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Mortgage-Backed Securities (MBS) Data Glossary

Mortgage-Backed Security (MBS) data provides comprehensive information on mortgage-backed securities (MBSs) that traded within the past 10 years. 

Data field Definition Why we share this data
Amortization Amortizing securities are debt securities like bonds, but they pay the principal back with each payment rather than upon maturity.  Possible values you include:
  • A = Arm
  • B = Balloon
  • L = Level pay
  • W = Biweekly 
  • R = Fixed Rate Reverse
  • V = Arm Reverse 
  • G = GPM - Graduated Payment Mortgage
  • H = GEM - Growing Equity Mortgage
  • T = TPM - Tiered Payment Mortgage  
So investors have information on the security payment schedule.
Average Loan Size Weighted average loan size will be rounded down to the nearest 25. For example, a value of 113 (i.e., $113,000 average loan size) will be disseminated as 100.  
Coupon Rate A coupon rate is the annual interest rate paid by the issuer to you when you hold a bond that you have purchased. These interest payments are generally made semiannually, although some bonds may pay interest more or less frequently. The coupon multiplied by the par value is the dollar amount the issuer pays annually. For instance, the issuer of a bond with a par value of $1,000 and a coupon rate of 4.5 percent ($45) would make two semiannual coupon payments of $22.50 each to each bondholder. Generally, the higher the coupon rate, the higher your return on investment but the greater the risk you incur. Coupon payments are paid until the maturity date, at which time the par value for each bond will be paid back by the issuer along with the final interest payment. If the coupon rate is zero percent, the bond is likely a zero coupon bond: Instead of the issuer paying interest payments, you buy the bond at a discount from the par value and are paid the par amount when the bond matures.
So that investors can understand the potential bond returns. 

Learn more about Investing in Bonds.
CUSIP A unique identifier used for US and Canadian registered stocks, US government and municipal bonds, exchange traded funds, and mutual funds assigned by the CUSIP committee. It is a nine-digit alphanumeric code. The issuer is identified in the first six characters, the next two positions identify the specific asset and the last digit is a check digit.

Brokerage firms must have a daily license in place with Standard & Poor's CUSIP Bureau to acquire a full list of reportable bonds by CUSIP number.
It is a unique identifier for securities.
Issuing Agency

The agency issuing the security. Possible values are:

  • 0 = Non-Agency
  • 1 = Ginnie Mae 1
  • 2 = Ginnie Mae 2
  • 3 = Fed Natl Mtg Assn
  • 4 = Fed Home Ln Mtg Corp
  • 5 = Small Business Admin
  • 6 = Canada Mtg and Hsng Corp
So investors know the agency issuing the mortgage.
LTV (Loan to Value Ratio) (%) A Weighted Average for the loan-to-value ratio which is a lending risk assessment ratio that financial institutions and others lenders examine before approving a mortgage.  
Maturity Date

A bond’s maturity date is the date the issuer is committed to paying you the par value of the bond, unless the bond is callable and is redeemed on an earlier date. At the maturity date, the issuer redeems each bond at the par amount.

Perpetual bonds have no maturity date.

Matured bonds have already reached their maturity date and may have already been redeemed by the issuer. It is also possible that the security has not yet been redeemed for several reasons. Please contact your financial professional on the status of this bond.

So that investors know when the issuer committed to paying the value of the bond.
Mortgage Product

Information on type of mortgage product. Values may include:

  • C = Co-op
  • D = Project
  • M = Multi-Family
  • P = Manuf/Prefab
  • S = Single Family
  • U = Unknown
  • B = Planned Urban Development (PUD) 
  • L = Leasehold
  • N = Condominium 
  • T = Student
  • R = Senior
  • A = Affordable Housing 
  • Y = Military
So investors know they type of mortgage products included in the security
Original Maturity Date The time between the bond issue and the maturity date. For example, if a company issued a 20 years bond five years ago, its original maturity is 20 years  
Product Subtype Identifies the type of fixed income security, which may be: 
  • ABS - Asset Backed Securities
  • AGCY - Agency Bonds
  • CHRC - Church Bonds
  • CORP - Corporate Bonds
  • ELN - Equity Linked Notes
  • MBS - Mortgage Backed Securities
  • TBA - To Be Announced Securities
  • CMO - Collateral Mortgage Obligation Securities
So that investors can track the security type.
Sub Product Type

The type of product the mortgage is funding

  • B = Planned Urban Development (PUD)
  • C = Co-op
  • D = Project
  • H = Home Improvement Loans
  • L = Leasehold
  • M = Multi-Family
  • N = Condominium
  • P = Manufactured/Prefab
  • S = Single Family
  • U = Unknown
Symbol Security symbol assigned by FINRA for trade reporting purposes.  The FINRA proprietary symbol is offered free of charge. 
So that investors and markets have a free unique identifier for fixed income securities. 
WAC (Weighted Average Coupon) The weighted average coupon (WAC) is the weighted-average gross interest rates of the pool of mortgages that underlay a mortgage-backed security (MBS) at the time the securities were issued.  
WAM (Weighted Average Maturity) (months) Weighted average maturity (WAM) is the weighted average amount of time until the maturities on mortgages in a mortgage-backed security (MBS).  
WALA (Weighted Average Loan Age) (months) A dollar-weighted average measuring the age of the individual loans in a mortgage pass-through or pooled security, such as Ginnie Mae or a Freddie Mac security. The WALA is measured as the time in months since origination.