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文档简介

NOAIURA

DataAnalysisReport

SecuritizedProducts

AgencyMBSLockupReport

FixedIncomeResearch|Americas

04November2026

ResearchAnalysts

PaulNikodem-NSI

paul.nikodem@

+12126672130

FactorMonth:October2026

SeeAppendixA-1foranalystcertification,importantdisclosuresandthestatusofnon-USanalysts.

ProductionComplete:2026-11-0411:00UTC

Nomura|AgencyMBSLockupReport04November2026

CouponVintage

UMB-30YR

UMB-15YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

1.0

All

0.0

0.0

0.0

0.0

0.0

0.0

0.0

4.7

0.0

4.0

0.0

0.0

4.7

4.7

2022

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

4.4

0.0

3.8

0.0

0.0

4.4

4.4

2020

-

-

-

-

-

-

-

0.3

0.0

0.2

0.0

0.0

0.3

0.3

1.5

All

158.2

2.7

138.0

0.7

51.0

155.5

103.7

120.9

1.1

117.5

0.5

62.4

119.7

56.9

2022

0.5

0.0

0.6

0.0

0.0

0.5

0.5

8.4

0.0

7.8

0.1

4.2

8.4

4.0

2021

88.2

0.5

84.9

0.4

35.0

87.6

52.3

82.4

0.3

81.2

0.2

45.1

82.1

36.8

2020

69.5

2.2

52.4

0.3

16.0

67.3

51.0

30.1

0.8

28.6

0.1

13.1

29.3

16.1

2018

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2016

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2012

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2.0

All

1212.2

20.4

1051.3

0.7

553.4

1191.8

637.7

176.6

0.0

153.7

0.5

72.9

176.6

103.2

2025

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

69.4

0.0

68.9

0.6

33.5

69.4

35.4

16.5

0.0

14.7

0.3

7.3

16.5

8.8

2021

729.4

2.9

666.9

0.1

358.7

726.5

367.8

93.6

0.0

72.2

0.1

31.8

93.6

61.7

2020

413.2

17.5

315.4

0.1

161.2

395.7

234.4

63.9

0.0

65.0

0.1

33.2

63.9

30.6

2019

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.5

0.0

0.3

0.0

0.0

0.5

0.5

2018

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2016

0.1

0.0

0.0

0.0

0.0

0.1

0.1

1.1

0.0

0.5

0.0

0.2

1.1

0.9

2015

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2013

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.6

0.0

0.8

0.0

0.4

0.6

0.2

2012

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2011

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2.5

All

875.5

35.1

740.0

1.2

362.4

840.3

476.8

63.8

0.2

51.2

0.3

15.0

63.6

48.3

2026

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2024

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

111.1

2.0

105.0

1.0

51.1

109.1

57.0

8.8

0.0

8.5

0.2

3.1

8.8

5.6

2021

460.0

19.5

375.5

0.1

172.4

440.5

268.1

10.0

0.0

5.7

0.0

0.0

10.0

9.9

2020

278.5

11.8

235.4

0.0

128.2

266.6

138.4

19.7

0.1

14.2

0.0

3.2

19.6

16.4

2019

21.1

1.4

19.1

0.0

9.2

19.6

10.5

6.6

0.0

5.6

0.0

2.2

6.5

4.3

2018

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.8

0.0

0.2

0.0

0.0

0.8

0.8

2017

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2.2

0.0

1.8

0.0

0.6

2.2

1.6

2016

2.0

0.0

1.4

0.0

0.0

2.0

1.9

9.0

0.0

7.4

0.0

2.6

9.0

6.3

2015

0.1

0.0

0.1

0.0

0.0

0.1

0.1

3.0

0.0

2.8

0.0

1.1

3.0

1.9

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.5

0.0

0.6

0.0

0.2

0.5

0.4

2013

0.5

0.2

1.5

0.0

0.0

0.4

0.4

2.8

0.0

2.8

0.0

1.9

2.8

0.9

2012

1.9

0.1

1.9

0.0

1.6

1.8

0.2

0.3

0.0

1.5

0.0

0.0

0.3

0.3

2011

0.0

0.0

0.0

0.0

0.0

(0.0)

