Securitization Methodology

This module measures the stock of US securitization outstanding, by channel and by collateral, from the Federal Reserve Z.1 Financial Accounts (the Flow of Funds), served through FRED. It is the outstanding-balance complement to the mortgage page (HMDA applications and originations, a flow of new lending) and to the consumer-credit page (the G.19 stock of card and auto debt). Everything here is a sector aggregate. No individual pool, deal, sponsor, or tranche appears.

Source and license

Every series is a Federal Reserve Board Z.1 Financial Accounts series, a US-government work in the public domain. The FRED metadata for each one carries the standard Financial Accounts Guide boilerplate and no redistribution restriction (checked field by field on 2026-07-19, and stored verbatim in each series' .meta.json). None of them is a restricted vendor series of the ICE, Moody's, or Coinbase kind, so all may be charted and republished directly.

The auto, credit-card, and student-loan breakdown of asset-backed securities is not published free by the Z.1 accounts. That granularity comes from SIFMA, whose terms this project declined, so those cuts are omitted here rather than sourced from a license we do not hold. This matches the treatment of muni yields on the public-finance page.

The two channels

Z.1 separates securitization into two sectors.

Agency channel. Mortgages financed through the agency and GSE-backed pools. The consolidation-neutral headline is the combined sector, "GSEs and agency- and GSE-backed mortgage pools," total mortgages held (BOGZ1FL423065005Q). By construction it equals the GSE sector (BOGZ1FL403065005Q) plus the mortgage pools sector (AGSEBMPTCMAHDFS). The combined figure includes a small GSE retained whole-loan portfolio, held under the FHFA wind-down caps, that is not itself securitized; the overwhelming majority is agency MBS.

Private-label channel. The Issuers of Asset-Backed Securities sector (sector 67). Its debt securities liability (IABSDSL) is the total private-label securitization outstanding. Its assets are the collateral: one-to-four-family residential mortgages (BOGZ1FL673065105Q, private-label RMBS), commercial mortgages (BOGZ1FL673065505Q), home equity loans (BOGZ1FL673065123Q), consumer credit (BOGZ1FL673066000Q), and trade receivables (BOGZ1FL673070003Q). Total mortgages in the sector (BOGZ1FL673065005Q) are used for the like-for-like agency-versus-private-label split.

The two accounting breaks

Both are real, both are visible in the data, and both are the reason a naive read of a single series would mislead.

1. The 2010 GSE consolidation. Under FAS 166/167, Fannie Mae and Freddie Mac consolidated their securitization trusts onto their own balance sheets in 2010:Q1. In Z.1 that moved the Fannie and Freddie pool mortgages out of the pools sector and into the GSE sector. The pools series drops from 5,376,709 to 987,799 in one quarter while the GSE series jumps from 707,684 to 5,104,412 (millions of dollars). Nothing changed in the mortgage market; the accounting changed. The combined sector is continuous through the break, which is why this module uses it as the agency headline and plots the GSE and pools components only to show the crossover.

2. The post-2010 sponsor consolidation of ABS trusts. The same accounting change pulled most credit-card, auto, and student-loan ABS trusts back onto the sponsors' balance sheets (banks and finance companies). Z.1's Issuers of Asset-Backed Securities consumer-credit line fell from a 2008:Q2 peak of 658,149 to 14,941 by 2026:Q1 (millions of dollars). The Z.1 sector therefore understates the gross ABS market a dealer would quote, and the residual it still shows is not the same thing as gross issuance outstanding. The page states this where the consumer-credit collateral is discussed.

Anchors verified verbatim

Two headline values are verified against FRED and asserted at build (the build fails if either moves, so a silent restatement is caught):

• Agency mortgage securitization, 2026:Q1 = 10,914,011 million of dollars (BOGZ1FL423065005Q), which equals the GSE sector 7,682,663 plus the pools sector 3,231,348. The identity combined equals GSE plus pools is checked on all 304 common quarters (maximum residual 0.0).
• Private-label RMBS peak, 2007:Q2 = 2,354,889 million of dollars (BOGZ1FL673065105Q), against 545,802 million in 2026:Q1, which is 23.2% of the peak.

As a third receipt, total private-label securities outstanding (IABSDSL) peaked at 4,666,508 million in 2007:Q3 against 1,860,829 million in 2026:Q1.

Units and construction

Z.1 serves these series in millions of dollars, quarterly, end of period. The library converts to trillions for the agency and total-private headlines and to billions for the collateral detail, matching how each figure is usually quoted. The FRED missing-observation marker is dropped, not coerced to zero. Every value on the page and in the stat tiles is computed at build from a fixed query in src/lib/securitization.ts; the page carries no raw SQL and no typed number.

The agency-versus-private-label split is computed on total mortgages in each channel, a like-for-like comparison of mortgage collateral. The private-label share of mortgage securitization fell from 39.2% at its 2007:Q2 peak to 9.4% in 2026:Q1.

Limitations

• The agency combined figure includes a small GSE retained whole-loan portfolio that is not securitized. It is a few hundred billion dollars against a multi-trillion-dollar total, but it is not zero.
• The Z.1 private-label sector understates the gross ABS market after 2010 because of the sponsor consolidation described above.
• Z.1 does not split consumer ABS into auto, credit-card, and student-loan cuts. That breakdown is a SIFMA product this project does not use.
• These are quarterly Z.1 stocks, revised with each quarterly release. They are outstanding balances, not issuance flows.

Series

Data refreshes with the quarterly Z.1 release through refresh_securitization in scripts/refresh.sh (fetch scripts/fetch_securitization.py, build scripts/build_securitization.py).