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| | '''Mortgage Pool'''. A number of mortgages combined into a single pool and used as an asset. | | '''Mortgage Pool'''. A number of mortgages combined into a single pool and used as an asset. |
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| − | == Issues and Challenges ==
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| − | Analytics review session notes: Dated facts (for non agency mortgage pools): Aggregate of : Scheduled payments (% and $) Payments Prepayments (% and $ notional) Default amounts (statistics: Prepayments: (start at 0 and ramp up and then level off (why?)) SMM basic measure monthly Basis CPR C? Prepayment Rate based on SMM annualised PSA based on CPR takes the COR and applies a curve to the rate of prepayments on the model. (%) e.g. 100% PSA is applied to model. 200% PSA implies x%CPR per month Tries to reflect how prepayments in a pool will accelerate and then burn out. This reflects the nature of a mortgage pool, elgl why people will prepay, refinance, address selection and so on i.e. local economy facts. so those will drop out of the pool and you are left with those who will not. that's why it levels off. So who originates these figures? Is it measured ongoing?: No . Used to determine a pricing speed when marketing the security to investors. So this is part of the primary market / issuance where there is marketing. These are the estimated figures as they will be at issue. PSA may also be used as triggers. 100 - 400% PSA band - if you go outside that band, may change payment behaviour of those classes. Defaults: measures or rate of default CDR conditional default rate (annual) MDR Monhtly default rate - like CPR = Rate over time. - both defined as Rates. (%) Figures are originated by the servicer of the debt pool. Each serviceer will have their own formats but will do info on prepayments, llosses, detauls on specific loans and so on.
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| | == Disclaimer == | | == Disclaimer == |
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| | [[Category:Mortgage Backed Securities]] | | [[Category:Mortgage Backed Securities]] |
| | + | [[Category:Prepayment Risk]] |
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| | {{#set: isDefinedBy | https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/AssetBackedSecurities/MortgageBackedSecurities/index-en.html }} | | {{#set: isDefinedBy | https://spec.edmcouncil.org/fibo/ontology/SEC/Debt/AssetBackedSecurities/MortgageBackedSecurities/index-en.html }} |
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| | __SHOWFACTBOX__ | | __SHOWFACTBOX__ |
Latest revision as of 13:46, 1 December 2022
Definition
Mortgage Pool. A number of mortgages combined into a single pool and used as an asset.
Disclaimer
This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.