(0.0)

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2007

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion2

Nomura|AgencyMBSLockupReport04November2026

Source:SPGDataBalancein$Billion3

CouponVintage

UMB-30YR

UMB-15YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

3.0

All

472.6

39.5

392.9

0.6

143.4

433.1

289.1

31.0

0.1

28.8

0.5

8.0

30.9

22.4

2026

0.3

0.0

0.0

0.0

0.0

0.3

0.3

0.5

0.0

0.0

0.0

0.0

0.5

0.5

2025

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2024

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

0.5

0.0

0.4

0.0

0.0

0.5

0.5

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2022

98.2

3.5

83.2

0.2

22.7

94.7

71.8

6.0

0.0

6.0

0.4

1.8

6.0

3.8

2021

68.0

8.2

52.6

0.1

0.3

59.8

59.4

0.7

0.0

0.7

0.0

0.0

0.7

0.7

2020

75.0

16.4

55.3

0.1

17.7

58.5

40.7

3.0

0.0

2.3

0.0

0.1

2.9

2.8

2019

68.0

6.2

53.8

0.2

18.6

61.8

43.0

4.2

0.0

3.7

0.0

0.5

4.2

3.6

2018

0.9

0.0

0.8

0.0

0.2

0.9

0.7

1.5

0.0

1.0

0.0

0.3

1.5

1.2

2017

4.7

0.2

4.8

0.0

1.5

4.5

3.0

6.2

0.0

5.8

0.0

2.1

6.2

4.2

2016

67.4

1.7

52.8

0.0

24.2

65.7

41.6

2.7

0.0

2.4

0.0

0.5

2.7

2.2

2015

15.7

0.1

11.2

0.0

8.2

15.6

7.3

2.9

0.0

2.9

0.0

1.0

2.9

1.9

2014

0.8

0.0

0.7

0.0

0.3

0.8

0.4

1.9

0.0

2.2

0.0

0.9

1.9

0.9

2013

58.7

2.0

46.8

0.0

42.4

56.6

14.3

1.0

0.0

1.4

0.0

0.7

1.0

0.3

2012

14.6

1.0

30.4

0.0

7.4

13.5

6.2

0.2

0.0

0.3

0.0

0.0

0.1

0.1

2011

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

(0.0)

0.0

0.0

0.0

0.0

(0.0)

(0.0)

