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Pool Detail Overview

The eMBS Pool Detail page contains pool indicative information, calculated values such as prepayments, and links to detailed information.

The blue detail buttons provide historical factors and prepayments, geographic state, origination year, lockup, collateral, and ARM information.


GLOSSARY OF TERMS for Pool Indicative Information

Avg Current Loan Size
The current Remaining Principal Balance divided by the number of loans from the most recent Geographic data.
Calculated WAOL Size (FNMA/GNMA)
Calculated Weighted Average Original Loan Size. Calculated value defined as the average of the mid-points of the OLS quartiles from the latest quartile data.
Client Balance
The total Remaining Principal Balance of the loans for the portion of the pool owned by the client.
Client Face
Issue Amount, also known as the Original Face, for the portion of the pool owned by the client.
Coupon
Annual rate of interest paid to the investor. 12 times the monthly rate of interest. Used to calculate monthly interest payments.
CPR Prepayments
Calculated constant prepayment rates for the past month, 3 months, 6 months, 12 months, and over the life of the pool.
Credit Score (CS)
Also known as FICO. Weighted original CS--weights the OCS for all loans that are currently active in the pool.
CS Pct Missing
Credit Score Percent Missing. The percentage of RPB for which the loans have unknown credit scores.
Current AOL Size (FNMA/GNMA)
Current Average Original Loan Size. The sum of the Original Loan Size of all currently active loans, divided by the number of currently active loans.
Current WAOL Size (Freddie Mac)
Current Weighted Average Original Loan Size. This weights the Original Loan Size for all loans that are currently active in the pool.
CUSIP
9-character Street identifier. The 9th digit is a check digit.
Factor
Decimal fraction of the original principal remaining. Calculated by dividing the total Remaining Principal Balance of the loans by the original Unpaid Principal Balance of the loans. Carried out to 8 decimal places for FNMA and GNMA, to 7 places for FHLMC.
Factor Date
The effective date of the factor.
Index (ARMs only)
The published index an ARM is tied to and the interest rate adjusts to accordingly.
Issue Date
The date of formation of the security. This date coincides with the date on which interest begins to accrue, known as the dated date.
Issuer (GNMA)
The entity (aka Seller) that initally sold the loans/pools to the agency.
Loan-to-Value (LTV)
Ratio of loan amount to value of property. It's the original value, weighted by the current loan balance. NOTE: The LTV used for each pool is the latest LTV published by the agencies. This is a weighted average, calculated from each loan's original LTV. The weighting shifts as the loans pay down at different rates, but the underlying LTV for the loans themselves are not updated monthly.
Longest Loan (Freddie Mac)
Adjusted/updated maturity date of the longest loan.
LVT Pct Missing
Loan-to-Value Percent Missing. The percentage of RPB for which the loans have unknown LVT.
Margin (ARMs only)
The spread between index rate and coupon rate, expressed in percent.
Maturity Date
The maturity date of the security. Often called the "final" because this date is typically the payment date following the maturity date of the longest loan in the pool.
Max Geo State
The US state with the highest percentage of loan balances. "95% TX" means that 95% of the loan balances are from Texas. Use the Geographic detail link for a listing of all states with percentages for each state. Note that a few non-states are used : VI-Virgin Islands, PR-Puerto Rico, GU-Guam.
Max Orig Yr
The year of loan origination with the highest percentage of loan balances. "40% 95" means that 40% of the loan balances were originated in 1995.
Max State Loans
Number of loans in the state indicated in the Max Geo State field.
Max Year Loans
Number of loans originated in the year indicated in the Max Orig Yr field.
Nr of States
Total number of states in a pool.
Origination Years
Comma-delimited listing of the origination years of loans in the pool. Use the Origination Year link for a full listing with percentages for each year.
Pool
The 6-digit pool number assigned by the agency to identify the security. NOTE: Pool numbers are not entirely unique--several early FHLMC pool numbers identify multiple securities with unique CUSIPs and coupons.

FHLMC Gold pools - the leading position is a letter.

