Geographical diversification is an intuitive approach to manage risk in a mortgage portfolio. This paper examines whether high levels of geographical concentration in mortgage debt hinder the ability to diversify risk. To accomplish this, I apply the empirical regularity in regional science known as the rank-size rule, which is a log-linear relationship between city size and rank. With this, I estimate the degree of concentration across various sectors of the mortgage market. These results are improved upon by expanding to a non-linear model, which addresses an important concern regarding the linear fit. These concentration estimates suggest that there may be limits to diversification in heavily concentrated markets. This is particularly true for the non-conforming, jumbo mortgage market where immense concentrations in the largest metropolitan areas dominate the market. The insights from this approach provide a simplification for the relative exposure of mortgage markets to local economic shocks.