-

-

-

-

-

-

-

2004andEarlier

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

3.5

All

322.7

23.5

272.2

0.4

95.3

299.2

203.5

14.9

0.2

13.7

0.1

2.4

14.7

12.1

2026

2.0

0.0

0.0

0.0

0.0

2.0

2.0

0.7

0.0

0.0

0.0

0.0

0.7

0.7

2025

2.0

0.0

0.2

0.0

0.0

2.0

2.0

0.7

0.0

0.3

0.0

0.0

0.7

0.7

2024

0.7

0.0

0.3

0.0

0.0

0.7

0.7

0.4

0.0

0.4

0.0

0.0

0.4

0.4

2023

1.3

0.0

1.2

0.0

0.0

1.3

1.3

0.1

0.0

0.3

0.0

0.0

0.1

0.1

2022

87.7

2.8

72.9

0.2

19.2

84.9

65.5

4.7

0.0

4.5

0.1

1.8

4.7

2.7

2021

7.2

1.3

6.6

0.0

0.6

5.9

5.2

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2020

11.3

4.5

9.4

0.1

0.3

6.7

6.4

0.4

0.0

0.6

0.0

0.0

0.4

0.4

2019

35.1

5.5

28.9

0.0

7.1

29.6

22.4

2.4

0.1

2.5

0.0

0.0

2.3

2.3

2018

9.6

0.7

7.0

0.0

1.9

8.9

7.0

2.2

0.1

1.8

0.0

0.3

2.1

1.8

2017

39.9

2.1

32.0

0.0

6.8

37.7

30.9

1.6

0.0

1.3

0.0

0.1

1.5

1.5

2016

25.2

1.9

22.1

0.0

8.9

23.3

14.3

0.5

0.0

0.4

0.0

0.0

0.5

0.5

2015

34.8

1.2

29.8

0.0

15.5

33.6

18.1

0.4

0.0

0.6

0.0

0.0

0.4

0.4

2014

11.7

0.2

9.3

0.0

6.9

11.5

4.6

0.5

0.0

0.6

0.0

0.1

0.5

0.4

2013

8.5

0.9

18.3

0.0

0.7

7.6

6.9

0.2

0.0

0.3

0.0

0.0

0.2

0.2

2012

43.8

2.1

27.7

0.0

27.3

41.8

14.4

0.2

0.0

0.1

0.0

0.1

0.2

0.0

2011

1.4

0.1

4.3

0.0

0.0

1.3

1.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2010

0.4

0.1

2.0

0.0

0.0

0.4

0.4

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2009

0.0

0.0

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2007

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

4.0

All

280.9

35.0

215.8

0.3

66.0

246.0

179.7

14.2

0.2

8.1

0.1

0.5

14.1

13.5

2026

12.7

0.0

0.0

0.0

0.0

12.7

12.7

3.8

0.0

0.3

0.0

0.0

3.8

3.8

2025

7.0

0.0

1.1

0.0

0.0

7.0

7.0

2.3

0.0

0.3

0.0

0.0

2.3

2.3

2024

5.5

0.0

2.2

0.0

0.0

5.5

5.5

1.8

0.0

1.7

0.0

0.0

1.8

1.8

2023

6.1

0.0

3.5

0.0

0.0

6.1

6.1

1.0

0.0

1.2

0.0

0.0

1.0

1.0

2022

99.8

3.8

79.4

0.2

21.8

96.0

74.0

3.3

0.0

2.7

0.1

0.5

3.3

2.7

2021

1.4

0.4

1.4

0.0

0.0

1.0

1.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2020

4.1

2.3

3.8

0.0

0.0

1.8

1.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

Source:SPGDataBalancein$Billion4

CouponVintage

UMB-30YR

UMB-15YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

4.0

2019

18.2

6.2

15.6

0.0

3.0

12.0

9.0

0.5

0.1

0.6

0.0

0.0

0.4

0.4

2018

27.3

3.5

20.8

0.0

5.1

23.8

18.7

1.2

0.1

1.2

0.0

0.0

1.1

1.1

2017

25.6

6.3

20.5

0.0

5.0

19.3

14.3

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2016

8.3

2.9

4.9

0.0

1.8

5.4

3.5

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2015

9.4

2.2

7.1

0.0

2.2

7.2

4.9

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2014

18.1

2.0

11.9

0.0

9.3

16.1

6.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

5.0

0.8

11.9

0.0

0.0

4.2

4.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2012

6.4

2.4

7.4

0.0

0.2

4.1

3.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2011

23.1

1.4

9.4

0.0

17.4

21.7

4.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2010

2.5

0.8

7.4

0.0

0.0

1.8

1.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2009

0.4

0.2

7.4

0.0

0.1

0.3

0.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2008

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2007

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2005

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2004andEarlier

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

4.5

All

255.9

24.3

163.3

0.4

28.0

231.6

203.2

25.7

0.0

8.4

0.1

0.0

25.6

25.5

2026

36.8

0.0

8.2

0.0

0.0

36.8

36.8

10.6

0.0

1.6

0.0

0.0

10.6

10.6

2025

16.1

0.0

5.3

0.0

0.0

16.1

16.1

8.3

0.0

1.6

0.0

0.0

8.3

8.3

2024

19.9

0.0

11.8

