Agency MBS TBA Delivery Sizes and Mortgage Pool Variance

Summary

The document explains that an agency mortgage-backed securities TBA is a forward contract on pass-through certificates, rather than a commitment to deliver a precisely specified set of individual mortgages. Delivery terms are governed by industry guidelines, and some variance in the amount delivered is permitted when an exact match to the trade’s notional amount is impractical.

The response illustrates the point with a trade specified by notional size, agency, coupon, and maturity, then distinguishes that TBA specification from the underlying mortgage pool. It also gives examples of commonly traded sizes and notes that much larger transactions occur. The examples describe market practice, not a typical count of loans in each certificate: the document does not provide a direct estimate of mortgage count or a general rule for pool composition. Readers seeking delivery details would need the applicable guidelines and specific pool information.

Key ideas

• An agency MBS TBA is a forward contract on pass-through securities.
• TBA delivery is governed by industry guidelines, which allow some variance from the exact trade amount.
• A trade’s agency, coupon, maturity, and notional describe delivery parameters rather than an exact list of mortgages.
• Trade-size examples do not reveal how many individual mortgages are in a delivered pool.

Tags

# Number of mortgages in a MBS


# Number of mortgages in a MBS












Is it possible to know the typical number of mortgages that can be packaged into a MBS product, e.g. a pass-through MBS, or an agency backed TBA. I think the minimum size is \$1-million but if a typical mortgage is around \$100k then this means only 10 mortgages might be delivered, which seems a very small amount.

Is there any information to see what is typically delivered into a TBA?

Thanks.

## Answer by toing (score 1)

https://quant.stackexchange.com/a/60815

Your question is very specific to agency MBS TBA passthrough certificates. Think of TBA as a forward contract on agency MBS passthroughs. What can be delivered in a TBA certificate is extensively covered under SIFMA guidelines. It allows for all sorts of variance. Your question is specific to amount itself. So for example, you entered into a trade of 5mm of TBA of coupon 4.5 FN 30year. What that means is underlying is a Fannie Mae 30 year mortgage of a certain coupon. It may not be possible to deliver exact 5mm so a variance is allowed.

Overall, this market is very liquid. Its very common to see TBA of size 25mm-100mm trade on a routine basis. Very large trades can be upto even 10Bn in size.

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