MBS/ABS Pool-Level Reference (FNMA + GNMA + FHLMC)

Composite source for M-134 Structured/MBS family (pool reference + loan-level performance): (a) FNMA pool reference (UPB, WAC, WAM, factors, issue/maturity, security balances) via PoolTalk; (b) FNMA loan-level acquisition + monthly performance via Single-Family Loan Performance Dataset (Data Dynamics); (c) GNMA pool + loan-level (GNMA I/II + HMBS + Multifamily) via bulk Disclosure Data Download — daily new-issues + 6th-bday-of-month factor files; (d) FHLMC Single-Family Loan-Level Dataset — ~55M mortgages, 1999-2025, origination + monthly performance; (e) NY Fed FR2004 primary-dealer agency-MBS positions/transactions (aggregate flow context); (f) SIFMA US MBS Statistics (aggregate issuance + outstanding + trading); (g) FRED PMMS mortgage rates — already in DS-001 namespace.

Notes

High-priority gap surfaced by PL-07 (2026-05-04); registration completed 2026-05-11 (c). M-134 currently uses iShares MBS ETF (DS-007) as a market-cap-weighted proxy — sufficient for index- level returns but inadequate for prepayment-model calibration, vintage-cohort CPR studies, or pool-level convexity work. A-280 (MBS CPR/PSA prepay, closed 2026-05-04) flagged FNMA Connect as the calibration target; DS-059 is the data-source companion. Free-source research (2026-05-11): unlike DS-058, the GSE universe is fully closable free. The 3 GSEs cover ~95% of agency MBS: Pool-level reference: - FNMA PoolTalk (https://mbsdisclosure.fanniemae.com/PoolTalk2/) — pool UPB, WAC, WAM, factors, issue/maturity. Free; registration. - GNMA Disclosure Data Download (https://www.ginniemae.gov/data_and_reports/disclosure_data/Pages/bulk_data_download_layout.aspx) — pool + loan-level for GNMA I/II + HMBS + Multifamily. Free, no registration. Daily new-issues + 6th-business-day- of-month factor files. Pipe-delimited flat files; schema versioning (v1.2.4 / v2.0) requires careful loader. Loan-level performance (for CPR / prepay-speed calibration → A-280): - FNMA Single-Family Loan Performance Dataset (Data Dynamics) — 30Y fixed-rate fully-amortizing subset; acquisition + monthly performance; quarterly refresh on/after 20th of following month. Excludes ARMs/balloons/IO. - FHLMC Single-Family Loan-Level Dataset (https://www.freddiemac.com/research/datasets/sf-loanlevel-dataset) — ~55M mortgages, 1999-2025. License restricts commercial use: InsightALM internal modelling OK; commercial productization requires re-license. Supporting (market/liquidity context): - NY Fed FR2004 primary-dealer statistics — weekly aggregate agency-MBS positions + transactions. Free, no registration. 1998-present. - SIFMA US MBS Statistics — aggregate issuance + outstanding + trading; daily/monthly/quarterly/annual; free, no registration. Barred under DR-007: - eMBS (commercial via ICE) — paid; covers same data with enriched tooling but blocked. - MBA Weekly Applications Survey — not freely on FRED; substitute FRED PMMS rates + NY Fed flow series for demand-side signal. - FINRA TRACE Enhanced Historical (bulk) — paid via FINRA Data Services; web-search lookups remain free for spot checks. Registration burden: FNMA + FHLMC require one-time accounts; credentials must be stored under Decision 027 runner-key rotation discipline. GNMA is auth-free. Existing DS-007 iShares MBS ETF proxy stays as a market-cap- weighted index sanity check, NOT retired. DS-059 is the primary pool-level + loan-level reference; DS-007 is the index check. Acquisition strategies (principal direction 2026-05-11): (1) trial-harvested month-end snapshots — minor utility here, since the GSE primary sources are themselves free; (2) daily scrape going forward — GNMA daily new-issues + monthly factor file capture; FNMA/FHLMC quarterly performance pulls; (3) ETF-options proxy — MBB / VMBS options as proxy for MBS convexity (composes with DS-057 closure for option-chain data). Fetcher build deferred to WS3 sweep.