0.0

0.0

19.9

19.9

2.8

0.0

2.1

0.0

0.0

2.8

2.7

2023

19.6

0.0

15.4

0.0

0.0

19.6

19.6

2.0

0.0

1.7

0.0

0.0

2.0

2.0

2022

100.9

5.1

73.2

0.3

16.4

95.8

79.0

1.8

0.0

1.3

0.0

0.0

1.8

1.7

2021

0.1

0.0

0.1

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2020

1.3

0.9

0.6

0.0

0.0

0.5

0.5

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2019

7.8

3.6

4.2

0.0

0.8

4.2

3.4

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2018

19.2

4.3

9.5

0.0

1.1

14.9

13.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

5.9

2.7

3.7

0.0

0.5

3.2

2.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

1.0

0.4

0.8

0.0

0.0

0.5

0.5

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2015

0.8

0.5

0.6

0.0

0.0

0.4

0.4

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2014

2.8

1.1

2.9

0.0

0.0

1.7

1.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

1.7

0.4

1.9

0.0

0.0

1.3

1.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2012

1.2

0.5

0.5

0.0

0.0

0.7

0.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2011

5.2

2.6

4.4

0.0

0.0

2.7

2.6

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2010

4.5

1.5

6.7

0.0

0.0

2.9

2.9

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2009

10.5

0.5

12.8

0.0

9.2

10.0

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2008

0.1

0.0

0.2

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2007

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.1

0.0

0.2

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.5

0.2

0.4

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

5.0

All

529.0

19.5

264.6

0.1

8.2

509.5

501.1

30.5

0.0

13.0

0.1

0.0

30.5

30.4

2026

175.4

1.0

49.0

0.0

0.0

174.5

174.4

11.7

0.0

2.2

0.0

0.0

11.7

11.7

2025

97.1

0.5

35.4

0.0

0.0

96.6

96.6

11.5

0.0

4.5

0.0

0.0

11.5

11.5

2024

82.4

1.3

51.0

0.0

0.0

81.1

81.1

4.0

0.0

3.7

0.0

0.0

4.0

4.0

2023

80.9

2.8

65.8

0.0

0.0

78.1

78.1

2.5

0.0

1.8

0.0

0.0

2.4

2.4

2022

72.8

5.2

46.7

0.0

4.1

67.7

63.5

0.9

0.0

0.8

0.0

0.0

0.9

0.9

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2020

0.1

0.1

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2019

2.9

1.7

1.9

0.0

0.0

1.2

1.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2018

4.4

2.3

3.0

0.0

0.0

2.1

2.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

0.1

0.0

0.2

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2016

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2015

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion5

CouponVintage

UMB-30YR

UMB-15YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

5.0

2014

0.2

0.1

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2013

0.1

0.1

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2012

0.1

0.0

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2011

1.4

0.9

0.8

0.0

0.0

0.4

0.4

-

-

-

-

-

-

-

2010

1.7

0.9

2.1

0.0

0.0

0.8

0.8

-

-

-

-

-

-

-

2009

5.0

0.4

2.4

0.0

4.0

4.6

0.6

-

-

-

-

-

-

-

2008

0.4

0.1

1.2

0.0

0.0

0.3

0.3

-

-

-

-

-

-

-

2007

0.6

0.3

0.4

0.0

0.0

0.3

0.3

-

-

-

-

-

-

-

2006

0.2

0.1

0.3

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2005

0.9

0.5

1.5

0.0

0.0

0.4

0.4

-

-

-

-

-

-

-

2004andEarlier

2.2

1.3

2.7

0.0

0.0

0.9

0.9

-

-

-

-

-

-

-

5.5

All

655.9

88.8

349.4

0.2

1.2

567.2

565.8

16.9

0.0

9.0

0.0

0.0

16.9

16.9

2026

183.0

27.1

48.2

0.1

0.0

155.9

155.8

5.7

0.0

1.1

0.0

0.0

5.7

5.7

2025

179.6

28.7

99.3

0.0

0.1

150.8

150.8

5.9

0.0

2.6

0.0

0.0

5.9

5.9

2024

139.5

16.6

91.5

0.0

0.0

122.9

122.8

2.9

0.0

3.1

0.0

0.0

2.9

2.9

2023

109.3

4.7

79.2

0.0

0.0

104.5

104.4

2.1

0.0

2.0

0.0

0.0

2.1

2.1

2022

36.7

7.2

21.9

0.0

0.0

29.5

29.5

0.3

0.0

0.2

0.0

0.0

0.3

0.3

2020

