Over the past 18 months, Recursion has undertaken an extensive effort to aggregate multifamily loans and properties across all three Agencies by Deal Type. The data is complete back to 2009 for all three Agencies and somewhat longer for individual deal types. This allows us to aggregate the loans to the pool and then CMO levels for in-depth analysis. An innovation is that we have tied the loans to the property level, giving us the ability to perform analyses on a wide variety of topics, including ESG considerations and much more.
For this note, we will provide a basic overview of the dataset. Here is the topmost view from the Agency level:
As is the case in single family issuance, higher interest rates appear to have dampened issuance in 2022. Total issuance fell by 21%, led by Ginnie Mae with a decline of 52%, followed by Freddie Mac with a decline of 19%, while Fannie Mae was unchanged.
We can dig down into the deal type level for each Agency. In the case of Fannie Mae, we have this:
DUS loan issuance fell by 9% in 2022, to the lowest level since 2018. Non-DUS issuance, a smaller share of the total, jumped by 85% to keep the overall level of issuance flat between the two years.
Freddie Mac has a wide variety of offerings:
The 19% drop in Freddie issuance last year was led by a 29% fall in its flagship K-program, partly offset by a 65% jump in its multi-PC program. Gains were also posted in the Q-deals (+35%), while declines were posted for the SB (-9%) and ML programs (-60%).
Finally, we look at Ginnie’s multifamily pool offerings:
The 52% decline in Ginnie issuance was pretty evenly distributed by program (-52% for project loans and -47% for construction loans). We look very much forward to digging into these categories of products in future posts.
The amazing thing is that all the issuance numbers we reported so far are calculated from individual properties backing up the loans and then the pools (for Fannie and Ginnie) or deals (for Freddie).
As we know, Fannie and Ginnie pools can be further securitized into CMO structure. Using Recursion’s CMO Analyzer, we can also track FNM and GNM CMO Issuance:
Total issuance declined by 41%, with GNM falling by 44% and Fannie GeMs declining by 31%.
We conclude with a chart of multifamily lockup rates (% of multi-family pool UPB locked in CMO deals) time series for the two Agencies from our Multifamily Analyzer:
The FNM ratio has been in a modest downward sloping trend since the onset of the Covid-19 pandemic and now stands at 20%. The rate for Ginnie CMOs stands at 91%, with a slight upward trend.
For all of these categories, we stand to learn a great deal about issuance trends by examining the characteristics of the underlying loans (term, note rate, and underwriting characteristics) as well as by examining the structural characteristics of the underlying programs. There is a very great deal more to come. If you have interest in gaining access to this dataset, just reach out.
 Freddie Mac has yet to release the property level data for about $1 billion of its programs, notably K-deals in 2022-2023. We have reached out to them to see if these gaps can be filled.