How Mortgage-Backed Securities, Pools, and Aggregated Products Relate
Summary
The document describes how agency mortgage-backed securities relate to their underlying loan pools and to broader market groupings. A single-pool security is tied to a defined set of loans, while aggregated products such as Mega, Giant, or Platinum pools combine many individual pools. TBA trades can also involve multiple pools delivered later. Product labels such as FNM30 group securities by characteristics including agency, term, and pool designation, helping market participants compare collateral and prepayment behavior across cohorts.
The answers emphasize that terminology and reporting conventions vary across institutions, and that aggregated groupings can overlap, creating double counting. They give an approximate count of active Fannie Mae 30-year pools as of September 2020, but that figure is time-specific and applies to the stated pool definition. The document does not provide a comprehensive current count across agencies or settle every distinction among traded MBS products.
Key ideas
- A single-pool MBS is backed by a defined list of underlying loans.
- Some agency MBS products aggregate dozens or hundreds of individual pools.
- TBA trades may be backed by multiple pools selected for delivery.
- Product labels group securities by attributes to summarize collateral and prepayment characteristics.
- Pool counts depend on definitions and dates, and overlapping aggregations can cause double counting.
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Full text
# General Mortgage Backed Securities
# General Mortgage Backed Securities
I understand the basic workflow of MBS, such as securitization, and.etc. I was wondering the following things:
- The relationship between agency product, securities, and pools: Is ONE security exactly backed by ONE underlying pool? How are securities combined together to become a product, such as “FNM30”,”FHL30”.
- Approximately how many pools are there from agencies such as Fannie Mae, Freddie Mac, Ginnie Mae, and FHLC?
Thanks
## Answer by SolitonK (score 1)
https://quant.stackexchange.com/a/33365
If by pool you mean the distinct list of loans on which the performance of the mortgage bond depends on, then yes. One underlying pool, a specific list of loans with specific characteristics at certain notionals, maps to one MBS bond.
On your second question, is really hard to answer, let's say many, with unique characteristics each one or different allocation of capital.
Having said the above, please note that, say for a CLO, it is possible that different CLOs, managed by different managers, have potentially, similar pools. The reason is, that the notionals on leveraged loan deals (CLO undelyings) are very big (100mio+) and hence many manager could buy exposure to any particular loan or loans.
## Answer by Sharad (score 0)
https://quant.stackexchange.com/a/58130
It depends upon what the security in question is because there are many different traded products in the MBS market. If we are restricting our attention to pools then the possibilities include single pools (as referenced by SolitonK), Mega/Giant/Platinum pools which are assembled by securitizing dozens and sometimes hundreds of individual pools, and TBAs which are backed by multiple pools (if the buyer chooses to take delivery).
The convention differs slightly across different institutions that compile this information but "FNM30" usually refers to all 30-year MBS pools guaranteed by Fannie Mae with a prefix of "CL". Although this convention has been supplanted by the introduction of Uniform Mortgage-backed Securities, the idea behind the product naming conventions is to aggregate like securities and thus gain a general sense of the prepayment rates and collateral characteristics associated with specific groupings ("cohorts") of them.
Since pools can contains pools, there is some double counting involved, but there are approximately ~520K FNMA 30-year pools with a factor greater than 0 as of September 2020.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.