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2019

0.2

0.1

0.2

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2018

0.3

0.1

0.2

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2013

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2012

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2011

0.1

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2010

0.2

0.1

0.2

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2009

0.2

0.1

0.3

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2008

0.7

0.3

1.5

0.0

0.2

0.4

0.2

-

-

-

-

-

-

-

2007

1.9

0.4

1.6

0.0

0.9

1.4

0.5

-

-

-

-

-

-

-

2006

0.6

0.2

0.7

0.0

0.0

0.4

0.4

-

-

-

-

-

-

-

2005

1.2

0.8

1.3

0.0

0.0

0.5

0.5

-

-

-

-

-

-

-

2004andEarlier

2.6

2.1

3.2

0.0

0.0

0.5

0.5

-

-

-

-

-

-

-

6.0

All

489.3

163.6

241.6

0.1

0.2

325.6

325.3

6.6

0.1

5.5

0.0

0.0

6.5

6.5

2026

90.8

12.7

16.5

0.0

0.0

78.0

78.0

2.1

0.0

1.2

0.0

0.0

2.1

2.1

2025

170.1

72.0

78.5

0.0

0.0

98.1

98.1

1.9

0.0

1.1

0.0

0.0

1.9

1.9

2024

125.7

49.4

73.7

0.0

0.0

76.2

76.2

1.6

0.0

1.7

0.0

0.0

1.6

1.6

2023

83.2

22.3

56.3

0.0

0.0

60.9

60.8

1.0

0.1

1.5

0.0

0.0

0.9

0.9

2022

14.6

3.9

11.9

0.0

0.0

10.7

10.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2020

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2019

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2018

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2016

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2012

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2011

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.5

0.3

0.6

0.0

0.1

0.2

0.1

-

-

-

-

-

-

-

2007

1.4

0.9

1.7

0.0

0.0

0.5

0.5

-

-

-

-

-

-

-

2006

1.2

0.7

0.9

0.0

0.0

0.5

0.5

-

-

-

-

-

-

-

2005

0.5

0.3

0.2

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

2004andEarlier

1.3

1.1

1.2

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion6

CouponVintage

UMB-30YR

UMB-15YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

6.5

All

180.3

54.0

120.6

0.0

0.0

126.3

126.2

0.8

0.0

0.7

0.0

0.0

0.8

0.8

2026

26.7

0.9

5.8

0.0

0.0

25.8

25.8

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2025

48.0

9.7

30.1

0.0

0.0

38.3

38.3

0.2

0.0

0.1

0.0

0.0

0.2

0.2

2024

51.3

19.3

36.0

0.0

0.0

31.9

31.9

0.4

0.0

0.4

0.0

0.0

0.4

0.4

2023

48.4

20.4

42.6

0.0

0.0

28.0

27.9

0.1

0.0

0.3

0.0

0.0

0.1

0.1

2022

4.2

2.4

4.8

0.0

0.0

1.8

1.8

-

-

-

-

-

-

-

2011

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.2

0.1

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2007

0.5

0.4

0.3

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2006

0.4

0.3

0.3

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2005

0.1

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.6

0.5

0.4

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

7.0

All

36.6

7.9

20.6

0.0

0.0

28.7

28.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2026

4.6

0.3

0.1

0.0

0.0

4.3

4.3

-

-

-

-

-

-

-

2025

10.5

0.5

4.0

0.0

0.0

10.1

10.1

-

-

-

-

-

-

-

2024

10.0

2.0

7.2

0.0

0.0

8.0

8.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

10.5

4.5

8.5

0.0

0.0

6.0

6.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

0.4

0.3

0.3

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.1

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2007

0.1

0.1

0.1

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2006

0.1

0.1

0.2

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.2

0.2

0.2

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion7

CouponVintage

UMB-20YR

UMB-10YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

1.0

All

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2021

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

