57 23% 64,726 198.58 213. IL 19% 86,619 214.89 241.16 21% 350,953 154.22 177. IN 26% 65,546 185.95 196.86 30% 277,063 126.10 146. KS 26% 22,722 197.64 217.06 29% 96,432 133.95 160. KY 30% 40,245 193.66 204.55 34% 161,456 136.18 152. LA 38% 46,502 209.49 231.53 39% 190,130 152.10 174. MA 15% 34,521 364.38 355.92 15% 110,997 271.52 267. MD 32% 87,510 347.15 323.67 33% 282,749 256.95 247. ME 23% 10,310 230.56 250.45 26% 37,641 169.40 187. MI 17% 64,712 186.46 208.28 20% 273,508 127.06 154. MN 16% 38,379 249.33 256.88 18% 159,445 175.46 195. MO 25% 57,599 195.77 211.05 29% 243,545 134.99 158. MS 43% 26,214 199.33 209.62 47% 117,872 135.93 157. MT 20% 9,479 237.48 280.44 24% 33,070 197.55 208. NC 26% 114,594 236.22 261.21 29% 412,659 164.70 194. ND 20% 4,886 190.94 237.66 23% 16,629 188.11 184. NE 23% 14,283 214.57 208.25 27% 65,419 141.40 157. NH 20% 10,955 293.28 280.99 23% 38,729 216.76 210. NJ 19% 61,968 314.00 331.84 21% 224,915 229.92 251. NM 34% 22,387 231.39 234.97 38% 94,187 158.29 173. NV 30% 45,507 314.08 293.92 31% 130,545 232.75 225. NY 17% 55,458 314.65 342.18 20% 302,033 199.26 243. OH 24% 92,657 180.99 200.43 29% 417,815 124.29 146. OK 38% 40,091 197.41 210.24 43% 187,850 134.02 157. OR 19% 36,852 323.14 323.49 19% 110,671 240.20 245. PA 21% 80,724 206.74 243.51 26% 385,055 144.68 178. RI 28% 10,204 299.99 274.47 29% 34,639 220.79 209. SC 32% 68,060 235.20 245.64 34% 227,632 172.07 185. SD 27% 7,433 228.88 225.90 29% 29,144 164.48 174. TN 28% 71,206 241.75 258.18 32% 273,153 163.41 195. TX 29% 267,675 251.89 273.81 32% 1,062,415 171.15 202. UT 18% 33,551 331.03 323.09 19% 97,285 239.54 252. VA 35% 137,389 339.68 325.23 36% 435,485 247.57 248. VT 18% 3,029 236.69 249.07 19% 12,101 176.44 177. WA 21% 78,933 370.73 370.52 22% 234,175 269.10 282. WI 15% 32,874 205.06 217.46 17% 122,651 150.15 161. WV 40% 13,879 195.86 196.26 43% 57,036 138.50 142. WY 34% 7,714 258.02 252.48 35% 24,980 198.91 197.
Sources: eMBS, Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files. Notes: Outstanding balance is based on loan balance as of October
2021. Ginnie Mae issuance is based on the last 12 months, from November 2020 to November 2021.
State of the US Housing Market
Global Markets Analysis Report
A Monthly Publication of Ginnie Mae’s Office of Capital Markets Page
2.6 Outstanding Single‐Family Agency MBS As of December 2021, outstanding single-family securities in the Agency market totaled $7.79 trillion: 40.2% Fannie Mae, 34.0% Freddie Mac, and 25.8% Ginnie Mae MBS. Over the past twelve months, Freddie Mac’s total outstanding issuance has increased by approximately 17%, while Fannie and Ginnie have decreased outstanding issuance by 2% and 3% respectively. Despite this, Fannie outstanding remains larger than either Freddie or Ginnie by approximately $0.5 trillion and $1.1 trillion, respectively. Ginnie Mae MBS collateral composition has changed dramatically over the past ten years. In December 2011, 76% of Ginnie Mae outstanding collateral was FHA and 19.5% was VA. In December 2021, FHA collateral comprised 53% of Ginnie Mae MBS outstanding and VA collateral comprised 42% of Ginnie Mae MBS outstanding. Outstanding Agency Mortgage‐Backed Securities
Sources: Data beginning in May 21 is based on outstanding balances in the Ginnie Mae/Freddie Mac/Fannie Mae Loan Level MBS Disclosure Files. Note:
Data as of November 2021. Beginning with the October 2021 GMAR, the Fannie Mae and Freddie Mac data within the Outstanding Agency MBS graph
have been updated to reflect the Current UPB of the portfolio. July 2021 through November 2021 GMAR reflect the UPB at Security issuance for Fannie Mae
and Freddie Mac for data from May 2021 through July 2021.
$ in billions
Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-
Fannie Mae Freddie Mac Ginnie Mae Total
Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20 Dec-
FHA VA Other
Composition of Outstanding Ginnie Mae Mortgage‐Backed Securities