GNMA pools - contain a suffix to identify the GNMA plan:

    Suffix
    GNMA Plan
    Add'l Info
    X
    GNMA I

    C
    GNMA II Custom
    Customs are not TBA eligible
    Custom pool numbers are 5 digits
    ARM pool numbers are 6 digits, beginning with "8"
    M
    GNMA II Multi-Issuer (Jumbo)
    Jumbo refers to the size of pools, not Jumbo-Conforming
    Fixed rate pool numbers contain 4 or few digits
    ARM pool numbers contain 5 digits, beginning with "8"
    H
    HECM (GNMA II Reverse Mortgage Pools)


Pool Age
The number of months since the Issue Date, or date of pool formation.
Prefix
Two-character identifier published by the mortgage agencies to represent the type of loans, e.g. 30-year or 15-year, fixed-rate or adjustable, amortizing or balloon. 
View Prefix List
    • The prefix for FHLMC pools, also known as the series, consists of the first 2 digits of the pool number, e.g. 18 for pool number 180020. FHLMC Gold pools - their 45-day product - begin with an alpha-character.
    • The published prefix for GNMA 30Yr and 15Yr Single-Family pools is SF. In order to better identify securities, the prefix is changed from SF to MG (for Midgets) for GNMA pools with remaining terms to maturity of 174-186 months on the issue date.
    • One product may map to multiple prefixes, such as product FHL30.
    • One prefix may map to multiple products. When this is the case, each of those prefixes are assigned a unique internal eMBS PrefixId for improved mapping granularity. For example, GNMA prefix SF maps to multiple GNMA products.
Production Year
Calculated by subtracting the WALA at issue from the Issue Date, then taking the year portion of the resulting date. (Ex: if a pool has IssueDate 01/01/2009 and WALA at issue is 1, the resulting date is 12/01/2008--Prod Yr set to 2008.) NOTE: The original published WALA is used for this calculation. After a WALA has been published for a pool, the Production Year remains static, even if the WALA drifts later on due to prepayments.
PSA Prepayments
Calculated prepayment rates - using the PSA model - for the past month, 3 months, 6 months, 12 months, and over the life of the pool.
Remaining Term
The remaining term in months until the pool's stated maturity date.
Reset (ARMs only)
For both traditional and hybrid ARMs, indicates how often the interest rate changes (resets). The first value represents the initial interest rate until the first reset date. The second value represents the adjustment frequency. "3/1" means first reset in 3 years, and subsequent resets every 1 year after that.  NOTE: For Non-Hybrid ARMs, the two values will be the same (ResetPerInit=ResetPerSubseq), such as 1/1, 3/3.  
Seller (FNMA/FHLMC)
The entity (aka Issuer) that initially sold the loans/pools to the agency.
Servicer
The entity currently servicing the pool (i.e. the firm that receives loan payments and passes them through to investors). This may or may not be the original Issuer of the pool, or underwriter of the loans. NOTE: Pools issued by an agency's own loan portfolio will contain the agency's name, such as FHLMC cash pools, FNMA portfolio pools, and GNMAII Multi-Issuer pools.
TBA Elig
Indicates whether or not the pool is eligible for TBA delivery, based primarily on the Prefix.
TPO Pct
Third Party Origination Percent. Indicates the % of Issue Amount that was Third Party Origination. (FHLMC/FNMA)
Total Loans
Total number of loans in the pool.
WAC
Weighted-Average Coupon. Weighted average of the coupon rates of the underlying loans. If the collateral consists of pools, as with FHLMC Giants, FNMA Megapools, or GNMA Platinums, the weighted average of the underlying pool WACs. If WAC is not published for a pool, it is approximated by adding an assumed service fee to the published Coupon rate. The difference between the WAC and the Coupon is known as the service fee - the fee retained by the servicer.
WALA
Weighted-Average Loan Age. Weighted average number of months since origination of the underlying loans, or, if the collateral consists of pools, the weighted average of the underlying pool WALAs.
WAM
Weighted-Average Maturity, in months. A weighted average of the number of months to maturity of the underlying loans, or, if the collateral consists of pools - as with FHLMC Giants, FNMA Megapools and GNMA Platinums - the weighted average of the underlying pool WAMs. Also known as weighted average remaining maturity (WARM) and weighted average remaining term (WART).
WAMTAM (FNMA/FHLMC)
Weighted-Average Months To Amortization (if Initial Interest Only period). This disclosure field is updated monthly, which means the information is associated with the current remaining balance of the underlying loans in the pool.
WAO CS
Weighted-Average Original Credit Score. See Credit Score.
WAO LTV
Weighted-Average Original Loan-to-Value. See Loan-to-Value.
WAOL Size
Weighted-Average Original Loan Size. See Current WAOL Size (Freddie Mac) or Calculated WAOL Size (FNMA/GNMA).
WAOL Term
The Weighted-Average term to maturity of the loans as of the Issue Date.
Whole Pool Balance
The total Remaining Principal Balance of the loans.
Whole Pool Face
Issue Amount, also known as the Original Face. For mortgage pools, it represents the total Unpaid Principal Balance of the loans on the date of issue.
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