1.5

All

30.3

0.4

4.1

0.0

0.0

29.9

29.9

8.4

0.1

1.4

0.0

0.0

8.2

8.2

2022

0.1

0.0

0.0

0.0

0.0

0.1

0.1

0.8

0.0

0.1

0.0

0.0

0.8

0.8

2021

23.4

0.3

3.8

0.0

0.0

23.1

23.1

7.0

0.1

1.1

0.0

0.0

6.9

6.9

2020

6.7

0.1

0.3

0.0

0.0

6.6

6.6

0.6

0.0

0.2

0.0

0.0

0.6

0.6

2.0

All

82.5

1.5

16.3

0.0

0.1

81.0

80.9

3.7

0.1

1.2

0.0

0.3

3.6

3.3

2022

5.9

0.1

2.0

0.0

0.0

5.7

5.7

0.7

0.0

0.1

0.0

0.0

0.7

0.7

2021

51.3

0.5

10.8

0.0

0.0

50.8

50.8

1.7

0.0

0.6

0.0

0.0

1.7

1.7

2020

25.4

0.9

3.5

0.0

0.1

24.5

24.4

1.3

0.0

0.5

0.0

0.3

1.2

1.0

2019

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2018

-

-

-

-

-

-

-

0.0

0.0

0.0

-

-

0.0

0.0

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

-

-

-

-

-

-

-

0.0

0.0

0.0

-

-

0.0

0.0

2.5

All

31.9

0.7

11.2

0.0

2.9

31.2

28.3

0.8

0.0

0.3

0.0

0.0

0.8

0.8

2023

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2022

5.6

0.0

1.3

0.0

0.0

5.5

5.5

0.3

0.0

0.1

0.0

0.0

0.3

0.3

2021

11.0

0.3

3.6

0.0

0.0

10.8

10.8

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2020

13.1

0.3

5.3

0.0

2.9

12.7

9.8

0.3

0.0

0.1

0.0

0.0

0.3

0.3

2019

0.9

0.0

0.3

0.0

0.0

0.9

0.9

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2018

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.1

0.0

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

0.9

0.0

0.6

0.0

0.0

0.8

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2015

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

0.2

0.0

0.1

0.0

0.0

0.2

0.2

0.0

0.0

0.0

-

-

0.0

0.0

2012

0.1

0.0

0.0

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

3.0

All

21.2

3.4

8.5

0.0

0.7

17.8

17.1

0.4

0.0

0.1

0.0

0.0

0.4

0.4

2026

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2025

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

3.3

0.0

1.2

0.0

0.0

3.3

3.3

0.2

0.0

0.0

0.0

0.0

0.2

0.2

2021

0.7

0.0

0.7

0.0

0.0

0.7

0.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2020

2.0

0.1

1.2

0.0

0.0

1.9

1.9

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2019

3.0

0.2

1.5

0.0

0.7

2.8

2.2

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2018

0.2

0.0

0.1

0.0

0.0

0.2

0.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

1.4

0.1

0.6

0.0

0.0

1.3

1.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

4.5

0.9

1.4

0.0

0.0

3.6

3.6

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2015

1.7

0.1

0.8

0.0

0.0

1.5

1.5

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2014

0.4

0.0

0.1

0.0

0.0

0.4

0.4

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

2.4

1.1

0.5

0.0

0.0

1.2

1.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2012

1.5

0.7

0.4

0.0

0.0

0.8

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2011

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

0.0

0.0

2010

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

3.5

All

9.9

1.3

5.3

0.0

0.3

8.5

8.2

0.3

0.0

0.1

0.0

0.0

0.3

0.3

2026

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2025

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2024

-

-

-

-

-

-

-

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2023

0.1

0.0

0.1

0.0

0.0

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

1.6

0.0

0.5

0.0

0.0

1.6

1.6

0.1

0.0

0.0

0.0

0.0

0.1

0.1

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion8

CouponVintage

UMB-20YR

UMB-10YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

3.5

2020

0.2

0.0

0.2

0.0

0.0

0.2

0.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2019

0.8

0.1

0.6

0.0

0.0

0.7

0.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2018

0.9

0.1

0.2

0.0

0.0

0.8

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

1.6

0.2

0.8

0.0

0.0

1.4

1.4

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

