Module 1 · The Portfolio · As-of May 2026 disclosure
Built from Ginnie Mae's HMBS loan-level disclosure (v2.5 layout), pool/security file, pool supplemental stratifications, and the issuer file — cross-validated against the audited FY2025 financial statements. SOO coverage: "analyze and create reports of all loans being serviced by the MSSs."
Ginnie Mae HMBS loan-level files hllmon1/hllmon2 (May 2026), filtered to Issuer ID 9281 — 10.3M records processed, 1,873,138 participations collapsed to 53,780 unique HECM loans. Pool file ties to the loan build exactly: $11,253,247,759.
The trajectory
Twenty-seven consecutive monthly disclosure files show the securitized book declining from $17.4B to $11.3B — $238M a month, driven by mandatory 98%-of-MCA buyouts and FHA assignment. The September 2025 reading ($12.91B) lands on the audited Annual Report's defaulted-issuer figure for the same date.
Issuer 9281. Left axis: UPB ($B). Right axis: securitized participations (millions).
The buyout pipeline
A HECM must be purchased out of its pools when its balance reaches 98% of the Maximum Claim Amount — Ginnie Mae funds the buyout, then assigns eligible loans to FHA for claim recovery. Balance-to-MCA is therefore the book's master clock. Here is the whole portfolio against it, today.
UPB-weighted. Loans cross bands from bottom to top as balances accrue (~rate + 0.5% MIP per year).
May 2026 alone recorded participation-level mandatory-purchase events (payment reason 5), plus death-of-borrower and foreclosure liquidations. Weighted-average balance/MCA across the book: .
Composition
Unique loans by HECM original funding year. 78% originated 2017–2021; the 2020 cohort is the largest.
Loans by reset type and pool type. WA current rate %.
Participation-weighted. Line-of-credit plans dominate — the source of the $2.95B unfunded-draw obligation.
Single-family detached dominates; one in seven dollars sits in rural-flagged pools.
Geography — recovered
Loan-level disclosure leaves MSA blank for the seized book — a data-quality gap worth fixing in its own right. But the pool supplemental file stratifies every pool by state. Aggregated across all 3,882 pools, the geography emerges: a heavily Western, high-home-value footprint, which matters for BPO behavior, foreclosure timelines, and sale-pool structuring.
Share of $11.25B securitized UPB. Aggregated from per-pool state stratifications (record type 08).
Ginnie Mae HMBS Pool Supplemental file, May 2026 — 564,894 stratification rows joined to the 9281 pool set. State UPB sums to the pool-file total exactly.
Current value & equity — estimated
Disclosure carries each loan's origination-era appraisal and its valuation date. Rolling every one of the 53,780 appraisals forward with localized FHFA house-price indices — each loan's own quarter, each loan's state mix — produces a current-value estimate for the entire book, and with it the number that drives recovery economics: current loan-to-value.
Balance by estimated current loan-to-value. The book is shallow: 85% of UPB sits below 60% LTV, and zero loans are estimated underwater.
Fractional state allocation. California alone holds an estimated $5.5B of equity.
Crossing the funnel with the equity estimate: of the ~$670M of balances at ≥95% of MCA — the loans Ginnie Mae must fund out of pools next — sits below 60% current LTV, only sits above 80%, and none is underwater. Loans that assign to FHA recover at claim; loans that can't assign resolve against property values estimated at 2.5× their balances on average. Severity assumptions in any market bid — and in the government's own hold model — should be tested against this cushion, segment by segment.
Method: participation-weighted mixture of each loan's pools' published state distributions (validated against the disclosed state totals to within ±0.14pp), FHFA purchase-only state HPI from each loan's valuation quarter to 2026Q1. Estimates, not appraisals — BPO refresh remains step one of any sale. Full method →
Securitization structure & lineage
9281 pools by original issue year — the securitization history of the RMF platform, 2008–2022.
The defaulted-issuer lineage
Source: Ginnie Mae Issuer File (issrinfo), May 2026; Ginnie Mae FY2024–FY2025 Annual Reports.
Top 15 of 3,882 pools by securitized UPB.
| Pool | Type | Issued | Securitized UPB | RPB factor | Participations |
|---|
New disclosure files post on the sixth business day. HSG's pipeline re-runs the build, re-validates against the pool file, and re-scores the buyout funnel — the SOO's "reports of all loans being serviced by the MSSs," delivered as a living system rather than a PDF.
Next: the hold-vs-sell economics →