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Demonstration Tour |  |
Analytics
Analytics Menu
Below is the main Analytics page containing links to comprehensive analytic tools
ranging from aggregations to calculators.
From this page you can go directly to an analytic calculator, without linking to a security via your
portfolio or a security lookup.
The top of this page starts with Aggregations Using Monthly Data for the Past 48 Months,
followed by
Aggregations Using Historical Data Back to 1994, followed by
Other Aggregations, where you can find Daily Issuance, Prepayment Flashes and
Top Level Issuance Summaries.
When selecting an aggregation, the far left column describes the data content on each row. The
columns describe how the data is aggregated: by Issuance, Prepayment, Balance, New Issue WAC, WAM, and
WALA.
For example, to view prepayments for Fixed Rate pools by Agency, you would click on link
"Fixed CPR" or "Fixed PSA."
Scroll down below the Aggregations links to see links to the
Calculators and various Listings.
The following demo pages highlight many of our aggregation reports and calculators.
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| Issuance
| Prepayment
| Balance
| New Issue WAC
| New Issue WAM
| New Issue WALA
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| (weighted average of pools issued each month) |
Fixed-Rate
by Agency; drill down to Product, (Prefix,) Coupon, Wala/Year and beyond |
Fixed Issuance |
Fixed CPR
Fixed PSA |
Fixed RPB |
Fixed WAC |
Fixed WAM |
Fixed WALA |
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Fixed-Rate Summary
printer-friendly market prepayment summary - with recent leading production year - for common products and coupons |
Issuance Summary |
Prepay Summary |
RPB Summary |
WAC Summary |
WAM Summary |
WALA Summary |
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Fixed-Rate Book
printer-friendly market prepayment detail - with all production years - for common products and coupons |
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ARM
including Hybrid |
ARM Issuance |
ARM Prepay |
ARM RPB |
ARM WAC |
ARM WAM |
ARM WALA |
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| Hybrid ARM |
Hybrid ARM Issuance |
Hybrid ARM Prepay |
Hybrid ARM RPB |
Hybrid ARM WAC |
Hybrid ARM WAM |
Hybrid ARM WALA |
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NEW! UMBS
TBA-eligible pools in the 8 UMBS prefixes. Includes Fannie, Freddie Exchanges, and Freddie 55-day pools |
UMBS Issuance |
UMBS Prepay |
UMBS RPB |
UMBS WAC |
UMBS WAM |
UMBS WALA |
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Tradeable Float
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Tradeable Float aggregations show the balance of pools
(including Megas, Giants and Platinums) not locked up in CMOs or Strips.
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Tradeable Float Minus Fed Holdings aggregations show the balance of
pools (including Megas, Giants and Platinums) not locked up in CMOs, Strips,
or the Federal Reserve's Holdings.
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Tradeable Float Book
(printer-friendly)
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Aggregation History back to 1994 |
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Issuance
| Prepayment
| Balance
| WAC
| WAM
| WALA
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| (weighted average of all pools in cohort) |
Fixed-Rate Historical
Back to 1994 |
Fixed Issuance |
Fixed Prepay |
Fixed RPB |
Fixed WAC |
Fixed WAM |
Fixed WALA |
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ARM Historical
Back to 1994 |
ARM Issuance |
ARM Prepay |
ARM RPB |
ARM WAC |
ARM WAM |
ARM WALA |
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Daily Issuance
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Get Issuance for the last 2 months by Issue Month, Product, Coupon, and Reported Date.
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Most Recent Issuance
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Get Issuance for the Most Recent Report Date.
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Prepayment Flash
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Get a preview of the
Fannie Mae,
Freddie Mac, and
Ginnie Mae
prepayment aggregates.
Available mere minutes after the files are released
by each agency on the 4th business night.
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Significant Changes
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See significant changes in published data for individual securities for up to the last 30 days.
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Freddie Exchanges by Date
NEW!
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See Freddie Mac Daily Exchange Totals
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Freddie Exchanges
NEW!
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See Freddie Mac Exchange Summary reports for Exchange-eligible Gold pools (whole and half coupons only)
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P&I
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Calculate future Principal & Interest for a generic security based on variable rates
of prepayment.
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Price/Yield
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Calculate Price for a generic security, based on expected yield; or calculate
expected yield based on price. Allows for variable rates of prepayment.
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Mortgage Roll
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Calculate cash in, cash out, cost of financing and effective rate of financing for a Mortgage
roll. Includes financing matrix of effective rates.
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Net Money
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Calculate Principal, Interest and Net Money.
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Fannie Mae ARM Trade Money Difference
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After the exact paying rate is available, calculate the accrued interest
difference for a trade settled using the estimated accrual rate.
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Fail
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Calculate the fail days, interest, principal and net money for a trade given a
final settlement date.
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Calculate a CPR Claim
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Calculate a CPR Claim for a late-settling TBA.
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CPR Claim Data
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Get the data necessary for a CPR Claim to use in your own calculator.
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CUSIP Aggregates
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View CUSIP groupings by Base (first 6 places). See number of securities
and highest and lowest securities in each group for Pools, REMICs and Strips.
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TBA CUSIPs
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View CUSIPs for TBAs by Product, Coupon or Settlement Month.
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Prefixes
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List prefixes for each agency and descriptions of each prefix.
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Commingled Supers
NEW!
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See List of All Commingled Supers
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Custom for eMBS Demonstration Tour |
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My eMBS
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View the My eMBS page for eMBS Demonstration Tour.
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Demonstration Tour | |
