MBS Pool Metrics, Vintage, and Coupons

MBS Pool Metrics, Vintage, and Coupons provides the core measurement chain for mortgage-pool analysis: original principal, current factor, remaining face, weighted mortgage rate, and cohort date.

Use these pages with current issuer disclosures and the exact security or class identifier. A correct metric applied to the wrong pool, tranche, factor date, or balance definition can still produce a wrong valuation or cash-flow conclusion.

What This Branch Covers

Core Calculation Sequence

1. Confirm original face for the exact pool, security, class, or position.
2. Obtain the applicable factor and factor date.
3. Multiply original face by factor to calculate current face.
4. Apply market price and settlement adjustments to current face.
5. Use WAC, vintage, and collateral distributions to interpret projected cash-flow behavior.

Common Mistakes

• Applying market price to original face after principal has paid down.
• Treating pool factor as market performance or prepayment speed.
• Treating WAC as the investor coupon or yield.
• Comparing origination vintage with issuance vintage without defining the date.
• Comparing pools at different seasoning points or from different collateral programs.
• Using pool-level data for a structured class with separate principal rules.

These metrics support financial analysis but do not provide investment, trading, tax, legal, accounting, or settlement advice.

In this section

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