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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.

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    $\begingroup$ I think that each TBA is backed by hundreds of mortgage pools, each of which contain a fractional interest in thousands of similar mortgages. Thus, you do not get delivered a whole mortgage in your TBA. $\endgroup$
    – dm63
    Commented Dec 16, 2017 at 13:15
  • $\begingroup$ @dm63 useful insight. Are you aware of any references which detail this splitting or structure ? $\endgroup$
    – oliversm
    Commented Dec 16, 2017 at 13:41
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    $\begingroup$ That's not true at all. You can trade TBA at increments as small as $100K, and one mortgage can be secured and delivered into that pool. $\endgroup$
    – Thomas Boyd
    Commented Jan 13, 2021 at 2:53

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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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