I understand the basic workflow of MBS, such as securitization, and.etc. I was wondering the following things:

  1. 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”.

  2. Approximately how many pools are there from agencies such as Fannie Mae, Freddie Mac, Ginnie Mae, and FHLC?


  • $\begingroup$ If by securities you mean MBS (or "plain vanilla mortgage securities" or "passthroughs") then yes, ONE security is backed by ONE pool. It is no longer true for mortgage derivatives like CMO, CDS, etc. I don't know how many pools there are, but the identifying number of a pool is 6 digits long. HTH. $\endgroup$ – Alex C Mar 29 '17 at 22:34

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.


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