0.5

0.0

0.2

0.0

0.0

0.5

0.5

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2015

0.9

0.2

0.5

0.0

0.0

0.7

0.7

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2014

0.7

0.1

0.4

0.0

0.1

0.7

0.6

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2013

1.1

0.1

0.5

0.0

0.2

1.0

0.8

-

-

-

-

-

-

-

2012

1.0

0.3

0.7

0.0

0.0

0.7

0.7

0.0

0.0

0.0

-

-

0.0

0.0

2011

0.4

0.2

0.4

0.0

0.0

0.2

0.2

0.0

0.0

0.0

-

-

0.0

0.0

2010

0.1

0.1

0.0

0.0

0.0

(0.0)

(0.0)

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

4.0

All

6.7

0.6

3.7

0.0

0.0

6.1

6.1

0.8

0.0

0.2

0.0

0.0

0.8

0.8

2026

0.2

0.0

0.2

0.0

0.0

0.2

0.2

0.3

0.0

0.0

0.0

0.0

0.3

0.3

2025

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.3

0.0

0.0

0.0

0.0

0.3

0.3

2024

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2023

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

1.5

0.0

0.6

0.0

0.0

1.5

1.5

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2020

0.0

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2019

0.4

0.1

0.3

0.0

0.0

0.3

0.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2018

1.4

0.1

0.5

0.0

0.0

1.2

1.2

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

0.9

0.1

0.5

0.0

0.0

0.8

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2016

0.2

0.0

0.2

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

2015

0.4

0.1

0.3

0.0

0.0

0.3

0.3

-

-

-

-

-

-

-

2014

0.7

0.0

0.3

0.0

0.0

0.6

0.6

-

-

-

-

-

-

-

2013

0.3

0.0

0.2

0.0

0.0

0.3

0.3

-

-

-

-

-

-

-

2012

0.2

0.0

0.1

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

2011

0.4

0.1

0.2

0.0

0.0

0.3

0.3

-

-

-

-

-

-

-

2010

0.2

0.1

0.1

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

2009

0.0

0.0

0.0

0.0

0.0

(0.0)

(0.0)

-

-

-

-

-

-

-

2008

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2007

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

4.5

All

12.0

0.2

3.0

0.0

0.0

11.8

11.8

1.4

0.0

0.4

0.0

0.0

1.4

1.4

2026

4.3

0.0

1.0

0.0

0.0

4.3

4.3

0.5

0.0

0.1

0.0

0.0

0.5

0.5

2025

4.6

0.0

0.6

0.0

0.0

4.6

4.6

0.7

0.0

0.2

0.0

0.0

0.7

0.7

2024

0.9

0.0

0.2

0.0

0.0

0.9

0.9

0.1

0.0

0.1

0.0

0.0

0.1

0.1

2023

0.3

0.0

0.2

0.0

0.0

0.3

0.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2022

0.8

0.0

0.4

0.0

0.0

0.8

0.8

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2021

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2020

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2019

0.1

0.0

0.2

0.0

0.0

0.1

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2018

0.4

0.1

0.3

0.0

0.0

0.3

0.3

0.0

0.0

0.0

0.0

0.0

0.0

0.0

2017

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2016

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2015

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2014

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2013

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2012

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2011

0.2

0.0

0.1

0.0

0.0

0.2

0.2

-

-

-

-

-

-

-

2010

0.2

0.0

0.1

0.0

0.0

0.1

0.1

-

-

-

-

-

-

-

Source:SPGDataBalancein$Billion9

CouponVintage

UMB-20YR

UMB-10YR

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CurrentFace

LockedIn

FederalHoldings

FloatExcluding

CMO

Mega

Pools

Megas

CMO

CMO&Fed

CMO

Mega

Pools

Megas

CMO

CMO&Fed

4.5

2009

0.1

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2008

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2007

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2006

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

-

-

-

2005

0.0

0.0

0.0

-

-

0.0

0.0

-

-

-

-

-

-

-

2004andEarlier

0.0

0.0

0.0

0.0

0.0

0.0

0.0

-

-

-

-

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