Tracking MBS Issuance over extended time frames spanning months or years provides an invaluable perspective into mortgage market supply-side dynamics, the evolving characteristics of mortgage borrowers, and the relative share of major mortgage market participants. To some extent, the same insights can be extracted over shorter time scales such as a daily frequency with the emphasis shifting to analyzing trading flows – the likely characteristics of the TBA deliverable, which Stories are being created in the Specified Pool sector etc. The Daily Iss (Daily Issuance) tab on MachineSP’s StoryBook application provides an extensive capability to analyze intra-day, daily, and monthly patterns of MBS issuance.
Daily Iss provides several intra-day snapshots of pool level issuance for the current and several future months, with filtering, grouping and navigation features like the Pool Cohorts tab in StoryBook. Daily Iss is updated three times a day for GSEs and once a day (at the open) for Ginnie Mae.[1] The most recent GSE update timestamp will be shown at the top of the screen. Prior months' issuance data is also available for GSE pools, going back to October 2023.
By default, the filtering assumptions for the Daily Iss landing page are set to showing half-coupons with a standard term of 30-years for all Agency MBS fixed-rate production.[2]
As in Pool Cohorts, clicking on Pool List at the top of the displayed aggregations on the landing page provides a pool-by-pool display; alternatively, to obtain a more focused view, right clicking and selecting Pool List for a specific row will display the underlying pools for that cohort.
In a Pool List display, all disclosures for a single pool are grouped into one of five categories, each represented by a tab. These disclosures range from pool indicatives such as the CUSIP, prefix, and issue-month to statistics on the collateral characteristics of the underlying loans (for example: WAC, WAM, WALA, max/min note rates, max/min OLTVs, percentages of various categorical attributes).
By right clicking on any pool and selecting Issuance History, one can see the intra-month history of updates for that pool over the course of the selected month.[3] This view provides significant insight into the changing composition of a pool as it is assembled over the month. For example, for the highlighted GNMA Multi-seller pool, one can see that a crucial determinant of the pool’s prepayment propensity, the share of VA borrowers, evolves from 78.6% to 64.4% over the course of the month.
Daily issuance of Level 2 pools (both Supers and Platinums) can be tracked by selecting the Incl. L2 button in the upper right and grouping by L1/L2. For example, the selections below create cohorts of Freddie Mac pools grouped by Coupon and L1/L2.
The resulting cohort view shows $58.2 billion of issuance in 2% pools, all of which is in L2 pools (there is no row with Collateral Type = LOAN for FHL 2s).
Right-clicking and selecting Pool List shows that nearly all of the issuance is in FR SD6556, and a quick check of the underlying pools by going to the Freddie Mac’s website indicates that 84 pools were consolidated into this new Super.
Notes
[1] As of October 2024, daily issuance data is released at 6:30, 11:30, and 15:30 EST by the GSEs. GSE updates are released Mon-Fri while Ginnie Mae is Tue-Sat. Starting November 18th, the GSE disclosure schedule is going to have 4 updates a day: 6:30, 10:30, 13:30, and 15:30 EST. There is no difference between Fannie Mae and Freddie Mac with respect to release timings.
[2] ARM issuance is currently not available in DailyIss.
[3] A full set of intra-month histories is only available for pools issued on or after October 2023 for the GSEs, and mid-March 2024 for Ginnie Mae.
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