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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?

Thanks

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  • $\begingroup$ 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
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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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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.

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